Strategi Perdagangan Bitcoin Berdasarkan Indikator Kuantitatif

Penulis:ChaoZhang, Tanggal: 2023-12-26 11:06:12
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Gambaran umum

Strategi ini menggunakan beberapa indikator kuantitatif untuk menentukan waktu pembelian dan penjualan Bitcoin dan mengotomatiskan perdagangan.

Prinsip Strategi

Menggunakan Hull Moving Average yang dimodifikasi untuk menentukan arah tren utama pasar, dikombinasikan dengan Bollinger Bands untuk membantu menentukan titik beli dan penjualan.
Indikator RSI dikombinasikan dengan rentang volatilitas adaptif menentukan zona overbought dan oversold untuk menghasilkan sinyal perdagangan.
Volume Oscillator menentukan momentum pembelian dan penjualan untuk menghindari false breakout.
Tetapkan rasio stop loss/take profit terlebih dahulu untuk mengatur stop loss dan take profit level untuk manajemen risiko.

Analisis Keuntungan

Kurva Hull dapat menangkap perubahan tren lebih cepat, dan Bollinger Bands dapat membantu mengurangi sinyal palsu.
Optimalisasi parameter RSI dan verifikasi sinyal duplikat membuatnya lebih dapat diandalkan.
Volume Oscillator dikombinasikan dengan tren dan sinyal indikator menghindari perdagangan yang tidak akurat.
Metode stop loss dan take profit yang telah ditetapkan sebelumnya dapat secara otomatis mengontrol keuntungan dan kerugian tunggal dan secara efektif mengelola risiko keseluruhan.

Analisis Risiko

Pengaturan parameter yang tidak benar dapat mengakibatkan frekuensi perdagangan yang terlalu tinggi atau kinerja sinyal yang memburuk.
Kejadian pasar yang tiba-tiba dapat menyebabkan harga berfluktuasi dengan keras, sehingga stop loss dipicu dan kerugian lebih besar.
Ketika varietas perdagangan diubah ke koin lain, parameter harus diuji ulang dan dioptimalkan.
Jika data volume hilang, Volume Oscillator akan gagal.

Arahan Optimasi

Uji lebih banyak kombinasi parameter RSI untuk menemukan parameter yang optimal.
Cobalah menggabungkan RSI dengan indikator lain seperti MACD dan KD untuk meningkatkan akurasi sinyal.
Tambahkan modul prediksi model dan gunakan pembelajaran mesin untuk menilai arah pasar.
Uji parameter ketika diterapkan pada varietas perdagangan lainnya.
Mengoptimalkan stop loss dan mengambil algoritma keuntungan untuk memaksimalkan keuntungan.

Ringkasan

Strategi ini menggabungkan beberapa indikator teknis kuantitatif untuk menentukan waktu masuk dan keluar. Melalui optimasi parameter, pengendalian risiko dan metode lainnya, ia telah mencapai perdagangan Bitcoin otomatis dengan hasil yang baik.

/*backtest
start: 2023-11-25 00:00:00
end: 2023-12-25 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/


// © maxencetajet

//@version=5
strategy("Strategy Crypto", overlay=true, initial_capital=1000, default_qty_type=strategy.fixed, default_qty_value=0.5, slippage=25)

src1 = input.source(close, title="Source")
target_stop_ratio = input.float(title='Risk/Reward', defval=1.5, minval=0.5, maxval=100)

startDate = input.int(title='Start Date', defval=1, minval=1, maxval=31, group="beginning Backtest")
startMonth = input.int(title='Start Month', defval=5, minval=1, maxval=12, group="beginning Backtest")
startYear = input.int(title='Start Year', defval=2022, minval=2000, maxval=2100, group="beginning Backtest")

inDateRange = time >= timestamp(syminfo.timezone, startYear, startMonth, startDate, 0, 0)

swingHighV = input.int(7, title="Swing High", group="number of past candles")
swingLowV = input.int(7, title="Swing Low", group="number of past candles")

//Hull Suite

modeSwitch = input.string("Hma", title="Hull Variation", options=["Hma", "Thma", "Ehma"], group="Hull Suite")
length = input(60, title="Length", group="Hull Suite")
lengthMult = input(3, title="Length multiplier", group="Hull Suite")

HMA(_src1, _length) =>
    ta.wma(2 * ta.wma(_src1, _length / 2) - ta.wma(_src1, _length), math.round(math.sqrt(_length)))

EHMA(_src1, _length) =>
    ta.ema(2 * ta.ema(_src1, _length / 2) - ta.ema(_src1, _length), math.round(math.sqrt(_length)))

THMA(_src1, _length) =>
    ta.wma(ta.wma(_src1, _length / 3) * 3 - ta.wma(_src1, _length / 2) - ta.wma(_src1, _length), _length)

Mode(modeSwitch, src1, len) =>
    modeSwitch == 'Hma' ? HMA(src1, len) : modeSwitch == 'Ehma' ? EHMA(src1, len) : modeSwitch == 'Thma' ? THMA(src1, len / 2) : na

_hull = Mode(modeSwitch, src1, int(length * lengthMult))
HULL = _hull
MHULL = HULL[0]
SHULL = HULL[2]

hullColor = HULL > HULL[2] ? #00ff00 : #ff0000

Fi1 = plot(MHULL, title='MHULL', color=hullColor, linewidth=1, transp=50)
Fi2 = plot(SHULL, title='SHULL', color=hullColor, linewidth=1, transp=50)
fill(Fi1, Fi2, title='Band Filler', color=hullColor, transp=40)

//QQE MOD

RSI_Period = input(6, title='RSI Length', group="QQE MOD")
SF = input(5, title='RSI Smoothing', group="QQE MOD")
QQE = input(3, title='Fast QQE Factor', group="QQE MOD")
ThreshHold = input(3, title='Thresh-hold', group="QQE MOD")

src = input(close, title='RSI Source', group="QQE MOD")

Wilders_Period = RSI_Period * 2 - 1

Rsi = ta.rsi(src, RSI_Period)
RsiMa = ta.ema(Rsi, SF)
AtrRsi = math.abs(RsiMa[1] - RsiMa)
MaAtrRsi = ta.ema(AtrRsi, Wilders_Period)
dar = ta.ema(MaAtrRsi, Wilders_Period) * QQE

longband = 0.0
shortband = 0.0
trend = 0

DeltaFastAtrRsi = dar
RSIndex = RsiMa
newshortband = RSIndex + DeltaFastAtrRsi
newlongband = RSIndex - DeltaFastAtrRsi
longband := RSIndex[1] > longband[1] and RSIndex > longband[1] ? math.max(longband[1], newlongband) : newlongband
shortband := RSIndex[1] < shortband[1] and RSIndex < shortband[1] ? math.min(shortband[1], newshortband) : newshortband
cross_1 = ta.cross(longband[1], RSIndex)
trend := ta.cross(RSIndex, shortband[1]) ? 1 : cross_1 ? -1 : nz(trend[1], 1)
FastAtrRsiTL = trend == 1 ? longband : shortband

length1 = input.int(50, minval=1, title='Bollinger Length', group="QQE MOD")
mult = input.float(0.35, minval=0.001, maxval=5, step=0.1, title='BB Multiplier', group="QQE MOD")
basis = ta.sma(FastAtrRsiTL - 50, length1)
dev = mult * ta.stdev(FastAtrRsiTL - 50, length1)
upper = basis + dev
lower = basis - dev
color_bar = RsiMa - 50 > upper ? #00c3ff : RsiMa - 50 < lower ? #ff0062 : color.gray

QQEzlong = 0
QQEzlong := nz(QQEzlong[1])
QQEzshort = 0
QQEzshort := nz(QQEzshort[1])
QQEzlong := RSIndex >= 50 ? QQEzlong + 1 : 0
QQEzshort := RSIndex < 50 ? QQEzshort + 1 : 0

RSI_Period2 = input(6, title='RSI Length', group="QQE MOD")
SF2 = input(5, title='RSI Smoothing', group="QQE MOD")
QQE2 = input(1.61, title='Fast QQE2 Factor', group="QQE MOD")
ThreshHold2 = input(3, title='Thresh-hold', group="QQE MOD")

src2 = input(close, title='RSI Source', group="QQE MOD")

Wilders_Period2 = RSI_Period2 * 2 - 1

Rsi2 = ta.rsi(src2, RSI_Period2)
RsiMa2 = ta.ema(Rsi2, SF2)
AtrRsi2 = math.abs(RsiMa2[1] - RsiMa2)
MaAtrRsi2 = ta.ema(AtrRsi2, Wilders_Period2)
dar2 = ta.ema(MaAtrRsi2, Wilders_Period2) * QQE2
longband2 = 0.0
shortband2 = 0.0
trend2 = 0

DeltaFastAtrRsi2 = dar2
RSIndex2 = RsiMa2
newshortband2 = RSIndex2 + DeltaFastAtrRsi2
newlongband2 = RSIndex2 - DeltaFastAtrRsi2
longband2 := RSIndex2[1] > longband2[1] and RSIndex2 > longband2[1] ? math.max(longband2[1], newlongband2) : newlongband2
shortband2 := RSIndex2[1] < shortband2[1] and RSIndex2 < shortband2[1] ? math.min(shortband2[1], newshortband2) : newshortband2
cross_2 = ta.cross(longband2[1], RSIndex2)
trend2 := ta.cross(RSIndex2, shortband2[1]) ? 1 : cross_2 ? -1 : nz(trend2[1], 1)
FastAtrRsi2TL = trend2 == 1 ? longband2 : shortband2

QQE2zlong = 0
QQE2zlong := nz(QQE2zlong[1])
QQE2zshort = 0
QQE2zshort := nz(QQE2zshort[1])
QQE2zlong := RSIndex2 >= 50 ? QQE2zlong + 1 : 0
QQE2zshort := RSIndex2 < 50 ? QQE2zshort + 1 : 0

hcolor2 = RsiMa2 - 50 > ThreshHold2 ? color.silver : RsiMa2 - 50 < 0 - ThreshHold2 ? color.silver : na

Greenbar1 = RsiMa2 - 50 > ThreshHold2
Greenbar2 = RsiMa - 50 > upper

Redbar1 = RsiMa2 - 50 < 0 - ThreshHold2
Redbar2 = RsiMa - 50 < lower

//Volume Oscillator

var cumVol = 0.
cumVol += nz(volume)
if barstate.islast and cumVol == 0
    runtime.error("No volume is provided by the data vendor.")
shortlen = input.int(5, minval=1, title = "Short Length", group="Volume Oscillator")
longlen = input.int(10, minval=1, title = "Long Length", group="Volume Oscillator")
short = ta.ema(volume, shortlen)
long = ta.ema(volume, longlen)
osc = 100 * (short - long) / long

//strategy

enterLong   =  '    {  "message_type": "bot",  "bot_id": 4635591,  "email_token": "25byourtefcodeuufyd2-43314-ab98-bjorg224",  "delay_seconds": 1}  ' //start long deal
 
ExitLong    =  '    {  "message_type": "bot",  "bot_id": 4635591,  "email_token": "25byourtefcodeuufyd2-43314-ab98-bjorg224",  "delay_seconds": 0,  "action": "close_at_market_price"}  ' // close long deal market 
 
enterShort  =  '    {  "message_type": "bot",  "bot_id": 4635690,  "email_token": "25byourtefcodeuufyd2-43314-ab98-bjorg224",  "delay_seconds": 1}  ' // start short deal
 
ExitShort   =  '    {  "message_type": "bot",  "bot_id": 4635690,  "email_token": "25byourtefcodeuufyd2-43314-ab98-bjorg224",  "delay_seconds": 0,  "action": "close_at_market_price"}  ' // close short deal market

longcondition = close > MHULL and HULL > HULL[2] and osc > 0 and Greenbar1 and Greenbar2 and not Greenbar1[1] and not Greenbar2[1]
shortcondition = close < SHULL and HULL < HULL[2] and osc > 0 and Redbar1 and Redbar2 and not Redbar1[1] and not Redbar2[1]

float risk_long = na
float risk_short = na
float stopLoss = na
float takeProfit = na
float entry_price = na

risk_long := risk_long[1]
risk_short := risk_short[1]

swingHigh = ta.highest(high, swingHighV)
swingLow = ta.lowest(low, swingLowV)

if strategy.position_size == 0 and longcondition and inDateRange
    risk_long := (close - swingLow) / close
    strategy.entry("long", strategy.long, comment="Buy", alert_message=enterLong)
    
if strategy.position_size == 0 and shortcondition and inDateRange
    risk_short := (swingHigh - close) / close       
    strategy.entry("short", strategy.short, comment="Sell", alert_message=enterShort)
    
if strategy.position_size > 0

    stopLoss := strategy.position_avg_price * (1 - risk_long)
    takeProfit := strategy.position_avg_price * (1 + target_stop_ratio * risk_long)
    entry_price := strategy.position_avg_price
    strategy.exit("long exit", "long", stop = stopLoss, limit = takeProfit, alert_message=ExitLong)
    
if strategy.position_size < 0

    stopLoss := strategy.position_avg_price * (1 + risk_short)
    takeProfit := strategy.position_avg_price * (1 - target_stop_ratio * risk_short)
    entry_price := strategy.position_avg_price
    strategy.exit("short exit", "short", stop = stopLoss, limit = takeProfit, alert_message=ExitShort)

p_ep = plot(entry_price, color=color.new(color.white, 0), linewidth=2, style=plot.style_linebr, title='entry price')
p_sl = plot(stopLoss, color=color.new(color.red, 0), linewidth=2, style=plot.style_linebr, title='stopLoss')
p_tp = plot(takeProfit, color=color.new(color.green, 0), linewidth=2, style=plot.style_linebr, title='takeProfit')
fill(p_sl, p_ep, color.new(color.red, transp=85))
fill(p_tp, p_ep, color.new(color.green, transp=85))

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