ChaoZhang
1
fokus pada
1617
Pengikut
Ini adalah strategi perdagangan momentum komprehensif yang didasarkan pada beberapa indikator persilangan rata-rata bergerak dan indikator harga volume. Strategi ini menghasilkan sinyal perdagangan berdasarkan kombinasi crossover rata-rata pergerakan eksponensial (EMA) cepat dan lambat, harga rata-rata tertimbang volume (VWAP) dan SuperTrend, sementara juga menggabungkan jendela waktu perdagangan intraday dan Kondisi seperti rentang perubahan harga digunakan untuk mengontrol entri dan keluar.
Prinsip Strategi
Strategi ini menggunakan EMA 5 hari dan 13 hari sebagai indikator penilaian tren utama. Ketika EMA cepat melintasi di atas EMA lambat dan harga penutupan di atas VWAP, sinyal beli dipicu; ketika EMA cepat melintasi di bawah EMA lambat dan harga penutupan di bawah VWAP, sinyal beli dipicu. Ketika turun, sinyal jual dipicu. Pada saat yang sama, strategi ini juga memperkenalkan indikator SuperTrend sebagai dasar untuk konfirmasi tren dan stop loss. Strategi ini menetapkan kondisi masuk yang berbeda untuk hari perdagangan yang berbeda, termasuk rentang perubahan harga dibandingkan dengan harga penutupan hari perdagangan sebelumnya, rentang fluktuasi harga tertinggi dan terendah hari itu, dll.
Keunggulan Strategis
- Penggunaan beberapa indikator teknis yang terkoordinasi meningkatkan keandalan sinyal perdagangan
- Tetapkan kondisi masuk yang berbeda untuk hari perdagangan yang berbeda untuk lebih beradaptasi dengan karakteristik pasar
- Mengadopsi mekanisme stop-profit dan stop-loss yang dinamis dapat secara efektif mengendalikan risiko
- Dikombinasikan dengan pembatasan jendela waktu perdagangan intraday, risiko periode volatilitas tinggi dapat dihindari
- Dengan membatasi titik tinggi dan rendah sebelumnya serta rentang fluktuasi harga, risiko mengejar harga tinggi dan menjual harga rendah berkurang.
Risiko Strategis
- Sinyal palsu mungkin muncul dalam kondisi pasar yang bergerak cepat
- Mungkin ada jeda pada tahap awal pembalikan tren
- Optimasi parameter mungkin memiliki risiko overfitting
- Biaya transaksi dapat mempengaruhi pengembalian strategi
- Pasar mungkin menghadapi penurunan besar selama periode volatilitas tinggi
Arah optimasi strategi
- Pertimbangkan untuk memperkenalkan indikator analisis volume untuk lebih mengonfirmasi kekuatan tren
- Optimalkan pengaturan parameter untuk hari perdagangan yang berbeda untuk meningkatkan kemampuan beradaptasi strategi
- Tambahkan lebih banyak indikator sentimen pasar untuk meningkatkan akurasi prediksi
- Meningkatkan mekanisme stop profit dan stop loss untuk meningkatkan efisiensi pemanfaatan modal
- Pertimbangkan untuk menambahkan indikator volatilitas untuk mengoptimalkan manajemen posisi
Meringkaskan
Strategi ini menggabungkan pelacakan tren dan perdagangan momentum melalui penggunaan komprehensif berbagai indikator teknis. Desain strategi sepenuhnya mempertimbangkan keragaman pasar dan mengadopsi aturan perdagangan yang berbeda untuk hari perdagangan yang berbeda. Melalui pengendalian risiko yang ketat dan mekanisme stop-profit dan stop-loss yang fleksibel, strategi ini menunjukkan nilai penerapan praktis yang baik. Di masa mendatang, stabilitas dan profitabilitas strategi dapat ditingkatkan dengan memperkenalkan lebih banyak indikator teknis dan mengoptimalkan pengaturan parameter.
Kode Sumber Strategi
/*backtest
start: 2019-12-23 08:00:00
end: 2025-01-04 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
//@version=6
strategy("S1", overlay=true)
fastEMA = ta.ema(close, 5)
slowEMA = ta.ema(close,13)
ema9 = ta.ema(close, 9)
ema100 = ta.ema(close, 100)
ema5 = ta.ema(close, 5)
ema200 = ta.ema(close, 200)
ma = ta.sma(close, 50)
mult = input.float(defval=3)
len = input.int(defval=11)
[superTrend, dir] = ta.supertrend(mult, len)
vwap1= ta.vwap(hlc3)
plot(slowEMA,color = color.green)
plot(fastEMA,color = color.black)
plot(vwap1, color = color.blue)
var dailyTaskDone = false
var gapdown = false
var gapup = false
var runup = 0.0
var biggapdown = false
var biggapup = false
var prevDayClose = 0.0
var todayLow = 0.0
var todayHigh = 0.0
var noBuyNow = false
var noSellNow = false
var buyPrice = 0.0
var sellPrice = 0.0
var todayBuyDone = false
var todaySellDone = false
var dragonflyDoji = false
var candleCount = 0
var candleCount1 = 0
var lastTrade = 9
var lastFiveCandles = false
var lastSevenCandlesS = false
var fiveEMACC = 0
candleCount := candleCount + 1
candleCount1 := candleCount1 + 1
if fiveEMACC > 0
fiveEMACC := fiveEMACC + 1
if fiveEMACC == 6
fiveEMACC := 0
if strategy.openprofit == 0
candleCount := 0
if hour == 9 and minute ==15
prevDayClose := close[1]
todayLow := low
todayHigh := high
lastTrade := 9
if hour == 9 and minute ==15 and (open - close[1]) > close*0.01
gapup := true
if hour == 9 and minute ==15 and (open - close[1]) < close*0.005*-1
gapdown := true
if hour == 9 and minute ==15 and (close - close[1]) > 200
biggapup := true
if hour == 9 and minute ==15 and (close - close[1]) < 200
biggapdown := true
if low < todayLow
todayLow := low
candleCount1 := 0
if high > todayHigh
todayHigh := high
if close > todayLow + 200
noBuyNow := true
if close < todayHigh - 200//0.01*close
noSellNow := false
lastFiveCandles := (close[4]<open[4] or close[3]<open[3] or close[2] < open[2] or close[1]<open[1])
lastSevenCandlesS := (close[6]>open[6] or close[5]>open[5] or close[4]>open[4] or close[3]>open[3] or close[2] > open[2] or close[1]>open[1])
if hour == 15
dailyTaskDone := false
gapdown := false
gapup := false
biggapup := false
biggapdown := false
noBuyNow := false
noSellNow := false
todayLow := 0.0
todayHigh := 0.0
buyPrice := 0.0
sellPrice := 0.0
todayBuyDone := false
todaySellDone := false
dragonflyDoji := false
lastTrade := 9
// if fastEMA < slowEMA and lastTrade == 1 and strategy.openprofit==0
// lastTrade := 9
if fastEMA > slowEMA and lastTrade == 0 and strategy.openprofit==0
lastTrade := 9
buy = (dayofweek==dayofweek.thursday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1]) or
(dayofweek==dayofweek.monday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.011) or
(dayofweek==dayofweek.tuesday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1] and lastFiveCandles and close-prevDayClose < close*0.015 and close-todayLow < close*0.012) or
(dayofweek==dayofweek.wednesday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close-prevDayClose < close*0.015 and (hour!=9 or minute>=35) and close-todayLow < close*0.012) or
(dayofweek==dayofweek.friday and ((fastEMA - slowEMA > close*0.001))and close > vwap1 and close[1] > vwap1[1] and (hour!=9 or minute>=35))
sell= (dayofweek==dayofweek.thursday and (hour!=9 or minute>=35) and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and lastSevenCandlesS and close[1] < vwap1[1]) or
(dayofweek==dayofweek.monday and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.008 and todayHigh-close[1] < close * 0.01 ) or
(dayofweek==dayofweek.tuesday and (hour!=9 or minute>=35) and (open - low < 2*(high-close)) and (close-open<10) and not dragonflyDoji and (slowEMA - fastEMA > close*0.00089) and close < vwap1 and close[1] < vwap1[1] and prevDayClose-close<close*0.012 and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
(dayofweek==dayofweek.wednesday and (hour!=9 or minute>=40) and close<open and (slowEMA - fastEMA > close*0.00089) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (close-todayLow>30 or candleCount1<1) ) or
(dayofweek==dayofweek.friday and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (hour!=9 or minute>=55) )
// buy = (dayofweek==dayofweek.thursday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1]) or
// (dayofweek==dayofweek.monday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.011) or
// (dayofweek==dayofweek.tuesday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1] and lastFiveCandles and close-prevDayClose < close*0.015 and close-todayLow < close*0.012) or
// (dayofweek==dayofweek.wednesday and (fastEMA > slowEMA) and close > vwap1 and close-prevDayClose < close*0.015 and (hour!=9 or minute>=35) and close-todayLow < close*0.012) or
// (dayofweek==dayofweek.friday and ((fastEMA > slowEMA))and close > vwap1 and close[1] > vwap1[1] and (hour!=9 or minute>=35))
// sell= (dayofweek==dayofweek.thursday and (hour!=9 or minute>=35) and ((slowEMA > fastEMA)) and close < vwap1 and lastSevenCandlesS and close[1] < vwap1[1]) or
// (dayofweek==dayofweek.monday and ((slowEMA > fastEMA)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.008 and todayHigh-close[1] < close * 0.01 ) or
// (dayofweek==dayofweek.tuesday and (hour!=9 or minute>=35) and (open - low < 2*(high-close)) and (close-open<10) and not dragonflyDoji and (slowEMA > fastEMA) and close < vwap1 and close[1] < vwap1[1] and prevDayClose-close<close*0.012 and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
// (dayofweek==dayofweek.wednesday and (hour!=9 or minute>=40) and close<open and (slowEMA > fastEMA) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (close-todayLow>30 or candleCount1<1) ) or
// (dayofweek==dayofweek.friday and ((slowEMA > fastEMA)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (hour!=9 or minute>=55) )
dragonflyDoji:= false
// (slowEMA - fastEMA > close*0.00089 or (slowEMA-fastEMA>close*0.00049 and (high[2]>vwap or high[1]>vwap)))
if sellPrice != 0 and runup < sellPrice - low
runup := sellPrice - low
if buyPrice != 0 and runup < high - buyPrice
//ourlabel = label.new(x=bar_index, y=na, text=tostring(runup), yloc=yloc.belowbar)
runup := high - buyPrice
NoBuySellTime = (hour == 15) or ((hour==14 and minute>=25)) or (hour==9 and minute<=35) or hour >= 14
//(fiveEMACC > 0 and low < fastEMA and close < vwap1)
buyexit = fastEMA<slowEMA or (close<superTrend and close < vwap1 and close[1] < vwap1[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000
sellexit = slowEMA<fastEMA or (close > vwap1 and close[1] > vwap1[1] and close>superTrend) //or strategy.openprofit > 400 or strategy.openprofit < -5000
exitPosition = (dayofweek==dayofweek.thursday and buyPrice!=0.0 and (high - buyPrice) > 50) or (dayofweek==dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > 80) or (dayofweek==dayofweek.monday and buyPrice !=0.0 and high-buyPrice > 30) or (dayofweek==dayofweek.monday and sellPrice!=0.0 and (sellPrice - low) > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday and buyPrice!=0.0 and (high - buyPrice) > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday and sellPrice!=0.0 and (sellPrice - low) > 30)
//code such that 2 fastema is > than 2 slowema
//exitPosition = (sellPrice!=0 and runup >21 and strategy.openprofit < -2000) or (candleCount > 18 and strategy.openprofit > 50 and strategy.openprofit < 1000) or (dayofweek==dayofweek.thursday and buyPrice!=0.0 and (high - buyPrice) > buyPrice * 0.007) or (dayofweek==dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > sellPrice * 0.007) or (dayofweek==dayofweek.monday and buyPrice !=0.0 and high-buyPrice > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday and buyPrice!=0.0 and (high - buyPrice) > buyPrice * 0.002) or (dayofweek!=dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > sellPrice * 0.002)
//(runup >21 and strategy.openprofit < -2000) or
if buy and fastEMA>vwap1 and (not todayBuyDone or lastTrade != 1) and not NoBuySellTime// and not dailyTaskDone //and (dayofweek==dayofweek.friday or (close-prevDayClose)<150)//and not biggapup
strategy.entry("buy", strategy.long)
//dailyTaskDone := true
if buyPrice == 0.0
fiveEMACC := 1
buyPrice := close
//ourlabel = label.new(x=bar_index, y=na, text=tostring(todayLow + 500), yloc=yloc.belowbar9
todayBuyDone := true
lastTrade := 1
runup := 0.0
if sell and (not todaySellDone or lastTrade != 0) and not NoBuySellTime// and not dailyTaskDone // and dayofweek!=dayofweek.friday //and (dayofweek==dayofweek.friday or (prevDayClose-close)<150)//and not biggapdown
strategy.entry("sell", strategy.short)
//dailyTaskDone := true
if sellPrice == 0.0
fiveEMACC := 1
sellPrice := close
todaySellDone := true
lastTrade := 0
runup := 0.0
// if ((fastEMA-slowEMA>18 and close>vwap and close[1]>vwap[1] and (not todayBuyDone or candleCount>12)) or (slowEMA-fastEMA>10 and close < vwap and close[1]<vwap[1] and (not todaySellDone or candleCount > 12))) and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(abs(prevDayClose-close)), yloc=yloc.belowbar)
IntraDay_SquareOff = minute >=15 and hour >= 15
if true and (IntraDay_SquareOff or exitPosition)
strategy.close("buy")
strategy.close("sell")
buyPrice := 0
sellPrice := 0
runup := 0.0
if buyexit
strategy.close("buy")
buyPrice := 0
if sellexit
strategy.close("sell")
sellPrice := 0
buy1 = ((dayofweek==dayofweek.thursday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1]) or
(dayofweek==dayofweek.monday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1]) or
(dayofweek==dayofweek.tuesday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and not gapup) or
(dayofweek==dayofweek.wednesday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.0085) or
(dayofweek==dayofweek.friday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and close - todayLow < close*0.012))
and dayofweek!=dayofweek.friday and (not todayBuyDone or lastTrade != 1) and not NoBuySellTime// and not dailyTaskDone //and (dayofweek==dayofweek.friday or (close-prevDayClose)<150)//and not biggapup
sell1= ((dayofweek==dayofweek.thursday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1]) or
(dayofweek==dayofweek.monday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.01 and todayHigh-close[1] < close * 0.01) or
(dayofweek==dayofweek.tuesday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not gapdown and not dragonflyDoji and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
(dayofweek==dayofweek.wednesday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and prevDayClose-close < 0.005*close) or
(dayofweek==dayofweek.friday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and prevDayClose-close < 0.005*close)) and
dayofweek!=dayofweek.friday and (not todaySellDone or lastTrade != 0) and not NoBuySellTime// and not dailyTaskDone
// if buy1 and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(fastEMA - slowEMA), yloc=yloc.belowbar)
// if sell1 and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(slowEMA - fastEMA), yloc=yloc.belowbar)
// buy = ((fastEMA > slowEMA and fastEMA[1] < slowEMA[1]) and (fastEMA - slowEMA) > 10) or ((fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]) and (fastEMA - slowEMA) > 20)
// sell= ((fastEMA < slowEMA and fastEMA[1] > slowEMA[1] ) and (slowEMA - fastEMA) > 10) or ((fastEMA < slowEMA and fastEMA[1] < slowEMA[1] and fastEMA[2] > slowEMA[2]) and (slowEMA - fastEMA) > 20)
// buy = (fastEMA > slowEMA and fastEMA[1] < slowEMA[1])
// sell= (fastEMA < slowEMA and fastEMA[1] > slowEMA[1] )
// buy = ((fastEMA > slowEMA and fastEMA[1] < slowEMA[1]) and (fastEMA - slowEMA) > 10) or ((fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]) and (fastEMA - slowEMA) > 1)
// sell= ((fastEMA < slowEMA and fastEMA[1] > slowEMA[1] ) and (slowEMA - fastEMA) > 5)
// buy = fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]
// sell= fastEMA < slowEMA and fastEMA[1] < slowEMA[1] and fastEMA[2] > slowEMA[2]
//Daily chart
// buyexit = (close + 40 < slowEMA)//rsi > 65 and fastEMA > ema9 // fastEMA > ema9// close < fastEMA//(rsi > 65 and close < fastEMA and fastEMA > ema3 and close > ema200) //strategy.openprofit < -10000 and slowEMA > ema3 and slowEMA[1] < ema3[1] and 1==2
// sellexit = (close - 40 > slowEMA)//rsi < 35 // and close > ema200) or (rsi < 35 and close < ema200 and fastEMA < ema3) //strategy.openprofit < -10000 and fastEMA < ema3 and fastEMA[1] > ema3[1] and 1==2
// buyexit = (close < superTrend)// and (close < vwap1 and close[1] < vwap1[1] and close < close[1])//and close[2] < vwap1[2]//rsi > 65 and close < fastEMA// fastEMA > ema9// close < fastEMA//(rsi > 65 and close < fastEMA and fastEMA > ema3 and close > ema200) //strategy.openprofit < -10000 and slowEMA > ema3 and slowEMA[1] < ema3[1] and 1==2
// sellexit = (close > superTrend)// and (close > vwap1 and close[1] > vwap1[1] and close > close[1]) //and close[2] > vwap1[2]//rsi < 35// and close > ema200) or (rsi < 35 and close < ema200 and fastEMA < ema3) //strategy.openprofit < -10000 and fastEMA < ema3 and fastEMA[1] > ema3[1] and 1==2
// buyexit = (close < superTrend and close < vwap1 and close[1] < vwap1[1] and close[1] < superTrend[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000
// sellexit = (close > superTrend and close > vwap1 and close[1] > vwap1[1] and close[1] > superTrend[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000