Estrategia de negociación cuantitativa de múltiples indicadores

El autor:¿ Qué pasa?, Fecha: 2024-02-21 11:53:30
Las etiquetas:

Resumen general

Esta estrategia integra varios indicadores técnicos, incluidos Parabolic SAR, Chandelier Exit, Zero Lag SMA, EMA y Heikin Ashi, para identificar potenciales señales de compra y venta en el gráfico.

Estrategia lógica

Indicadores clave

SAR parabólico: se utiliza para determinar los puntos de stop loss y los puntos de entrada potenciales
Estrategia de salida de candelabros: se utiliza para determinar la dirección de la tendencia
SMA de retraso cero: proporciona una media móvil de retraso bajo
EMA: sigue las tendencias y las fluctuaciones de precios
Heikin Ashi suavizado: genera velas Heikin Ashi suavizadas

Señales comerciales

Long cuando Parabolic SAR muestra tendencia alcista y el precio está por encima de 99 EMA; Short cuando tendencia bajista y el precio está por debajo de 99 EMA
Combinar con las señales de salida de Chandelier para confirmar aún más la tendencia
Heikin Ashi suavizado ayuda a evitar roturas falsas

Gestión de riesgos

Establecer el stop loss y tomar ganancias
Considere las condiciones de reinicio para ajustar las posiciones de manera flexible

Análisis de las fortalezas

La mayor fortaleza es la combinación integral de indicadores para la identificación efectiva de tendencias. SAR parabólico detecta posibles reversiones; Salida de la lámpara de candelero juzga la tendencia principal; promedios móviles filtran señales falsas. La validación cruzada mejora la precisión.

Además, el stop loss y el take profit controlan los riesgos, las líneas suavizadas evitan el ruido a corto plazo, la estrategia es estable.

Análisis de riesgos

Las señales contradictorias pueden causar dificultades.

Hay riesgos inherentes en el comercio técnico que pueden causar pérdidas. La operación cautelosa es una necesidad. Se debe evitar seguir a ciegas.

Direcciones de optimización

Prueba y optimiza los parámetros para encontrar la mejor combinación
Introducir modelos de aprendizaje automático para una mayor precisión
Incorporar indicadores de sentimiento y noticias para evaluar las condiciones del mercado y gestionar dinámicamente las posiciones
Mejorar la lógica de las condiciones de reinicio para una detección de señales más flexible

Conclusión

Esta estrategia integra indicadores para la identificación de señales. Las fortalezas incluyen alta precisión, estabilidad y control de riesgos sólidos. En general, un esquema de negociación que vale la pena. Se pueden hacer mejoras adicionales a través del ajuste de parámetros, la capacitación del modelo y la integración de indicadores de sentimiento.

/*backtest
start: 2024-01-21 00:00:00
end: 2024-02-20 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/


//@version=5
strategy("CE-ZLSMA-EMA-SAR-SHC", overlay=true)

// Parabolic SAR Strategy
start = input(0.02)
increment = input(0.02)
maximum = input(0.2)

var bool uptrend = na
var float EP = na
var float SAR = na
var float AF = start
var float nextBarSAR = na
var bool longSar = false
var bool shortSar = false
//input smoothed HAC 1
len=input.int(title="Length SHC1", defval = 10)
o=ta.ema(open,len)
c=ta.ema(close,len)
h=ta.ema(high,len)
l=ta.ema(low,len)

haclose = (o+h+l+c)/4
var haopen = 0.0
if na(haopen[1])
    haopen := (o + c) / 2
else
    haopen := (haopen[1] + haclose[1]) / 2


hahigh = math.max (h, math.max(haopen,haclose))
halow = math.min (l, math.min(haopen,haclose))

len2=input(10)
o2=ta.ema(haopen, len2)
c2=ta.ema(haclose, len2)
h2=ta.ema(hahigh, len2)
l2=ta.ema(halow, len2)

col=o2>c2 ? color.red : color.lime
bool shc1Green = o2 > c2
bool shc1Lime = o2 < c2
//input smoothed HAC 1
lenSHC2=input.int(title="Length SHC2 ", defval = 20)
oShc2=ta.ema(open,lenSHC2)
cShc2=ta.ema(close,lenSHC2)
hShc2=ta.ema(high,lenSHC2)
lShc2=ta.ema(low,lenSHC2)

hacloseShc2 = (oShc2+hShc2+lShc2+cShc2)/4
var haopenShc2 = 0.0
if na(haopenShc2[1])
    haopenShc2 := (oShc2 + cShc2) / 2
else
    haopenShc2 := (haopenShc2[1] + hacloseShc2[1]) / 2


hahighShc2 = math.max (hShc2, math.max(haopenShc2,hacloseShc2))
halowShc2 = math.min (lShc2, math.min(haopenShc2,hacloseShc2))

len2Shc2=input(10)
o2Shc2=ta.ema(haopenShc2, len2Shc2)
c2Shc2=ta.ema(hacloseShc2, len2Shc2)
h2Shc2=ta.ema(hahighShc2, len2Shc2)
l2Shc2=ta.ema(halowShc2, len2Shc2)

colShc2=o2Shc2>c2Shc2 ? color.red : color.lime
bool shc2Green = o2Shc2 > c2Shc2
bool shc2Lime = o2Shc2 < c2Shc2
//end smooth 

bool shcGree = shc1Green and shc2Green
bool shcLime = shc1Lime and shc2Lime 

//zlsma 
lengthZlsma = input.int(title="Length", defval=32)
offset = input.int(title="Offset", defval=0)
src = input(close, title="Source")
lsma = ta.linreg(src, lengthZlsma, offset)
lsma2 = ta.linreg(lsma, lengthZlsma, offset)
eq= lsma-lsma2
zlsma = lsma+eq
// ema 10
len4 = input.int(10, minval=1, title="Length")
src4 = input.source(close, title="Source")
out4 = ta.ema(src4, len4)
//End of format

// ema 34
len5 = input.int(34, minval=1, title="Length")
src5 = input.source(close, title="Source")
out5 = ta.ema(src5, len5)
//end ema 34

// ema 99
len6 = input.int(99, minval=1, title="Length")
src6 = input.source(close, title="Source")
out6 = ta.ema(src6, len6)
// end ema 99

//kiem tra dieu kien gia dong cua lon hon ema99 thi moi me lenh long
bool onEma99 = close > out6
bool downEma99 = open < out6

if bar_index > 0
    firstTrendBar = false
    SAR := nextBarSAR
    if bar_index == 1
        float prevSAR = na
        float prevEP = na
        lowPrev = low[1]
        highPrev = high[1]
        closeCur = close
        closePrev = close[1]
        if closeCur > closePrev
            uptrend := true
            EP := high
            prevSAR := lowPrev
            prevEP := high
        else
            uptrend := false
            EP := low
            prevSAR := highPrev
            prevEP := low
        firstTrendBar := true
        SAR := prevSAR + start * (prevEP - prevSAR)
    if uptrend
		if SAR > low
			firstTrendBar := true
			uptrend := false
			SAR := math.max(EP, high)
			EP := low
			AF := start
	else
		if SAR < high
			firstTrendBar := true
			uptrend := true
			SAR := math.min(EP, low)
			EP := high
			AF := start
	if not firstTrendBar
		if uptrend
			if high > EP
				EP := high
				AF := math.min(AF + increment, maximum)
		else
			if low < EP
				EP := low
				AF := math.min(AF + increment, maximum)
	if uptrend
		SAR := math.min(SAR, low[1])
		if bar_index > 1
			SAR := math.min(SAR, low[2])
	else
		SAR := math.max(SAR, high[1])
		if bar_index > 1
			SAR := math.max(SAR, high[2])
	nextBarSAR := SAR + AF * (EP - SAR)
	if barstate.isconfirmed
		if uptrend
			// log.info("true")
			strategy.entry("ParSE", strategy.short, stop=nextBarSAR, comment="ParSE")
			strategy.cancel("ParLE")
			shortSar := false
			longSar := true
		else
			// log.info("false")
			strategy.entry("ParLE", strategy.long, stop=nextBarSAR, comment="ParLE")
			strategy.cancel("ParSE")
			longSar := false
			shortSar := true

// Chandelier Exit Strategy
length = input.int(title="ATR Period",  defval=1)
mult = input.float(title="ATR Multiplier",  step=0.1, defval=1.1)
showLabels = input.bool(title="Show Buy/Sell Labels ?",  defval=true)
useClose = input.bool(title="Use Close Price for Extremums ?",  defval=true)
highlightState = input.bool(title="Highlight State ?",  defval=true)

atr = mult * ta.atr(length)

longStop = (useClose ? ta.highest(close, length) : ta.highest(length)) - atr
longStopPrev = nz(longStop[1], longStop) 
longStop := close[1] > longStopPrev ? math.max(longStop, longStopPrev) : longStop

shortStop = (useClose ? ta.lowest(close, length) : ta.lowest(length)) + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := close[1] < shortStopPrev ? math.min(shortStop, shortStopPrev) : shortStop


var int dir = 1
dir := close > shortStopPrev ? 1 : close < longStopPrev ? -1 : dir

var bool longOpened = false
var bool shortOpended = false
// Entry and exit logic
if (dir == 1)
	if longSar
		if not longOpened
			strategy.close("Sell", disable_alert = true)
    		strategy.order("Buy", strategy.long)
			longOpened := true
			shortOpended := false

if (dir == -1) 
	if shortSar
		if not shortOpended
			strategy.close("Buy", disable_alert = true)
			strategy.order("Sell", strategy.short)
			shortOpended := true
			longOpened := false


//strategy YY
// ~~~~~~~~~~~ INPUTS ~~~~~~~~~~~ //
lenYY = input.int(80, "Trend Length:", tooltip="How far back should we span this indicator?\nThis length effects all lengths of the indicator")
purchaseSrc = input.source(close, "Purchase Source (Long and Short):", tooltip="What source needs to exit the purchase zone for a purchase to happen?")
exitSrc = input.source(close, "Exit Source (Long and Short):", tooltip="What source needs to hit a exit condition to stop the trade (Take profit, Stop Loss or hitting the other sides Purchase Zone)?")
useTakeProfit = input.bool(true, "Use Take Profit", tooltip="Should we take profit IF we cross the basis line and then cross it AGAIN?")
useStopLoss = input.bool(true, "Use Stop Loss", tooltip="Stop loss will ensure you don't lose too much if its a bad call")
stopLossMult = input.float(0.1, "Stoploss Multiplier %:", tooltip="How far from the purchase lines should the stop loss be")
resetCondition = input.string("Entry", "Reset Purchase Availability After:", options=["Entry", "Stop Loss", "None"],
 tooltip="If we reset after a condition is hit, this means we can purchase again when the purchase condition is met. \n" +
 "Otherwise, we will only purchase after an opposite signal has appeared.\n" +
 "Entry: means when the close enters the purchase zone (buy or sell).\n" +
 "Stop Loss: means when the close hits the stop loss location (even when were out of a trade)\n" +
 "This allows us to get more trades and also if our stop loss initally was hit but it WAS a good time to purchase, we don't lose that chance.")

// ~~~~~~~~~~~ VARIABLES ~~~~~~~~~~~ //
var bool longStart = na
var bool longAvailable = na
var bool longTakeProfitAvailable = na
var bool longStopLoss = na
var bool shortStart = na
var bool shortAvailable = na
var bool shortTakeProfitAvailable = na
var bool shortStopLoss = na

resetAfterStopLoss = resetCondition == "Stop Loss"
resetAfterEntry = resetCondition == "Entry"

// ~~~~~~~~~~~ CALCULATIONS ~~~~~~~~~~~ //
// Mid Line
midHigh = ta.vwma(ta.highest(high, lenYY), lenYY)
midLow = ta.vwma(ta.lowest(low, lenYY), lenYY)
mid = math.avg(midHigh, midLow)
midSmoothed = ta.ema(mid, lenYY)

//Volume Filtered
avgVol = ta.vwma(volume, lenYY)
volDiff = volume / avgVol
midVolSmoothed = ta.vwma(midSmoothed * volDiff, 3)

//RSI Filtered
midDifference = ta.sma(midHigh - midLow, lenYY)
midRSI = ta.rsi(midVolSmoothed, lenYY) * 0.01
midAdd = midRSI * midDifference

//Calculate Zones
purchaseZoneHigh = midSmoothed + midAdd
purchaseZoneLow = midSmoothed - midAdd
purchaseZoneBasis = math.avg(purchaseZoneHigh, purchaseZoneLow)

//Create Stop Loss Locations
stopLossHigh = purchaseZoneHigh * (1 + (stopLossMult * 0.01))
stopLossLow = purchaseZoneLow * (1 - (stopLossMult * 0.01))

// ~~~~~~~~~~~ PURCHASE CALCULATIONS ~~~~~~~~~~~ //
//Long
longEntry = ta.crossunder(purchaseSrc, purchaseZoneLow)
longStart := ta.crossover(purchaseSrc, purchaseZoneLow) and longAvailable
longAvailable := ta.crossunder(purchaseSrc, purchaseZoneHigh) or (resetAfterStopLoss and longStopLoss) or (resetAfterEntry and longEntry) ? true : longStart ? false : longAvailable[1]
longEnd = ta.crossover(exitSrc, purchaseZoneHigh)
longStopLoss := ta.crossunder(exitSrc, stopLossLow)
longTakeProfitAvailable := ta.crossover(exitSrc, purchaseZoneBasis) ? true : longEnd ? false : longTakeProfitAvailable[1]
longTakeProfit = ta.crossunder(exitSrc, purchaseZoneBasis) and longTakeProfitAvailable

//Short
shortEntry = ta.crossover(purchaseSrc, purchaseZoneHigh)
shortStart := ta.crossunder(purchaseSrc, purchaseZoneHigh) and shortAvailable
shortAvailable := ta.crossover(purchaseSrc, purchaseZoneLow) or (resetAfterStopLoss and shortStopLoss) or (resetAfterEntry and shortEntry)? true : shortStart ? false : shortAvailable[1]
shortEnd = ta.crossunder(exitSrc, purchaseZoneLow)
shortStopLoss := ta.crossover(exitSrc, stopLossHigh)
shortTakeProfitAvailable := ta.crossunder(exitSrc, purchaseZoneBasis) ? true : shortEnd ? false : shortTakeProfitAvailable[1]
shortTakeProfit = ta.crossover(exitSrc, purchaseZoneBasis) and shortTakeProfitAvailable

// ~~~~~~~~~~~ STRATEGY ~~~~~~~~~~~ //
var bool openLongYY = false
var bool openShortYY = false
if (longStart)
    strategy.order("BuyYY", strategy.long)
	strategy.close("SellYY", disable_alert = true)
	openLongYY := true
	openShortYY := false
else if (longEnd or (useStopLoss and longStopLoss) or (useTakeProfit and longTakeProfit))
    strategy.close("BuyYY", disable_alert = true)

if (shortStart)
	strategy.close("BuyYY", disable_alert = true)
    strategy.order("SellYY", strategy.short)
	openShortYY := true
	openLongYY := false
else if (shortEnd or (useStopLoss and shortStopLoss) or (useTakeProfit and shortTakeProfit))
    strategy.close("SellYY", disable_alert = true)

// ~~~~~~~~~~~ ALERTS ~~~~~~~~~~~ //
// if longStart or (longEnd or (useStopLoss and longStopLoss) or (useTakeProfit and longTakeProfit)) or shortStart or (shortEnd or (useStopLoss and shortStopLoss) or (useTakeProfit and shortTakeProfit))
//     alert("{{strategy.order.action}} | {{ticker}} | {{close}}", alert.freq_once_per_bar)

// Plotting
plot(SAR, style=plot.style_cross, linewidth=1, color=color.orange)
plot(nextBarSAR, style=plot.style_cross, linewidth=3, color=color.aqua)
plot(zlsma, color=color.rgb(235, 15, 33), linewidth=1, title = "ZLSMA")

plot(out4, color=color.rgb(24, 209, 85), title="Ema 1")
plot(out5, color=color.rgb(139, 234, 231), linewidth = 2, title="Ema 2")
plot(out6, color=color.rgb(219, 230, 18), title="Ema 3")

plotcandle(o2, h2, l2, c2, title="SHC1", color=col)
plotcandle(o2Shc2, hShc2, l2Shc2, c2Shc2, title="SHC2", color=col)


// ~~~~~~~~~~~ PLOTS YY ~~~~~~~~~~~ //
shortLine = plot(purchaseZoneHigh, color=color.green)
shortStopLossLine = plot(stopLossHigh, color=color.green) //color=color.rgb(0, 97, 3)
fill(shortLine, shortStopLossLine, color = color.new(color.green, 90))
plot(purchaseZoneBasis, color=color.white)
longLine = plot(purchaseZoneLow, color=color.red)
longStopLossLine = plot(stopLossLow, color=color.red) //color=color.rgb(105, 0, 0)
fill(longLine, longStopLossLine, color=color.new(color.red, 90))

Más.