移動平均Kライン回帰戦略


作成日: 2023-09-14 17:50:14 最終変更日: 2023-09-14 17:50:14
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戦略原則

この戦略は複数の技術指標と策略を統合し,主にインデックスの入場時刻と退出点を判断するために使用されます.

取引の論理は以下の通りです

  1. オープン価格,クローズ価格,最高価格,最低価格の移動平均を含む移動平均K線を計算する.

  2. 移動平均K線の運動量と運動量の線形回帰を計算する

  3. 移動平均K線自体の線形回帰を計算する

  4. 超トレンドを計算して,全体的なトレンドの方向を判断する.

  5. 負から正向に回転する運動回帰,または強度の回帰が入場時として判断される

  6. 運動が正から負に転じ,あるいは逆転して弱くなったとき,退出点として判断する

この戦略は,インデックスの取引タイミングを決定するために,市場の長期的な短期的な動きとリズムを判断するために,複数の技術指標を総合的に使用します.

戦略的優位性

  • 移動平均のK線は,市場の中長期の動きを反映しています.

  • 逆帰分析 判断 トレンド転換

  • スーパートレンドは,全体的な方向性を判断するのに役立ちます.

  • 複数の指標の組み合わせにより 判断の精度が向上する

戦略リスク

  • パラメータの最適化は複雑です.

  • 複数の指標の組み合わせはバランスをとるのが難しい

  • 信号が少なく,取引頻度が低い

要約する

この戦略は,インデックス取引の最適なタイミングを決定するために,市場の長期短期的なリズムを掘り下げることを目指しています.しかし,そのパラメータの調整とモデルの最適化はまだ完善されていません.

ストラテジーソースコード 
/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 15m
basePeriod: 5m
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/
// © HeWhoMustNotBeNamed

//@version=4
strategy("MACandles-LinearRegression-Strategy", shorttitle="MALinReg - Strategy",
                     overlay=false, initial_capital = 100000, 
                     default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, 
                     commission_value = 0.01)
resolution = ""
MAType = input(title="Moving Average Type (MA Candles)", defval="hma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
LoopbackBars = input(60, title="Length (MA Candles)", step=10)

MMAType = input(title="Moving Average Type (Momentum)", defval="ema", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
MLength = input(20, title="MA Length (Momentum)", step=10)

lb = input(40  , title="Look Back Period Percentile High/Low", step=10, minval=10, maxval=100)
ph = input(.85, title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%")
pl = input(1.01, title="Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%")
mult = input(3.0    , minval=1, maxval=5, title="Bollinger Band Standard Devaition Up")

aggressiveLong = input(true)
longTrades = input(true)
useVixFix = input(false)
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "End Time", type = input.time)
inDateRange = true


f_getMovingAverage(source, MAType, length)=>
    ma = sma(source, length)
    if(MAType == "ema")
        ma := ema(source,length)
    if(MAType == "hma")
        ma := hma(source,length)
    if(MAType == "rma")
        ma := rma(source,length)
    if(MAType == "vwma")
        ma := vwma(source,length)
    if(MAType == "wma")
        ma := wma(source,length)
    ma

f_getMACandles(resolution, MAType, LoopbackBars)=>
    oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
    oClose = f_getMovingAverage(close, MAType, LoopbackBars)
    oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
    oLow = f_getMovingAverage(low, MAType, LoopbackBars)
    [oOpen, oClose, oHigh, oLow]

f_getVixFixLinReg(oClose, oLow, MLength)=>
    wvf = ((highest(oClose, MLength)-oLow)/(highest(oClose, MLength)))*100
    
    sDev = mult * stdev(wvf, MLength)
    midLine = sma(wvf, MLength)
    lowerBand = midLine - sDev
    upperBand = midLine + sDev
    
    rangeHigh = (highest(wvf, lb)) * ph
    rangeLow = (lowest(wvf, lb)) * pl
    
    
    col = wvf >= upperBand or wvf >= rangeHigh ? color.lime : color.gray
    
    val = linreg(wvf, MLength, 0)
    absVal = abs(val)
    linRegColor = val>val[1]? (val > 0 ? color.green : color.orange): (val > 0 ? color.lime : color.red)
    
    vixFixState = (col == color.lime) ? 1: 0
    vixFixState := strategy.position_size == 0? max(vixFixState, nz(vixFixState[1],0)) : vixFixState
    [val, absVal, wvf, col, linRegColor, vixFixState]
    
f_getMACandlesLinReg(oClose, MMAType, MLength, mult, lb, ph, pl)=>
    ma = f_getMovingAverage(oClose, MMAType, MLength)
    
    maDiff = oClose  -  ma
    val = linreg(maDiff, MLength,0)
    absVal = abs(val)
    linRegColor = iff( val > 0,
                 iff( val > nz(val[1]), color.green, color.lime),
                 iff( val < nz(val[1]), color.red, color.orange))
    
    
    sDev = mult * stdev(maDiff, MLength)
    midLine = sma(maDiff, MLength)
    lowerBand = midLine - sDev
    upperBand = midLine + sDev
    
    rangeHigh = (highest(maDiff, lb)) * ph
    rangeLow = (lowest(maDiff, lb)) * pl
    
    col = maDiff >= upperBand or maDiff >= rangeHigh ? color.lime : maDiff <= lowerBand or maDiff <= rangeLow ? color.orange : color.silver
    absMaDiff = abs(maDiff)
    [val, absVal, maDiff, absMaDiff, col, linRegColor]

f_getSupertrend(resolution, oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, AtrMult, wicks)=>
    truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
    
    averagetruerange = f_getMovingAverage(truerange, AtrMAType, AtrLength)
    atr = averagetruerange * AtrMult

    longWicks = wicks
    shortWicks = wicks
    longStop = oClose - atr
    longStopPrev = nz(longStop[1], longStop)
    longStop := (longWicks ? oLow[1] : oClose[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
    
    shortStop = oClose + atr
    shortStopPrev = nz(shortStop[1], shortStop)
    shortStop := (shortWicks ? oHigh[1] : oClose[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
    
    dir = 1
    dir := nz(dir[1], dir)
    dir := dir == -1 and (longWicks ? oHigh : oClose) > shortStopPrev ? 1 : dir == 1 and (shortWicks[1]? oLow : oClose) < longStopPrev ? -1 : dir
    
    [dir, longStop, shortStop]

f_getMACandlesAndSupertrend(MAType, LoopbackBars, AtrMult, wicks)=>
    oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
    oClose = f_getMovingAverage(close, MAType, LoopbackBars)
    oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
    oLow = f_getMovingAverage(low, MAType, LoopbackBars)
    [dir, longStop, shortStop] = f_getSupertrend(resolution, oOpen, oClose, oHigh, oLow, MAType, LoopbackBars, AtrMult, wicks)
    dir

[oOpen, oClose, oHigh, oLow] = f_getMACandles(resolution, MAType, LoopbackBars)
dir = f_getMACandlesAndSupertrend("sma", 200, 1, false)
colorByPreviousClose = false
candleColor = colorByPreviousClose ?
                 (oClose[1] < oClose ? color.green : oClose[1] > oClose ? color.red : color.silver) : 
                 (oOpen < oClose ? color.green : oOpen > oClose ? color.red : color.silver)


[vval, vabsVal, wvf, vcol, vlinRegColor, vixFixState] = f_getVixFixLinReg(oClose, oLow, MLength)
[val, absVal, maDiff, absMaDiff, col, linRegColor] = f_getMACandlesLinReg(oClose, MMAType, MLength, mult, lb, ph, pl)


plot(useVixFix?na:absMaDiff, title="Momentum", style=plot.style_histogram, linewidth = 4, color=col)
plot(useVixFix?wvf:na, title="VIX Fix", style=plot.style_histogram, linewidth = 4, color=vcol)
plot(useVixFix?na:-absVal, title="Linear Regression (Momentum)", style=plot.style_histogram, linewidth=4, color=linRegColor)
plot(useVixFix?-vabsVal:na, title="Linear Regression (VIX Fix)", style=plot.style_histogram, linewidth=4, color=vlinRegColor)

exitColor = longTrades? color.orange : color.silver
exitPreviousColor = longTrades? color.silver : color.lime
longCondition = (useVixFix? (vixFixState == 1 and vlinRegColor == color.lime) :
                     ((linRegColor == color.orange and linRegColor[1] == color.red) or (linRegColor == color.green and linRegColor[1] != color.green and aggressiveLong)))  and inDateRange and dir>0
exitLongCondition = (col == exitColor and col[1] == exitColor and col[2] == exitPreviousColor and (linRegColor != color.green or not aggressiveLong))

strategy.entry("Long", strategy.long, when=longCondition, oca_name="oca_buy")
strategy.close("Long", when=exitLongCondition)
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