この戦略は123の逆転パターンとRSIのモメント戦略を組み合わせて,トレンド逆転のポイントで高い確率のエントリーのためのシグナルをフィルターします.
この戦略は,ウルフ・ジェンセン著『フューチャーズ市場での私のお金の倍増方法』 (183ページ) から得られたもので,統合中に潜在的なトレンド逆転を特定しています.
具体的には,2連日間の前回の閉店よりも高くなって,9期間のスローK線が50未満になったとき,また,2連日間の前回の閉店より低くなって,9期間のファストK線が50を超えたとき,ロングになる.
ストキャスト指標の黄金十字と死十字を用いて 潜在的逆転を決定します
この戦略はROC関数を使用して価格変動率を計算し,価格変動率に基づいてRSI指標を構築し,動向傾向を決定します.
RSIが買いゾーンを下回るとロングになり,上向きの勢いが加速することを示し,RSIが売りゾーン上回るとショートになり,下向きの勢いが加速することを示します.
リスクを減らす方法:
この戦略は,トレンド逆転に2つの確認逆転信号を必要とし,エントリー精度を向上させる.123パターンは逆転を識別し,RSIモメントは有効性を確認する.異なる製品と好みのパラメータを最適化することは簡単である.しかし,二重信号蓄積から欠けているエントリーに注意する.全体的に逆転トレンドを識別するための効果的な枠組みである.
/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 17/06/2021
// 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
// This is the new-age indicator which is version of RSI calculated upon
// the Rate-of-change indicator.
// The name "Relative Strength Index" is slightly misleading as the RSI
// does not compare the relative strength of two securities, but rather
// the internal strength of a single security. A more appropriate name
// might be "Internal Strength Index." Relative strength charts that compare
// two market indices, which are often referred to as Comparative Relative Strength.
// And in its turn, the Rate-of-Change ("ROC") indicator displays the difference
// between the current price and the price x-time periods ago. The difference can
// be displayed in either points or as a percentage. The Momentum indicator displays
// the same information, but expresses it as a ratio.
//
// 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
RSI_ROC(RSILength,ROCLength,BuyZone,SellZone) =>
pos = 0.0
xPrice = close
nRes = rsi(roc(xPrice,ROCLength),RSILength)
pos := iff(nRes < BuyZone, -1,
iff(nRes > SellZone, 1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & RSI based on ROC", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- RSI based on ROC ----")
RSILength = input(20, minval=1)
ROCLength = input(20, minval=1)
BuyZone = input(30, minval=1)
SellZone = input(70, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posRSI_ROC = RSI_ROC(RSILength,ROCLength,BuyZone,SellZone)
pos = iff(posReversal123 == 1 and posRSI_ROC == 1 , 1,
iff(posReversal123 == -1 and posRSI_ROC == -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 )