Strategi DCA RSI+CCI+Bollinger Bands multi-kerangka waktu

Tanggal Pembuatan: 2023-11-21 16:17:34 Akhirnya memodifikasi: 2023-11-21 16:17:34

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Pengikut

Strategi DCA RSI+CCI+Bollinger Bands multi-kerangka waktu

Ringkasan

Strategi ini adalah strategi pelacakan tren yang menilai arah tren pada berbagai kerangka waktu melalui beberapa indikator seperti RSI, CCI, dan Bollinger Bands, dan mengimplementasikan DCA untuk mengejar keuntungan tren.

Prinsip Strategi

RSI dan CCI dihitung secara terpisah pada 5 menit, 15 menit, dan 30 menit.
Ketika RSI periode yang lebih pendek lebih rendah dari suatu nilai, RSI periode yang lebih panjang juga lebih rendah dari suatu nilai yang dinilai sebagai overbought, ketika RSI periode yang lebih pendek lebih tinggi dari suatu nilai, dan RSI periode yang lebih panjang lebih tinggi dari suatu nilai yang dinilai sebagai oversold.
Brinet menilai apakah harga terlalu jauh dari orbit tengah, sebagai indikator penilaian tambahan.
Untuk mencapai efek DCA, Anda harus melakukan over entry secara bertahap saat over buy, dan over entry secara bertahap saat over sell.

Analisis Keunggulan

Pertimbangan yang lebih akurat dalam kombinasi indikator multi-framework
Strategi DCA untuk Mengurangi Biaya Pembelian
Anda dapat menyesuaikan persentase masing-masing dari total modal, mengendalikan risiko

Analisis risiko

Risiko Melewatkan Titik Masuk Terbaik
Risiko pembalikan tren
Parameter yang salah menyebabkan risiko overtrading

Solusi:

Optimalkan parameter, pastikan parameter indikator cocok
Tergabung dengan lebih banyak indikator untuk menilai tren
Persentase yang disesuaikan per unit

Arah optimasi

Mencoba kombinasi indikator yang lebih banyak untuk menemukan kombinasi yang optimal
Mengoptimalkan proporsi per unit
Meningkatkan strategi stop loss

Meringkaskan

Strategi ini menilai arah tren melalui RSI dan CCI dalam beberapa kerangka waktu, melakukan masukan DCA secara berurutan saat overbought dan oversold, dan melacak tren yang menguntungkan ketika terjadi orientasi yang lebih besar. Namun, pengaturan parameter yang tidak tepat juga dapat menyebabkan perdagangan yang berlebihan. Secara keseluruhan, strategi ini memiliki ruang untuk mengoptimalkan parameter dan stop loss yang lebih besar, dan setelah dioptimalkan, dapat memperoleh efek yang lebih baik.

Kode Sumber Strategi

/*backtest
start: 2022-11-14 00:00:00
end: 2023-11-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © rrolik66

//@version=5

strategy(title="3RSI 3CCI BB 5orders DCA strategy+", overlay=true )

start_time = input(defval=timestamp('01 January 2021 00:00'), title='Start Time')
end_time = input(defval=timestamp('01 January 2022 00:00'), title='End Time')

src_bot = input.source(close, 'Source Bot')
tradeDirection = input.string(title='Trade Direction', options=['Long Bot', 'Short Bot'], defval='Long Bot')

weight_order0 = input.float(13.03, title='1 order (%)', group='weight of orders in %', inline='Input 0') * 0.01
weight_order1 = input.float(14.29, title='2 order (%)', group='weight of orders in %', inline='Input 0') * 0.01
weight_order2 = input.float(17.19, title='3 order (%)', group='weight of orders in %', inline='Input 1') * 0.01
weight_order3 = input.float(22.67, title='4 order (%)', group='weight of orders in %', inline='Input 1') * 0.01
weight_order4 = input.float(32.80, title='5 order (%)', group='weight of orders in %', inline='Input 2') * 0.01

st_long_orders = input.float(title='Rate cover (%)', minval=1, defval=80, group='Long Bot', inline='Input 1') / 4 * 0.01
longTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Long Bot', inline='Input 1') * 0.01
entry_long_SL = input.bool(defval=false, title='StopLoss', group='Long Bot', inline='Input 2')
longStopLoss = input.float(80, step=0.1, title='for Long Bot (%)', group='Long Bot', inline='Input 2') * 0.01

st_short_orders = input.float(title='Rate cover (%)', minval=1, defval=500, group='Short Bot', inline='Input 1') / 4 * 0.01
shortTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Short Bot', inline='Input 1') * 0.01
entry_short_SL = input.bool(defval=false, title='StopLoss', group='Short Bot', inline='Input 2')
shortStopLoss = input.float(500, step=0.1, title='for Short Bot (%)', group='Short Bot', inline='Input 2') * 0.01

//inputs for indicators

src = input.source(close, 'Source', group='indicators')

rsi1_input = input.bool(defval=true, title='RSI-1', group='RSI-1', inline='Input 0')
rsi1_res = input.timeframe(title='resolution', defval='5', group='RSI-1', inline='Input 0')
rsi1_low = input.int(65, minval=0, maxval=100, title='long <', group='RSI-1', inline='Input 1')
rsi1_len_long = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 1')
rsi1_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-1', inline='Input 2')
rsi1_len_short = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 2')

rsi2_input = input.bool(defval=true, title='RSI-2', group='RSI-2', inline='Input 0')
rsi2_res = input.timeframe(title='resolution', defval='15', group='RSI-2', inline='Input 0')
rsi2_low = input.int(72, minval=0, maxval=100, title='long <', group='RSI-2', inline='Input 1')
rsi2_len_long = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 1')
rsi2_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-2', inline='Input 2')
rsi2_len_short = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 2')

rsi3_input = input.bool(defval=true, title='RSI-3', group='RSI-3', inline='Input 0')
rsi3_res = input.timeframe(title='resolution', defval='30', group='RSI-3', inline='Input 0')
rsi3_low = input.int(74, minval=0, maxval=100, title='long <', group='RSI-3', inline='Input 1')
rsi3_len_long = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 1')
rsi3_up = input.int(34, minval=0, maxval=100, title='short >', group='RSI-3', inline='Input 2')
rsi3_len_short = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 2')

cci1_input = input.bool(defval=true, title='CCI-1', group='CCI-1', inline='Input 0')
cci1_res = input.timeframe(title='resolution', defval='5', group='CCI-1', inline='Input 0')
cci1_low = input.int(190, step=5, title='long <', group='CCI-1', inline='Input 1')
cci1_len_long = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 1')
cci1_up = input.int(-175, step=5, title='short >', group='CCI-1', inline='Input 2')
cci1_len_short = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 2')

cci2_input = input.bool(defval=true, title='CCI-2', group='CCI-2', inline='Input 0')
cci2_res = input.timeframe(title='resolution', defval='15', group='CCI-2', inline='Input 0')
cci2_low = input.int(195, step=5, title='long <', group='CCI-2', inline='Input 1')
cci2_len_long = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 1')
cci2_up = input.int(-205, step=5, title='short >', group='CCI-2', inline='Input 2')
cci2_len_short = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 2')

cci3_input = input.bool(defval=true, title='CCI-3', group='CCI-3', inline='Input 0')
cci3_res = input.timeframe(title='resolution', defval='30', group='CCI-3', inline='Input 0')
cci3_low = input.int(200, step=5, title='long <', group='CCI-3', inline='Input 1')
cci3_len_long = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 1')
cci3_up = input.int(-220, step=5, title='short >', group='CCI-3', inline='Input 2')
cci3_len_short = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 2')

bb_input = input.bool(defval=false, title='BB', group='Bollinger Bands', tooltip='(for long trading) the price is below the lower band, (for short trading) the price is abowe the upper band, для лонга цена под нижней линией, для шорта цена над верхней линией', inline='Input 0')
bb_res = input.timeframe(title='resolution', defval='5', group='Bollinger Bands', inline='Input 0')
bb_dev = input.float(2.0, minval=0.1, maxval=50, step=0.1, title='Deviation', group='Bollinger Bands', inline='Input 2')
bb_len = input.int(20, minval=1, title='Length', group='Bollinger Bands', inline='Input 2')

cci_input = input.bool(defval=false, title='band CCI', group='band CCI', tooltip='this setting sets the trading range by the level of the "CCI" indicator, эта настройка задает диапазон торговли по уровню индикатора "CCI" (я не использую)', inline='Input 0')
cci_res = input.timeframe(title='resolution', defval='60', group='band CCI', inline='Input 0')
cci_len = input.int(20, minval=1, title='CCI Length', group='band CCI', inline='Input 1')
cci_low = input.int(-110, step=10, title='CCI >', group='band CCI', inline='Input 2')
cci_up = input.int(110, step=10, title='CCI <', group='band CCI', inline='Input 2')

show_signals = input.bool(defval=false, title='Show signals', inline='Input')

//Input to trading conditions
longOK = tradeDirection == 'Long Bot'
shortOK = tradeDirection == 'Short Bot'

within_window() => true

// get indicators
rsi1_sec_long = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_long))
rsi1_sec_short = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_short))
rsi2_sec_long = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_long))
rsi2_sec_short = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_short))
rsi3_sec_long = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_long))
rsi3_sec_short = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_short))

cci1_sec_long = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_long))
cci1_sec_short = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_short))
cci2_sec_long = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_long))
cci2_sec_short = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_short))
cci3_sec_long = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_long))
cci3_sec_short = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_short))

[basis, upper_bb, lower_bb] = request.security(syminfo.tickerid, bb_res, ta.bb(src, bb_len, bb_dev))

cci_sec = request.security(syminfo.tickerid, cci_res, ta.cci(src, cci_len))

// calculate indicators
float rating_long = 0
float rating_long_num = 0
float rating_short = 0
float rating_short_num = 0


float rsi1_long = na
float rsi1_short = na
if not na(rsi1_sec_long) and rsi1_input and longOK
    rsi1_long := rsi1_sec_long < rsi1_low ? 1 : 0
if not na(rsi1_sec_short) and rsi1_input and shortOK
    rsi1_short := rsi1_sec_short > rsi1_up ? 1 : 0
if not na(rsi1_long)
    rating_long += rsi1_long
    rating_long_num += 1
if not na(rsi1_short)
    rating_short += rsi1_short
    rating_short_num += 1

float rsi2_long = na
float rsi2_short = na
if not na(rsi2_sec_long) and rsi2_input and longOK
    rsi2_long := rsi2_sec_long < rsi2_low ? 1 : 0
if not na(rsi2_sec_short) and rsi2_input and shortOK
    rsi2_short := rsi2_sec_short > rsi2_up ? 1 : 0
if not na(rsi2_long)
    rating_long += rsi2_long
    rating_long_num += 1
if not na(rsi2_short)
    rating_short += rsi2_short
    rating_short_num += 1

float rsi3_long = na
float rsi3_short = na
if not na(rsi3_sec_long) and rsi3_input and longOK
    rsi3_long := rsi3_sec_long < rsi3_low ? 1 : 0
if not na(rsi3_sec_short) and rsi3_input and shortOK
    rsi3_short := rsi3_sec_short > rsi3_up ? 1 : 0
if not na(rsi3_long)
    rating_long += rsi3_long
    rating_long_num += 1
if not na(rsi3_short)
    rating_short += rsi3_short
    rating_short_num += 1


float cci1_long = na
float cci1_short = na
if not na(cci1_sec_long) and cci1_input and longOK
    cci1_long := cci1_sec_long < cci1_low ? 1 : 0
if not na(cci1_sec_short) and cci1_input and shortOK
    cci1_short := cci1_sec_short > cci1_up ? 1 : 0
if not na(cci1_long)
    rating_long += cci1_long
    rating_long_num += 1
if not na(cci1_short)
    rating_short += cci1_short
    rating_short_num += 1

float cci2_long = na
float cci2_short = na
if not na(cci2_sec_long) and cci2_input and longOK
    cci2_long := cci2_sec_long < cci2_low ? 1 : 0
if not na(cci2_sec_short) and cci2_input and shortOK
    cci2_short := cci2_sec_short > cci2_up ? 1 : 0
if not na(cci2_long)
    rating_long += cci2_long
    rating_long_num += 1
if not na(cci2_short)
    rating_short += cci2_short
    rating_short_num += 1

float cci3_long = na
float cci3_short = na
if not na(cci3_sec_long) and cci3_input and longOK
    cci3_long := cci3_sec_long < cci3_low ? 1 : 0
if not na(cci3_sec_short) and cci3_input and shortOK
    cci3_short := cci3_sec_short > cci3_up ? 1 : 0
if not na(cci3_long)
    rating_long += cci3_long
    rating_long_num += 1
if not na(cci3_short)
    rating_short += cci3_short
    rating_short_num += 1

float bb_long = na
float bb_short = na
if not(na(lower_bb) or na(src) or na(src[1])) and bb_input and longOK
    bb_long := src < lower_bb ? 1 : 0
if not(na(upper_bb) or na(src) or na(src[1])) and bb_input and shortOK
    bb_short := src > upper_bb ? 1 : 0
if not na(bb_long)
    rating_long += bb_long
    rating_long_num += 1
if not na(bb_short)
    rating_short += bb_short
    rating_short_num += 1

float cci_band = na
if not na(cci_sec) and cci_input
    cci_band := cci_sec < cci_up and cci_sec > cci_low ? 1 : 0
if not na(cci_band)
    rating_long += cci_band
    rating_long_num += 1
    rating_short += cci_band
    rating_short_num += 1

//Buy Sell
Buy_ok = rating_long_num != 0 and longOK ? rating_long == rating_long_num : true
Sell_ok = rating_short_num != 0 and shortOK ? rating_short == rating_short_num : true

// Plotting
plotshape(Buy_ok and show_signals and longOK, title='Buy', text='Long', textcolor=color.new(color.white, 0), style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), size=size.tiny)
plotshape(Sell_ok and show_signals and shortOK, title='Sell', text='Short', textcolor=color.new(color.white, 0), style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), size=size.tiny)

strategy.initial_capital  =50000
//Figure in entry orders price

longEntryPrice0 = src_bot
longEntryPrice1 = longEntryPrice0 * (1 - st_long_orders)
longEntryPrice2 = longEntryPrice0 * (1 - st_long_orders * 2)
longEntryPrice3 = longEntryPrice0 * (1 - st_long_orders * 3)
longEntryPrice4 = longEntryPrice0 * (1 - st_long_orders * 4)

longEntryqty0 = strategy.initial_capital * weight_order0 / longEntryPrice0
longEntryqty1 = strategy.initial_capital * weight_order1 / longEntryPrice1
longEntryqty2 = strategy.initial_capital * weight_order2 / longEntryPrice2
longEntryqty3 = strategy.initial_capital * weight_order3 / longEntryPrice3
longEntryqty4 = strategy.initial_capital * weight_order4 / longEntryPrice4

shortEntryPrice0 = src_bot
shortEntryPrice1 = shortEntryPrice0 * (1 + st_short_orders)
shortEntryPrice2 = shortEntryPrice0 * (1 + st_short_orders * 2)
shortEntryPrice3 = shortEntryPrice0 * (1 + st_short_orders * 3)
shortEntryPrice4 = shortEntryPrice0 * (1 + st_short_orders * 4)

shortcontracts = strategy.initial_capital / shortEntryPrice0
shortEntryqty0 = shortcontracts * weight_order0
shortEntryqty1 = shortcontracts * weight_order1
shortEntryqty2 = shortcontracts * weight_order2
shortEntryqty3 = shortcontracts * weight_order3
shortEntryqty4 = shortcontracts * weight_order4

long_entry_price = strategy.opentrades.entry_price (0)
short_entry_price = strategy.opentrades.entry_price (0)

longTP = strategy.position_avg_price * (1 + longTakeProfit)
longSL = long_entry_price * (1 - longStopLoss)
shortTP = strategy.position_avg_price * (1 - shortTakeProfit)
shortSL = short_entry_price * (1 + shortStopLoss)

plot(series=strategy.position_size > 0 and longOK ? longTP : na, color=color.new(color.red, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit')
plot(series=strategy.position_size > 0 and entry_long_SL and longOK ? longSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss')
plot(series=strategy.position_size < 0 and shortOK ? shortTP : na, color=color.new(color.green, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit')
plot(series=strategy.position_size < 0 and entry_short_SL and shortOK ? shortSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss')

// Submit entry orders
if strategy.opentrades == 0 and longOK and within_window()
    strategy.order(id='Long0', direction=strategy.long, qty=longEntryqty0, limit=longEntryPrice0, when=Buy_ok)
    strategy.order(id='Long1', direction=strategy.long, qty=longEntryqty1, limit=longEntryPrice1, when=Buy_ok)
    strategy.order(id='Long2', direction=strategy.long, qty=longEntryqty2, limit=longEntryPrice2, when=Buy_ok)
    strategy.order(id='Long3', direction=strategy.long, qty=longEntryqty3, limit=longEntryPrice3, when=Buy_ok)
    strategy.order(id='Long4', direction=strategy.long, qty=longEntryqty4, limit=longEntryPrice4, when=Buy_ok)

if strategy.opentrades == 0 and shortOK and within_window()
    strategy.order(id='Short0', direction=strategy.short, qty=shortEntryqty0, limit=shortEntryPrice0, when=Sell_ok)
    strategy.order(id='Short1', direction=strategy.short, qty=shortEntryqty1, limit=shortEntryPrice1, when=Sell_ok)
    strategy.order(id='Short2', direction=strategy.short, qty=shortEntryqty2, limit=shortEntryPrice2, when=Sell_ok)
    strategy.order(id='Short3', direction=strategy.short, qty=shortEntryqty3, limit=shortEntryPrice3, when=Sell_ok)
    strategy.order(id='Short4', direction=strategy.short, qty=shortEntryqty4, limit=shortEntryPrice4, when=Sell_ok)

// exit position
if (strategy.position_size > 0) and not entry_long_SL and longOK
	strategy.exit(id='exit_Long', limit=longTP, qty=strategy.position_size, when=strategy.position_size[1] > 0)

if (strategy.position_size > 0) and entry_long_SL and longOK
	strategy.exit(id='exit_Long', limit=longTP, stop=longSL, qty=strategy.position_size, when=strategy.position_size[1] > 0)

if (strategy.position_size < 0) and not entry_short_SL and shortOK
	strategy.exit(id='exit_Short', limit=shortTP, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0)

if (strategy.position_size < 0) and entry_short_SL and shortOK
	strategy.exit(id='exit_Short', limit=shortTP, stop=shortSL, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0)

// Cleanup
if ta.crossunder(strategy.opentrades, 0.5)
    strategy.close_all()
    strategy.cancel_all()

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