Logika kunci adalah untuk menghasilkan dua garis rata-rata bergerak melalui fungsi varian:closeSeries = variant(basisType, close, basisLen, offsetSigma, offsetALMA)
danopenSeries = variant(basisType, open, basisLen, offsetSigma, offsetALMA)
Logika dasar untuk menghasilkan sinyal perdagangan adalah:longCond = xlong
danshortCond = xshort
Aturan masuk adalah untuk pergi panjang atau pergi pendek ketika kondisi longCond atau shortCond terpenuhi. Aturan keluar adalah untuk menutup posisi untuk stop loss atau mengambil keuntungan ketika pergerakan harga mencapai titik stop loss / profit yang telah ditetapkan sebelumnya.
Risiko terbesar dengan strategi ini adalah bahwa rata-rata bergerak spektrum itu sendiri memiliki tingkat keterlambatan tertentu. Terobosan harga yang tidak normal dapat menyebabkan kerugian yang lebih besar. Selain itu, pemilihan parameter yang tidak tepat juga dapat menyebabkan frekuensi perdagangan yang berlebihan atau sinyal yang berlebihan.
Arah optimasi utama untuk strategi ini meliputi:
Dengan mengoptimalkan dalam arah-arah di atas, kinerja perdagangan langsung dari strategi dapat terus ditingkatkan.
/*backtest start: 2023-01-18 00:00:00 end: 2024-01-24 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 // strategy(title="Long/Short", shorttitle="Banana Maker", overlay=true, pyramiding=0, default_qty_type=strategy.percent_of_equity, default_qty_value=100, calc_on_every_tick=false) // === INPUTS === useRes = input(defval=true, title="Use Alternate Resolution?") intRes = input(defval=7, title="Multiplier for Alernate Resolution") stratRes = timeframe.ismonthly ? tostring(timeframe.multiplier * intRes, "###M") : timeframe.isweekly ? tostring(timeframe.multiplier * intRes, "###W") : timeframe.isdaily ? tostring(timeframe.multiplier * intRes, "###D") : timeframe.isintraday ? tostring(timeframe.multiplier * intRes, "####") : '60' basisType = input(defval="DEMA", title="MA Type: ", options=["SMA", "EMA", "DEMA", "TEMA", "WMA", "VWMA", "SMMA", "HullMA", "LSMA", "ALMA", "SSMA", "TMA"]) basisLen = input(defval=8, title="MA Period", minval=1) offsetSigma = input(defval=6, title="Offset for LSMA / Sigma for ALMA", minval=0) offsetALMA = input(defval=0.85, title="Offset for ALMA", minval=0, step=0.01) scolor = input(false, title="Show coloured Bars to indicate Trend?") delayOffset = input(defval=0, title="Delay Open/Close MA (Forces Non-Repainting)", minval=0, step=1) tradeType = input("BOTH", title="What trades should be taken : ", options=["LONG", "SHORT", "BOTH", "NONE"]) // === /INPUTS === // Constants colours that include fully non-transparent option. green100 = #008000FF lime100 = #6ad279 red100 = #FF0000FF blue100 = #0000FFFF aqua100 = #00FFFFFF darkred100 = #8B0000FF gray100 = #808080FF // === BASE FUNCTIONS === variant(type, src, len, offSig, offALMA) => v1 = sma(src, len) // Simple v2 = ema(src, len) // Exponential v3 = 2 * v2 - ema(v2, len) // Double Exponential v4 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len) // Triple Exponential v5 = wma(src, len) // Weighted v6 = vwma(src, len) // Volume Weighted v7 = 0.0 sma_1 = sma(src, len) // Smoothed v7 := na(v7[1]) ? sma_1 : (v7[1] * (len - 1) + src) / len v8 = wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len))) // Hull v9 = linreg(src, len, offSig) // Least Squares v10 = alma(src, len, offALMA, offSig) // Arnaud Legoux v11 = sma(v1, len) // Triangular (extreme smooth) // SuperSmoother filter // © 2013 John F. Ehlers a1 = exp(-1.414 * 3.14159 / len) b1 = 2 * a1 * cos(1.414 * 3.14159 / len) c2 = b1 c3 = -a1 * a1 c1 = 1 - c2 - c3 v12 = 0.0 v12 := c1 * (src + nz(src[1])) / 2 + c2 * nz(v12[1]) + c3 * nz(v12[2]) type == "EMA" ? v2 : type == "DEMA" ? v3 : type == "TEMA" ? v4 : type == "WMA" ? v5 : type == "VWMA" ? v6 : type == "SMMA" ? v7 : type == "HullMA" ? v8 : type == "LSMA" ? v9 : type == "ALMA" ? v10 : type == "TMA" ? v11 : type == "SSMA" ? v12 : v1 // security wrapper for repeat calls* NEEDS REFINEMENT- backtesting this shows repaint. need new wrapper reso(exp, use, res) => security_1 = security(syminfo.tickerid, res, exp, gaps=barmerge.gaps_off, lookahead=barmerge.lookahead_on) use ? security_1 : exp // === /BASE FUNCTIONS === // === SERIES SETUP === closeSeries = variant(basisType, close[delayOffset], basisLen, offsetSigma, offsetALMA) openSeries = variant(basisType, open[delayOffset], basisLen, offsetSigma, offsetALMA) // === /SERIES === // === PLOTTING === // alt resulution closeSeriesAlt = reso(closeSeries, useRes, stratRes) openSeriesAlt = reso(openSeries, useRes, stratRes) // trendColour = closeSeriesAlt > openSeriesAlt ? color.green : color.red bcolour = closeSeries > openSeriesAlt ? lime100 : red100 barcolor(scolor ? bcolour : na, title="Bar Colours") closeP = plot(closeSeriesAlt, title="Close Series", color=trendColour, linewidth=0, style=plot.style_line, transp=1) openP = plot(openSeriesAlt, title="Open Series", color=trendColour, linewidth=0, style=plot.style_line, transp=1) fill(closeP, openP, color=trendColour, transp=80) // === /PLOTTING === // // // === ALERT conditions xlong = crossover(closeSeriesAlt, openSeriesAlt) xshort = crossunder(closeSeriesAlt, openSeriesAlt) longCond = xlong // alternative: longCond[1]? false : (xlong or xlong[1]) and close>closeSeriesAlt and close>=open shortCond = xshort // alternative: shortCond[1]? false : (xshort or xshort[1]) and close<closeSeriesAlt and close<=open // === /ALERT conditions. needs work in study mode. the banana maker is the study script. // Create alert for cross, shunt back 1 if source is not 'open', this should prevent repaint issue. //shunt = RSIsrc == open ? 0 : 1 //shunt = 0 //c_alert = (buy[shunt]==1 or sell[shunt]==1) //alertcondition(c_alert, title="QQECROSS Alert", message="QQECROSS Alert") // show only when alert condition is met and bar closed. //plotshape(c_alert,title= "Alert Indicator Closed", location=location.bottom, color=sell[shunt]==1?red:green, transp=0, style=shape.circle) //Repaint city, study mode will help but wont trigger the alerts // === STRATEGY === // stop loss slPoints = input(defval=0, title="Initial Stop Loss Points (zero to disable)", minval=0) tpPoints = input(defval=0, title="Initial Target Profit Points (zero for disable)", minval=0) // Include bar limiting algorithm ebar = input(defval=1000, title="Number of Bars for Back Testing", minval=0) dummy = input(false, title="- SET to ZERO for Daily or Longer Timeframes") // // Calculate how many mars since last bar tdays = (timenow - time) / 60000.0 // number of minutes since last bar tdays := timeframe.ismonthly ? tdays / 1440.0 / 5.0 / 4.3 / timeframe.multiplier : timeframe.isweekly ? tdays / 1440.0 / 5.0 / timeframe.multiplier : timeframe.isdaily ? tdays / 1440.0 / timeframe.multiplier : tdays / timeframe.multiplier // number of bars since last bar // //set up exit parameters TP = tpPoints > 0 ? tpPoints : na SL = slPoints > 0 ? slPoints : na // Make sure we are within the bar range, Set up entries and exit conditions if (ebar == 0 or tdays <= ebar) and tradeType != "NONE" strategy.entry("long", strategy.long, when=longCond == true and tradeType != "SHORT") strategy.entry("short", strategy.short, when=shortCond == true and tradeType != "LONG") strategy.close("long", when=shortCond == true and tradeType == "LONG") strategy.close("short", when=longCond == true and tradeType == "SHORT") strategy.exit("XL", from_entry="long", profit=TP, loss=SL) strategy.exit("XS", from_entry="short", profit=TP, loss=SL) // === /STRATEGY === // eof