MZ MA Strategi Jangka Waktu Multiple

Penulis:ChaoZhang, Tanggal: 2023-11-16 17:28:43
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Strategi ini terutama menggunakan penyeberangan garis MA di beberapa kerangka waktu untuk menentukan arah tren, dan berdagang panjang atau pendek ketika tren jelas setelah menyaring sinyal dengan kriteria tertentu.

Logika Strategi

Pengguna input interval waktu backtest khusus.
Pilihlah menggunakan lilin Heikin-Ashi atau lilin normal.
Mendefinisikan garis MA ketiga yang lambat, cepat dan opsional untuk tren naik.
Sesuaikan jenis MA, kerangka waktu dan parameter untuk setiap baris MA.
Sinyal panjang ketika MA cepat melintasi di atas MA lambat, sinyal pendek ketika melintasi di bawah.
Opsional untuk hanya panjang ketika close berada di atas garis MA ketiga.
Gunakan strategi.entry untuk perdagangan otomatis.
Ukuran perdagangan tetap atau dihitung berdasarkan persentase akun.

Keuntungan

Menggunakan struktur MTF, setiap MA memiliki kerangka waktu sendiri untuk mengidentifikasi tren di seluruh skala waktu.
Jenis MA yang dapat disesuaikan, dapat menggunakan MA halus untuk stabilitas atau MA cepat untuk responsif.
Heikin-Ashi menyaring kabur palsu.
Opsional ketiga garis MA filter whipsaws.
Periode MA yang fleksibel sesuai dengan lingkungan pasar yang berbeda.
Modul strategy.entry mengotomatisasi perdagangan.
Optimasi backtest menemukan parameter terbaik.

Risiko

Palang MA rentan terhadap sinyal palsu, menyebabkan perdagangan yang tidak perlu.
Whipsaws menyebabkan kerugian di pasar yang bergolak. dapat memperluas jarak MA atau memperpanjang periode.
Ukuran perdagangan tetap tidak mengendalikan risiko. Pertimbangkan persentase ukuran akun.
Biaya dan slippage juga mempengaruhi profitabilitas.

Optimalisasi

Uji jenis MA yang berbeda untuk kombinasi stabilitas dan respon yang terbaik.
Mengoptimalkan periode MA untuk menyeimbangkan identifikasi tren dan sensitivitas.
Perbaiki kondisi masuk, pertimbangkan filter tren naik yang lebih kuat.
Mengoptimalkan periode untuk produk tertentu.
Tambahkan indikator lain sebagai filter, misalnya volume.
Optimasi parameter pada data backtest untuk memaksimalkan kinerja.

Kesimpulan

Strategi MTF MA crossover adalah sistem trend following yang umum. Manfaatnya termasuk kesederhanaan, fleksibilitas dan kemampuan beradaptasi. Tetapi sinyal palsu tetap berisiko. Parameter dan filter dapat dioptimalkan melalui backtesting untuk menemukan kombinasi terbaik. Lebih cocok untuk pasar tren. Gunakan dengan hati-hati atau berhenti berdagang selama kondisi berbelit-belit.

/*backtest
start: 2023-11-08 00:00:00
end: 2023-11-15 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy(shorttitle="MZ MA Cross",title="MA MTF Cross Strategy", overlay=true, calc_on_order_fills=false, calc_on_every_tick=false, default_qty_type=strategy.fixed, default_qty_value=5,commission_value=0.1)

timeFrameticker  = input('D',type=input.resolution, title="Chart Timeframe")
uha   =input(true, title="Use Heikin Ashi Candles")

// Use only Heikinashi Candles for all calculations
haclose = uha ? security(heikinashi(syminfo.tickerid), timeFrameticker, close) : security(syminfo.tickerid, timeFrameticker, close)
haopen = uha ? security(heikinashi(syminfo.tickerid), timeFrameticker, open) : security(syminfo.tickerid, timeFrameticker, open)
hahigh = uha ? security(heikinashi(syminfo.tickerid), timeFrameticker, high) : security(syminfo.tickerid, timeFrameticker, high)
halow = uha ?security(heikinashi(syminfo.tickerid), timeFrameticker, low) : security(syminfo.tickerid, timeFrameticker, low)

//Backtest dates
fromMonth = input(defval = 1,    title = "From Month",      type = input.integer, minval = 1, maxval = 12)
fromDay   = input(defval = 1,    title = "From Day",        type = input.integer, minval = 1, maxval = 31)
fromYear  = input(defval = 2021, title = "From Year",       type = input.integer, minval = 1970)
thruMonth = input(defval = 12,    title = "Thru Month",      type = input.integer, minval = 1, maxval = 12)
thruDay   = input(defval = 30,    title = "Thru Day",        type = input.integer, minval = 1, maxval = 31)
thruYear  = input(defval = 2021, title = "Thru Year",       type = input.integer, minval = 1970)

showDate  = input(defval = true, title = "Show Date Range", type = input.bool)

start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => true

src = security(heikinashi(syminfo.tickerid), timeFrameticker, close)

//  INPUT MA TYPE
slowMAtype = input(title="Slow MA Type", type=input.string, defval="LRC", options=["SMA","EMA","DEMA","TEMA","LRC","WMA","MF","VAMA","TMA","HMA", "JMA", "Kijun v2", "EDSMA","McGinley"])
fastMAtype = input(title="Fast MA Type", type=input.string, defval="EDSMA", options=["SMA","EMA","DEMA","TEMA","LRC","WMA","MF","VAMA","TMA","HMA", "JMA", "Kijun v2", "EDSMA","McGinley"])
upMAcond =input(false, title="Use Uptrend Conditional 3rd MA for Confirmation")
upMAtype=input(title="Uptrend Conditional MA Type", type=input.string, defval="HMA", options=["SMA","EMA","DEMA","TEMA","LRC","WMA","MF","VAMA","TMA","HMA", "JMA", "Kijun v2", "EDSMA","McGinley"])


//  INPUT RESOLUTION
slowMAresolution = input("D",type=input.resolution, title="Slow MA Resolution")
fastMAresolution = input("D",type=input.resolution, title="Fast MA Resolution")
upMAresolution = input("D",type=input.resolution, title="Uptrend Conditional MA Resolution")
haMAslow = uha ? security(heikinashi(syminfo.tickerid), slowMAresolution, close) : security(syminfo.tickerid, slowMAresolution, close)
haMAfast = uha ?security(heikinashi(syminfo.tickerid), fastMAresolution, close) : security(syminfo.tickerid, fastMAresolution, close)
haMAup =  uha ?security(heikinashi(syminfo.tickerid), upMAresolution, close) : security(syminfo.tickerid, upMAresolution, close)

//  INPUT LENGTHS
slowMAlength = input(50, minval=1, title="Slow MA Length")
fastMAlength = input(30, minval=1, title="Fast MA Length")
upMAlength =  input(200, minval=1, title="Uptrend Conditional MA Length")

/////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////////
/////                      MA Function                         //////
/////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////////

//           Pre-reqs
//
tema(src, len) =>
    ema1 = ema(src, len)
    ema2 = ema(ema1, len)
    ema3 = ema(ema2, len)
    (3 * ema1) - (3 * ema2) + ema3
kidiv = input(defval=1,maxval=4,  title="Kijun MOD Divider")

jurik_phase = input(title="* Jurik (JMA) Only - Phase", type=input.integer, defval=3)
jurik_power = input(title="* Jurik (JMA) Only - Power", type=input.integer, defval=1)
volatility_lookback = input(10, title="* Volatility Adjusted (VAMA) Only - Volatility lookback length")
//                  MF
beta = input(0.8,minval=0,maxval=1,step=0.1,  title="Modular Filter, General Filter Only - Beta")
feedback = input(false, title="Modular Filter Only - Feedback")
z = input(0.5,title="Modular Filter Only - Feedback Weighting",step=0.1, minval=0, maxval=1)
//EDSMA
ssfLength = input(title="EDSMA - Super Smoother Filter Length", type=input.integer, minval=1, defval=20)
ssfPoles = input(title="EDSMA - Super Smoother Filter Poles", type=input.integer, defval=2, options=[2, 3])

//----
//                  EDSMA
get2PoleSSF(src, length) =>
    PI = 2 * asin(1)
    arg = sqrt(2) * PI / length
    a1 = exp(-arg)
    b1 = 2 * a1 * cos(arg)
    c2 = b1
    c3 = -pow(a1, 2)
    c1 = 1 - c2 - c3
    
    ssf = 0.0
    ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])

get3PoleSSF(src, length) =>
    PI = 2 * asin(1)

    arg = PI / length
    a1 = exp(-arg)
    b1 = 2 * a1 * cos(1.738 * arg)
    c1 = pow(a1, 2)

    coef2 = b1 + c1
    coef3 = -(c1 + b1 * c1)
    coef4 = pow(c1, 2)
    coef1 = 1 - coef2 - coef3 - coef4

    ssf = 0.0
    ssf := coef1 * src + coef2 * nz(ssf[1]) + coef3 * nz(ssf[2]) + coef4 * nz(ssf[3])

//          MA Main function
ma(type, src, len) =>
    float result = 0
    if type=="TMA"
        result := sma(sma(src, ceil(len / 2)), floor(len / 2) + 1)
    if type=="MF"
        ts=0.,b=0.,c=0.,os=0.
        //----
        alpha = 2/(len+1)
        a = feedback ? z*src + (1-z)*nz(ts[1],src) : src
        //----
        b := a > alpha*a+(1-alpha)*nz(b[1],a) ? a : alpha*a+(1-alpha)*nz(b[1],a)
        c := a < alpha*a+(1-alpha)*nz(c[1],a) ? a : alpha*a+(1-alpha)*nz(c[1],a)
        os := a == b ? 1 : a == c ? 0 : os[1]
        //----
        upper = beta*b+(1-beta)*c
        lower = beta*c+(1-beta)*b 
        ts := os*upper+(1-os)*lower
        result := ts
    if type=="LRC"
        result := linreg(src, len, 0)
    if type=="SMA" // Simple
        result := sma(src, len)
    if type=="EMA" // Exponential
        result := ema(src, len)
    if type=="DEMA" // Double Exponential
        e = ema(src, len)
        result := 2 * e - ema(e, len)
    if type=="TEMA" // Triple Exponential
        e = ema(src, len)
        result := 3 * (e - ema(e, len)) + ema(ema(e, len), len)
    if type=="WMA" // Weighted
        result := wma(src, len)
    if type=="VAMA" // Volatility Adjusted
        /// Copyright © 2019 to present, Joris Duyck (JD)
        mid=ema(src,len)
        dev=src-mid
        vol_up=highest(dev,volatility_lookback)
        vol_down=lowest(dev,volatility_lookback)
        result := mid+avg(vol_up,vol_down)
    if type=="HMA" // Hull
        result := wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len)))
    if type=="JMA" // Jurik
        /// Copyright © 2018 Alex Orekhov (everget)
        /// Copyright © 2017 Jurik Research and Consulting.
        phaseRatio = jurik_phase < -100 ? 0.5 : jurik_phase > 100 ? 2.5 : jurik_phase / 100 + 1.5
        beta = 0.45 * (len - 1) / (0.45 * (len - 1) + 2)
        alpha = pow(beta, jurik_power)
        jma = 0.0
        e0 = 0.0
        e0 := (1 - alpha) * src + alpha * nz(e0[1])
        e1 = 0.0
        e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
        e2 = 0.0
        e2 := (e0 + phaseRatio * e1 - nz(jma[1])) * pow(1 - alpha, 2) + pow(alpha, 2) * nz(e2[1])
        jma := e2 + nz(jma[1])
        result := jma
    if type=="Kijun v2"
        kijun = avg(lowest(len), highest(len))//, (open + close)/2)
        conversionLine = avg(lowest(len/kidiv), highest(len/kidiv))
        delta = (kijun + conversionLine)/2
        result :=delta
    if type=="McGinley"
        mg = 0.0
        mg := na(mg[1]) ? ema(src, len) : mg[1] + (src - mg[1]) / (len * pow(src/mg[1], 4))
        result :=mg
    if type=="EDSMA"
    
        zeros = src - nz(src[2])
        avgZeros = (zeros + zeros[1]) / 2
        
        // Ehlers Super Smoother Filter 
        ssf = ssfPoles == 2
             ? get2PoleSSF(avgZeros, ssfLength)
             : get3PoleSSF(avgZeros, ssfLength)
        
        // Rescale filter in terms of Standard Deviations
        stdev = stdev(ssf, len)
        scaledFilter = stdev != 0
             ? ssf / stdev
             : 0
        
        alpha = 5 * abs(scaledFilter) / len
        
        edsma = 0.0
        edsma := alpha * src + (1 - alpha) * nz(edsma[1])
        result :=  edsma
    result
/////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////////


//  MA DEFINITION
slowMA = ma(slowMAtype, haMAslow , slowMAlength)
//fastMA = ma(fastMAtype, slowMA , fastMAlength)
fastMA = ma(fastMAtype, haMAfast , fastMAlength)
upMA = ma(upMAtype, haMAup , upMAlength)
closeMA = ma('SMA', src , 2)

//  Strategy Conditions
L1 = crossover(fastMA,slowMA)
L2 = close > upMA
S1 = crossunder(fastMA,slowMA)
S2 = close < upMA
longcondition = upMAcond ? L1 and L2 : L1
shortcondition = upMAcond ? S1 or S2 : S1

//  Plots
color_fill_uptrend = color.new(#4caf50, 80)
color_fill_downtrend = color.new(#c2185b, 80)
plot(slowMA, title='Slow MA', color=color.olive, linewidth=2)
plot(fastMA, title='Fast MA', color=color.teal, linewidth=2)
cls=plot(closeMA, title='Source Line', color=na, linewidth=1)
up = plot(upMA, title='Uptrend Conditional MA', color=color.purple, linewidth=2)
fill(up,cls, color = close > upMA ? color_fill_uptrend : color_fill_downtrend )

//plotshape(longcondition, style = shape.triangleup, color = color.green, location = location.belowbar, text = "Long", size = size.small)
//plotshape(shortcondition, style = shape.triangledown, color = color.red, location = location.abovebar, text = "Short", size = size.small)


strategy.entry(id="long", long = true, when = longcondition and window())
strategy.close("long", when = shortcondition and window())

//if (longcondition)
//    strategy.entry("BUY", strategy.long, when = window())

//if (shortcondition)
//    strategy.entry("SELL", strategy.short, when = window())

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