ChaoZhang
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Pengikut
Ringkasan
Strategi ini adalah sistem perdagangan bertingkat yang didasarkan pada momentum dan pelacakan tren. Ini mengidentifikasi peluang perdagangan bertingkat dengan probabilitas tinggi dengan menggabungkan indikator Williams Shark, Williams Split, Magic Shock Indicator (AO) dan Index Moving Average (EMA). Strategi ini menggunakan mekanisme investasi bertingkat dana, meningkatkan posisi secara bertahap ketika tren meningkat, dan maksimum 5 posisi dapat dipegang pada saat yang sama, dengan masing-masing menggunakan 10% dana.
Prinsip Strategi
Strategi ini menggunakan beberapa mekanisme penyaringan untuk memastikan keakuratan arah perdagangan. Pertama, melalui EMA untuk menilai tren jangka panjang, hanya mencari peluang untuk melakukan perdagangan jika harga berada di atas EMA. Kedua, dengan kombinasi Williams Sharp dan Segmented, untuk menilai tren jangka pendek, untuk mengkonfirmasi tren naik ketika terobosan Segmented terjadi di atas garis gigi Sharp.
Keunggulan Strategis
- Mekanisme penyaringan multi-lapisan efektif mengurangi gangguan sinyal palsu
- Ilmu pengelolaan dana, dengan cara bertahap.
- Fitur trend-following memungkinkan untuk menangkap tren besar
- Tidak ada stop loss tetap, tetapi menilai tren akhir melalui dinamika indikator teknis
- Sistem memiliki konfigurasi yang baik, sehingga parameter dapat disesuaikan dengan kondisi pasar yang berbeda
- Hasil pengamatan menunjukkan faktor keuntungan yang baik dan rata-rata keuntungan.
Risiko Strategis
- Di pasar yang bergejolak, sinyal palsu berturut-turut mungkin muncul.
- Retracement yang lebih besar mungkin terjadi ketika tren berbalik
- Beberapa kondisi penyaringan dapat menyebabkan kehilangan peluang perdagangan.
- Manajemen uang: Berpindah-pindah posisi dapat menimbulkan risiko pada saat volatilitas tinggi
- Pilihan parameter EMA memiliki pengaruh besar terhadap kinerja strategi
Untuk mengurangi risiko ini, disarankan untuk:
- Optimalisasi parameter dalam berbagai kondisi pasar
- Pertimbangkan untuk menambahkan filter tingkat fluktuasi
- Menciptakan kondisi yang lebih ketat
- Tetapkan batas maksimum penarikan
Arah optimasi strategi
- Masukkan filter fluktuasi untuk indikator ATR
- Tambahkan analisis volume perdagangan untuk meningkatkan keandalan sinyal
- Mengembangkan mekanisme adaptasi parameter dinamis
- Meningkatkan mekanisme penghentian, dan mengambil keuntungan tepat waktu saat tren melemah
- Menambahkan modul identifikasi status pasar, menggunakan parameter yang berbeda dalam lingkungan pasar yang berbeda
Meringkaskan
Ini adalah strategi pelacakan tren yang dirancang secara rasional, dengan penggunaan kombinasi dari beberapa indikator teknis, yang mencapai kinerja pendapatan yang baik sambil memastikan keamanan. Inovasi strategi adalah mekanisme pengakuan tren bertingkat dan metode manajemen dana yang bertahap. Meskipun ada beberapa tempat yang perlu dioptimalkan, secara keseluruhan ini adalah sistem perdagangan yang layak dicoba.
Kode Sumber Strategi
/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-04 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Skyrexio
//@version=6
//_______ <licence>
strategy(title = "MultiLayer Awesome Oscillator Saucer Strategy [Skyrexio]",
shorttitle = "AO Saucer",
overlay = true,
format = format.inherit,
pyramiding = 5,
calc_on_order_fills = false,
calc_on_every_tick = false,
default_qty_type = strategy.percent_of_equity,
default_qty_value = 10,
initial_capital = 10000,
currency = currency.NONE,
commission_type = strategy.commission.percent,
commission_value = 0.1,
slippage = 5,
use_bar_magnifier = true)
//_______ <constant_declarations>
var const color skyrexGreen = color.new(#2ECD99, 0)
var const color skyrexGray = color.new(#F2F2F2, 0)
var const color skyrexWhite = color.new(#FFFFFF, 0)
//________<variables declarations>
var int trend = 0
var float upFractalLevel = na
var float upFractalActivationLevel = na
var float downFractalLevel = na
var float downFractalActivationLevel = na
var float saucerActivationLevel = na
bool highCrossesUpfractalLevel = ta.crossover(high, upFractalActivationLevel)
bool lowCrossesDownFractalLevel = ta.crossunder(low, downFractalActivationLevel)
var int signalsQtyInRow = 0
//_______ <inputs>
// Trading bot settings
sourceUuid = input.string(title = "sourceUuid:", defval = "yourBotSourceUuid", group = "🤖Trading Bot Settings🤖")
secretToken = input.string(title = "secretToken:", defval = "yourBotSecretToken", group = "🤖Trading Bot Settings🤖")
// Trading period settings
lookBackPeriodStart = input(title = "Trade Start Date/Time", defval = timestamp('2023-01-01T00:00:00'), group = "🕐Trading Period Settings🕐")
lookBackPeriodStop = input(title = "Trade Stop Date/Time", defval = timestamp('2025-01-01T00:00:00'), group = "🕐Trading Period Settings🕐")
// Strategy settings
EMaLength = input.int(100, minval = 10, step = 10, title = "EMA Length", group = "📈Strategy settings📈")
//_______ <function_declarations>
//@function Used to calculate Simple moving average for Alligator
//@param src Sourse for smma Calculations
//@param length Number of bars to calculate smma
//@returns The calculated smma value
smma(src, length) =>
var float smma = na
sma_value = ta.sma(src, length)
smma := na(smma) ? sma_value : (smma * (length - 1) + src) / length
smma
//_______ <calculations>
//Upfractal calculation
upFractalPrice = ta.pivothigh(2, 2)
upFractal = not na(upFractalPrice)
//Downfractal calculation
downFractalPrice = ta.pivotlow(2, 2)
downFractal = not na(downFractalPrice)
//Calculating Alligator's teeth
teeth = smma(hl2, 8)[5]
//Calculating upfractal and downfractal levels
if upFractal
upFractalLevel := upFractalPrice
else
upFractalLevel := upFractalLevel[1]
if downFractal
downFractalLevel := downFractalPrice
else
downFractalLevel := downFractalLevel[1]
//Calculating upfractal activation level, downfractal activation level to approximate the trend and this current trend
if upFractalLevel > teeth
upFractalActivationLevel := upFractalLevel
if highCrossesUpfractalLevel
trend := 1
upFractalActivationLevel := na
downFractalActivationLevel := downFractalLevel
if downFractalLevel < teeth
downFractalActivationLevel := downFractalLevel
if lowCrossesDownFractalLevel
trend := -1
downFractalActivationLevel := na
upFractalActivationLevel := upFractalLevel
if trend == 1
upFractalActivationLevel := na
if trend == -1
downFractalActivationLevel := na
//Calculating filter EMA
filterEMA = ta.ema(close, EMaLength)
//Сalculating AO saucer signal
ao = ta.sma(hl2,5) - ta.sma(hl2,34)
diff = ao - ao[1]
saucerSignal = ao > ao[1] and ao[1] < ao[2] and ao > 0 and ao[1] > 0 and ao[2] > 0 and trend == 1 and close > filterEMA
//Calculating sauser activation level
if saucerSignal
saucerActivationLevel := high
else
saucerActivationLevel := saucerActivationLevel[1]
if not na(saucerActivationLevel[1]) and high < saucerActivationLevel[1] and diff > 0
saucerActivationLevel := high
saucerSignal := true
if (high > saucerActivationLevel[1] and not na(saucerActivationLevel)) or diff < 0
saucerActivationLevel := na
//Calculating number of valid saucer signal in current trading cycle
if saucerSignal and not saucerSignal[1]
signalsQtyInRow := signalsQtyInRow + 1
if not na(saucerActivationLevel[1]) and diff < 0 and na(saucerActivationLevel) and not (strategy.opentrades[1] <= strategy.opentrades - 1)
signalsQtyInRow := signalsQtyInRow - 1
if trend == -1 and trend[1] == 1
signalsQtyInRow := 0
//_______ <strategy_calls>
//Defining trade close condition
closeCondition = trend[1] == 1 and trend == -1
//Cancel stop buy order if current Awesome oscillator column lower, than prevoius
if diff < 0
strategy.cancel_all()
//Strategy entry
if (signalsQtyInRow == 1 and not na(saucerActivationLevel))
strategy.entry(id = "entry1", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')
if (signalsQtyInRow == 2 and not na(saucerActivationLevel))
strategy.entry(id = "entry2", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry2",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')
if (signalsQtyInRow == 3 and not na(saucerActivationLevel))
strategy.entry(id = "entry3", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry3",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')
if (signalsQtyInRow == 4 and not na(saucerActivationLevel))
strategy.entry(id = "entry4", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry4",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')
if (signalsQtyInRow == 5 and not na(saucerActivationLevel))
strategy.entry(id = "entry5", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry5",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')
//Strategy exit
if (closeCondition)
strategy.close_all(alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')
//_______ <visuals>
//Plotting shapes for adding to current long trades
gradPercent = if strategy.opentrades == 2
90
else if strategy.opentrades == 3
80
else if strategy.opentrades == 4
70
else if strategy.opentrades == 5
60
pricePlot = plot(close, title="Price", color=color.new(color.blue, 100))
teethPlot = plot(strategy.opentrades > 1 ? teeth : na, title="Teeth", color= skyrexGreen, style=plot.style_linebr, linewidth = 2)
fill(pricePlot, teethPlot, color = color.new(skyrexGreen, gradPercent))
if strategy.opentrades != 1 and strategy.opentrades[1] == strategy.opentrades - 1
label.new(bar_index, teeth, style = label.style_label_up, color = color.lime, size = size.tiny, text="Buy More", textcolor = color.black, text_formatting = text.format_bold)
//_______ <alerts>