Strategi mengikuti tren berdasarkan ATR dan CCI


Tanggal Pembuatan: 2023-09-26 16:08:37 Akhirnya memodifikasi: 2023-09-26 16:08:37
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Ringkasan

Strategi ini mengidentifikasi tren harga dengan menggabungkan indikator rata-rata pergerakan nyata (ATR) dan indikator saluran komoditas (CCI) dan menggunakan zona overbought oversold sebagai sinyal masuk dan keluar. ATR digunakan untuk menghitung naik turun saluran, sedangkan CCI digunakan untuk menentukan arah tren.

Prinsip Strategi

  1. Untuk menghitung ATR, pilih ATR 2 periode.
  2. Untuk menghitung nilai CCI, pilih 10 periode.
  3. Arah tren berdasarkan nilai CCI pada garis K saat ini
    • CCI >= 0, Defines as Uptrend
    • CCI < 0, Defines as Downtrend
  4. Perhitungan atas dan bawah rel
    • Lalu lintas = harga tertinggi + ATR * Multiplier
    • Jalur bawah = harga terendah - ATR * Multiplier
  5. Menyimpan dan memperbarui uptrend dan downtrend di berbagai arah tren
    • Ketika CCI >= 0, jika lintasan atas < lintasan atas garis K sebelumnya, dialihkan; jika CCI < 0, jika lintasan bawah > lintasan bawah garis K sebelumnya, dialihkan
    • Hal ini dapat mencegah channel bergerak ke arah yang berlawanan dengan harga.
  6. Masuk ke atas atau ke bawah rel sesuai dengan nilai CCI sebagai sinyal masuk
  7. Berdasarkan nilai CCI melintasi sumbu 0 sebagai sinyal keluar
  8. Pengaturan Stop Stop Exit

Keunggulan Strategis

Strategi ini menggabungkan penilaian tren dan terobosan saluran untuk secara efektif melacak tren.

  1. Dengan menggunakan CCI untuk menentukan arah tren harga, Anda dapat dengan cepat menentukan tren overbought
  2. ATR Channel Set Stop Loss Stop Stop untuk Mengontrol Risiko
  3. Ketika harga berbalik, rel naik turun dapat dengan cepat menyesuaikan arah, menghindari terjebak dalam saluran tren asal
  4. Melalui CCI 0-axis crossover sebagai sinyal keluar, Anda dapat mengikuti tren dan menghindari reversal pitch

Risiko dan Optimalisasi Strategi

  1. Pengaturan parameter CCI dan ATR perlu dioptimalkan, dan efeknya mungkin berbeda-beda dengan siklus dan parameter yang berbeda
  2. Meskipun dapat dihindari dengan penyesuaian saluran, masih mungkin untuk mendapatkan keuntungan yang kurang atau kerugian jika terjadi pergeseran yang drastis.
  3. Pengaturan titik stop perlu dioptimalkan, dengan batas stop loss yang lebih lebar, untuk menghindari stop loss yang terlalu sering
  4. Dapat digabungkan dengan indikator lain untuk memfilter sinyal entry dan mengoptimalkan peluang entry
  5. Perdagangan reverse dapat dihindari dengan menggabungkannya dengan indikator tren yang lebih berkala

Meringkaskan

Strategi ini secara keseluruhan merupakan strategi pelacakan tren yang sederhana dan praktis. Keuntungan dari strategi ini adalah ide yang jelas, mudah diimplementasikan, dan dapat dengan cepat menangkap peluang tren. Namun, pengaturan parameter, ruang stop loss, dan lain-lain perlu disesuaikan secara optimal sesuai dengan kondisi pasar.

Kode Sumber Strategi 
/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Trend Trader Karan",overlay=true)
res = input(title="Resolution", type=input.resolution, defval="60",confirm = true)

ProfitPerc = input(title=" Take Profit (%)",type=input.float, minval=0.0, step=0.1, defval=1.4) * 0.01

stoploss = input(title=" Stop Loss (%)",type=input.float, minval=0.0, step=0.1, defval=0.7) * 0.01

CCI = input(10,title = "CCI")
ATR = input(2,title = "ATR")
Multiplier= 1
original = false
thisCCI = cci(close, CCI)
lastCCI = nz(thisCCI[1])


calcx()=> 
    bufferDn= high + Multiplier * wma(tr,ATR)
    bufferUp= low - Multiplier * wma(tr,ATR)
    if (thisCCI >= 0 and lastCCI < 0) 
        bufferUp := bufferDn[1]
    if (thisCCI <= 0 and lastCCI > 0) 
        bufferDn := bufferUp[1]

    if (thisCCI >= 0)
        if (bufferUp < bufferUp[1])
            bufferUp := bufferUp[1]
    else
        if (thisCCI <= 0)
            if (bufferDn > bufferDn[1])
                bufferDn := bufferDn[1]

   
    x = 0.0
    x := thisCCI >= 0 ?bufferUp:thisCCI <= 0 ?bufferDn:x[1]
    x

tempx = calcx()

calcswap() =>
    swap = 0.0
    swap := tempx>tempx[1]?1:tempx<tempx[1]?-1:swap[1]
    swap

tempswap = calcswap()

swap2=tempswap==1?color.green:color.red
swap3=thisCCI >=0 ?color.green :color.red
swap4=original?swap3:swap2

//display current timeframe's Trend



plot(tempx,color=swap4 == color.green ? color.green : swap4,transp=0,linewidth=4)


htfx = security(syminfo.tickerid,res,tempx[1],lookahead = barmerge.lookahead_on)
htfswap4 = security(syminfo.tickerid,res,swap4[1],lookahead = barmerge.lookahead_on)

plot(htfx,color=htfswap4,transp=0,linewidth=3)


//plotarrow( ? 1 : swap4[1] == color.yellow and swap4 == color.blue ? -1 :0 , title="Up Entry Arrow", colorup=color.green,colordown = color.blue, maxheight=10, minheight=10, transp=0)

plotshape( swap4[1] == color.red and swap4 == color.green ? 1 : na , style = shape.triangleup , color = color.blue , location = location.belowbar , size = size.tiny )
plotshape( swap4[1] == color.green and swap4 == color.red ? 1 : na , style = shape.triangledown , color = color.red , location = location.abovebar , size = size.tiny)




buy =  swap4[1] == color.red and swap4 == color.green and htfswap4 == color.green

sell =  swap4[1] == color.green and swap4 == color.red and htfswap4 == color.red


if(buy)
    strategy.entry("buy",true)
    
if(sell)
    strategy.entry("sell",false)
    
if(swap4[1] == color.red and swap4 == color.green)
    strategy.close("sell")
    
if(swap4[1] == color.green and swap4 == color.red )
    strategy.close("buy")
    
    
longExitPrice  = strategy.position_avg_price * (1 + ProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - ProfitPerc)

stop_buy = strategy.position_avg_price * (1 - stoploss)
stop_sell = strategy.position_avg_price * (1 + stoploss)
    
    
if (strategy.position_size > 0)
    strategy.exit(id="Target", limit=longExitPrice , stop = stop_buy)

if (strategy.position_size < 0)
    strategy.exit(id="Target", limit=shortExitPrice , stop = stop_sell)
    
    
///////////////study("EMA ", overlay=true)
plot(ema(close, 200), color=#FF7000, linewidth=2, title='200 Day EMA')
plot(ema(close, 20), color=#0088FA, linewidth=2, title='20 Day EMA')
plot(ema(close, 50), color=#FA00D0, linewidth=2, title='50 Day EMA')


//////////////////study("Trend Lines+++", overlay=true)
//
src = input(low)
len0 = input(100)

calcSlope(src, len0) =>
    if not barstate.islast
        [float(na), float(na), float(na)]
    else
        sumX = 0.0
        sumY = 0.0
        sumXSqr = 0.0
        sumXY = 0.0
        for i = 0 to len0 - 1
            val = src[i]
            per = i + 1.0
            sumX := sumX + per
            sumY := sumY + val
            sumXSqr := sumXSqr + per * per
            sumXY := sumXY + val * per
        slope = (len0 * sumXY - sumX * sumY) / (len0 * sumXSqr - sumX * sumX)
        average = sumY / len0
        intercept = average - slope * sumX / len0 + slope
        [slope, average, intercept]

[s, a, i] = calcSlope(src, len0)

startPrice = i + s * (len0 - 1)
endPrice = i
// var line baseLine = na
// if na(baseLine)
//     baseLine := line.new(bar_index - len0 + 1, startPrice, bar_index, endPrice, width=4, extend=extend.right)
// else
//     line.set_xy1(baseLine, bar_index - len0 + 1, startPrice)
//     line.set_xy2(baseLine, bar_index, endPrice)
//     na 
//

mx = input(100, "Range", minval=1)
mn = max(2, round(mx / 10) + 1)

LN(B, CLR) =>
    s1 = B == 1 ? highest(src, mx) : lowest(src, mx)
    s2 = B == 1 ? highest(src, mn) : lowest(src, mn)
    c1 = s1 == src
    c2 = s2 == src
    b1 = barssince(c1)
    b2 = barssince(c2)
    v1 = valuewhen(c1, s1, 0)
    v2 = valuewhen(c2, s2, 0)
    // line.new(bar_index - b1, v1, bar_index - b2, v2, extend=extend.both, color=CLR, width=2)

// L1 = LN(1, #ff0088), line.delete(L1[1])
// L2 = LN(0, #00ff88), line.delete(L2[1])
//
// Input variables
len=input(30,title="loockback length pivots")
wicks=input(true,title="Draw lines from wicks (checked) or real bodies (unchecked)?")
disp_select=input(true,title="Display only falling 'high' and rising 'low' trendlines?")
do_mono=input(false,title="checked = monochrome lines, unchecked = direction colored lines?")
limit_extension=input(0,title="Limit extensions of the lines? 0 = infinite, other values x 100 bars",minval=0)
do_alerts=input(true,title="show trendline breaks")
trendline_nr=input(5,title="number of past trendlines to check for breaks (max = 10)",minval=0,maxval=10)
select_breaks=input(true,title="only display 'long' breaks on trendlines connecting 'highs' and 'short' for 'lows'")
log_chart=input(false,title="USING A LOG CHART? MAKE SURE TO CHECK THIS BOX!!")


// Calculating the 'time value' of one bar
bar_time=time-time[1]

// Initialising color scheme
var color color_rising=do_mono?color.teal:color.lime
var color color_falling=do_mono?color.teal:color.fuchsia


/////// Function declarations ///////

// Declaration of trendline function
f_trendline(_input_function,_delay,_only_up,_extend) =>
    // Calculate line coordinates (Ax,Ay) - (Bx,By)
    var int Ax = 0
    var int Bx = 0
    var float By = 0.0
    var float slope = 0.0
    Ay = fixnan(_input_function)
    if change(Ay)!=0
        Ax := time[_delay]
        By:= Ay[1]
        Bx := Ax[1]
        slope:=log_chart?((log(Ay)-log(By))/(Ax-Bx)):((Ay-By)/(Ax-Bx))
    else
        Ax := Ax[1]
        Bx := Bx[1]
        By := By[1]
    // Draw trendlines
    var line trendline=na
    var int Axbis=0
    var float Aybis=0.0
    var bool _xtend=true
    extension_time = limit_extension*bar_time*100
    Axbis := Ax + extension_time
    Aybis := log_chart?(Ay*exp(extension_time*slope)):(Ay + extension_time*slope)
    if limit_extension!=0
        _xtend:=false
    if change(Ay)!=0
        line_color = slope*time<0?(_only_up?(disp_select?na:color_rising):color_rising):(_only_up?color_falling:(disp_select?na:color_falling))
        if not na(line_color)
            trendline = line.new(Bx,By,Axbis, Aybis, xloc.bar_time, extend=_xtend?extend.right:extend.none, color=line_color, style=line.style_dotted, width=1)

    [Bx,By,Axbis,Aybis,slope]

// Function to get trendline price for X bars ago ("0" = current value)
line_get_price(_start_time,_start_price,_slope,_lookback_period,_log_chart) =>
    var float current_price=0.0
    elapsed_time = (time-_start_time)
    current_price := _log_chart?(_start_price*exp((elapsed_time-(_lookback_period*bar_time))*_slope)):(_start_price + (elapsed_time-(_lookback_period*bar_time))*_slope)

// Function to check for trendline crosses
line_cross(_check_value,_start_time,_start_price,_slope,_log_chart) =>
    var float current_value=0.0
    var float previous_value=0.0
    // Get current and previous price for the trendline
    current_value := line_get_price(_start_time,_start_price,_slope,0,_log_chart)
    previous_value := line_get_price(_start_time,_start_price,_slope,1,_log_chart)
    // Return 1 for crossover, -1 for crossunder and 0 for no cross detected
    cross =
     _check_value[1]<previous_value and _check_value>current_value?1:
     _check_value[1]>previous_value and _check_value<current_value?-1:0


/////// Start of main script ///////

// Calculate pivot points    
high_point=pivothigh(wicks?high:(close>open?close:open),len,len/2)
low_point=pivotlow(wicks?low:(close>open?open:close),len,len/2)

// Call trendline function for high and low pivot points
[phx1,phy1,phx2,phy2,slope_high]=f_trendline(high_point,len/2,false,true)
[plx1,ply1,plx2,ply2,slope_low]=f_trendline(low_point,len/2,true,true)

// Initialition of pseudo array to keep track of last 10 high and 10 low trendline values
var int high_x0=0, var float high_y0=0.0, var float high_sl0=0.0
var int high_x1=0, var float high_y1=0.0, var float high_sl1=0.0 
var int high_x2=0, var float high_y2=0.0, var float high_sl2=0.0 
var int high_x3=0, var float high_y3=0.0, var float high_sl3=0.0 
var int high_x4=0, var float high_y4=0.0, var float high_sl4=0.0
var int high_x5=0, var float high_y5=0.0, var float high_sl5=0.0
var int high_x6=0, var float high_y6=0.0, var float high_sl6=0.0
var int high_x7=0, var float high_y7=0.0, var float high_sl7=0.0
var int high_x8=0, var float high_y8=0.0, var float high_sl8=0.0
var int high_x9=0, var float high_y9=0.0, var float high_sl9=0.0

var int low_x0=0,  var float low_y0=0.0,  var float low_sl0=0.0
var int low_x1=0,  var float low_y1=0.0,  var float low_sl1=0.0 
var int low_x2=0,  var float low_y2=0.0,  var float low_sl2=0.0 
var int low_x3=0,  var float low_y3=0.0,  var float low_sl3=0.0 
var int low_x4=0,  var float low_y4=0.0,  var float low_sl4=0.0
var int low_x5=0,  var float low_y5=0.0,  var float low_sl5=0.0
var int low_x6=0,  var float low_y6=0.0,  var float low_sl6=0.0
var int low_x7=0,  var float low_y7=0.0,  var float low_sl7=0.0
var int low_x8=0,  var float low_y8=0.0,  var float low_sl8=0.0
var int low_x9=0,  var float low_y9=0.0,  var float low_sl9=0.0

// If a new trendline is formed, shift all values in the array one place up and forget the last values
if change(fixnan(high_point))!=0
    high_x9:=high_x8, high_y9:=high_y8, high_sl9:=high_sl8
    high_x8:=high_x7, high_y8:=high_y7, high_sl8:=high_sl7
    high_x7:=high_x6, high_y7:=high_y6, high_sl7:=high_sl6
    high_x6:=high_x5, high_y6:=high_y5, high_sl6:=high_sl5
    high_x5:=high_x4, high_y5:=high_y4, high_sl5:=high_sl4
    high_x4:=high_x3, high_y4:=high_y3, high_sl4:=high_sl3
    high_x3:=high_x2, high_y3:=high_y2, high_sl3:=high_sl2
    high_x2:=high_x1, high_y2:=high_y1, high_sl2:=high_sl1
    high_x1:=high_x0, high_y1:=high_y0, high_sl1:=high_sl0
    high_x0:=phx1, high_y0:=phy1, high_sl0:=slope_high
if change(fixnan(low_point))!=0
    low_x9:=low_x8, low_y9:=low_y8, low_sl9:=low_sl8
    low_x8:=low_x7, low_y8:=low_y7, low_sl8:=low_sl7
    low_x7:=low_x6, low_y7:=low_y6, low_sl7:=low_sl6
    low_x6:=low_x5, low_y6:=low_y5, low_sl6:=low_sl5
    low_x5:=low_x4, low_y5:=low_y4, low_sl5:=low_sl4
    low_x4:=low_x3, low_y4:=low_y3, low_sl4:=low_sl3
    low_x3:=low_x2, low_y3:=low_y2, low_sl3:=low_sl2
    low_x2:=low_x1, low_y2:=low_y1, low_sl2:=low_sl1
    low_x1:=low_x0, low_y1:=low_y0, low_sl1:=low_sl0
    low_x0:=plx1, low_y0:=ply1, low_sl0:=slope_low
    
// Check Trendline crosses for last X nr. of trendlines
cross_high0=
 disp_select and high_sl0*time>0?0:
  line_cross(close,high_x0,high_y0,high_sl0,log_chart)
cross_low0=
 disp_select and low_sl0*time<0?0:
  line_cross(close,low_x0,low_y0,low_sl0,log_chart)

cross_high1=
 disp_select and high_sl1*time>0?0:
  line_cross(close,high_x1,high_y1,high_sl1,log_chart)
cross_low1=
 disp_select and low_sl1*time<0?0:
  line_cross(close,low_x1,low_y1,low_sl1,log_chart)

cross_high2=
 disp_select and high_sl2*time>0?0:
  line_cross(close,high_x2,high_y2,high_sl2,log_chart)
cross_low2=
 disp_select and low_sl2*time<0?0:
  line_cross(close,low_x2,low_y2,low_sl2,log_chart)

cross_high3=
 disp_select and high_sl3*time>0?0:
  line_cross(close,high_x3,high_y3,high_sl3,log_chart)
cross_low3=
 disp_select and low_sl3*time<0?0:
  line_cross(close,low_x3,low_y3,low_sl3,log_chart)

cross_high4=
 disp_select and high_sl4*time>0?0:
  line_cross(close,high_x4,high_y4,high_sl4,log_chart)
cross_low4=
 disp_select and low_sl4*time<0?0:
  line_cross(close,low_x4,low_y4,low_sl4,log_chart)

cross_high5=
 disp_select and high_sl5*time>0?0:
  line_cross(close,high_x5,high_y5,high_sl5,log_chart)
cross_low5=
 disp_select and low_sl5*time<0?0:
  line_cross(close,low_x5,low_y5,low_sl5,log_chart)

cross_high6=
 disp_select and high_sl6*time>0?0:
  line_cross(close,high_x6,high_y6,high_sl6,log_chart)
cross_low6=
 disp_select and low_sl6*time<0?0:
  line_cross(close,low_x6,low_y6,low_sl6,log_chart)

cross_high7=
 disp_select and high_sl7*time>0?0:
  line_cross(close,high_x7,high_y7,high_sl7,log_chart)
cross_low7=
 disp_select and low_sl7*time<0?0:
  line_cross(close,low_x7,low_y7,low_sl7,log_chart)

cross_high8=
 disp_select and high_sl8*time>0?0:
  line_cross(close,high_x8,high_y8,high_sl8,log_chart)
cross_low8=
 disp_select and low_sl8*time<0?0:
  line_cross(close,low_x8,low_y8,low_sl8,log_chart)

cross_high9=
 disp_select and high_sl9*time>0?0:
  line_cross(close,high_x9,high_y9,high_sl9,log_chart)
cross_low9=
 disp_select and low_sl9*time<0?0:
  line_cross(close,low_x9,low_y9,low_sl9,log_chart)
  
long_break=
 (trendline_nr>9?cross_high9==1 or (select_breaks?false:cross_low9==1):false) or
 (trendline_nr>8?cross_high8==1 or (select_breaks?false:cross_low8==1):false) or
 (trendline_nr>7?cross_high7==1 or (select_breaks?false:cross_low7==1):false) or
 (trendline_nr>6?cross_high6==1 or (select_breaks?false:cross_low6==1):false) or
 (trendline_nr>5?cross_high5==1 or (select_breaks?false:cross_low5==1):false) or
 (trendline_nr>4?cross_high4==1 or (select_breaks?false:cross_low4==1):false) or
 (trendline_nr>3?cross_high3==1 or (select_breaks?false:cross_low3==1):false) or
 (trendline_nr>2?cross_high2==1 or (select_breaks?false:cross_low2==1):false) or
 (trendline_nr>1?cross_high1==1 or (select_breaks?false:cross_low1==1):false) or
 cross_high0==1 or (select_breaks?false:cross_low0==1)

short_break=
 (trendline_nr>9?(select_breaks?false:cross_high9==-1) or cross_low9==-1:false) or
 (trendline_nr>8?(select_breaks?false:cross_high8==-1) or cross_low8==-1:false) or
 (trendline_nr>7?(select_breaks?false:cross_high7==-1) or cross_low7==-1:false) or
 (trendline_nr>6?(select_breaks?false:cross_high6==-1) or cross_low6==-1:false) or
 (trendline_nr>5?(select_breaks?false:cross_high5==-1) or cross_low5==-1:false) or
 (trendline_nr>4?(select_breaks?false:cross_high4==-1) or cross_low4==-1:false) or
 (trendline_nr>3?(select_breaks?false:cross_high3==-1) or cross_low3==-1:false) or
 (trendline_nr>2?(select_breaks?false:cross_high2==-1) or cross_low2==-1:false) or
 (trendline_nr>1?(select_breaks?false:cross_high1==-1) or cross_low1==-1:false) or
 (select_breaks?false:cross_high0==-1) or cross_low0==-1

// Plot and connect pivot points
color_high=slope_high*time<0?color_rising:(disp_select?na:color_falling)
color_low=slope_low*time>0?color_falling:(disp_select?na:color_rising)
plot(high_point,color=color_high,offset=-len/2)
plot(low_point,color=color_low,offset=-len/2)
//
// Function outputs 1 when it's the first bar of the D/W/M/Y
is_newbar(res) =>
    ch = 0
    if(res == 'Y')
        t  = year(time('D'))
        ch := change(t) != 0 ? 1 : 0
    else
        t = time(res)
        ch := change(t) != 0 ? 1 : 0
    ch

////////////
// INPUTS //
////////////

pp_period = input(title = "Period", type=input.string, defval="Day", options = ['Day', 'Week', 'Month', 'Year'])

pp_res = pp_period == 'Day' ? 'D' : pp_period == 'Week' ? 'W' : pp_period == 'Month' ? 'M' : 'Y' 

/////////////////////
// Get HLC from HT //

// Calc High
high_cur = 0.0
high_cur := is_newbar(pp_res) ? high : max(high_cur[1], high)

phigh = 0.0
phigh := is_newbar(pp_res) ? high_cur[1] : phigh[1]

// Calc Low
low_cur = 0.0
low_cur := is_newbar(pp_res) ? low : min(low_cur[1], low)

plow = 0.0
plow := is_newbar(pp_res) ? low_cur[1] : plow[1]

// Calc Close
pclose = 0.0
pclose := is_newbar(pp_res) ? close[1] : pclose[1]
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