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Momentum Breakout Strategi Perdagangan Intraday

Penulis:ChaoZhang, Tanggal: 2024-02-01 10:32:21
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Gambaran umum

Strategi ini melacak data perdagangan SPY dan membuat keputusan membeli dan menjual untuk mewujudkan keuntungan perdagangan intraday melalui kombinasi indikator teknis seperti moving average, MACD, RSI untuk menentukan tren jangka pendek dengan akurat.

Logika Strategi

Logika inti dari strategi ini didasarkan pada indikator teknis berikut untuk menentukan tren jangka pendek dan titik masuk:

  1. Salib emas dan salib kematian dari rata-rata bergerak eksponensial (EMA) 5 hari dan 13 hari digunakan untuk menentukan titik balik tren bullish dan bearish.
  2. Indikator MACD digunakan untuk menentukan apakah ada momentum naik.
  3. Indikator ADX digunakan untuk menentukan apakah ada tren.
  4. Indikator RSI digunakan untuk menentukan kekuatan tren.

Dengan mengoptimalkan parameter indikator di atas, titik pembalikan utama tren bullish dan bearish dapat ditentukan. Ketika 5 dari 6 kondisi terpenuhi, sinyal putih L atau S ditampilkan. Ketika semua enam kondisi terpenuhi sepenuhnya, bentuk △ emas ditampilkan pada penutupan batang lilin.

Kondisi sinyal masuk panjang:
EMA 5 hari lebih besar dari EMA 13 hari DAN garis MACD kurang dari 0,5 DAN ADX lebih besar dari 20 DAN kemiringan MACD lebih besar dari 0 DAN garis sinyal lebih besar dari -0,1 DAN RSI lebih besar dari 40

Kondisi sinyal masuk pendek:
EMA 5 hari kurang dari EMA 13 hari DAN garis MACD lebih besar dari -0.5 DAN ADX lebih besar dari 20 DAN garis sinyal kurang dari 0 DAN kemiringan MACD kurang dari 0 DAN RSI kurang dari 60

Analisis Keuntungan

Keuntungan dari strategi ini meliputi:

  1. Keakuratan yang lebih tinggi dari menggabungkan beberapa sinyal indikator.
  2. Sensitivitas dan akurasi yang seimbang melalui optimasi parameter.
  3. Sinyal sederhana dan jelas, penghalang rendah untuk operasi.
  4. Cocok untuk perdagangan intraday, cocok dengan sebagian besar investor nafsu risiko.
  5. Menghindari volatilitas tinggi dalam perdagangan akhir dengan tidak menempatkan pesanan.

Analisis Risiko

Risiko dari strategi ini meliputi:

  1. Penghakiman yang salah dari pengaturan parameter yang salah. pengujian dan optimasi terus diperlukan.
  2. Aset tunggal, tidak mampu mendiversifikasi risiko industri dan alokasi aset.
  3. Perdagangan yang sering menyebabkan biaya transaksi dan risiko slippage.
  4. Melewatkan beberapa kesempatan dengan tidak berdagang di sesi perdagangan terlambat.

Arahan Optimasi

Strategi ini dapat dioptimalkan lebih lanjut dalam aspek berikut:

  1. Uji modifikasi pengaturan parameter untuk meningkatkan akurasi penilaian.
  2. Tambahkan indikator stop loss untuk mengendalikan kerugian tunggal.
  3. Mengoptimalkan waktu penempatan order untuk menyaring periode volatilitas tinggi.
  4. Tambahkan produk lain sebagai target strategi.
  5. Menggabungkan algoritma pembelajaran mesin untuk meningkatkan kemampuan adaptasi parameter.

Kesimpulan

Strategi ini menentukan tren jangka pendek dengan melacak data SPY dan menggabungkan beberapa indikator teknis seperti moving average, MACD dan RSI. Dengan frekuensi operasi yang tinggi, drawdown rendah, sangat cocok untuk perdagangan intraday. Masih ada ruang yang besar untuk perbaikan melalui optimasi dari beberapa dimensi.

/*backtest
start: 2024-01-24 00:00:00
end: 2024-01-31 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy(title="SPY 1 Minute Day Trader", overlay=true)

//This script has been created to take into account how the following variables impact trend for SPY 1 Minute
//The SPY stop losses/take profit have been set at 30 cents which equates to 15 cents on SPY 1 DTE ATM contracts
//5 ema vs 13 ema : A cross establishes start of trend
//MACD (Line, Signal & Slope) : If you have momentum
//ADX : if you are trending
//RSI : If the trend has strength
//The above has been optimized to determine pivot points in the trend using key values for these 6 indicators
//bounce up = ema5 > ema13 and macdLine < .5 and adx > 20 and macdSlope > 0 and signalLine > -.1 and rsiSignal > 40
//bounce down = ema5 < ema13 and macdLine > -.5 and adx > 20 and signalLine < 0 and macdSlope < 0 and rsiSignal < 60
//White L's indicate that 5 of 6 conditions are met due to impending uptrend w/ missing one in green below it
//Yellow L's indicate that 6 of 6 conditions still are met
//White S's indicate that 5 of 6 conditions are met due to impending downtrend w/ missing condition in red above it
//Yellow S's indicate that 6 of 6 conditions still are met
//After a downtrend or uptrend is established, once it closes it can't repeat for 10 minutes
//Won't open any trades on last two minutes of any hours to avoid volatility
//Will close any open trades going into last minute of hour

// Initialize variables
var float long_entry_price = na
var float short_entry_price = na
var float stop_loss = na
var float take_profit = na
var float short_stop_loss = na
var float short_take_profit = na
var float option_SL = 0.3 //approx 15 cents on SPY 1 DTE
var float option_TP = 0.3 //approx 15 cents on SPY 1 DTE
var long_entry_time = 0
var short_entry_time = 0
var allow_long_entry = true
var allow_short_entry = true
var allow_trades = true
var hourlyclose = 0
var notify = 0
var shortnotify = 0

// Calculate the EMAs & SMAs
ema5 = ta.ema(close, 5)
ema13 = ta.ema(close, 13)
sma20 = ta.sma(close, 20)

// Input parameters
fastLength = input.int(12, minval=1, title="Fast Length")
slowLength = input.int(26, minval=1, title="Slow Length")
signalLength = input.int(9, minval=1, title="Signal Smoothing")

// Inputs
length = input.int(14, "Length")
smoothK = input.int(3, "SmoothK")
src = input(close, "Source")
overbought = input.float(80, "Overbought")
oversold = input.float(20, "Oversold")

//Stochastic Calculation
highestHigh = ta.highest(src, length)
lowestLow = ta.lowest(src, length)
k = 100 * ((src - lowestLow) / (highestHigh - lowestLow))
d = ta.sma(k, smoothK)

// Calculate MACD
[macdLines, signalLines, _] = ta.macd(close, fastLength, slowLength, signalLength)

// Calculate slope of MACD line
macdSlope = (macdLines - macdLines[1]) / (bar_index - bar_index[1])

// Calculate the RSI
rsiValue = ta.rsi(close, 5)

// Calculate the signal line as the SMA of the RSI for 5 minute over 9 periods
rsiSignal = ta.sma(rsiValue, 9)

// Calculate MACD
[macdLine, signalLine, _] = ta.macd(close, 12, 26, 9)

// Length of the ATR
atr_length = input.int(14, title="ATR Length", minval=1)

// Calculate the True Range
tr = ta.tr(true)

// Calculate the ATR
atr = ta.atr(atr_length)

// Length of the ADX
len = input.int(14, minval=1)

// Set minimum number of bars between trades
min_bars_between_trades = 10

// Calculate the Directional Movement
up = ta.change(high)
down = -ta.change(low)
plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)

// Calculate the Smoothed Directional Movement
plusDI = 100 * ta.ema(plusDM, len) / ta.ema(tr, len)
minusDI = 100 * ta.ema(minusDM, len) / ta.ema(tr, len)

// Calculate the Directional Index (DX)
DX = 100 * math.abs(plusDI - minusDI) / (plusDI + minusDI)

// Calculate the ADX
adx = ta.ema(DX, len)

// Get high, low, and close prices
highPrice = high
lowPrice = low
closePrice = close

// Determine buy and sell signals - Tried to optimize as much as possible - changing these do impact results
buy_signal = ema5 > ema13 and macdLine < .5 and adx > 20 and macdSlope > 0 and signalLine > -.1 and rsiSignal > 40
short_buy_signal = ema5 < ema13 and macdLine > -.5 and adx > 20 and signalLine < 0 and macdSlope < 0 and rsiSignal < 60

// Define long entry conditions
C1 = ema5 > ema13 ? 1 : 0 //E below bar when only one missing
C2 = d < 70 ? 1 : 0 //no longer part of signal - but was Smoothed Stoicastic
C3 = macdLine < .5 ? 1 : 0 //M below bar when only one missing
C4 = adx > 20 ? 1 : 0 //A below bar when only one missing
C5 = macdSlope > 0 ? 1 : 0 //% below bar when only one missing
C6 = signalLine > -.01 ? 1 : 0 //S (MACD Signal) below bar when only one missing
C7 = rsiSignal > 50 ? 1 : 0 //R below bar when only one missing

// Define short entry conditions
C8 = ema5 < ema13 ? 1 : 0 //E above bar when only one missing
C9 = d > 40 ? 1 : 0 //no longer part of signal - but was Smoothed Stoicastic
C10 = macdLine > -0.5 ? 1 : 0 //M above bar when only one missing
C11 = adx > 20 ? 1 : 0 //A above bar when only one missing
C12 = macdSlope < 0 ? 1 : 0 //% above bar when only one missing
C13 = signalLine < 0 ? 1 : 0 //S (MACD Signal) above bar when only one missing
C14 = rsiSignal < 50 ? 1 : 0 //R above bar when only one missing

// Long or Short Incoming denoted by white color and gold means all conditions met
plotchar((C1 + C3 + C4 + C5 + C6 + C7) == 5 ? 1 : na, title="Pivot Up White", char="L", location=location.belowbar, color=color.white, size = size.tiny)
plotchar((C8 + C10 + C11 + C12 + C13 + C14) == 5 ? 1 : na, title="Pivot Down White", char="S", location=location.abovebar, color=color.white, size = size.tiny)
plotchar((C1 + C3 + C4 + C5 + C6 + C7) > 5 ? 1 : na, title="Pivot Up Gold", char="L", location=location.belowbar, color=color.yellow, size = size.tiny)
plotchar((C8 + C10 + C11 + C12 + C13 + C14) > 5 ? 1 : na, title="Pivot Down Gold", char="S", location=location.abovebar, color=color.yellow, size = size.tiny)
plotchar((C1 + C3 + C4 + C5 + C6 + C7) >= 5 and (C1) != 1 ? 1 : na, title="Missing", char = "", text="E", location=location.belowbar, color=color.green, size = size.small)
plotchar((C1 + C3 + C4 + C5 + C6 + C7) >= 5 and (C3) != 1 ? 1 : na, title="Missing", char = "", text="M", location=location.belowbar, color=color.green, size = size.small)
plotchar((C1 + C3 + C4 + C5 + C6 + C7) >= 5 and (C4) != 1 ? 1 : na, title="Missing", char = "", text="A", location=location.belowbar, color=color.green, size = size.small)
plotchar((C1 + C3 + C4 + C5 + C6 + C7) >= 5 and (C5) != 1 ? 1 : na, title="Missing", char = "", text="%", location=location.belowbar, color=color.green, size = size.small)
plotchar((C1 + C3 + C4 + C5 + C6 + C7) >= 5 and (C6) != 1 ? 1 : na, title="Missing", char = "", text="S", location=location.belowbar, color=color.green, size = size.small)
plotchar((C1 + C3 + C4 + C5 + C6 + C7) >= 5 and (C7) != 1 ? 1 : na, title="Missing", char = "", text="R", location=location.belowbar, color=color.green, size = size.small)
plotchar((C8 + C10 + C11 + C12 + C13 + C14) >= 5 and (C8) != 1 ? 1 : na, title="Missing", char = "", text="E", location=location.abovebar, color=color.red, size = size.small)
plotchar((C8 + C10 + C11 + C12 + C13 + C14) >= 5 and (C10) != 1 ? 1 : na, title="Missing", char = "", text="M", location=location.abovebar, color=color.red, size = size.small)
plotchar((C8 + C10 + C11 + C12 + C13 + C14) >= 5 and (C11) != 1 ? 1 : na, title="Missing", char = "", text="A", location=location.abovebar, color=color.red, size = size.small)
plotchar((C8 + C10 + C11 + C12 + C13 + C14) >= 5 and (C12) != 1 ? 1 : na, title="Missing", char = "", text="%", location=location.abovebar, color=color.red, size = size.small)
plotchar((C8 + C10 + C11 + C12 + C13 + C14) >= 5 and (C13) != 1 ? 1 : na, title="Missing", char = "", text="S", location=location.abovebar, color=color.red, size = size.small)
plotchar((C8 + C10 + C11 + C12 + C13 + C14) >= 5 and (C14) != 1 ? 1 : na, title="Missing", char = "", text="R", location=location.abovebar, color=color.red, size = size.small)

// Execute buy and sell orders
if buy_signal and allow_trades and allow_long_entry  //Don't buy on last 2 minutes of hour
    long_entry_price := open
    strategy.entry("Pivot Up", strategy.long)
    stop_loss := long_entry_price - option_SL
    take_profit := long_entry_price + option_TP
    long_entry_time := time
    allow_long_entry := false
    allow_trades := false
    notify := 1
plotshape(notify == 1 ? 1 : na, "Pivot Up", style=shape.triangleup, offset = 1, location=location.belowbar, size=size.normal, textcolor = color.orange, color=color.orange)
if notify == 1
    notify := notify - 1

if short_buy_signal and allow_trades and allow_short_entry  //Don't buy on last 2 minutes of hour
    short_entry_price := open
    strategy.entry("Pivot Down", strategy.short)
    short_stop_loss := short_entry_price + option_SL
    short_take_profit := short_entry_price - option_TP
    short_entry_time := time
    allow_short_entry := false
    allow_trades := false
    shortnotify := 1
plotshape(shortnotify == 1 ? 1 : na, "Pivot Down", style=shape.triangledown, offset = 1, location=location.abovebar, size=size.normal, textcolor = color.orange, color=color.orange)
if shortnotify == 1
    shortnotify := shortnotify - 1

// Take scalp when in a position and 5 or more parameters are met!
if strategy.position_size != 0 and (C1 + C3 + C4 + C5 + C6 + C7) >5
    strategy.exit("Exit Longs", "Pivot Up", stop=stop_loss, limit = take_profit)
else if strategy.position_size != 0 and (C8 + C10 + C11 + C12 + C13 + C14) >5
    strategy.exit("Exit Shorts", "Pivot Down", stop=short_stop_loss, limit = short_take_profit)

// Reset allow_trades after cool-down period of min_bars_between_trades bars set above
if time > long_entry_time + (time - time[1]) * min_bars_between_trades
    allow_long_entry := true
    allow_trades := true

if time > short_entry_time + (time - time[1]) * min_bars_between_trades
    allow_short_entry := true
    allow_trades := true

// Close all positions at the end of the trading day and when volatile hours approach!
if  strategy.position_size != 0
    strategy.close("Pivot Up")
    strategy.close("Pivot Down")
    hourlyclose := 1
plotshape(hourlyclose == 1 ? 1 : na, "Suggested Volatile Hour Close", text="Suggested Volatile Hour Close", offset = 1, style=shape.triangledown, location=location.abovebar, size=size.tiny, textcolor = color.orange, color=color.orange)
if hourlyclose == 1
    hourlyclose := hourlyclose - 1
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