Strategi Saluran Harga Terobosan Tertinggi-Terendah 5 Hari
ChaoZhang
Strategi ini diberi nama strategi saluran harga 5 hari tinggi rendah. Strategi ini membangun saluran harga dengan menghitung harga tertinggi dan terendah dalam 5 hari perdagangan terakhir dan melakukan perdagangan tren saat harga menembus saluran tersebut.
Langkah-langkahnya adalah sebagai berikut:
Hitung harga tertinggi dan terendah dalam 5 hari terakhir.
2 harga teratas dibangun di atas rel, 2 harga terendah dibangun di bawah rel.
Ketika kenaikan harga melebihi proporsi tertentu di atas rel (misalnya 0,3%), sinyal beli dihasilkan.
Ketika harga turun lebih dari persentase tertentu dari tren bawah, sinyal jual dihasilkan.
Setelah masuk dengan posisi terendah kedua sebagai stop loss, atau mengikuti stop loss proporsional (misalnya 0,5%).
Keuntungan dari strategi ini adalah untuk menilai titik balik tren dengan harga tertinggi / rendah yang penting. Saluran penembusan mewakili harga yang mendorong harga secara terpusat. Namun perlu untuk mencegah terlalu banyak sinyal yang tidak efektif dalam pencatatan.
Secara umum, fokus pada area harga kunci adalah strategi pelacakan tren yang lebih klasik. Namun, pedagang masih perlu membantu mengkonfirmasi indikator lain dan mengoptimalkan parameter untuk memanfaatkan strategi ini secara maksimal.
/*backtest
start: 2023-08-13 00:00:00
end: 2023-09-12 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// @version=4
// Based on Sort pseudo-array v2 by apozdnyakov https://www.tradingview.com/script/IUlIoSnA-Sort-pseudo-array-v2/
strategy(title="5 Day high/low breakout strategy", shorttitle="5 days range breakout", overlay=true)
entry_factor = input(title="Entry - % point above high/low", type=input.float, defval=0.3, minval=0, maxval=5)
profit_target = input(title="Profit Target %", type=input.float, defval=0.5, minval=0, maxval=5)
trade_type = input(defval = "BOTH", title = "Trade Type: LONG, SHORT, BOTH ( case sensitive )", type = input.string)
width = input(defval = 2, title = "High/Low line width (Enter 0 to hide )", type = input.integer, minval=0, maxval=5)
debug = input(defval= "NO", title = "Display sorted low/high: YES, NO ( case sensitive )", type = input.string)
high_day1 = security(syminfo.tickerid, "D", high[1], lookahead = barmerge.lookahead_on)
high_day2 = security(syminfo.tickerid, "D", high[2], lookahead = barmerge.lookahead_on)
high_day3 = security(syminfo.tickerid, "D", high[3], lookahead = barmerge.lookahead_on)
high_day4 = security(syminfo.tickerid, "D", high[4], lookahead = barmerge.lookahead_on)
high_day5 = security(syminfo.tickerid, "D", high[5], lookahead = barmerge.lookahead_on)
low_day1 = security(syminfo.tickerid, "D", low[1], lookahead = barmerge.lookahead_on)
low_day2 = security(syminfo.tickerid, "D", low[2], lookahead = barmerge.lookahead_on)
low_day3 = security(syminfo.tickerid, "D", low[3], lookahead = barmerge.lookahead_on)
low_day4 = security(syminfo.tickerid, "D", low[4], lookahead = barmerge.lookahead_on)
low_day5 = security(syminfo.tickerid, "D", low[5], lookahead = barmerge.lookahead_on)
// sorts a list of up to the fixed length
sort_all(type) =>
float s0 = na
float s1 = na
float s2 = na
float s3 = na
float s4 = na
h_val = security(syminfo.tickerid, "D", high, false)
float min = na
float last = na
for i = 0 to 4
float min_local = na
float last_local = na
float val = na
for l = 0 to 4
if type == "high"
val := l == 0 ? high_day1 : val
val := l == 1 ? high_day2 : val
val := l == 2 ? high_day3 : val
val := l == 3 ? high_day4 : val
val := l == 4 ? high_day5 : val
else
val := l == 0 ? low_day1 : val
val := l == 1 ? low_day2 : val
val := l == 2 ? low_day3 : val
val := l == 3 ? low_day4 : val
val := l == 4 ? low_day5 : val
if(na(min) or val > min or (val == min and l > last))
new_min_local = na(min_local) ? val : min(min_local, na(min) ? val : max(min, val))
if(na(min_local) or new_min_local != min_local)
last_local := l
min_local := new_min_local
min := min_local
last := last_local
s0 := i == 0 ? min : s0
s1 := i == 1 ? min : s1
s2 := i == 2 ? min : s2
s3 := i == 3 ? min : s3
s4 := i == 4 ? min : s4
[s0, s1, s2, s3, s4]
[high5, high4, high3, high2, high1] = sort_all("high")
[low1, low2, low3, low4, low5] = sort_all("low")
plot(high1, color = color.blue, style=plot.style_circles, linewidth=width)
plot(high2, color = color.red, style=plot.style_circles, linewidth=width)
plot(low1, color = color.blue, style=plot.style_circles, linewidth=width)
plot(low2, color = color.red, style=plot.style_circles, linewidth=width)
if close >= (high1 * (1 + entry_factor/100)) and strategy.position_size == 0 and hour <= 12
strategy.entry(id = "long_entry", long = true, qty = 1, stop = high2)
strategy.close(id = "long_entry", when = strategy.position_size != 0 and (close < high2 or close > high1 * (1 + (entry_factor + profit_target)/100)))
if close <= (low1 * (1 - entry_factor/100)) and strategy.position_size == 0 and hour <= 12
strategy.entry(id = "short_entry", long = false, qty = 1, stop = low2)
strategy.close(id = "short_entry", when = strategy.position_size != 0 and (close > low2 or close < low1 * (1 - (entry_factor + profit_target)/100)))
if (hour == 14)
strategy.close_all()
//No more than 1 order per day
// strategy.risk.max_intraday_filled_orders(2)
//Check whether this is the first bar of the day? If yes, display highs for last 5 days
// t = time("1440", session.regular)
// is_first = na(t[1]) and not na(t) or t[1] < t
// if (is_first and debug != "NO")
// label.new(bar_index, na, tostring(high1) + ", " + tostring(high2) + ", " + tostring(high3) + ", " + tostring(high4) + ", " + tostring(high5), style=label.style_cross, yloc=yloc.abovebar)
// label.new(bar_index, na, tostring(low1) + ", " + tostring(low2) + ", " + tostring(low3) + ", " + tostring(low4) + ", " + tostring(low5), style=label.style_cross, yloc=yloc.belowbar)