Strategi Perdagangan Penembusan Rata-rata Bergerak Hibrida

Penulis:ChaoZhang, Tanggal: 2023-12-05 15:01:56
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Gambaran umum

Strategi ini menggabungkan berbagai alat analisis teknis seperti moving average, indikator volatilitas, volume weighted average price (VWAP) dan parabolic SAR stop loss untuk menerapkan strategi perdagangan Turtle hibrida dengan identifikasi breakout yang kuat dan kemampuan perlindungan stop loss.

Logika Strategi

Menggunakan kombinasi SMA dari periode yang berbeda untuk menentukan arah tren dan titik breakout potensial
Menggunakan Bollinger Bands berdasarkan volatilitas untuk mengidentifikasi situasi overbought/oversold jangka pendek
Menggunakan VWAP untuk menentukan rentang harga nilai wajar jangka menengah dan panjang
SAR parabolik sebagai indikator stop loss untuk mengurangi kerugian
Aturan perdagangan penyu untuk menghasilkan sinyal perdagangan

Analisis Keuntungan

Penghakiman yang lebih komprehensif dengan integrasi beberapa indikator, sinyal yang lebih akurat
VWAP membantu menentukan kisaran harga yang wajar, menghindari mengejar tinggi secara membabi buta
SAR stop loss secara efektif mengendalikan kerugian untuk setiap posisi
Aturan perdagangan penyu memastikan waktu masuk yang tepat

Analisis Risiko

Pengaturan parameter yang tidak benar dapat menyebabkan frekuensi perdagangan yang terlalu tinggi atau penilaian sinyal yang salah
Metode stop loss tunggal membatasi potensi keuntungan
Sinyal penyu perlu disaring dengan benar agar tidak terjadi konflik

Arahan Optimasi

Periode SMA fine tune untuk identifikasi breakout yang lebih baik
Sesuaikan parameter volatilitas untuk membuat Bollinger Bands lebih dekat dengan harga
Mengoptimalkan parameter parabola untuk stop loss yang lebih tepat
Tambahkan indikator lain untuk menyaring sinyal Turtle

Kesimpulan

Strategi ini membentuk sinyal yang relatif akurat, kemampuan stop loss yang kuat, dan gaya breakout yang sangat dioptimalkan Strategi penyu melalui integrasi multiguna dari beberapa indikator. Dengan penyesuaian parameter yang tepat, identifikasi breakout dan kemampuan perlindungan stop loss dapat ditingkatkan lebih lanjut, menjadikannya strategi perdagangan kuantitatif yang direkomendasikan.

/*backtest
start: 2022-11-28 00:00:00
end: 2023-12-04 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Gui's Turtle", shorttitle = "Guis Turtles", overlay=true, pyramiding=0, default_qty_value = 10)

//This script has to be used with Heikin Ashi Caddles for the strategy to work well
//Thank you to all the ones that have their scripts public so we can make this everything one
//The colours and thicknesses have to be altered and messed with

sma1 = sma(close, 10)
sma2 = sma(close, 20)
plot(sma1, title="SMA10", color = yellow, linewidth = 2)
plot(sma2, title="SMA20", color = orange, linewidth = 2)
sma3 = sma(close, 50)
sma4 = sma(close, 100)
sma5 = sma(close, 200)
plot(sma3, title="SMA50", color = white, linewidth = 2)
plot(sma4, title="SMA100", color = blue, linewidth = 2)
plot(sma5, title="SMA200", color = fuchsia, linewidth = 2)
plot(cross(sma1, sma2) ? sma1 : na, style = cross, color = red, linewidth = 4)

length = input(200, minval=1)
src = input(hlc3, title="Source")
mult = input(3.0, minval=0.001, maxval=50)
basis = vwma(src, length)
dev = mult * stdev(src, length)
upper_1= basis + (0.236*dev)
upper_2= basis + (0.382*dev)
upper_3= basis + (0.5*dev)
upper_4= basis + (0.618*dev)
upper_5= basis + (0.764*dev)
upper_6= basis + (1*dev)
lower_1= basis - (0.236*dev)
lower_2= basis - (0.382*dev)
lower_3= basis - (0.5*dev)
lower_4= basis - (0.618*dev)
lower_5= basis - (0.764*dev)
lower_6= basis - (1*dev)
plot(basis, color=fuchsia, linewidth=2)
p1 = plot(upper_1, color=white, linewidth=1, title="0.236")
p2 = plot(upper_2, color=white, linewidth=1, title="0.382")
p3 = plot(upper_3, color=white, linewidth=1, title="0.5")
p4 = plot(upper_4, color=white, linewidth=1, title="0.618")
p5 = plot(upper_5, color=white, linewidth=1, title="0.764")
p6 = plot(upper_6, color=red, linewidth=2, title="1")
p13 = plot(lower_1, color=white, linewidth=1, title="0.236")
p14 = plot(lower_2, color=white, linewidth=1, title="0.382")
p15 = plot(lower_3, color=white, linewidth=1, title="0.5")
p16 = plot(lower_4, color=white, linewidth=1, title="0.618")
p17 = plot(lower_5, color=white, linewidth=1, title="0.764")
p18 = plot(lower_6, color=green, linewidth=2, title="1")

window1 = input(title='lookback window 1:',  defval=8)
window2 = input(title='lookback window 2:',  defval=21)

top1 = valuewhen(high >= highest(high, window1), high, 0)
bot1 = valuewhen(low <= lowest(low, window1), low, 0)
top2 = valuewhen(high >= highest(high, window2), high, 0)
bot2 = valuewhen(low <= lowest(low, window2), low, 0)

t1 = plot(top1, color=top1 != top1[1] ? na : black)
b1 = plot(bot1, color=bot1 != bot1[1] ? na : black)
t2 = plot(top2, color=top2 != top2[1] ? na : black)
b2 = plot(bot2, color=bot2 != bot2[1] ? na : black)

fill(t1, t2, color=orange, transp=80)
fill(b1, b2, color=olive, transp=80)

//inputs
h_left = input(title="H left",  defval=10)
h_right = input(title="H right",  defval=10)
sample_period = input(title="Sample bars for % TZ",  defval=5000)
show_ptz = input(title="Show PTZ", type=bool, defval=true)
show_channel = input(title="Show channel", type=bool, defval=true)

h_left_low = lowest(h_left)
h_left_high = highest(h_left)
newlow = low <= h_left_low
newhigh = high >= h_left_high
plotshape(newlow and show_ptz, style=shape.triangledown, location=location.belowbar, color=red)
plotshape(newhigh and show_ptz, style=shape.triangleup, location=location.abovebar, color=green)
channel_high = plot(show_channel ? h_left_low : 0, color=silver)
channel_low = plot (show_channel ? h_left_high : 0, color=silver)

central_bar_low = low[h_right + 1]
central_bar_high = high[h_right + 1]
full_zone_low = lowest(h_left + h_right + 1)
full_zone_high = highest(h_left + h_right + 1)
central_bar_is_highest = central_bar_high >= full_zone_high
central_bar_is_lowest = central_bar_low <= full_zone_low
plotarrow(central_bar_is_highest ? -1 : 0, offset=-h_right-1)
plotarrow(central_bar_is_lowest ? 1 : 0, offset=-h_right-1)

x = central_bar_is_highest ? 1 : 0
high_bar_tz_count = cum(x)

y = central_bar_is_lowest ? 1 : 0
low_bar_tz_count = cum(y)

total_tz = high_bar_tz_count + low_bar_tz_count
percent_tz_high = (high_bar_tz_count / sample_period) * 100
//plot(percent_tz_high, color = lime, transp=100)
percent_tz_low = (low_bar_tz_count / sample_period) * 100
//plot(low_bar_tz_count, color=red, transp=100)
percent_total_tz = (percent_tz_high + percent_tz_low)
plot(percent_total_tz, color=black, transp=100)

//PTZ probability calc
i = newhigh ? 1 : 0
high_bar_ptz_count = cum(i)

j = newlow ? 1 : 0
low_bar_ptz_count = cum(j)

total_ptz = high_bar_ptz_count + low_bar_ptz_count
percent_ptz_high = (high_bar_ptz_count / sample_period) * 100
//plot(percent_ptz_high, color=green, transp=100)
percent_ptz_low = (low_bar_ptz_count / sample_period) * 100
//plot(percent_ptz_low, color=maroon, transp=100)
percent_total_ptz = (percent_ptz_high + percent_ptz_low)
plot(percent_total_ptz, color=navy,  transp=100)

//PTZ resolving probability calc
percent_ptz_resolved = (1 - (total_tz / total_ptz)) * 100
plot(percent_ptz_resolved, color=gray,  transp=100)


devUp1 = input(1.28, title="Stdev above (1)")
devDn1 = input(1.28, title="Stdev below (1)")

devUp2 = input(2.01, title="Stdev above (2)")
devDn2 = input(2.01, title="Stdev below (2)")

devUp3 = input(2.51, title="Stdev above (3)")
devDn3 = input(2.51, title="Stdev below (3)")

devUp4 = input(3.09, title="Stdev above (4)")
devDn4 = input(3.09, title="Stdev below (4)")

devUp5 = input(4.01, title="Stdev above (5)")
devDn5 = input(4.01, title="Stdev below (5)")
showBcol = input(true, title="Turn Barcolor ON/OFF?")
showDv2 = input(true, type=bool, title="Show second group of bands?")
showDv3 = input(true, type=bool, title="Show third group of bands?")
showDv4 = input(false, type=bool, title="Show fourth group of bands?")
showDv5 = input(false, type=bool, title="Show fifth group of bands?")

showPrevVWAP = input(false, type=bool, title="Show previous VWAP close")
ColorSrc=input(close)
price=ColorSrc
start = request.security(syminfo.tickerid, "W", time)

newSession = iff(change(start), 1, 0)

vwapsum = iff(newSession, hl2*volume, vwapsum[1]+hl2*volume)
volumesum = iff(newSession, volume, volumesum[1]+volume)
v2sum = iff(newSession, volume*hl2*hl2, v2sum[1]+volume*hl2*hl2)
myvwap = vwapsum/volumesum
dev9 = sqrt(max(v2sum/volumesum - myvwap*myvwap, 0))

A=plot(myvwap,style=circles, title="VWAP", color=black)
U1=plot(myvwap + devUp1 * dev9,style=circles, title="VWAP Upper", color=gray)
D1=plot(myvwap - devDn1 * dev9, style=circles, title="VWAP Lower", color=gray)

myvwapu1= myvwap + devUp1 * dev9
myvwapd1= myvwap - devDn1 * dev9

U2=plot(showDv2 ? myvwap + devUp2 * dev9 : na, color=red, title="VWAP Upper (2)")
D2=plot(showDv2 ? myvwap - devDn2 * dev9 : na, color=green, title="VWAP Lower (2)")

myvwapu2= myvwap + devUp2 * dev9
myvwapu3= myvwap + devUp3 * dev9
myvwapd2= myvwap - devDn2 * dev9
myvwapd3= myvwap - devDn3 * dev9

U3=plot(showDv3 ? myvwap + devUp3 * dev9 : na, title="VWAP Upper (3)", color=red)
D3=plot(showDv3 ? myvwap - devDn3 * dev9 : na, title="VWAP Lower (3)", color=green)

myvwapu4= myvwap + devDn4 * dev9
myvwapd4= myvwap - devDn4 * dev9

U4=plot(showDv4 ? myvwap + devUp4 * dev9 : na, title="VWAP Upper (4)", color=red)
D4=plot(showDv4 ? myvwap - devDn4 * dev9 : na, title="VWAP Lower (4)", color=green)

U5=plot(showDv5 ? myvwap + devUp5 * dev9 : na, title="VWAP Upper (5)", color=red)
D5=plot(showDv5 ? myvwap - devDn5 * dev9 : na, title="VWAP Lower (5)", color=green)

prevwap = iff(newSession, myvwap[1], prevwap[1])

plot(showPrevVWAP ? prevwap : na, style=circles, color=close > prevwap ? green : red)

ColorMiddleU = price > myvwap and price < myvwapu2 ? white:na
ColorMiddleD = price > myvwapd1 and price < myvwap ? black:na

ColorDv1d = price > myvwapd2 and price < myvwapd1 ? gray:na
ColorDv1u = price > myvwapu1 and price < myvwapu2 ? gray:na

ColorDv2d = price > myvwapd3 and price < myvwapd2 ? green:na
ColorDv2u = price > myvwapu2 and price < myvwapu3 ? maroon:na

ColorDv3d = price > myvwapd4 and price < myvwapd3 ? lime:na
ColorDv3u = price > myvwapu3 and price < myvwapu4 ? red:na

barcolor(showBcol?ColorMiddleD:na, title="BarColor vwap-1 Lower")
barcolor(showBcol?ColorMiddleU:na, title="BarColorColor vwap-1 upper")
barcolor(showBcol?ColorDv1d:na, title="BarColor 1-2 Lower")
barcolor(showBcol?ColorDv1u:na, title="BarColorColor 1-2 upper")
barcolor(showBcol?ColorDv2d:na, title="BarColor 2-3 Lower")
barcolor(showBcol?ColorDv2u:na, title="BarColorColor 2-3 upper")
barcolor(showBcol?ColorDv3d:na, title="BarColor 3-4 Lower")
barcolor(showBcol?ColorDv3u:na, title="BarColorColor 3-4 upper")

fill(U1, U2, color=red, transp=90, title="Over Bought Fill 1")
fill(D1, D2, color=green, transp=90, title="Over Sold Fill 1")
fill(U2, U3, color=red, transp=90, title="Over Bought Fill 2")
fill(D2, D3, color=green, transp=90, title="Over Sold Fill 2")
fill(U3, U4, color=red, transp=90, title="Over Bought Fill 3")
fill(D3, D4, color=green, transp=90, title="Over Sold Fill 3")
fill(U4, U5, color=red, transp=90, title="Over Bought Fill 4")
fill(D4, D5, color=green, transp=90, title="Over Sold Fill 4")
fill(A, U1, color=gray, transp=90, title="Middle Fill Up")
fill(A, D1, color=gray, transp=90, title="Middle Fill Down")

//Created By ChrisMoody on 7/25/2014
//Simply Enhances Default Parabolic SAR by creating Two Color Options, One for UpTrend, Other for DownTrend
//Ability To Turn On/Off The Up Trending Parabolic SAR, And The Down Trending Parabolic SARstudy(title="CM_Parabolic SAR", shorttitle="CM_P-SAR", overlay=true)
start1 = input(2, minval=0, maxval=10, title="Start1 - Default = 2 - Multiplied by .01")
increment = input(2, minval=0, maxval=10, title="Step Setting (Sensitivity) - Default = 2 - Multiplied by .01" )
maximum = input(2, minval=1, maxval=10, title="Maximum Step (Sensitivity) - Default = 2 - Multiplied by .10")
sus = input(true, "Show Up Trending Parabolic Sar")
sds = input(true, "Show Down Trending Parabolic Sar")
disc = input(false, title="Start1 and Step settings are *.01 so 2 = .02 etc, Maximum Step is *.10 so 2 = .2")

startCalc = start1 * .01
incrementCalc = increment * .01
maximumCalc = maximum * .10

sarUp = sar(startCalc, incrementCalc, maximumCalc)
sarDown = sar(startCalc, incrementCalc, maximumCalc)

colUp = close >= sarDown ? lime : na
colDown = close <= sarUp ? red : na

plot(sus and sarUp ? sarUp : na, title="Up Trending SAR", style=circles, linewidth=4,color=colUp)
plot(sds and sarDown ? sarDown : na, title="Up Trending SAR", style=circles, linewidth=4,color=colDown)

TurtleSpeed = input(6, minval=1)

FastSpeed = highest(TurtleSpeed)
SlowSpeed = lowest(TurtleSpeed)

enterLong = high > FastSpeed[1]
enterShort = low < SlowSpeed[1]

strategy.entry("Long", strategy.long, when = enterLong)
strategy.entry("Short", strategy.short, when = enterShort)

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