Stratégie DCA multi-périodes RSI+CCI+Bandes de Bollinger

Date de création: 2023-11-21 16:17:34 Dernière modification: 2023-11-21 16:17:34

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Stratégie DCA multi-périodes RSI+CCI+Bandes de Bollinger

Aperçu

La stratégie est une stratégie de suivi de tendance qui juge la direction de la tendance sur différentes périodes de temps à l’aide de plusieurs indicateurs tels que le RSI, le CCI et les bandes de bourgeons, permettant à la DCA d’entrer par tranches pour suivre la tendance et de réaliser des gains.

Principe de stratégie

Les indices RSI et CCI sont calculés sur des périodes de 5, 15 et 30 minutes respectivement.
Le RSI à courte période est jugé comme étant en survente lorsqu’il est inférieur à une certaine valeur et que le RSI à longue période est également inférieur à une certaine valeur. Le RSI à courte période est jugé comme étant en survente lorsqu’il est supérieur à une certaine valeur et que le RSI à longue période est également supérieur à une certaine valeur. La logique de jugement de l’indicateur CCI est similaire au RSI.
La courbe de Bryn détermine si le prix est trop éloigné de la trajectoire moyenne, comme indicateur de jugement auxiliaire.
L’effet DCA est obtenu en augmentant progressivement l’entrée en cas de surachat et en diminuant progressivement l’entrée en cas de survente.

Analyse des avantages

Une combinaison d’indicateurs de plusieurs périodes permet d’améliorer l’exactitude des jugements.
Stratégie DCA pour réduire les coûts d’achat
La proportion de capital de chaque unité est personnalisable et permet de contrôler les risques.

Analyse des risques

Le risque de manquer le meilleur point d’entrée
Risque d’inversion de tendance
Des paramètres inappropriés entraînent un risque de sur-transaction

La solution est simple:

Optimiser les paramètres pour s’assurer que les paramètres de l’indicateur correspondent
Une tendance à plus d’indices
Adaptation de la proportion de quantité par lot

Direction d’optimisation

Tester plus de combinaisons pour trouver la meilleure
Optimiser le pourcentage par lot
Augmentation des stratégies de réduction des pertes

Résumer

Cette stratégie utilise plusieurs périodes pour déterminer la direction de la tendance RSI et CCI, l’entrée de DCA est effectuée par lots lors de l’achat et de la vente, et son suivi de la tendance est très efficace lorsque le marché est plus orienté. Cependant, la mauvaise configuration des paramètres peut également entraîner une survente.

Code source de la stratégie

/*backtest
start: 2022-11-14 00:00:00
end: 2023-11-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © rrolik66

//@version=5

strategy(title="3RSI 3CCI BB 5orders DCA strategy+", overlay=true )

start_time = input(defval=timestamp('01 January 2021 00:00'), title='Start Time')
end_time = input(defval=timestamp('01 January 2022 00:00'), title='End Time')

src_bot = input.source(close, 'Source Bot')
tradeDirection = input.string(title='Trade Direction', options=['Long Bot', 'Short Bot'], defval='Long Bot')

weight_order0 = input.float(13.03, title='1 order (%)', group='weight of orders in %', inline='Input 0') * 0.01
weight_order1 = input.float(14.29, title='2 order (%)', group='weight of orders in %', inline='Input 0') * 0.01
weight_order2 = input.float(17.19, title='3 order (%)', group='weight of orders in %', inline='Input 1') * 0.01
weight_order3 = input.float(22.67, title='4 order (%)', group='weight of orders in %', inline='Input 1') * 0.01
weight_order4 = input.float(32.80, title='5 order (%)', group='weight of orders in %', inline='Input 2') * 0.01

st_long_orders = input.float(title='Rate cover (%)', minval=1, defval=80, group='Long Bot', inline='Input 1') / 4 * 0.01
longTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Long Bot', inline='Input 1') * 0.01
entry_long_SL = input.bool(defval=false, title='StopLoss', group='Long Bot', inline='Input 2')
longStopLoss = input.float(80, step=0.1, title='for Long Bot (%)', group='Long Bot', inline='Input 2') * 0.01

st_short_orders = input.float(title='Rate cover (%)', minval=1, defval=500, group='Short Bot', inline='Input 1') / 4 * 0.01
shortTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Short Bot', inline='Input 1') * 0.01
entry_short_SL = input.bool(defval=false, title='StopLoss', group='Short Bot', inline='Input 2')
shortStopLoss = input.float(500, step=0.1, title='for Short Bot (%)', group='Short Bot', inline='Input 2') * 0.01

//inputs for indicators

src = input.source(close, 'Source', group='indicators')

rsi1_input = input.bool(defval=true, title='RSI-1', group='RSI-1', inline='Input 0')
rsi1_res = input.timeframe(title='resolution', defval='5', group='RSI-1', inline='Input 0')
rsi1_low = input.int(65, minval=0, maxval=100, title='long <', group='RSI-1', inline='Input 1')
rsi1_len_long = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 1')
rsi1_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-1', inline='Input 2')
rsi1_len_short = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 2')

rsi2_input = input.bool(defval=true, title='RSI-2', group='RSI-2', inline='Input 0')
rsi2_res = input.timeframe(title='resolution', defval='15', group='RSI-2', inline='Input 0')
rsi2_low = input.int(72, minval=0, maxval=100, title='long <', group='RSI-2', inline='Input 1')
rsi2_len_long = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 1')
rsi2_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-2', inline='Input 2')
rsi2_len_short = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 2')

rsi3_input = input.bool(defval=true, title='RSI-3', group='RSI-3', inline='Input 0')
rsi3_res = input.timeframe(title='resolution', defval='30', group='RSI-3', inline='Input 0')
rsi3_low = input.int(74, minval=0, maxval=100, title='long <', group='RSI-3', inline='Input 1')
rsi3_len_long = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 1')
rsi3_up = input.int(34, minval=0, maxval=100, title='short >', group='RSI-3', inline='Input 2')
rsi3_len_short = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 2')

cci1_input = input.bool(defval=true, title='CCI-1', group='CCI-1', inline='Input 0')
cci1_res = input.timeframe(title='resolution', defval='5', group='CCI-1', inline='Input 0')
cci1_low = input.int(190, step=5, title='long <', group='CCI-1', inline='Input 1')
cci1_len_long = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 1')
cci1_up = input.int(-175, step=5, title='short >', group='CCI-1', inline='Input 2')
cci1_len_short = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 2')

cci2_input = input.bool(defval=true, title='CCI-2', group='CCI-2', inline='Input 0')
cci2_res = input.timeframe(title='resolution', defval='15', group='CCI-2', inline='Input 0')
cci2_low = input.int(195, step=5, title='long <', group='CCI-2', inline='Input 1')
cci2_len_long = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 1')
cci2_up = input.int(-205, step=5, title='short >', group='CCI-2', inline='Input 2')
cci2_len_short = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 2')

cci3_input = input.bool(defval=true, title='CCI-3', group='CCI-3', inline='Input 0')
cci3_res = input.timeframe(title='resolution', defval='30', group='CCI-3', inline='Input 0')
cci3_low = input.int(200, step=5, title='long <', group='CCI-3', inline='Input 1')
cci3_len_long = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 1')
cci3_up = input.int(-220, step=5, title='short >', group='CCI-3', inline='Input 2')
cci3_len_short = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 2')

bb_input = input.bool(defval=false, title='BB', group='Bollinger Bands', tooltip='(for long trading) the price is below the lower band, (for short trading) the price is abowe the upper band, для лонга цена под нижней линией, для шорта цена над верхней линией', inline='Input 0')
bb_res = input.timeframe(title='resolution', defval='5', group='Bollinger Bands', inline='Input 0')
bb_dev = input.float(2.0, minval=0.1, maxval=50, step=0.1, title='Deviation', group='Bollinger Bands', inline='Input 2')
bb_len = input.int(20, minval=1, title='Length', group='Bollinger Bands', inline='Input 2')

cci_input = input.bool(defval=false, title='band CCI', group='band CCI', tooltip='this setting sets the trading range by the level of the "CCI" indicator, эта настройка задает диапазон торговли по уровню индикатора "CCI" (я не использую)', inline='Input 0')
cci_res = input.timeframe(title='resolution', defval='60', group='band CCI', inline='Input 0')
cci_len = input.int(20, minval=1, title='CCI Length', group='band CCI', inline='Input 1')
cci_low = input.int(-110, step=10, title='CCI >', group='band CCI', inline='Input 2')
cci_up = input.int(110, step=10, title='CCI <', group='band CCI', inline='Input 2')

show_signals = input.bool(defval=false, title='Show signals', inline='Input')

//Input to trading conditions
longOK = tradeDirection == 'Long Bot'
shortOK = tradeDirection == 'Short Bot'

within_window() => true

// get indicators
rsi1_sec_long = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_long))
rsi1_sec_short = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_short))
rsi2_sec_long = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_long))
rsi2_sec_short = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_short))
rsi3_sec_long = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_long))
rsi3_sec_short = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_short))

cci1_sec_long = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_long))
cci1_sec_short = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_short))
cci2_sec_long = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_long))
cci2_sec_short = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_short))
cci3_sec_long = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_long))
cci3_sec_short = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_short))

[basis, upper_bb, lower_bb] = request.security(syminfo.tickerid, bb_res, ta.bb(src, bb_len, bb_dev))

cci_sec = request.security(syminfo.tickerid, cci_res, ta.cci(src, cci_len))

// calculate indicators
float rating_long = 0
float rating_long_num = 0
float rating_short = 0
float rating_short_num = 0


float rsi1_long = na
float rsi1_short = na
if not na(rsi1_sec_long) and rsi1_input and longOK
    rsi1_long := rsi1_sec_long < rsi1_low ? 1 : 0
if not na(rsi1_sec_short) and rsi1_input and shortOK
    rsi1_short := rsi1_sec_short > rsi1_up ? 1 : 0
if not na(rsi1_long)
    rating_long += rsi1_long
    rating_long_num += 1
if not na(rsi1_short)
    rating_short += rsi1_short
    rating_short_num += 1

float rsi2_long = na
float rsi2_short = na
if not na(rsi2_sec_long) and rsi2_input and longOK
    rsi2_long := rsi2_sec_long < rsi2_low ? 1 : 0
if not na(rsi2_sec_short) and rsi2_input and shortOK
    rsi2_short := rsi2_sec_short > rsi2_up ? 1 : 0
if not na(rsi2_long)
    rating_long += rsi2_long
    rating_long_num += 1
if not na(rsi2_short)
    rating_short += rsi2_short
    rating_short_num += 1

float rsi3_long = na
float rsi3_short = na
if not na(rsi3_sec_long) and rsi3_input and longOK
    rsi3_long := rsi3_sec_long < rsi3_low ? 1 : 0
if not na(rsi3_sec_short) and rsi3_input and shortOK
    rsi3_short := rsi3_sec_short > rsi3_up ? 1 : 0
if not na(rsi3_long)
    rating_long += rsi3_long
    rating_long_num += 1
if not na(rsi3_short)
    rating_short += rsi3_short
    rating_short_num += 1


float cci1_long = na
float cci1_short = na
if not na(cci1_sec_long) and cci1_input and longOK
    cci1_long := cci1_sec_long < cci1_low ? 1 : 0
if not na(cci1_sec_short) and cci1_input and shortOK
    cci1_short := cci1_sec_short > cci1_up ? 1 : 0
if not na(cci1_long)
    rating_long += cci1_long
    rating_long_num += 1
if not na(cci1_short)
    rating_short += cci1_short
    rating_short_num += 1

float cci2_long = na
float cci2_short = na
if not na(cci2_sec_long) and cci2_input and longOK
    cci2_long := cci2_sec_long < cci2_low ? 1 : 0
if not na(cci2_sec_short) and cci2_input and shortOK
    cci2_short := cci2_sec_short > cci2_up ? 1 : 0
if not na(cci2_long)
    rating_long += cci2_long
    rating_long_num += 1
if not na(cci2_short)
    rating_short += cci2_short
    rating_short_num += 1

float cci3_long = na
float cci3_short = na
if not na(cci3_sec_long) and cci3_input and longOK
    cci3_long := cci3_sec_long < cci3_low ? 1 : 0
if not na(cci3_sec_short) and cci3_input and shortOK
    cci3_short := cci3_sec_short > cci3_up ? 1 : 0
if not na(cci3_long)
    rating_long += cci3_long
    rating_long_num += 1
if not na(cci3_short)
    rating_short += cci3_short
    rating_short_num += 1

float bb_long = na
float bb_short = na
if not(na(lower_bb) or na(src) or na(src[1])) and bb_input and longOK
    bb_long := src < lower_bb ? 1 : 0
if not(na(upper_bb) or na(src) or na(src[1])) and bb_input and shortOK
    bb_short := src > upper_bb ? 1 : 0
if not na(bb_long)
    rating_long += bb_long
    rating_long_num += 1
if not na(bb_short)
    rating_short += bb_short
    rating_short_num += 1

float cci_band = na
if not na(cci_sec) and cci_input
    cci_band := cci_sec < cci_up and cci_sec > cci_low ? 1 : 0
if not na(cci_band)
    rating_long += cci_band
    rating_long_num += 1
    rating_short += cci_band
    rating_short_num += 1

//Buy Sell
Buy_ok = rating_long_num != 0 and longOK ? rating_long == rating_long_num : true
Sell_ok = rating_short_num != 0 and shortOK ? rating_short == rating_short_num : true

// Plotting
plotshape(Buy_ok and show_signals and longOK, title='Buy', text='Long', textcolor=color.new(color.white, 0), style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), size=size.tiny)
plotshape(Sell_ok and show_signals and shortOK, title='Sell', text='Short', textcolor=color.new(color.white, 0), style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), size=size.tiny)

strategy.initial_capital  =50000
//Figure in entry orders price

longEntryPrice0 = src_bot
longEntryPrice1 = longEntryPrice0 * (1 - st_long_orders)
longEntryPrice2 = longEntryPrice0 * (1 - st_long_orders * 2)
longEntryPrice3 = longEntryPrice0 * (1 - st_long_orders * 3)
longEntryPrice4 = longEntryPrice0 * (1 - st_long_orders * 4)

longEntryqty0 = strategy.initial_capital * weight_order0 / longEntryPrice0
longEntryqty1 = strategy.initial_capital * weight_order1 / longEntryPrice1
longEntryqty2 = strategy.initial_capital * weight_order2 / longEntryPrice2
longEntryqty3 = strategy.initial_capital * weight_order3 / longEntryPrice3
longEntryqty4 = strategy.initial_capital * weight_order4 / longEntryPrice4

shortEntryPrice0 = src_bot
shortEntryPrice1 = shortEntryPrice0 * (1 + st_short_orders)
shortEntryPrice2 = shortEntryPrice0 * (1 + st_short_orders * 2)
shortEntryPrice3 = shortEntryPrice0 * (1 + st_short_orders * 3)
shortEntryPrice4 = shortEntryPrice0 * (1 + st_short_orders * 4)

shortcontracts = strategy.initial_capital / shortEntryPrice0
shortEntryqty0 = shortcontracts * weight_order0
shortEntryqty1 = shortcontracts * weight_order1
shortEntryqty2 = shortcontracts * weight_order2
shortEntryqty3 = shortcontracts * weight_order3
shortEntryqty4 = shortcontracts * weight_order4

long_entry_price = strategy.opentrades.entry_price (0)
short_entry_price = strategy.opentrades.entry_price (0)

longTP = strategy.position_avg_price * (1 + longTakeProfit)
longSL = long_entry_price * (1 - longStopLoss)
shortTP = strategy.position_avg_price * (1 - shortTakeProfit)
shortSL = short_entry_price * (1 + shortStopLoss)

plot(series=strategy.position_size > 0 and longOK ? longTP : na, color=color.new(color.red, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit')
plot(series=strategy.position_size > 0 and entry_long_SL and longOK ? longSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss')
plot(series=strategy.position_size < 0 and shortOK ? shortTP : na, color=color.new(color.green, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit')
plot(series=strategy.position_size < 0 and entry_short_SL and shortOK ? shortSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss')

// Submit entry orders
if strategy.opentrades == 0 and longOK and within_window()
    strategy.order(id='Long0', direction=strategy.long, qty=longEntryqty0, limit=longEntryPrice0, when=Buy_ok)
    strategy.order(id='Long1', direction=strategy.long, qty=longEntryqty1, limit=longEntryPrice1, when=Buy_ok)
    strategy.order(id='Long2', direction=strategy.long, qty=longEntryqty2, limit=longEntryPrice2, when=Buy_ok)
    strategy.order(id='Long3', direction=strategy.long, qty=longEntryqty3, limit=longEntryPrice3, when=Buy_ok)
    strategy.order(id='Long4', direction=strategy.long, qty=longEntryqty4, limit=longEntryPrice4, when=Buy_ok)

if strategy.opentrades == 0 and shortOK and within_window()
    strategy.order(id='Short0', direction=strategy.short, qty=shortEntryqty0, limit=shortEntryPrice0, when=Sell_ok)
    strategy.order(id='Short1', direction=strategy.short, qty=shortEntryqty1, limit=shortEntryPrice1, when=Sell_ok)
    strategy.order(id='Short2', direction=strategy.short, qty=shortEntryqty2, limit=shortEntryPrice2, when=Sell_ok)
    strategy.order(id='Short3', direction=strategy.short, qty=shortEntryqty3, limit=shortEntryPrice3, when=Sell_ok)
    strategy.order(id='Short4', direction=strategy.short, qty=shortEntryqty4, limit=shortEntryPrice4, when=Sell_ok)

// exit position
if (strategy.position_size > 0) and not entry_long_SL and longOK
	strategy.exit(id='exit_Long', limit=longTP, qty=strategy.position_size, when=strategy.position_size[1] > 0)

if (strategy.position_size > 0) and entry_long_SL and longOK
	strategy.exit(id='exit_Long', limit=longTP, stop=longSL, qty=strategy.position_size, when=strategy.position_size[1] > 0)

if (strategy.position_size < 0) and not entry_short_SL and shortOK
	strategy.exit(id='exit_Short', limit=shortTP, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0)

if (strategy.position_size < 0) and entry_short_SL and shortOK
	strategy.exit(id='exit_Short', limit=shortTP, stop=shortSL, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0)

// Cleanup
if ta.crossunder(strategy.opentrades, 0.5)
    strategy.close_all()
    strategy.cancel_all()

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