Strategi perdagangan kombinasi berdasarkan beberapa sistem rata-rata pergerakan
ChaoZhang
Ringkasan
Strategi ini menghasilkan sinyal perdagangan ketika terjadi perubahan dalam hubungan harga dengan rata-rata dengan menggunakan kombinasi rata-rata T3, rata-rata perpecahan emas T3 dan rata-rata bergerak berbobot Mavilim W. Strategi ini termasuk dalam kategori strategi pelacakan tren.
Prinsip Strategi
Perhitungan rata-rata T3, rata-rata perpecahan emas T3 dan rata-rata bergerak berbobot MavilimW.
Penembusan harga dari garis rata-rata, atau retracement, dapat menghasilkan sinyal beli dan jual.
Kombinasi dengan beberapa garis rata-rata, dapat dilakukan pemfilteran sinyal perdagangan, meningkatkan kualitas sinyal.
Tetapkan strategi stop loss untuk mengendalikan kerugian tunggal.
Anda dapat memilih untuk menggunakan beberapa sistem perdagangan linier secara terpisah atau dalam kombinasi.
Analisis Keunggulan
Kombinasi multivariate dapat meningkatkan akurasi sinyal dan saling memverifikasi.
Setiap garis rata-rata bereaksi berbeda terhadap perubahan tren, dan kombinasi dapat memberikan keuntungan.
Sinyal perdagangan intuitif, dibentuk oleh hubungan garis rata.
Pengaturan Stop Loss membantu dalam pengendalian risiko.
Kode yang jelas, mudah untuk memahami prinsip dan kustomisasi.
Analisis risiko
Kombinasi garis rata juga dapat menyebabkan sinyal yang salah dan menyebabkan kerugian.
Tidak dapat menilai secara efektif titik-titik di mana tren harga terputus.
Setelan parameter garis rata-rata yang tidak tepat dapat mempengaruhi kinerja strategi.
Mungkin perlu untuk sering menyesuaikan posisi, meningkatkan biaya transaksi.
Optimalisasi yang berlebihan dapat menyebabkan overmatching.
Arah optimasi
Uji berbagai parameter rata-rata untuk menemukan kombinasi terbaik.
Evaluasi indikator tren lainnya dan filter sinyal.
Optimalkan parameter strategi stop loss untuk mengurangi risiko kerugian tunggal.
Studi pola siklus harga untuk menilai titik-titik penting dari gangguan tren.
Menambahkan indikator tren untuk menghindari perdagangan terbalik yang tidak perlu
Mengadopsi strategi manajemen posisi dinamis, mengoptimalkan efisiensi penggunaan dana.
Meringkaskan
Strategi ini menggunakan kombinasi dari beberapa sistem perdagangan linear untuk membentuk sinyal perdagangan yang saling diverifikasi. Namun, kombinasi multi-linear juga memiliki risiko sinyal yang salah. Perlu dilakukan pengujian optimasi parameter yang berkelanjutan, ditambah dengan alat pengendalian risiko, untuk menjadikannya strategi pelacakan tren yang stabil.
/*backtest
start: 2022-09-13 00:00:00
end: 2023-09-19 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//creator&compiler: Bartu Altan
//inspired by: KIVANÇ ÖZBİLGİÇ @fr3792 and @mavilim0732 on twitter
//With courtesy of Kıvanç Özbilgiç, Permission Pending
strategy("Tilson T3, Tilson T3 Fibo and MavilimW Combined Strategy Strategy",shorttitle="T3 and MavilimW Strategy", initial_capital=100,currency=currency.USD,default_qty_type=strategy.percent_of_equity,default_qty_value =75,overlay=true)
stop_loss=input(defval=3.0,title="Stop Loss %",type=input.float)*0.01
strategyt3 = input(true,"T3")
strategyt3Fibo = input(true,"T3 Fibo Cross")
strategyMav = input(true,"MavilimW")
fmal=input(3,"First Moving Average length")
smal=input(5,"Second Moving Average length")
barsSinceCloseUnderMavw = input(5,"Bars Since Close Under MAVW")
T3FiboLine = input(false, title="Show T3 Fibonacci Ratio Line?")
length1 = input(8, "T3 Length")
a1 = input(0.7, "Volume Factor")
// BEGINNING OF T3
e1 = ema((high + low + 2 * close) / 4, length1)
e2 = ema(e1, length1)
e3 = ema(e2, length1)
e4 = ema(e3, length1)
e5 = ema(e4, length1)
e6 = ema(e5, length1)
c1 = -a1 * a1 * a1
c2 = 3 * a1 * a1 + 3 * a1 * a1 * a1
c3 = -6 * a1 * a1 - 3 * a1 - 3 * a1 * a1 * a1
c4 = 1 + 3 * a1 + a1 * a1 * a1 + 3 * a1 * a1
T3 = c1 * e6 + c2 * e5 + c3 * e4 + c4 * e3
col1t3 = T3 > T3[1]
col3t3 = T3 < T3[1]
color_1 = col1t3 ? color.green : col3t3 ? color.red : color.yellow
plot(strategyt3 or strategyt3Fibo ? T3:na, color=color_1, linewidth=3, title="T3")
//T3 Fibo
length12 = input(5, "T3 Length fibo")
a12 = input(0.618, "Volume Factor fibo")
e12 = ema((high + low + 2 * close) / 4, length12)
e22 = ema(e12, length12)
e32 = ema(e22, length12)
e42 = ema(e32, length12)
e52 = ema(e42, length12)
e62 = ema(e52, length12)
c12 = -a12 * a12 * a12
c22 = 3 * a12 * a12 + 3 * a12 * a12 * a12
c32 = -6 * a12 * a12 - 3 * a12 - 3 * a12 * a12 * a12
c42 = 1 + 3 * a12 + a12 * a12 * a12 + 3 * a12 * a12
T32 = c12 * e62 + c22 * e52 + c32 * e42 + c42 * e32
col12 = T32 > T32[1]
col32 = T32 < T32[1]
color2 = col12 ? color.blue : col32 ? color.purple : color.yellow
plot(strategyt3Fibo and T3FiboLine and T32 ? T32 : na, color=color2, linewidth=2, title="T3fibo")
//End of T3 Fibo
// END OF T3
// MAVİLİMW //
tmal=fmal+smal
Fmal=smal+tmal
Ftmal=tmal+Fmal
Smal=Fmal+Ftmal
M1= wma(close, fmal)
M2= wma(M1, smal)
M3= wma(M2, tmal)
M4= wma(M3, Fmal)
M5= wma(M4, Ftmal)
MAVW= wma(M5, Smal)
col1= MAVW>MAVW[1]
col3= MAVW<MAVW[1]
colorM = col1 ? color.blue : col3 ? color.red : color.yellow
plot(strategyMav ?MAVW:na,title="MAVW",color=colorM,linewidth=2)
// END OF MAVILIMW
// Long Conditions //
longT3single = strategyt3 and not(strategyt3Fibo) and not(strategyMav) ? crossover(close,T3) and barssince(crossunder(close,T3)) > barsSinceCloseUnderMavw : na
longT3Fibo = not(strategyt3) and strategyt3Fibo and not(strategyMav) ? crossover(T32,T3):na
longMav = not(strategyt3) and not(strategyt3Fibo) and strategyMav ? crossover(close,MAVW) and barssince(crossunder(close,MAVW)) > barsSinceCloseUnderMavw : na
longT3WFiboandMav = strategyt3 and strategyt3Fibo and strategyMav ? close > T3 and close > MAVW and T32 > T3 : na
longT3WFibo = strategyt3 and strategyt3Fibo and not(strategyMav) ? (crossover(T32,T3) and close > T3) or (T32>T3 and crossover(close,T3) and barssince(crossunder(close,T3)) > barsSinceCloseUnderMavw):na
longMavT3Fibo = not(strategyt3) and strategyt3Fibo and strategyMav ? (crossover(T32,T3) and close > MAVW) or (T32>T3 and crossover(close,MAVW) and barssince(crossunder(close,MAVW)) > barsSinceCloseUnderMavw) : na
longMavT3 = (strategyt3) and not(strategyt3Fibo) and strategyMav ? (crossover(close,T3) and barssince(crossunder(close,T3)) > barsSinceCloseUnderMavw and close>MAVW) or (crossover(close,MAVW) and barssince(crossunder(close,MAVW)) > barsSinceCloseUnderMavw and close>T3) : na
longchosen = longT3single or longT3Fibo or longMav or longT3WFiboandMav or longT3WFibo or longMavT3Fibo or longMavT3
// Long Close Conditions //
longcT3single = strategyt3 and not(strategyt3Fibo) and not(strategyMav) ? crossunder(close,T3) : na
longcT3Fibo = not(strategyt3) and strategyt3Fibo and not(strategyMav) ? crossunder(T32,T3):na
longcMav = not(strategyt3) and not(strategyt3Fibo) and strategyMav ? crossunder(close,MAVW): na
longcT3WFiboandMav = strategyt3 and strategyt3Fibo and strategyMav ? close < T3 and close < MAVW and T32 < T3 : na
longcT3WFibo = strategyt3 and strategyt3Fibo and not(strategyMav) ? (crossunder(T32,T3) and close < T3) or (T32<T3 and crossunder(close,T3)):na
longcMavT3Fibo = not(strategyt3) and strategyt3Fibo and strategyMav ? (crossunder(T32,T3) and close < MAVW) or (T32<T3 and crossunder(close,MAVW)): na
longcMavT3 = (strategyt3) and not(strategyt3Fibo) and strategyMav ? (crossunder(close,T3) and close<MAVW) or (crossunder(close,MAVW) and close<T3) : na
longclosechosen = longcT3single or longcT3Fibo or longcMav or longcT3WFiboandMav or longcT3WFibo or longcMavT3Fibo or longcMavT3
// t3 fibo //
long = longchosen
longclose = longclosechosen
long_plot = barssince(long[1])>barssince(longclose[1])?long:na
longclose_plot = barssince(longclose[1])>barssince(long[1])?longclose:na
plotshape(long_plot,title="Long",style=shape.labelup,color=color.green,text="Long",textcolor=color.white, location=location.abovebar)
plotshape(longclose_plot,title="Long Close",style=shape.labeldown,color=#B1E141,text="Long Close",textcolor=color.white,location=location.belowbar)
// Short Conditions //
shortT3single = strategyt3 and not(strategyt3Fibo) and not(strategyMav) ? crossunder(close,T3) and barssince(crossover(close,T3)) > barsSinceCloseUnderMavw : na
shortT3Fibo = not(strategyt3) and strategyt3Fibo and not(strategyMav) ? crossunder(T32,T3):na
shortMav = not(strategyt3) and not(strategyt3Fibo) and strategyMav ? crossunder(close,MAVW) and barssince(crossover(close,MAVW)) > barsSinceCloseUnderMavw : na
shortT3WFiboandMav = strategyt3 and strategyt3Fibo and strategyMav ? close < T3 and close < MAVW and T32 < T3 : na
shortT3WFibo = strategyt3 and strategyt3Fibo and not(strategyMav) ? (crossunder(T32,T3) and close < T3) or (T32<T3 and crossunder(close,T3) and barssince(crossover(close,T3)) > barsSinceCloseUnderMavw):na
shortMavT3Fibo = not(strategyt3) and strategyt3Fibo and strategyMav ? (crossunder(T32,T3) and close < MAVW) or (T32<T3 and crossunder(close,MAVW) and barssince(crossover(close,MAVW)) > barsSinceCloseUnderMavw) : na
shortMavT3 = (strategyt3) and not(strategyt3Fibo) and strategyMav ? (crossunder(close,T3) and barssince(crossover(close,T3)) > barsSinceCloseUnderMavw and close<MAVW) or (crossunder(close,MAVW) and barssince(crossover(close,MAVW)) > barsSinceCloseUnderMavw and close<T3) : na
shortchosen = shortT3single or shortT3Fibo or shortMav or shortT3WFiboandMav or shortT3WFibo or shortMavT3Fibo or shortMavT3
// Long Close Conditions //
shortcT3single = strategyt3 and not(strategyt3Fibo) and not(strategyMav) ? crossover(close,T3) : na
shortcT3Fibo = not(strategyt3) and strategyt3Fibo and not(strategyMav) ? crossover(T32,T3):na
shortcMav = not(strategyt3) and not(strategyt3Fibo) and strategyMav ? crossover(close,MAVW): na
shortcT3WFiboandMav = strategyt3 and strategyt3Fibo and strategyMav ? close > T3 and close > MAVW and T32 > T3 : na
shortcT3WFibo = strategyt3 and strategyt3Fibo and not(strategyMav) ? (crossover(T32,T3) and close > T3) or (T32>T3 and crossover(close,T3)):na
shortcMavT3Fibo = not(strategyt3) and strategyt3Fibo and strategyMav ? (crossover(T32,T3) and close > MAVW) or (T32>T3 and crossover(close,MAVW)): na
shortcMavT3 = (strategyt3) and not(strategyt3Fibo) and strategyMav ? (crossover(close,T3) and close>MAVW) or (crossover(close,MAVW) and close>T3) : na
shortclosechosen = shortcT3single or shortcT3Fibo or shortcMav or shortcT3WFiboandMav or shortcT3WFibo or shortcMavT3Fibo or shortcMavT3
short = shortchosen
shortclose = shortclosechosen
short_plot = barssince(short[1])>barssince(shortclose[1])?short:na
shortclose_plot = barssince(shortclose[1])>barssince(short[1])?shortclose:na
plotshape(short_plot,title="Short",style=shape.labeldown,color=color.red,text="Short",textcolor=color.white,location=location.abovebar)
plotshape(shortclose_plot,title="Short Close",style=shape.labeldown,color=#E19B89,text="Short Close",textcolor=color.white,location=location.belowbar)
strategy.entry("Long", true, when=long_plot)
strategy.close("Long",when=longclose_plot)
strategy.exit("Long Stop Loss","Long",stop=strategy.position_avg_price*(1-stop_loss))
strategy.entry("Short", false, when=short_plot)
strategy.close("Short",when=shortclose_plot)
strategy.exit("Short Stop Loss","Short",stop=strategy.position_avg_price*(1+stop_loss))