123 反転とフィッシャー変換指標の組み合わせ戦略
作成日:
2023-09-13 17:35:36
最終変更日:
2023-09-13 17:35:36
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ChaoZhang
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この戦略は,123反転とフィッシャー変換指数の組み合わせ戦略と呼ばれています.この戦略は,123反転形状判定とフィッシャー変換指数を統合して,両者が共通の信号を発したときに買ったり売ったりします.
123の逆転形は,価格が3日連続で高低の隙間を形成し,第3日の終結が逆転する前2日のトレンドの形を指す.統計によると,123の逆転した取引は利潤率が高い.
フィッシャー変換指数は,価格を正動的に処理し,変換曲線に突破する極限点があるとき,価格の逆転点を効果的に識別することができる.
取引の論理は以下の通りです.
123の反転形は,買入信号または売出信号を示す.
フィッシャー変換曲線は,買ったり売ったりするシグナルを示します.
両者が同方向信号を発したときに,相応の買取または販売取引を行う.
逆転の合図が出たとき,空席を保持する.
この戦略の利点は,指標の組み合わせが価格逆転のタイミングの判断の正確性を向上させるという点にある.しかし,パラメータの最適化は依然として重要であり,厳格な資金管理が必要である.
全体的に見ると,指標統合の応用により,より包括的な分析の視点が形成されます.しかし,トレーダーは,市場の状況に応じて戦略の調整を行うために十分な柔軟性を保つ必要があります.
ストラテジーソースコード
/*backtest
start: 2023-08-13 00:00:00
end: 2023-09-12 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 28/08/2020
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Market prices do not have a Gaussian probability density function
// as many traders think. Their probability curve is not bell-shaped.
// But trader can create a nearly Gaussian PDF for prices by normalizing
// them or creating a normalized indicator such as the relative strength
// index and applying the Fisher transform. Such a transformed output
// creates the peak swings as relatively rare events.
// Fisher transform formula is: y = 0.5 * ln ((1+x)/(1-x))
// The sharp turning points of these peak swings clearly and unambiguously
// identify price reversals in a timely manner.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
FTI(Length) =>
pos = 0
nValue1 =0.0
nFish = 0.0
xHL2 = hl2
xMaxH = highest(xHL2, Length)
xMinL = lowest(xHL2,Length)
nValue1 := 0.33 * 2 * ((xHL2 - xMinL) / (xMaxH - xMinL) - 0.5) + 0.67 * nz(nValue1[1])
nValue2 = iff(nValue1 > .99, .999,
iff(nValue1 < -.99, -.999, nValue1))
nFish := 0.5 * log((1 + nValue2) / (1 - nValue2)) + 0.5 * nz(nFish[1])
pos := iff(nFish > nz(nFish[1]), 1,
iff(nFish < nz(nFish[1]), -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Fisher Transform Indicator", shorttitle="Combo", overlay = true)
Length = input(15, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LengthFTI = input(10, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posFTI = FTI(LengthFTI)
pos = iff(posReversal123 == 1 and posFTI == 1 , 1,
iff(posReversal123 == -1 and posFTI == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )