Strategi kisi dengan garis rata-rata bergerak

Penulis:ChaoZhang, Tanggal: 2023-12-20 13:55:15
Tag:

Gambaran umum

Ini adalah strategi perdagangan grid yang memanfaatkan garis rata-rata bergerak secara dinamis. Ini menarik beberapa zona beli dan jual di atas dan di bawah garis rata-rata bergerak berdasarkan pengaturan MA dan rentang volatilitas. Ketika harga turun ke zona beli yang berbeda, pesanan panjang yang sesuai akan dibuka. Ketika harga kembali ke zona jual, pesanan yang dibuka akan ditutup secara berurutan. Dengan demikian membentuk mekanisme perdagangan grid dinamis.

Logika Strategi

Pengguna menetapkan parameter untuk menentukan garis rata-rata bergerak utama;
Beberapa zona pembelian dan penjualan dibagi berdasarkan ATR dan pengaturan;
Ketika harga turun ke zona pembelian yang berbeda, pesanan panjang yang sesuai dipicu;
Ketika harga bergerak kembali ke zona jual, pesanan ditutup secara berurutan;
Sebuah sistem perdagangan grid dinamis terbentuk pada akhirnya.

Keuntungan

Menggunakan garis MA untuk menentukan arah tren menghindari perdagangan melawan tren utama;
Parameter ATR mempertimbangkan volatilitas pasar, membuat jaringan lebih dinamis;
Pembukaan order dalam batch mengendalikan risiko;
Perintah penutupan secara berurutan menghindari kerugian stop cascade;
Parameter sederhana, mudah dioperasikan.

Risiko

Fluktuasi yang signifikan dapat sering memicu kerugian jaringan;
Dalam tren yang kuat, titik stop loss bisa terlalu dekat yang mengarah ke stop cepat setelah pullback;
Peningkatan transaksi dari beberapa entri menghasilkan biaya komisi yang lebih tinggi;
Tidak cocok untuk pasar yang terbatas pada kisaran atau tanpa tren.

Risiko dapat dikurangi dengan mengurangi interval grid, mengoptimalkan parameter ATR, mengurangi jumlah pesanan dll. Set parameter yang berbeda juga dapat digunakan untuk skenario tren dan rentang.

Arahan Optimasi

Indikator indeks spot dapat ditambahkan untuk menentukan bias bullish/bearish;
Indikator kuantitatif dapat digunakan untuk memilih aset dengan karakteristik tren;
Parameter ATR atau interval grid dapat disesuaikan secara dinamis berdasarkan volatilitas;
Mekanisme mengambil keuntungan dapat ditambahkan untuk mengikuti tren.

Optimalisasi lebih lanjut ini akan membuat strategi lebih dinamis dan ditingkatkan secara lokal.

Kesimpulan

Sebagai kesimpulan, ini adalah strategi grid trend-following yang secara keseluruhan matang dan sederhana. Ini menggunakan moving average untuk menentukan tren utama, dan menetapkan mekanisme grid dinamis untuk perdagangan batch. Memiliki kemampuan pengendalian risiko tertentu. Dengan optimasi kuantum lebih lanjut, ini dapat menjadi alat kuantum yang sangat praktis.

/*backtest
start: 2022-12-13 00:00:00
end: 2023-12-19 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/
// © Seungdori_

//@version=5
strategy("Grid Strategy with MA", overlay=true, initial_capital = 100000, default_qty_type = strategy.cash, default_qty_value = 10000, pyramiding = 10, process_orders_on_close = true, commission_type = strategy.commission.percent, commission_value = 0.04)


//Inputs//

length = input.int(defval = 100, title = 'MA Length', group = 'MA')
MA_Type = input.string("SMA", title="MA Type", options=['EMA', 'HMA', 'LSMA', 'RMA', 'SMA', 'WMA'],group = 'MA')

logic = input.string(defval='ATR', title ='Grid Logic', options = ['ATR', 'Percent'])

band_mult = input.float(2.5, step = 0.1, title = 'Band Multiplier/Percent', group = 'Parameter')
atr_len = input.int(defval=100, title = 'ATR Length', group ='parameter')
//Var//

var int order_cond = 0
var bool order_1 = false
var bool order_2 = false
var bool order_3 = false
var bool order_4 = false
var bool order_5 = false
var bool order_6 = false
var bool order_7 = false
var bool order_8 = false
var bool order_9 = false
var bool order_10 = false
var bool order_11 = false
var bool order_12 = false
var bool order_13 = false
var bool order_14 = false
var bool order_15 = false


/////////////////////
//Region : Function//
/////////////////////
getMA(source ,ma_type, length) =>
    maPrice = ta.ema(source, length)
    ema = ta.ema(source, length)
    sma = ta.sma(source, length)
    if ma_type == 'SMA'
        maPrice := ta.sma(source, length)
        maPrice
    if ma_type == 'HMA'
        maPrice := ta.hma(source, length)
        maPrice
    if ma_type == 'WMA'
        maPrice := ta.wma(source, length)
        maPrice
    if ma_type == "RMA"
        maPrice := ta.rma(source, length)
    if ma_type == "LSMA"
        maPrice := ta.linreg(source, length, 0)
    maPrice

main_plot = getMA(ohlc4, MA_Type, length)


atr = ta.atr(length)

premium_zone_1 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*1), 5) : ta.ema((main_plot*(1+band_mult*0.01*1)), 5)
premium_zone_2 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*2), 5) : ta.ema((main_plot*(1+band_mult*0.01*2)), 5)
premium_zone_3 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*3), 5) : ta.ema((main_plot*(1+band_mult*0.01*3)), 5)
premium_zone_4 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*4), 5) : ta.ema((main_plot*(1+band_mult*0.01*4)), 5)
premium_zone_5 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*5), 5) : ta.ema((main_plot*(1+band_mult*0.01*5)), 5)
premium_zone_6 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*6), 5) : ta.ema((main_plot*(1+band_mult*0.01*6)), 5)
premium_zone_7 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*7), 5) : ta.ema((main_plot*(1+band_mult*0.01*7)), 5)
premium_zone_8 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*8), 5) : ta.ema((main_plot*(1+band_mult*0.01*8)), 5)
//premium_zone_9 = ta.rma(main_plot + atr*(band_mult*9), 5)
//premium_zone_10 = ta.rma(main_plot + atr*(band_mult*10), 5)


discount_zone_1 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*1), 5) : ta.ema((main_plot*(1-band_mult*0.01*1)), 5)
discount_zone_2 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*2), 5) : ta.ema((main_plot*(1-band_mult*0.01*2)), 5)
discount_zone_3 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*3), 5) : ta.ema((main_plot*(1-band_mult*0.01*3)), 5)
discount_zone_4 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*4), 5) : ta.ema((main_plot*(1-band_mult*0.01*4)), 5)
discount_zone_5 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*5), 5) : ta.ema((main_plot*(1-band_mult*0.01*5)), 5)
discount_zone_6 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*6), 5) : ta.ema((main_plot*(1-band_mult*0.01*6)), 5)
discount_zone_7 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*7), 5) : ta.ema((main_plot*(1-band_mult*0.01*7)), 5)
discount_zone_8 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*8), 5) : ta.ema((main_plot*(1-band_mult*0.01*8)), 5)
//discount_zon_9 = ta.sma(main_plot - atr*(band_mult*9), 5)
//discount_zone_10 =ta.sma( main_plot - atr*(band_mult*10), 5)

//Region End//

////////////////////
// Region : Plots//
///////////////////

dis_low1 = plot(discount_zone_1, color=color.new(color.green, 80))
dis_low2 = plot(discount_zone_2, color=color.new(color.green, 70))
dis_low3 = plot(discount_zone_3, color=color.new(color.green, 60))
dis_low4 = plot(discount_zone_4, color=color.new(color.green, 50))
dis_low5 = plot(discount_zone_5, color=color.new(color.green, 40))
dis_low6 = plot(discount_zone_6, color=color.new(color.green, 30))
dis_low7 = plot(discount_zone_7, color=color.new(color.green, 20))
dis_low8 = plot(discount_zone_8, color=color.new(color.green, 10))
//dis_low9 = plot(discount_zone_9, color=color.new(color.green, 0))
//dis_low10 = plot(discount_zone_10, color=color.new(color.green, 0))

plot(main_plot, color =color.new(color.gray, 10))

pre_up1 = plot(premium_zone_1, color=color.new(color.red, 80))
pre_up2 = plot(premium_zone_2, color=color.new(color.red, 70))
pre_up3 = plot(premium_zone_3, color=color.new(color.red, 60))
pre_up4 = plot(premium_zone_4, color=color.new(color.red, 50))
pre_up5 = plot(premium_zone_5, color=color.new(color.red, 40))
pre_up6 = plot(premium_zone_6, color=color.new(color.red, 30))
pre_up7 = plot(premium_zone_7, color=color.new(color.red, 20))
pre_up8 = plot(premium_zone_8, color=color.new(color.red, 10))
//pre_up9 = plot(premium_zone_9, color=color.new(color.red, 0))
//pre_up10 = plot(premium_zone_10, color=color.new(color.red, 0))

fill(dis_low1, dis_low2, color=color.new(color.green, 95))
fill(dis_low2, dis_low3, color=color.new(color.green, 90))
fill(dis_low3, dis_low4, color=color.new(color.green, 85))
fill(dis_low4, dis_low5, color=color.new(color.green, 80))
fill(dis_low5, dis_low6, color=color.new(color.green, 75))
fill(dis_low6, dis_low7, color=color.new(color.green, 70))
fill(dis_low7, dis_low8, color=color.new(color.green, 65))
//fill(dis_low8, dis_low9, color=color.new(color.green, 60))
//fill(dis_low9, dis_low10, color=color.new(color.green, 55))

fill(pre_up1, pre_up2, color=color.new(color.red, 95))
fill(pre_up2, pre_up3, color=color.new(color.red, 90))
fill(pre_up3, pre_up4, color=color.new(color.red, 85))
fill(pre_up4, pre_up5, color=color.new(color.red, 80))
fill(pre_up5, pre_up6, color=color.new(color.red, 75))
fill(pre_up6, pre_up7, color=color.new(color.red, 70))
fill(pre_up7, pre_up8, color=color.new(color.red, 65))
//fill(pre_up8, pre_up9, color=color.new(color.red, 60))
//fill(pre_up9, pre_up10, color=color.new(color.red, 55))



//Region End//

///////////////////////
//Region : Strategies//
///////////////////////

//Longs//

longCondition1 = ta.crossunder(low, discount_zone_7)
longCondition2 = ta.crossunder(low, discount_zone_6)
longCondition3 = ta.crossunder(low, discount_zone_5)
longCondition4 = ta.crossunder(low, discount_zone_4)
longCondition5 = ta.crossunder(low, discount_zone_3)
longCondition6 = ta.crossunder(low, discount_zone_2)
longCondition7 = ta.crossunder(low, discount_zone_1)
longCondition8 = ta.crossunder(low, main_plot)
longCondition9 = ta.crossunder(low, premium_zone_1)
longCondition10 = ta.crossunder(low, premium_zone_2)
longCondition11 = ta.crossunder(low, premium_zone_3)
longCondition12 = ta.crossunder(low, premium_zone_4)
longCondition13 = ta.crossunder(low, premium_zone_5)
longCondition14 = ta.crossunder(low, premium_zone_6)
longCondition15 = ta.crossunder(low, premium_zone_7)

if (longCondition1) and order_1 == false
    strategy.entry("Long1", strategy.long)
    order_1 := true
if (longCondition2) and order_2 == false
    strategy.entry("Long2", strategy.long)
    order_2 := true
if (longCondition3) and order_3 == false
    strategy.entry("Long3", strategy.long)
    order_3 := true
if (longCondition4) and order_4 == false
    strategy.entry("Long4", strategy.long)
    order_4 := true
if (longCondition5) and order_5 == false
    strategy.entry("Long5", strategy.long)
    order_5 := true
if (longCondition6) and order_6 == false
    strategy.entry("Long6", strategy.long)
    order_6 := true
if (longCondition7) and order_7 == false
    strategy.entry("Long7", strategy.long)
    order_7 := true
if (longCondition8) and order_8 == false
    strategy.entry("Long8", strategy.long)
    order_8 := true
if (longCondition9) and order_9 == false
    strategy.entry("Long9", strategy.long)
    order_9 := true
if (longCondition10) and order_10 == false
    strategy.entry("Long10", strategy.long)
    order_10 := true
if (longCondition11) and order_11 == false
    strategy.entry("Long11", strategy.long)
    order_11 := true
if (longCondition12) and order_12 == false
    strategy.entry("Long12", strategy.long)
    order_12 := true
if (longCondition13) and order_13 == false
    strategy.entry("Long13", strategy.long)
    order_13 := true
if (longCondition14) and order_14 == false
    strategy.entry("Long14", strategy.long)
    order_14 := true
if (longCondition15) and order_15 == false
    strategy.entry("Long14", strategy.long)
    order_15 := true

//Close//

shortCondition1 = ta.crossover(high, discount_zone_6)
shortCondition2 = ta.crossover(high, discount_zone_5)
shortCondition3 = ta.crossover(high, discount_zone_4)
shortCondition4 = ta.crossover(high, discount_zone_3)
shortCondition5 = ta.crossover(high, discount_zone_2)
shortCondition6 = ta.crossover(high, discount_zone_1)
shortCondition7 = ta.crossover(high, main_plot)
shortCondition8 = ta.crossover(high, premium_zone_1)
shortCondition9 = ta.crossover(high, premium_zone_2)
shortCondition10 = ta.crossover(high, premium_zone_3)
shortCondition11 = ta.crossover(high, premium_zone_4)
shortCondition12 = ta.crossover(high, premium_zone_5)
shortCondition13 = ta.crossover(high, premium_zone_6)
shortCondition14 = ta.crossover(high, premium_zone_7)
shortCondition15 = ta.crossover(high, premium_zone_8)

if (shortCondition1) and order_1 == true
    strategy.close("Long1")
    order_1 := false
if (shortCondition2) and order_2 == true
    strategy.close("Long2")
    order_2 := false
if (shortCondition3) and order_3 == true
    strategy.close("Long3")
    order_3 := false
if (shortCondition4) and order_4 == true
    strategy.close("Long4")
    order_4 := false
if (shortCondition5) and order_5 == true
    strategy.close("Long5")
    order_5 := false
if (shortCondition6) and order_6 == true
    strategy.close("Long6")
    order_6 := false
if (shortCondition7) and order_7 == true
    strategy.close("Long7")
    order_7 := false
if (shortCondition8) and order_8 == true
    strategy.close("Long8")
    order_8 := false
if (shortCondition9) and order_9 == true
    strategy.close("Long9")
    order_9 := false
if (shortCondition10) and order_10 == true
    strategy.close("Long10")
    order_10 := false
if (shortCondition11) and order_11 == true
    strategy.close("Long11")
    order_11 := false
if (shortCondition12) and order_12 == true
    strategy.close("Long12")
    order_12 := false
if (shortCondition13) and order_13 == true
    strategy.close("Long13")
    order_13 := false
if (shortCondition14) and order_14 == true
    strategy.close("Long14")
    order_14 := false
if (shortCondition15) and order_15 == true
    strategy.close("Long15")
    order_15 := false

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