ianzeng123
2
fokus pada
319
Pengikut
Ringkasan
Ini adalah strategi perdagangan kuantitatif yang didasarkan pada pola Three Line Strike dan Engulfing Pattern. Strategi ini menangkap titik-titik perubahan tren pasar dengan mengidentifikasi tiga pola K-line berturut-turut, dan menggabungkan beberapa indikator teknis untuk membuat keputusan perdagangan. Strategi ini merancang sistem identifikasi sinyal dan kontrol risiko yang lengkap, dan menyediakan pengaturan parameter yang sangat dapat disesuaikan.
Prinsip Strategi
Logika inti dari strategi ini didasarkan pada dua bentuk garis K utama:
- Triple Strike Form: Trend reversal dinilai dengan mengidentifikasi tiga garis K yang berbalik setelah tiga garis K yang berturut-turut. Formulir bullish terdiri dari tiga garis K merah yang berturut-turut turun diikuti oleh satu garis K yang menelan hijau yang lebih besar; Formulir bearish terdiri dari tiga garis K hijau yang berturut-turut naik diikuti oleh satu garis K yang menelan merah yang lebih besar.
- Senyap: Senyapnya K-line yang besar secara terpisah juga berfungsi sebagai sinyal tambahan. Strategi untuk mengidentifikasi Senyapnya K-line dilakukan dengan menghitung ukuran entitas dari K-line saat ini dengan K-line sebelumnya.
Keunggulan Strategis
- Identifikasi sinyal yang tepat: Strategi ini menggunakan metode perhitungan matematika yang ketat untuk menilai bentuk garis K, dan memastikan kualitas sinyal melalui pemfilteran kondisi ganda.
- Pengendalian risiko yang baik: pengaturan parameter risiko seperti modal awal, persentase kepemilikan, dan larangan masuk kembali.
- Ketinggian dapat disesuaikan: menyediakan banyak pengaturan parameter yang dapat dioptimalkan sesuai dengan karakteristik pasar dan kebutuhan transaksi yang berbeda.
- Dukungan visualisasi: memberikan tag grafis yang jelas dan informasi tip untuk memudahkan analisis dan pemantauan.
Risiko Strategis
- Tergantung pada kondisi pasar: Terlalu banyak sinyal palsu dapat dihasilkan di pasar yang bergejolak.
- Efek slippoint: titik masuk dari jalur K yang besar mungkin terkena dampak slippoint yang lebih besar.
- Risiko keterlambatan: Identifikasi bentuk membutuhkan lebih dari satu garis K untuk diselesaikan, dan kemungkinan kehilangan waktu masuk yang optimal.
Arah optimasi strategi
- Masukkan indikator lalu lintas: menggabungkan perubahan lalu lintas untuk menyaring kualitas sinyal.
- Optimalkan pengaturan stop loss: Sesuaikan posisi stop loss secara dinamis berdasarkan ATR atau volatilitas.
- Tambahkan filter tren: Tambahkan sistem garis rata untuk menilai tren keseluruhan.
- Perbaikan mekanisme penarikan diri: desain yang lebih fleksibel untuk menghasilkan keuntungan.
Meringkaskan
Strategi ini menangkap titik-titik penting pasar melalui metode analisis teknis yang sistematis, memiliki dasar teoritis yang kuat dan nilai operasional. Dengan pengoptimalan parameter dan perbaikan kontrol risiko, strategi ini dapat digunakan sebagai bagian penting dari sistem perdagangan yang kuat. Desain modular strategi juga memberikan dasar yang baik untuk pengoptimalan lebih lanjut.
Overview
This is a quantitative trading strategy based on Three Line Strike and Engulfing patterns. The strategy captures market turning points by identifying breakthrough reversal candlesticks following three consecutive candles, combining multiple technical indicators for trading decisions. It features a complete signal detection system and risk control mechanism, with highly customizable parameter settings.
Strategy Principle
The core logic is based on two main candlestick patterns:
- Three Line Strike Pattern: Identifies trend reversals through three consecutive same-direction candles followed by a reversal candle. Bullish pattern consists of three consecutive red candles followed by a large green engulfing candle; bearish pattern consists of three consecutive green candles followed by a large red engulfing candle.
- Engulfing Pattern: Large single engulfing candles serve as auxiliary signals. The strategy identifies engulfing patterns by comparing the body size of current and previous candles.
Strategy Advantages
- Precise Signal Identification: Uses strict mathematical calculations to judge candlestick patterns, ensuring signal quality through multiple condition filtering.
- Comprehensive Risk Control: Includes risk parameters like initial capital and position sizing, with pyramiding prevention.
- Highly Customizable: Offers rich parameter settings for optimization according to different market characteristics and trading needs.
- Visual Support: Provides clear graphical markers and alert messages for analysis and monitoring.
Strategy Risks
- Market Environment Dependency: May generate excessive false signals in ranging markets.
- Slippage Impact: Entry points for large engulfing candles may be subject to significant slippage.
- Delay Risk: Pattern recognition requires multiple candles, potentially missing optimal entry points.
Optimization Directions
- Incorporate Volume Indicators: Filter signal quality by combining volume changes.
- Optimize Stop Loss Settings: Dynamically adjust stop loss positions based on ATR or volatility.
- Add Trend Filtering: Implement moving average systems to judge overall trend.
- Improve Exit Mechanism: Design more flexible profit-taking conditions.
Summary
The strategy captures important market turning points through systematic technical analysis, with strong theoretical foundation and practical value. Through parameter optimization and risk control refinement, it can serve as an important component of a robust trading system. The modular design also provides a good foundation for further optimization.
Kode Sumber Strategi
/*backtest
start: 2024-03-09 18:40:00
end: 2025-02-19 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/
// Copyright ...
// Based on the TMA Overlay by Arty, converted to a simple strategy example.
// Pine Script v5
//@version=5
strategy(title='3 Line Strike [TTF] - Strategy',
shorttitle='3LS Strategy [TTF]',
overlay=true,
initial_capital=100000,
default_qty_type=strategy.percent_of_equity,
default_qty_value=100,
pyramiding=0)
// -----------------------------------------------------------------------------
// INPUTS
// -----------------------------------------------------------------------------
//
// ### 3 Line Strike
//
showBear3LS = input.bool(title='Show Bearish 3 Line Strike', defval=true, group='3 Line Strike',
tooltip="Bearish 3 Line Strike (3LS-Bear) = 3 green candles followed by a large red candle (engulfing).")
showBull3LS = input.bool(title='Show Bullish 3 Line Strike', defval=true, group='3 Line Strike',
tooltip="Bullish 3 Line Strike (3LS-Bull) = 3 red candles followed by a large green candle (engulfing).")
showMemeChars = input.bool(title="Plot 3 Line Strike meme symbols", defval=false, group="3 Line Strike")
//
//### Engulfing Candles
//
showBearEngulfing= input.bool(title='Show Bearish Big Candles', defval=false, group='Big Candles')
showBullEngulfing= input.bool(title='Show Bullish Big Candles', defval=false, group='Big Candles')
//
//### Alerts
//
void = input.bool(title="(Info) Alerts are based on detected signals.", defval=true)
// -----------------------------------------------------------------------------
// HELPER FUNCTIONS
// -----------------------------------------------------------------------------
// Function: Get the 'color' of the candle: -1 = red, 0 = doji, +1 = green
getCandleColorIndex(barIndex) =>
int ret = na
if (close[barIndex] > open[barIndex])
ret := 1
else if (close[barIndex] < open[barIndex])
ret := -1
else
ret := 0
ret
// Function: Check if the candle is engulfing (based on the body size of the candles)
isEngulfing(checkBearish) =>
// Size of the previous candle
sizePrevCandle = close[1] - open[1]
// Size of the current candle
sizeCurrentCandle = close - open
isCurrentLargerThanPrevious = math.abs(sizeCurrentCandle) > math.abs(sizePrevCandle)
// Bearish / Bullish division
if checkBearish
// Bearish engulfing: previous green, current larger red
isGreenToRed = (getCandleColorIndex(0) < 0) and (getCandleColorIndex(1) > 0)
isCurrentLargerThanPrevious and isGreenToRed
else
// Bullish engulfing: previous red, current larger green
isRedToGreen = (getCandleColorIndex(0) > 0) and (getCandleColorIndex(1) < 0)
isCurrentLargerThanPrevious and isRedToGreen
// Simplified calls for bullish/bearish engulfing
isBearishEngulfing() => isEngulfing(true)
isBullishEngulfing() => isEngulfing(false)
// Function: 3 consecutive candles of one color followed by the opposite engulfing candle
// 3 Line Strike - Bearish
is3LSBear() =>
// Three consecutive green candles?
is3LineSetup = (getCandleColorIndex(1) > 0) and (getCandleColorIndex(2) > 0) and (getCandleColorIndex(3) > 0)
// Followed by Bearish engulfing
is3LineSetup and isBearishEngulfing()
// 3 Line Strike - Bullish
is3LSBull() =>
// Three consecutive red candles?
is3LineSetup = (getCandleColorIndex(1) < 0) and (getCandleColorIndex(2) < 0) and (getCandleColorIndex(3) < 0)
// Followed by Bullish engulfing
is3LineSetup and isBullishEngulfing()
// -----------------------------------------------------------------------------
// SIGNALS
// -----------------------------------------------------------------------------
// ### 3 Line Strike
is3LSBearSig = is3LSBear()
is3LSBullSig = is3LSBull()
// Meme icons vs. standard shapes
plotchar(showBull3LS and showMemeChars ? is3LSBullSig : na, char="🍆", color=color.rgb(0, 255, 0, 0),
location=location.belowbar, size=size.tiny, text='3LS-Bull', title='3 Line Strike Up (Meme Icon)', editable=false)
plotchar(showBear3LS and showMemeChars ? is3LSBearSig : na, char="🍑", color=color.rgb(255, 0, 0, 0),
location=location.abovebar, size=size.tiny, text='3LS-Bear', title='3 Line Strike Down (Meme Icon)', editable=false)
plotshape(showBull3LS and not showMemeChars ? is3LSBullSig : na, style=shape.triangleup,
color=color.green, location=location.belowbar, size=size.small, text='3LS-Bull', title='3 Line Strike Up')
plotshape(showBear3LS and not showMemeChars ? is3LSBearSig : na, style=shape.triangledown,
color=color.red, location=location.abovebar, size=size.small, text='3LS-Bear', title='3 Line Strike Down')
// ### Engulfing Candles
isBullEngulfingSig = isBullishEngulfing()
isBearEngulfingSig = isBearishEngulfing()
plotshape(showBullEngulfing ? isBullEngulfingSig : na, style=shape.triangleup,
location=location.belowbar, color=color.new(color.green,0), size=size.tiny, title='Big Candle Up')
plotshape(showBearEngulfing ? isBearEngulfingSig : na, style=shape.triangledown,
location=location.abovebar, color=color.new(color.red,0), size=size.tiny, title='Big Candle Down')
// -----------------------------------------------------------------------------
// ALERTS
// -----------------------------------------------------------------------------
// 3LS - "Old" alertcondition + "New" alert() (based on what people use)
alertcondition(showBull3LS and is3LSBullSig, title='Bullish 3 Line Strike',
message='{{exchange}}:{{ticker}} {{interval}} - Bullish 3 Line Strike')
alertcondition(showBear3LS and is3LSBearSig, title='Bearish 3 Line Strike',
message='{{exchange}}:{{ticker}} {{interval}} - Bearish 3 Line Strike')
if (showBull3LS and is3LSBullSig)
m = syminfo.tickerid + ' ' + timeframe.period + ' - Bullish 3 Line Strike'
alert(message=str.tostring(m), freq=alert.freq_once_per_bar_close)
if (showBear3LS and is3LSBearSig)
m = syminfo.tickerid + ' ' + timeframe.period + ' - Bearish 3 Line Strike'
alert(message=str.tostring(m), freq=alert.freq_once_per_bar_close)
// Engulfing - "Old" alertcondition + "New" alert()
alertcondition(showBullEngulfing and isBullEngulfingSig, title='Bullish Engulfing',
message='{{exchange}}:{{ticker}} {{interval}} - Bullish candle engulfing previous candle')
alertcondition(showBearEngulfing and isBearEngulfingSig, title='Bearish Engulfing',
message='{{exchange}}:{{ticker}} {{interval}} - Bearish candle engulfing previous candle')
if (showBullEngulfing and isBullEngulfingSig)
m = syminfo.tickerid + ' ' + timeframe.period + ' - Bullish candle engulfing previous candle'
alert(message=str.tostring(m), freq=alert.freq_once_per_bar_close)
if (showBearEngulfing and isBearEngulfingSig)
m = syminfo.tickerid + ' ' + timeframe.period + ' - Bearish candle engulfing previous candle'
alert(message=str.tostring(m), freq=alert.freq_once_per_bar_close)
// -----------------------------------------------------------------------------
// STRATEGY ENTRY ORDERS
// -----------------------------------------------------------------------------
//
// Logic for entering trades. If display is enabled and a signal is detected, a trade will be entered.
//
// 3 Line Strike
if (showBull3LS and is3LSBullSig)
strategy.entry("3LS_Bull", strategy.long, comment="3LS Bullish")
if (showBear3LS and is3LSBearSig)
strategy.entry("3LS_Bear", strategy.short, comment="3LS Bearish")
// Engulfing
if (showBullEngulfing and isBullEngulfingSig)
strategy.entry("BullEngulf", strategy.long, comment="Bullish Engulfing")
if (showBearEngulfing and isBearEngulfingSig)
strategy.entry("BearEngulf", strategy.short, comment="Bearish Engulfing")
//
// End of script