ChaoZhang
1
fokus pada
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Pengikut
Ringkasan
Strategi ini adalah sistem perdagangan cerdas yang didasarkan pada beberapa rata-rata bergerak dan intensitas tren. Ini mengukur intensitas tren pasar dengan menganalisis tingkat penyimpangan antara harga dan rata-rata bergerak berkala yang berbeda, dan dikombinasikan dengan indikator volatilitas ATR untuk manajemen posisi dan kontrol risiko.
Prinsip Strategi
Logika inti dari strategi ini didasarkan pada aspek-aspek berikut:
- Menggunakan moving averages dengan dua periode yang berbeda (cepat dan lambat) untuk mengidentifikasi arah tren dan sinyal silang
- Kuantitaskan intensitas tren dengan menghitung deviasi harga dari rata-rata bergerak (dihitung dengan poin)
- Gabungan bentuk garis K ((menelan, kalung, bintang menembak, bintang salib, dll.) sebagai sinyal konfirmasi tambahan
- Perhitungan stop loss dan target profit menggunakan indikator ATR
- Manajemen pesanan dengan cara profit-sharing dan tracking stop loss
Keunggulan Strategis
- Sistem ini memiliki kemampuan beradaptasi yang sangat kuat, dapat disesuaikan dengan berbagai kondisi pasar melalui parameter
- Mengukur kekuatan tren dengan deviasi, menghindari sering berdagang saat tren lemah
- Meningkatkan keandalan sinyal perdagangan dengan kombinasi dari beberapa indikator teknis dan konfirmasi bentuk
- Menggunakan metode stop loss dinamis berbasis ATR untuk mengontrol risiko
- Dukungan untuk dua jenis manajemen dana, yaitu recovery dan fixed position
- Fitur profit-taking dan tracking stop loss, efektif melindungi profit
Risiko Strategis
- Lebih banyak sinyal palsu dapat dihasilkan di pasar yang bergoyang, disarankan untuk menambahkan filter indikator goyang
- Kombinasi beberapa indikator dapat menyebabkan kehilangan beberapa peluang perdagangan
- Parameter yang terlalu dioptimalkan dapat menyebabkan risiko overfitting
- Di pasar yang kurang likuid, transaksi besar mungkin berisiko tergelincir
- Stop Loss Ratio yang wajar diperlukan untuk menghindari kerugian tunggal yang berlebihan
Arah optimasi strategi
- Indikator volume transaksi dapat ditambahkan sebagai indikator tambahan untuk konfirmasi tren
- Pertimbangan untuk memperkenalkan indikator volatilitas pasar untuk menyesuaikan frekuensi transaksi secara dinamis
- Menyaring sinyal berdasarkan konsistensi tren dari periode waktu yang berbeda
- Menambahkan lebih banyak opsi stop loss, seperti stop loss waktu
- Mengembangkan mekanisme optimasi parameter adaptif untuk meningkatkan kemampuan adaptasi strategi
Meringkaskan
Strategi ini membangun sistem perdagangan yang komprehensif dengan menggabungkan moving averages, kuantitas intensitas tren, bentuk K-line, dan manajemen risiko dinamis. Strategi ini mempertahankan kesederhanaan logika strategi dan meningkatkan keandalan perdagangan melalui mekanisme konfirmasi ganda. Strategi ini sangat dapat disesuaikan sehingga dapat beradaptasi dengan gaya perdagangan dan lingkungan pasar yang berbeda, tetapi perlu memperhatikan pengoptimalan parameter dan pengendalian risiko.
Kode Sumber Strategi
/*backtest
start: 2024-12-03 00:00:00
end: 2024-12-10 00:00:00
period: 10m
basePeriod: 10m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Customizable Strategy with Signal Intensity Based on Pips Above/Below MAs", overlay=true)
// Customizable Inputs
// Account and Risk Management
account_size = input.int(100000, title="Account Size (USD)", minval=1)
compounded_results = input.bool(true, title="Compounded Results")
risk_per_trade = input.float(1.0, title="Risk per Trade (%)", minval=0.1, maxval=100) / 100
// Moving Averages Settings
ma1_length = input.int(50, title="Moving Average 1 Length", minval=1)
ma2_length = input.int(200, title="Moving Average 2 Length", minval=1)
// Higher Time Frame for Moving Averages
ma_htf = input.timeframe("D", title="Higher Time Frame for MA Delay")
// Signal Intensity Range based on pips
signal_intensity_min = input.int(0, title="Signal Intensity Start (Pips)", minval=0, maxval=1000)
signal_intensity_max = input.int(1000, title="Signal Intensity End (Pips)", minval=0, maxval=1000)
// ATR-Based Stop Loss and Take Profit
atr_length = input.int(14, title="ATR Length", minval=1)
atr_multiplier_stop = input.float(1.5, title="Stop Loss Size (ATR Multiplier)", minval=0.1)
atr_multiplier_take_profit = input.float(2.5, title="Take Profit Size (ATR Multiplier)", minval=0.1)
// Trailing Stop and Partial Profit
trailing_stop_rr = input.float(2.0, title="Trailing Stop (R:R)", minval=0)
partial_profit_percentage = input.float(50, title="Take Partial Profit (%)", minval=0, maxval=100)
// Trend Filter Settings
trend_filter_enabled = input.bool(true, title="Trend Filter Enabled")
trend_filter_sensitivity = input.float(50, title="Trend Filter Sensitivity", minval=0, maxval=100)
// Candle Pattern Type for Entry
entry_candle_type = input.string("Any", title="Entry Candle Type", options=["Any", "Engulfing", "Hammer", "Shooting Star", "Doji"])
// Moving Average Entry Conditions
ma_entry_condition = input.string("Both", title="MA Entry", options=["Fast Above Slow", "Fast Below Slow", "Both"])
// Trade Direction (Long, Short, or Both)
trade_direction = input.string("Both", title="Trade Direction", options=["Long", "Short", "Both"])
// ATR Calculation
atr_value = ta.atr(atr_length)
// Moving Average Calculations (using Higher Time Frame)
ma1_htf = ta.sma(request.security(syminfo.tickerid, ma_htf, close), ma1_length)
ma2_htf = ta.sma(request.security(syminfo.tickerid, ma_htf, close), ma2_length)
// Candle Pattern Conditions
is_engulfing = close[1] < open[1] and close > open and high > high[1] and low < low[1]
is_hammer = (high - low) > 3 * (close - open) and (close > open) and (low == ta.lowest(low, 5))
is_shooting_star = (high - low) > 3 * (open - close) and (open > close) and (high == ta.highest(high, 5))
is_doji = (close - open) <= ((high - low) * 0.1)
// Apply the selected candle pattern
candle_condition = false
if entry_candle_type == "Any"
candle_condition := true
if entry_candle_type == "Engulfing"
candle_condition := is_engulfing
if entry_candle_type == "Hammer"
candle_condition := is_hammer
if entry_candle_type == "Shooting Star"
candle_condition := is_shooting_star
if entry_candle_type == "Doji"
candle_condition := is_doji
// Moving Average Entry Conditions
ma_cross_above = ta.crossover(ma1_htf, ma2_htf)
ma_cross_below = ta.crossunder(ma1_htf, ma2_htf)
// Calculate pips distance to MAs and normalize it for signal intensity
pip_size = syminfo.mintick * 10 // Assuming Forex; for other asset classes, modify as needed
// Calculate distances in pips between price and MAs
distance_to_ma1_pips = math.abs(close - ma1_htf) / pip_size
distance_to_ma2_pips = math.abs(close - ma2_htf) / pip_size
// Calculate signal intensity based on the pips distance
// Normalize the signal intensity between the user-specified min and max
signal_intensity = math.min(math.max((distance_to_ma1_pips + distance_to_ma2_pips), signal_intensity_min), signal_intensity_max)
// Trend Filter Condition (Optional)
trend_condition = false
if trend_filter_enabled
trend_condition := ta.sma(close, ma2_length) > ta.sma(close, ma2_length + int(trend_filter_sensitivity))
// Entry Conditions Based on MA, Candle Patterns, and Trade Direction
long_condition = (trade_direction == "Long" or trade_direction == "Both") and (ma_entry_condition == "Fast Above Slow" or ma_entry_condition == "Both") and ma_cross_above and candle_condition and (not trend_filter_enabled or trend_condition) and signal_intensity > signal_intensity_min
short_condition = (trade_direction == "Short" or trade_direction == "Both") and (ma_entry_condition == "Fast Below Slow" or ma_entry_condition == "Both") and ma_cross_below and candle_condition and (not trend_filter_enabled or not trend_condition) and signal_intensity > signal_intensity_min
// Position Sizing Based on Risk Per Trade and ATR for Stop Loss
risk_amount = account_size * risk_per_trade
stop_loss_atr = atr_multiplier_stop * atr_value
// Calculate the position size based on the risk amount and ATR stop loss
position_size = risk_amount / stop_loss_atr
// If compounded results are not enabled, adjust position size for non-compounded returns
if not compounded_results
position_size := position_size / account_size * 100000 // Adjust for non-compounded results
// Convert take profit and stop loss from ATR to USD
pip_value = syminfo.mintick * 10 // Assuming Forex; for other asset classes, modify as needed
take_profit_atr = atr_multiplier_take_profit * atr_value
take_profit_usd = (take_profit_atr * pip_value) * position_size
stop_loss_usd = (stop_loss_atr * pip_value) * position_size
// Trailing Stop
trail_stop_level = trailing_stop_rr * stop_loss_atr
// Initialize long_box_id and short_box_id as boxes (not ints)
var box long_box_id = na
var box short_box_id = na
// Track Monthly Profit
var float monthly_profit = 0.0
if (month(timenow) != month(timenow[1])) // New month
monthly_profit := 0
// Long Trade Management
if long_condition
strategy.entry("Long", strategy.long, qty=position_size)
// Partial Profit at 50% position close when 1:1 risk/reward
strategy.exit("Partial Profit", from_entry="Long", limit=strategy.position_avg_price + stop_loss_atr, qty_percent=partial_profit_percentage / 100)
// Full take profit and stop loss with trailing stop
strategy.exit("Take Profit Long", from_entry="Long", limit=strategy.position_avg_price + take_profit_atr, stop=strategy.position_avg_price - stop_loss_atr, trail_offset=trail_stop_level)
// Delete the old box if it exists
if not na(long_box_id)
box.delete(long_box_id)
// Plot Take Profit and Stop Loss for Long Positions
// long_box_id := box.new(left=bar_index - 1, top=strategy.position_avg_price + take_profit_atr, right=bar_index, bottom=strategy.position_avg_price - stop_loss_atr, bgcolor=color.new(color.green, 90), border_width=1, border_color=color.new(color.green, 0))
// Short Trade Management
if short_condition
strategy.entry("Short", strategy.short, qty=position_size)
// Partial Profit at 50% position close when 1:1 risk/reward
strategy.exit("Partial Profit", from_entry="Short", limit=strategy.position_avg_price - stop_loss_atr, qty_percent=partial_profit_percentage / 100)
// Full take profit and stop loss with trailing stop
strategy.exit("Take Profit Short", from_entry="Short", limit=strategy.position_avg_price - take_profit_atr, stop=strategy.position_avg_price + stop_loss_atr, trail_offset=trail_stop_level)
// Delete the old box if it exists
// if not na(short_box_id)
// box.delete(short_box_id)
// Plot Take Profit and Stop Loss for Short Positions
// short_box_id := box.new(left=bar_index - 1, top=strategy.position_avg_price + stop_loss_atr, right=bar_index, bottom=strategy.position_avg_price - take_profit_atr, bgcolor=color.new(color.red, 90), border_width=1, border_color=color.new(color.red, 0))
// Plot MAs and Signals
plot(ma1_htf, color=color.blue, title="MA1 (HTF)")
plot(ma2_htf, color=color.red, title="MA2 (HTF)")
plotshape(series=long_condition, location=location.belowbar, color=color.green, style=shape.labelup, title="Buy Signal", text="BUY")
plotshape(series=short_condition, location=location.abovebar, color=color.red, style=shape.labeldown, title="Sell Signal", text="SELL")