Sistem perdagangan kuantitatif ini menggunakan analisis regresi polinomial untuk mengidentifikasi potensi pembalikan tren untuk sinyal masuk.
Cara Kerjanya
Strategi ini menyesuaikan garis regresi polinomial dengan harga tinggi dan rendah baru-baru ini.
Jika ambang batas tinggi atau rendah tertentu pecah, sinyal beli atau jual dihasilkan yang menunjukkan tren yang muncul.
Posisi dimasukkan ketika sudut volatilitas melebihi minimum untuk menghindari pasar yang bergolak.
Keuntungan dan Kelemahan
Dengan mengotomatisasi sinyal tren berdasarkan analisis matematis, strategi ini memberikan pendekatan obyektif untuk perdagangan discretionary.
Namun, penyesuaian kurva dapat menyebabkan terlalu banyak optimasi. Seperti halnya sistem teknis lainnya, kinerja sangat tergantung pada kondisi pasar. Tidak ada strategi yang menggantikan manajemen risiko yang bijaksana.
Pengujian yang cermat di berbagai kerangka waktu, kelas aset dan lingkungan pasar adalah kunci untuk mengevaluasi ketahanan.
Secara keseluruhan, strategi kuantitatif menawarkan metodologi berbasis aturan untuk mengidentifikasi perdagangan potensial.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-10 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
//Ultima version underground09
// strategy(title = " underground09",
// shorttitle = "Under09",
// overlay = true,
// precision = 8,
// calc_on_order_fills = true,
// calc_on_every_tick = true,
// backtest_fill_limits_assumption = 0,
// default_qty_type = strategy.fixed,
// default_qty_value = 2,
// initial_capital = 10000,
// pyramiding=5,
// currency = currency.USD,
// linktoseries = true)
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
var sl = 0.0
var tp = 0.0
var acumaldor_vxp = 0.0
var acomuldor_vol = 0.0
//stop_loss = input(defval=0.2, title="Porcentaje Stop Loss", type=input.float, step=0.2)
stop_loss = input(defval=1.4, title="Porcentaje Stop Loss", type=input.float, step=0.2)
//take_profit = input(defval=4.4, title="Porcentaje Take Profit", type=input.float, step=0.2)
take_profit = input(defval=5.6, title="Porcentaje Take Profit", type=input.float, step=0.2)
//pintar_trade = input(defval=false, title="Pintar trade TP SL")
angulo_permitido = input(defval=26.8, title="Angulo permitido", type=input.float, step=0.2)
backTestSectionFrom = input(title = "═══════════════ From ═══════════════", defval = true, type = input.bool)
FromMonth = input(defval = 1, title = "Month", minval = 1)
FromDay = input(defval = 1, title = "Day", minval = 1)
FromYear = input(defval = 2019, title = "Year", minval = 2014)
backTestSectionTo = input(title = "════════════════ To ════════════════", defval = true, type = input.bool)
ToMonth = input(defval = 31, title = "Month", minval = 1)
ToDay = input(defval = 12, title = "Day", minval = 1)
ToYear = input(defval = 9999, title = "Year", minval = 2014)
Config = input(title = "══════════════ Config ══════════════", defval = true, type = input.bool)
//p = input(6)
p = input(4)
//length = input(30)
length = input(26)
//
backTestPeriod() => (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))
//
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
x1 = bar_index
x2 = sqrt(x1)
y = high
//
S11 = sum(x2,length) - sqrt(sum(x1,length)) / length
S12 = sum(x1*x2,length) - (sum(x1,length) * sum(x2,length)) / length
S22 = sum(sqrt(x2),length) - sqrt(sum(x2,length)) / length
Sy1 = sum (y*x1,length) - (sum(y,length) * sum(x1,length)) / length
Sy2 = sum (y*x2,length) - (sum(y,length) * sum(x2,length)) / length
//
max1 = sma(x1,length)
max2 = sma(x2,length)
may = sma(y,length)
b2 = ((Sy1 * S22) - (Sy2*S12))/(S22*S11 - sqrt(S12))
b3 = ((Sy2 * S11) - (Sy1 * S12))/(S22 * S11 - sqrt(S12))
b1 = may - b2*max1 - b3*max2
qr = b1 + b2*x1 + b3*x2
//
yl = low
//
Sy1l = sum(yl*x1,length) - (sum(yl,length) * sum(x1,length)) / length
Sy2l = sum(yl*x2,length) - (sum(yl,length) * sum(x2,length)) / length
//
mayl = sma(yl,length)
b2l = ((Sy1l * S22) - (Sy2l*S12))/(S22*S11 - sqrt(S12))
b3l = ((Sy2l * S11) - (Sy1l * S12))/(S22 * S11 - sqrt(S12))
b1l = mayl - b2l*max1 - b3l*max2
qrl = b1l + b2l*x1 + b3l*x2
//
period = round(p/2)+1
hh = qr[period]
ll = qrl[period]
countH = 0
countL = 0
buy=0
sell=0
//
for i = 1 to period-1
if qr[i]<hh
countH:=countH+1
if qrl[i]>ll
countL:=countL+1
for i = period+1 to p+1
if qr[i]<hh
countH:=countH+1
if qrl[i]>ll
countL:=countL+1
if countH==p
pivotH = high[period]
buy := 1
if countL==p
pivotL = low[period]
sell := 1
//
Angulo(_serie) =>
atan( _serie - _serie[1] ) * 180 / acos(-1)
//calcular elvwap
vxp = volume*hlc3
//:= signo de acumulador
acumaldor_vxp := acumaldor_vxp + vxp
acomuldor_vol := acomuldor_vol + volume
vwap2 = acumaldor_vxp / acomuldor_vol
pendiente = Angulo(vwap2)
//
plotshape(buy == 1 , text='⬆️', style=shape.arrowup, location=location.belowbar, color=#32CD32, textcolor=color.white, offset=0, transp=0,size=size.auto)
if buy == 1
alert("Posible long",alert.freq_all )
plotshape(sell == 1 , text='⬇️', style=shape.arrowdown, location=location.abovebar, color=#FF0000, textcolor=color.white, offset=0, transp=0,size=size.auto)
if sell == 1
alert("Posible short",alert.freq_all )
//
//if (backTestPeriod())
//strategy.entry("long", true, 1, when = buy == 1)
// strategy.entry("short", false, 1, when = sell == 1)
if buy == 1 and pendiente > angulo_permitido
//if buy == 1
cantidad = round(strategy.equity / close )
strategy.entry("long", true, cantidad, comment = "Compra")
sl := close * ( 1 - (stop_loss/100))
tp := close * ( 1 + (take_profit/100))
if sell == 1 and pendiente > angulo_permitido
//if sell == 1
cantidad = round(strategy.equity / close )
strategy.entry("short", false, cantidad, comment = "Venta")
sl := close * ( 1 + (stop_loss/100))
tp := close * ( 1 - (take_profit/100))
//Validaciones
comprado = strategy.position_size > 0 //true si es positivo
vendido = strategy.position_size < 0 //true si es negativo
if comprado
//Salir sl
if close >= tp
//plotshape(close >= tp, style=shape.xcross)
strategy.close("long", comment="TP")
//Salir tp
if close <= sl
strategy.close("long", comment="SL")
if vendido
//Salir sl
if close <= tp
strategy.close("short", comment="TP")
//Salir tp
if close >= sl
strategy.close("short", comment="SL")
//sl tp
plot( sl , color =color.red, style=plot.style_cross)
plot( tp , color= color.green , style=plot.style_circles)
//color
//bgcolor (comprado ? color.green: na)
//bgcolor (vendido ? color.red: na)
//if pintar_trade
//bgcolor (close >= tp ? color.green : na, transp=80)
//bgcolor (close >= sl ? color.red : na, transp=80)