Stratégie de négociation en réseau basée sur le suivi en temps réel de la ligne K

Auteur:ChaoZhang est là., Date: 2024-02-01 14:40:22 Je vous en prie
Les étiquettes:

Résumé

Cette stratégie est une stratégie de négociation bidirectionnelle basée sur le suivi en temps réel des changements de la ligne K. Elle peut générer des profits stables sur les marchés haussiers et baissiers.

La logique de la stratégie

Calcul automatique de la fourchette de prix et du prix de chaque réseau en fonction du nombre de réseaux définis par les utilisateurs.
Lorsque le prix dépasse un prix de grille, ouvrir une position longue avec une quantité fixe; lorsque le prix tombe en dessous d'un prix de grille, fermer une position longue et ouvrir une position courte.
En suivant les variations de prix, des bénéfices peuvent être obtenus lorsque les prix fluctuent dans la fourchette.

Analyse des avantages

Calcul automatique d'une plage de grille raisonnable sans avoir à déterminer manuellement le support et la résistance.
Le commerce bidirectionnel s'adapte à l'évolution des conditions du marché.
La taille fixe des positions ouvertes facilite la maîtrise des risques.
Code simple et direct, facile à comprendre et à modifier.

Analyse des risques

Les fluctuations significatives des prix peuvent entraîner une expansion des pertes.
Les frais de négociation accumulés ont également une incidence sur les bénéfices finaux.
Plus de grilles signifie plus de transactions mais chacune avec des profits limités.

Directions d'optimisation

Incorporer une stratégie de stop loss pour limiter les pertes.
Ajouter un réglage dynamique du nombre de grilles.
Considérez l'ajout d'un effet de levier pour amplifier le volume des transactions.

Résumé

La stratégie a une logique générale claire et simple pour générer des revenus stables grâce au trading bidirectionnel du réseau, mais comporte également certains risques commerciaux.

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

//hk4jerry

strategy("Grid Bot Backtesting", overlay=false, pyramiding=3000, close_entries_rule="ANY", default_qty_type=strategy.cash, initial_capital=100.0, currency="USD", commission_type=strategy.commission.percent, commission_value=0.025)
i_autoBounds    = input(group="Grid Bounds", title="Use Auto Bounds?", defval=true, type=input.bool)                             // calculate upper and lower bound of the grid automatically? This will theorhetically be less profitable, but will certainly require less attention
i_boundSrc      = input(group="Grid Bounds", title="(Auto) Bound Source", defval="Hi & Low", options=["Hi & Low", "Average"])     // should bounds of the auto grid be calculated from recent High & Low, or from a Simple Moving Average
i_boundLookback = input(group="Grid Bounds", title="(Auto) Bound Lookback", defval=250, type=input.integer, maxval=500, minval=0) // when calculating auto grid bounds, how far back should we look for a High & Low, or what should the length be of our sma
i_boundDev      = input(group="Grid Bounds", title="(Auto) Bound Deviation", defval=0.10, type=input.float, maxval=1, minval=-1)  // if sourcing auto bounds from High & Low, this percentage will (positive) widen or (negative) narrow the bound limits. If sourcing from Average, this is the deviation (up and down) from the sma, and CANNOT be negative.
i_upperBound    = input(group="Grid Bounds", title="(Manual) Upper Boundry(상단 가격)", defval=0.285, type=input.float)                      // for manual grid bounds only. The upperbound price of your grid
i_lowerBound    = input(group="Grid Bounds", title="(Manual) Lower Boundry(하단 가격)", defval=0.225, type=input.float)                      // for manual grid bounds only. The lowerbound price of your grid.
i_gridQty       = input(group="Grid Lines",  title="Grid Line Quantity(그리드 수)", defval=30, maxval=999, minval=1, type=input.integer)       // how many grid lines are in your grid
initial_balance = input(group="Trading option", title="Initial balance(투자금액)", defval=100, step=0.01)


start_time = input(group="Trading option",defval=timestamp('15 March 2023 06:00'), title='Start Time', type = input.time)
end_time = input(group="Trading option",defval=timestamp('31 Dec 2035 20:00'), title='End Time', type = input.time)
isAfterStartDate = true

tradingtime= (timenow - start_time)/(86400000*30)
yeartime=tradingtime/12


f_getGridBounds(_bs, _bl, _bd, _up) =>
    if _bs == "Hi & Low"
        _up ? highest(close, _bl) * (1 + _bd) : lowest(close, _bl)  * (1 - _bd)
    else
        avg = sma(close, _bl)
        _up ? avg * (1 + _bd) : avg * (1 - _bd)

f_buildGrid(_lb, _gw, _gq) =>
    gridArr = array.new_float(0)
    for i=0 to _gq-1
        array.push(gridArr, _lb+(_gw*i))
    gridArr

f_getNearGridLines(_gridArr, _price) =>
    arr = array.new_int(3)
    for i = 0 to array.size(_gridArr)-1
        if array.get(_gridArr, i) > _price
            array.set(arr, 0, i == array.size(_gridArr)-1 ? i : i+1)
            array.set(arr, 1, i == 0 ? i : i-1)
            break
    arr

var upperBound      = i_autoBounds ? f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, true) : i_upperBound  // upperbound of our grid
var lowerBound      = i_autoBounds ? f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, false) : i_lowerBound // lowerbound of our grid
var gridWidth       = (upperBound - lowerBound)/(i_gridQty-1)                                                       // space between lines in our grid
var gridLineArr     = f_buildGrid(lowerBound, gridWidth, i_gridQty)                                                 // an array of prices that correspond to our grid lines
var orderArr        = array.new_bool(i_gridQty, false)                                                              // a boolean array that indicates if there is an open order corresponding to each grid line

var closeLineArr    = f_getNearGridLines(gridLineArr, close)                                                        // for plotting purposes - an array of 2 indices that correspond to grid lines near price
var nearTopGridLine = array.get(closeLineArr, 0)                                                                    // for plotting purposes - the index (in our grid line array) of the closest grid line above current price
var nearBotGridLine = array.get(closeLineArr, 1)                                                                    // for plotting purposes - the index (in our grid line array) of the closest grid line below current price
if isAfterStartDate
    for i = 0 to (array.size(gridLineArr) - 1)
        if close < array.get(gridLineArr, i) and not array.get(orderArr, i) and i < (array.size(gridLineArr) - 1)
            buyId = i
            array.set(orderArr, buyId, true)
            strategy.entry(id=tostring(buyId), long=true, qty=(initial_balance/(i_gridQty-1))/close, comment="#"+tostring(buyId))
        if close > array.get(gridLineArr, i) and i != 0
            if array.get(orderArr, i-1)
                sellId = i-1
                array.set(orderArr, sellId, false)
                strategy.close(id=tostring(sellId), comment="#"+tostring(sellId))

    if i_autoBounds
        upperBound  := f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, true)
        lowerBound  := f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, false)
        gridWidth   := (upperBound - lowerBound)/(i_gridQty-1)
        gridLineArr := f_buildGrid(lowerBound, gridWidth, i_gridQty)

    closeLineArr    := f_getNearGridLines(gridLineArr, close)
    nearTopGridLine := array.get(closeLineArr, 0)
    nearBotGridLine := array.get(closeLineArr, 1)






var table table = table.new(position.top_right,6,8, frame_color = color.rgb(255, 255, 255),frame_width = 2,border_width = 2, border_color=color.rgb(255, 255, 255))
        


//제목
table.cell(table,0,0,"Upper limit price :", bgcolor=color.new(color.black,0),text_color =color.white)    
table.cell(table,0,1,"Lower limit price :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,0,2,"Grids quantity :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,0,3,"Investment :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,0,4,"USDT per grid :",text_color =color.white,bgcolor=color.new(color.black,0))
//수치
table.cell(table,1,0, tostring(upperBound, '###.#####')+ "  USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)    
table.cell(table,1,1, tostring(lowerBound, '###.#####')+ "  USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,2, tostring(i_gridQty, '###'), bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,3, tostring(initial_balance,'###.##')+ "  USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,4, tostring(initial_balance/i_gridQty,'###.##')+ "  USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)

//제목
table.cell(table,2,0,"Current position :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,2,1,"Position cost price :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,2,2,"Unrealized profit :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,2,3,"Unrealized profit % :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,2,4,"Fee :",text_color =color.white,bgcolor=color.new(color.black,0))

//수치
table.cell(table,3,0, tostring(strategy.position_size) +   syminfo.basecurrency + "\n"  + tostring(strategy.position_size*strategy.position_avg_price/1, '###.##') + "USDT" ,text_color =color.white,bgcolor=color.new(#5a637e, 0))
table.cell(table,3,1, text=strategy.position_size>0 ? tostring(strategy.position_avg_price,'###.####')+ "  USDT" : "NOT TRADING",text_color =color.white,bgcolor=color.new(#5a637e, 0))
table.cell(table,3,2, tostring(strategy.openprofit, '###.##')+ "  USDT",text_color =color.white,bgcolor=strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,3,3, tostring(strategy.openprofit/initial_balance*100, '###.##')+ "%",text_color =color.white,bgcolor=strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,3,4, "-" + tostring(strategy.position_avg_price*strategy.position_size*0.025/100,'###.##')+ "  USDT",text_color =color.white,bgcolor=color.new(#5a637e, 0))

//제목
table.cell(table,4,0,"Grid profit :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,4,1,"Grid profit % :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,4,2,"Net profit :", bgcolor=color.new(color.black,0),text_color =color.white)    
table.cell(table,4,3,"Net profit % :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,4,4,"Balance USDT :",bgcolor=color.new(color.black,0),text_color =color.white)


//수치
table.cell(table,5,0, tostring(strategy.netprofit, '###.#####')+ "USDT", text_color =color.white,bgcolor=strategy.netprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,1, tostring((strategy.netprofit)/initial_balance*100/tradingtime, '####.##') + "%",text_color =color.white,bgcolor=strategy.netprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,2, tostring(strategy.netprofit+strategy.openprofit, '###.##') + "  USDT",text_color =color.white,bgcolor=strategy.netprofit+strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,3, tostring((strategy.netprofit+strategy.openprofit)/initial_balance*100, '####.##') + "%",text_color =color.white,bgcolor=strategy.netprofit+strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,4, tostring(initial_balance+strategy.netprofit+strategy.openprofit, '###.##')+ "  USDT", text_color =color.white,bgcolor=color.new(#3d4d7c, 0))





// plot(strategy.initial_capital+ strategy.netprofit+strategy.openprofit, "Current Balance",color=color.rgb(81, 137, 128))
// plot(initial_balance, "Investment",color=color.rgb(81, 137, 128))

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