Strategi Terobosan Ganda

Penulis:ChaoZhang, Tanggal: 2024-01-30 17:27:01
Tag:

Gambaran umum

Ini adalah strategi perdagangan terobosan ganda berdasarkan K-line. Ini akan menghasilkan sinyal perdagangan ketika harga penutupan dari K-line saat ini memiliki terobosan relatif terhadap harga tertinggi dan terendah dari dua K-line sebelumnya.

Prinsip Strategi

Logika dasar dari strategi ini adalah:

Menentukan sinyal bull:bull = close > open and close > math.max(close[2], open[2]) and low[1] < low[2] and high[1] < high[2]Artinya, harga penutupan dari K-line saat ini lebih besar dari harga pembukaan, dan lebih besar dari harga tertinggi dari dua K-line sebelumnya, sementara harga terendah dari K-line saat ini lebih rendah dari harga terendah dari K-line sebelumnya.
Definisi sinyal beruang:bear = close < open and close < math.min(close[2], open[2]) and low[1] > low[2] and high[1] > high[2]Artinya, harga penutupan dari K-line saat ini lebih rendah dari harga pembukaan, dan lebih rendah dari harga terendah dari dua K-line sebelumnya, sementara harga tertinggi dari K-line saat ini lebih tinggi dari harga tertinggi dari K-line sebelumnya.
Ketika sinyal bull dipicu, pergi panjang; ketika sinyal bear dipicu, pergi pendek.
Stop loss dan mengambil keuntungan dapat diatur.

Strategi ini memanfaatkan karakteristik terobosan ganda untuk menilai perubahan tren melalui terobosan zona harga utama, sehingga menghasilkan sinyal perdagangan.

Analisis Keuntungan

Ini adalah strategi breakout yang relatif sederhana dan intuitif dengan keuntungan berikut:

Logikanya jelas dan mudah dimengerti dan diterapkan, dengan hambatan masuk yang rendah.
Terobosan adalah sinyal perdagangan umum yang cenderung membentuk tren dengan mudah.
Perjalanan panjang dan pendek memungkinkan perdagangan dua arah, meningkatkan peluang keuntungan.
Pengaturan stop loss dan take profit yang fleksibel membantu mengendalikan risiko.

Analisis Risiko

Strategi ini juga membawa beberapa risiko:

Perdagangan dua arah membawa risiko yang lebih tinggi dan membutuhkan pemantauan yang ketat.
Penarikan bisa rentan terhadap perangkap, berpotensi membentuk sinyal palsu.
Pengaturan parameter yang tidak benar dapat menyebabkan overtrading.
Pengaturan stop loss dan take profit yang tidak tepat juga dapat mempengaruhi potensi keuntungan.

Risiko dapat dikurangi dengan mengoptimalkan parameter dan menyaring produk dengan tepat.

Arahan Optimasi

Strategi dapat dioptimalkan dalam aspek berikut:

Mengoptimalkan parameter seperti siklus breakout, stop loss / take profit range dll.
Tambahkan kondisi penyaringan untuk menghindari kesalahan dari arbitrase, gerakan samping dll.
Sertakan indikator tren untuk menghindari kisaran konsolidasi.
Mengoptimalkan manajemen modal, memperbaiki algoritma posisi.
Parameter yang berbeda untuk produk yang berbeda, uji dan optimalkan secara terpisah.

Ringkasan

Ini adalah strategi sederhana berdasarkan konsep dual breakout. Ini memiliki keuntungan logika yang jelas dan penerapan yang mudah, tetapi juga membawa risiko pemantauan tertentu. Hasil strategi yang lebih baik dapat diharapkan melalui parameter dan optimasi kondisi.

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5

// # ========================================================================= #
// #                   |   Strategy  |
// # ========================================================================= #

SystemName = "Strategy Template Autoview"
TradeId = "S"
// These values are used both in the strategy() header and in the script's relevant inputs as default values so they match.
// Unless these values match in the script's Inputs and the TV backtesting Properties, results between them cannot be compared.
InitCapital = 1000000
InitPosition = 2
InitCommission = 0.075
InitPyramidMax = 1
CalcOnorderFills = false
ProcessOrdersOnClose = true // display the signals one candle earlier
CalcOnEveryTick = true // forward testing
//CloseEntriesRule = "ANY"

strategy(title=SystemName, shorttitle=SystemName, 
 overlay=true, pyramiding=InitPyramidMax, initial_capital=InitCapital, default_qty_type=strategy.fixed, process_orders_on_close=ProcessOrdersOnClose,
 default_qty_value=InitPosition, commission_type=strategy.commission.percent, commission_value=InitCommission, calc_on_order_fills=CalcOnorderFills, 
 calc_on_every_tick=CalcOnEveryTick, 
 precision=6, max_lines_count=500, max_labels_count=500)

// # ========================================================================= #
// # ========================================================================= #
// #                   ||   Alerts  ||
// # ========================================================================= #
// # ========================================================================= #

show_alerts_debug = input.bool(true, title = "Show Alerts Debug Label?", group = "Debug")

//i_alert_txt_entry_long = input.text_area(defval = "", title = "Long Entry Message", group = "Alerts")
//i_alert_txt_entry_short = input.text_area(defval = "", title = "Short Entry Message", group = "Alerts")
//i_alert_txt_exit_long = input.text_area(defval = "", title = "Long Exit Message", group = "Alerts")
//i_alert_txt_exit_short = input.text_area(defval = "", title = "Short Exit Message", group = "Alerts")

i_broker_mode = input.string("DEMO", title = "Use Demo or Live Broker", options=["DEMO", "LIVE"], group = "Automation")
i_broker_name = input.string("Tradovate", title = "Broker Name", options=["Tradovate", "AscendEX", "Binance", "Binance Futures", "Binance US", "Binance Delivery", "Kraken", "Deribit", "Poloniex", "Okcoin", "Bitfinex", "Oanda", "Kucoin", "Okex", "Bybit", "FTX", "Bitmex", "Alpaca", "Gemini"], group = "Automation")

i_enable_trades = input.bool(true, title = "Enable trades?", group = "Automation", tooltip = "If not enabled, disables live trades, but more importantly, it will output what Autoview is going to do when you go live.")

i_account_name = input.string("*", title = "Account Name", group = "Automation")
i_symbol_name  = input.string("btcusd_perp", title = "Symbol Name", group = "Automation")
nb_contracts = input.int(2, title = "Nb Contracts", group = "Automation")

use_delay = input.bool(false, title = "Use Delay between orders", group = "Automation", inline = "delay")
i_delay_qty = input.int(1, title = "Delay in seconds", group = "Automation", inline = "delay")

i_use_borrow_repay   = input.bool(false, title = "Use Borrow/Repay Mode?", group = "Binance Automation")
i_asset_borrow_repay = input.string("BTC", title = "Asset to Borrow/Repay", group = "Binance Automation")
i_qty_borrow_repay   = input.float(1., title = "Quantity of assets to borrow?", group = "Binance Automation")

// # ========================================================================= #
// # ========================================================================= #
// #                   ||   Dates Range Filtering  ||
// # ========================================================================= #
// # ========================================================================= #

DateFilter = input(false, "Date Range Filtering", group="Date")

// ————— Syntax coming from https://www.tradingview.com/blog/en/new-parameter-for-date-input-added-to-pine-21812/
i_startTime = input(defval = timestamp("01 Jan 2019 13:30 +0000"), title = "Start Time", group="Date")
i_endTime = input(defval = timestamp("30 Dec 2021 23:30 +0000"), title = "End Time", group="Date")

TradeDateIsAllowed() => true


// # ========================================================================= #
// #                   |   Custom Exits |
// # ========================================================================= #

//use_custom_exit = input.bool(true, title = "Use Custom Exits?", group = "Custom Exits")

// # ========================================================================= #
// #                   |   Stop Loss |
// # ========================================================================= #

use_sl        = input.string("None", title = "Select Stop Loss Mode", options=["None", "Percent", "Price"], group = "Stop Loss")
sl_input_perc = input.float(3, minval = 0, title = "Stop Loss (%)", group = "Stop Loss (%)") * 0.01
sl_input_pips = input.float(30, minval = 0, title = "Stop Loss (USD)", group = "Stop Loss (USD)")

// # ========================================================================= #
// #                   |   Take Profit |
// # ========================================================================= #

use_tp       = input.string("None", title = "Select Take Profit Mode", options=["None", "Percent", "Price"], group = "Take Profit")
tp_input_perc = input.float(3, minval = 0, title = "Take Profit (%)", group = "Take Profit (%)") * 0.01
tp_input_pips = input.float(30, minval = 0, title = "Take Profit (USD)", group = "Take Profit (USD)")


// # ========================================================================= #
// #                   |   Consolidated Entries |
// # ========================================================================= #

bull = close > open and close > math.max(close[2], open[2]) and low[1] < low[2] and high[1] < high[2] // low < low[1] and low[1] < low[2] 
bear = close < open and close < math.min(close[2], open[2]) and low[1] > low[2] and high[1] > high[2] // low < low[1] and low[1] < low[2] 

// # ========================================================================= #
// #       |   Entry Price |
// # ========================================================================= #

entry_long_price  = ta.valuewhen(condition=bull and strategy.position_size[1] <= 0, source=close, occurrence=0)
entry_short_price = ta.valuewhen(condition=bear and strategy.position_size[1] >= 0, source=close, occurrence=0)

var float entry_price = 0.

if bull
    entry_price := entry_long_price
if bear
    entry_price := entry_short_price

// # ========================================================================= #
// #                   ||   Global Trend Variables ||
// # ========================================================================= #

T1_sinceUP = ta.barssince(bull)
T1_sinceDN = ta.barssince(bear)

T1_nUP = ta.crossunder(T1_sinceUP,T1_sinceDN)
T1_nDN = ta.crossover(T1_sinceUP,T1_sinceDN)

T1_sinceNUP = ta.barssince(T1_nUP)
T1_sinceNDN = ta.barssince(T1_nDN)

T1_BuyTrend  = T1_sinceDN > T1_sinceUP
T1_SellTrend = T1_sinceDN < T1_sinceUP

T1_SellToBuy   = T1_BuyTrend and T1_SellTrend[1]
T1_BuyToSell   = T1_SellTrend and T1_BuyTrend[1]
T1_ChangeTrend = T1_BuyToSell or T1_SellToBuy

// # ========================================================================= #
// #                   |   Stop Loss |
// # ========================================================================= #

var float final_SL_Long  = 0.
var float final_SL_Short = 0.

if use_sl == "Percent"
    final_SL_Long := entry_long_price * (1 - sl_input_perc)
    final_SL_Short := entry_short_price * (1 + sl_input_perc)
else if use_sl == "Price"
    final_SL_Long := entry_long_price - (sl_input_pips)
    final_SL_Short := entry_short_price + (sl_input_pips)

plot(strategy.position_size > 0 and use_sl != "None" ? final_SL_Long : na, title = "SL Long", color = color.fuchsia, linewidth=2, style=plot.style_linebr)
plot(strategy.position_size < 0 and use_sl != "None" ? final_SL_Short : na, title = "SL Short", color = color.fuchsia, linewidth=2, style=plot.style_linebr)

// # ========================================================================= #
// #                   |   Take Profit |
// # ========================================================================= #

var float final_TP_Long  = 0.
var float final_TP_Short = 0.

if use_tp == "Percent"
    final_TP_Long := entry_long_price   * (1 + tp_input_perc)
    final_TP_Short := entry_short_price * (1 - tp_input_perc)
else if use_tp == "Price"
    final_TP_Long := entry_long_price   + (tp_input_pips)
    final_TP_Short := entry_short_price - (tp_input_pips)

plot(strategy.position_size > 0 and use_tp != "None" ? final_TP_Long : na, title = "TP Long", color = color.orange, linewidth=2, style=plot.style_linebr)
plot(strategy.position_size < 0 and use_tp != "None" ? final_TP_Short : na, title = "TP Short", color = color.orange, linewidth=2, style=plot.style_linebr)

// # ========================================================================= #
// #                   |   AutoView Calls |
// # ========================================================================= #

float quantity = nb_contracts

string product_type_ticker = i_symbol_name

var string broker_mode = ""

if i_broker_mode == "DEMO"

    broker_mode := switch i_broker_name
        "Tradovate" => "tradovatesim"
        "Ascendex"  => "ascendex-sandbox"
        "Binance Futures" => "binancefuturestestnet"
        "Binance Delivery" => "binancedeliverytestnet"
        "Oanda" => "oandapractice"
        "Bitmex" => "bitmextestnet"
        "Bybit" => "bybittestnet"
        "Alpaca" => "alpacapaper"
        "Kucoin" => "kucoinsandbox"
        "Deribit" => "deribittestnet"
        "Gemini" => "gemini-sandbox"
        => i_broker_name

else // "LIVE"

    broker_mode := switch i_broker_name
        "Tradovate" => "tradovate"
        "Ascendex"  => "ascendex"
        "Binance Futures" => "binancefutures"
        "Binance Delivery" => "binancedelivery"
        "Binance" => "binance"
        "Oanda" => "oanda"
        "Kraken" => "kraken"
        "Deribit" => "deribit"
        "Bitfinex" => "bitfinex"
        "Poloniex" => "poloniex"
        "Bybit" => "bybit"
        "Okcoin" => "okcoin"
        "Kucoin" => "kucoin"
        "FTX" => "ftx"
        "Bitmex" => "bitmex"
        "Alpaca" => "alpaca"
        "Gemini" => "gemini"
        => i_broker_name

enable_trades = i_enable_trades ? "" : " d=1"
string delay_qty = use_delay ? " delay=" + str.tostring(i_delay_qty) : ""

i_alert_txt_entry_long = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=short c=position t=market" + 
 "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty
 
i_alert_txt_entry_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=long c=position t=market" + 
 "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty

var string temp_txt_SL_long = ""
var string temp_txt_SL_short = ""

var string temp_txt_TP_long = ""
var string temp_txt_TP_short = ""

if use_sl == "Percent"

    temp_txt_SL_long  := "sl=-" + str.tostring(sl_input_perc * 100) + "%"
    temp_txt_SL_short := "sl=" + str.tostring(sl_input_perc * 100) + "%"

else if use_sl == "Price"

    temp_txt_SL_long  := "fsl=" + str.tostring(final_SL_Long)
    temp_txt_SL_short := "fsl=" + str.tostring(final_SL_Short)

if use_tp == "Percent"

    temp_txt_TP_long := "p=" + str.tostring(tp_input_perc * 100) + "%" 
    temp_txt_TP_short := "p=-" + str.tostring(tp_input_perc * 100) + "%" 

else if use_tp == "Price"

    temp_txt_TP_long  := "fpx=" + str.tostring(final_TP_Long)
    temp_txt_TP_short := "fpx=" + str.tostring(final_TP_Short)  

i_alert_txt_exit_SL_long  = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long c=position t=market " + temp_txt_SL_long + enable_trades 
i_alert_txt_exit_SL_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short c=position t=market " + temp_txt_SL_short + enable_trades 
i_alert_txt_exit_TP_long  = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long c=position t=market " + temp_txt_TP_long + enable_trades 
i_alert_txt_exit_TP_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short c=position t=market " + temp_txt_TP_short + enable_trades 

string final_alert_txt_entry_long = i_alert_txt_entry_long
string final_alert_txt_entry_short = i_alert_txt_entry_short

if i_use_borrow_repay and i_broker_name == "Binance"

    final_alert_txt_entry_long := "a=" + i_account_name + " e=" + broker_mode + "y=borrow w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades +
     "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=short c=position t=market" + delay_qty +
     "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty +
     "\n a=" + i_account_name + " e=" + broker_mode + "y=repay w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades

    final_alert_txt_entry_short := "a=" + i_account_name + " e=" + broker_mode + "y=borrow w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades +
     "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=long c=position t=market" + delay_qty +
     "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty +
     "\n a=" + i_account_name + " e=" + broker_mode + "y=repay w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades

//i_alert_txt_entry_long  := final_alert_txt_entry_long
//i_alert_txt_entry_short := final_alert_txt_entry_short

if show_alerts_debug and barstate.islastconfirmedhistory

    var label lblTest = na

    label.delete(lblTest)

    string label_txt = i_alert_txt_entry_long

    if use_sl != "None"
        label_txt := label_txt + "\n" + i_alert_txt_exit_SL_long

    if use_tp != "None"
        label_txt := label_txt + "\n" + i_alert_txt_exit_TP_long

    t = time + (time - time[1]) * 25

    lblTest := label.new(
     x            = t,
     y            = ta.highest(50),
     text         = label_txt,
     xloc         = xloc.bar_time,
     yloc         = yloc.price,
     color        = color.new(color = color.gray, transp = 0),
     style        = label.style_label_left,
     textcolor    = color.new(color = color.white, transp = 0),
     size         =  size.large
     )

// # ========================================================================= #
// #                   |   Strategy Calls and Alerts |
// # ========================================================================= #

if bull and TradeDateIsAllowed() 

    strategy.entry(id = "Long", direction =  strategy.long, comment = "Long", alert_message = i_alert_txt_entry_long, qty = nb_contracts)
    alert(i_alert_txt_entry_long, alert.freq_once_per_bar)
    
else if bear and TradeDateIsAllowed()
    strategy.entry(id = "Short", direction =  strategy.short, comment = "Short", alert_message = i_alert_txt_entry_short, qty = nb_contracts)
    alert(i_alert_txt_entry_short, alert.freq_once_per_bar)

//quantity := quantity * 2

strategy.exit(id = "Exit Long",  from_entry = "Long",  stop = (use_sl != "None") ? final_SL_Long : na,  comment_loss = "Long Exit SL", alert_loss  = (use_sl != "None") ? i_alert_txt_exit_SL_long : na,   limit = (use_tp != "None") ? final_TP_Long  : na, comment_profit = "Long Exit TP", alert_profit = (use_tp != "None") ? i_alert_txt_exit_TP_long : na)   
strategy.exit(id = "Exit Short", from_entry = "Short", stop = (use_sl != "None") ? final_SL_Short : na, comment_loss = "Short Exit SL", alert_loss = (use_sl != "None") ? i_alert_txt_exit_SL_short : na, limit = (use_tp != "None") ? final_TP_Short : na, comment_profit = "Short Exit TP", alert_profit = (use_tp != "None") ? i_alert_txt_exit_TP_short : na)   

if strategy.position_size > 0 and low < final_SL_Long and use_sl != "None"
    alert(i_alert_txt_exit_SL_long, alert.freq_once_per_bar)

else if strategy.position_size < 0 and high > final_SL_Short and use_sl != "None"
    alert(i_alert_txt_exit_SL_short, alert.freq_once_per_bar)

if strategy.position_size > 0 and high > final_TP_Long and use_tp != "None"
    alert(i_alert_txt_exit_TP_long, alert.freq_once_per_bar)

else if strategy.position_size < 0 and low < final_TP_Short and use_tp != "None"
    alert(i_alert_txt_exit_TP_short, alert.freq_once_per_bar)

// # ========================================================================= #
// #                   |   Reset Variables |
// # ========================================================================= #

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