モメンタムブレイクアウトファイバー裁定取引戦略
作成日:
2023-10-18 11:40:01
最終変更日:
2023-10-18 11:40:01
コピー:
2
クリック数:
711
ChaoZhang
1
フォロー
1617
フォロワー
概要
この戦略は,より複雑な動力突破戦略であり,同時に,複数の技術指標を組み合わせて判断し,異なる方向と段階の複数の入場分級を実現し,ブレイク目的を達成する.
原則
この戦略は,主に動力の指標MACD,超買い超売り指標RSI,およびブリン帯を組み合わせて多空方向判断を行う. MACD線が0より高く,RSIが超売り線より低ければ多頭シグナル,MACD線が0より低く,RSIが超買い線より高くなったら空頭シグナルである. ブリン帯を組み合わせて上下軌道に突破して判断し,取引信号をさらに確認する.
具体的実装では,戦略はまずMACD線とRSIのパフォーマンスを判断し,基本面を確認する.その後,ブリン帯上軌道,下軌道の突破に応じて,異なる数の分批のポジション構築を行う.多頭段階では,ブリン帯下軌道近くで徐々にポジションを増やし,ポジション増幅がますます大きくなる.空頭段階では,ブリン帯上軌道近くで徐々に空加され,空加量も徐々に拡大される.このように,異なる方向と異なる価格の分批レバレッジにより,より大きな累積利益を得ることができる.
同時に,戦略は,最高価格と最低価格の追跡を組み合わせて,停止と停止を設定し,注文を適切に管理する.全体的に,この戦略は,複数の分析ツールを総合的に使用し,分批の利回りによってよりよいリターンを得ます.
利点
- 複数の指標を組み合わせて判断し,単一のツールの誤判を避ける
- 貯蔵庫を積み重ねることで利益の幅が広がる
- ストップ・ストップ・ポイントを設定して,高値の逆転による損失を回避します.
- 控えめで大きな損失を伴わない撤収
リスクと解決
ブリン帯上下軌道の突破は100%信頼性の高い取引信号ではない.偽信号のリスクがある可能性がある.K線形状,取引量などの他の指標を追加することを確認するために考慮することができます.
段階的にポジションを上げることは,市場のペースを正確に把握する必要があります.急激な調整が発生した場合,大きな損失を引き起こす可能性があります.適切な加仓回数を減らすことができます.または,より緩やかな止損点を設定できます.
取引品種の流動性には注意が必要で,流動性が低い品種は,大量配当の利回りを採用すべきではない.
回測データは実盤に等しくない.実盤での手数料,滑点などのコストも考慮する必要がある.適切な緩解の止損停止幅を余裕にしておくことができる.
最適化の方向
ブリン帯周期,標準差倍数,RSIパラメータなど,異なるパラメータの組み合わせをテストして,最適なパラメータを探します.
固定分数やケリー基準などの資金管理戦略を探索できます.
機械学習などの方法と組み合わせたパラメータの動的最適化.
テキスト・感情分析やソーシャル・データなどのデータ源を導入することで,市場の状況を判断できます.
未来期間の価格差を活用して,利回りの余地を増やすことができます.
要約する
この戦略は,複数の技術指標を総合的に使用し,バッチリブレーティング方式をとり,ストップ・ローズ・ストップ管理リスクを設定し,より完全なトレンド追跡戦略である。しかし,依然として警戒すべき偽信号と急速な調整のリスクがあり,適切なパラメータと資金管理方法を調整すると,より安定した余剰利益を得ることができる。さらに機械学習などの手段を組み合わせた場合,この戦略のパフォーマンスは,向上する余地があり,長期追跡および蓄積に価値がある。
ストラテジーソースコード
/*backtest
start: 2022-10-11 00:00:00
end: 2023-10-17 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy(title="Incremental Order size +", shorttitle="Strategy", overlay=true, default_qty_value=1, pyramiding=10)
//Heiken Ashi
isHA = input(false, "HA Candles", bool)
//MACD
fastLength = 12
slowlength = 26
MACDLength = 9
MACD = ema(close, fastLength) - ema(close, slowlength)
aMACD = ema(MACD, MACDLength)
delta = MACD - aMACD
//Bollinger Bands Exponential
src = open
len = 18
e = ema(src,len)
evar = (src - e)*(src - e)
evar2 = (sum(evar,len))/len
std = sqrt(evar2)
Multiplier = input(3, minval = 0.01, title = "# of STDEV's")
upband = e + (Multiplier * std)
dnband = e - (Multiplier * std)
//EMA
ema3 = ema(close, 3)
//RSIplot
length = 45
overSold = 90
overBought = 10
price = close
vrsi = rsi(price, length)
notna = not na(vrsi)
macdlong = crossover(delta, 0)
macdshort = crossunder(delta, 0)
rsilong = notna and crossover(vrsi, overSold)
rsishort = notna and crossunder(vrsi, overBought)
lentt = input(14, "Pivot Length")
//The length defines how many periods a high or low must hold to be a "relevant pivot"
h = highest(lentt)
//The highest high over the length
h1 = dev(h, lentt) ? na : h
//h1 is a pivot of h if it holds for the full length
hpivot = fixnan(h1)
//creates a series which is equal to the last pivot
l = lowest(lentt)
l1 = dev(l, lentt) ? na : l
lpivot = fixnan(l1)
//repeated for lows
last_hpivot = h1 ? time : nz(last_hpivot[1])
last_lpivot = l1 ? time : nz(last_lpivot[1])
long_time = last_hpivot > last_lpivot ? 0:1
//FIBS
z = input(100, "Z-Index")
p_offset= 2
transp = 60
a=(lowest(z)+highest(z))/2
b=lowest(z)
c=highest(z)
fibonacci = input(0, "Fibonacci") / 100
//Fib Calls
fib0 = (((hpivot - lpivot)* fibonacci) + lpivot)
fib1 = (((hpivot - lpivot)*.21) + lpivot)
fib2 = (((hpivot - lpivot)*.3) + lpivot)
fib3 = (((hpivot - lpivot)*.5) + lpivot)
fib4 = (((hpivot - lpivot)*.62) + lpivot)
fib5 = (((hpivot - lpivot)*.7) + lpivot)
fib6 = (((hpivot - lpivot)* 1.00) + lpivot)
fib7 = (((hpivot - lpivot)* 1.27) + lpivot)
fib8 = (((hpivot - lpivot)* 2) + lpivot)
fib9 = (((hpivot - lpivot)* -.27) + lpivot)
fib10 = (((hpivot - lpivot)* -1) + lpivot)
//Heiken Ashi Candles
data2 = isHA ? heikenashi(syminfo.tickerid) : syminfo.tickerid
res5 = input("5", "Resolution")
//HT Fibs
hfib0 = security(data2, res5, fib0[1])
hfib1 = security(data2, res5, fib1[1])
hfib2 = security(data2, res5, fib2[1])
hfib3 = security(data2, res5, fib3[1])
hfib4 = security(data2, res5, fib4[1])
hfib5 = security(data2, res5, fib5[1])
hfib6 = security(data2, res5, fib6[1])
hfib7 = security(data2, res5, fib7[1])
hfib8 = security(data2, res5, fib8[1])
hfib9 = security(data2, res5, fib9[1])
hfib10 = security(data2, res5, fib10[1])
vrsiup = vrsi > vrsi[1] and vrsi[1] > vrsi[2]
vrsidown = vrsi < vrsi[1] and vrsi[1] < vrsi[2]
long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long2 = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short2 = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
reverseOpens = input(false, "Reverse Orders", bool)
if (reverseOpens)
tmplong = long
long := short
short := tmplong
//Strategy
ts = input(99999, "TS")
tp = input(30, "TP")
sl = input(10, "SL")
last_long = long ? time : nz(last_long[1])
last_short = short ? time : nz(last_short[1])
in_long = last_long > last_short
in_short = last_short > last_long
long_signal = crossover(last_long, last_short)
short_signal = crossover(last_short, last_long)
last_open_long = long ? open : nz(last_open_long[1])
last_open_short = short ? open : nz(last_open_short[1])
last_open_long_signal = long_signal ? open : nz(last_open_long_signal[1])
last_open_short_signal = short_signal ? open : nz(last_open_short_signal[1])
last_high = not in_long ? na : in_long and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low = not in_short ? na : in_short and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
long_ts = not na(last_high) and high <= (last_high - ts) and high >= last_open_long_signal
short_ts = not na(last_low) and low >= (last_low + ts) and low <= last_open_short_signal
long_tp = high >= (last_open_long + tp) and long[1] == 0
short_tp = low <= (last_open_short - tp) and short[1] == 0
long_sl = low <= (last_open_long - sl) and long[1] == 0
short_sl = high >= (last_open_short + sl) and short[1] == 0
last_hfib_long = long_signal ? fib1 : nz(last_hfib_long[1])
last_hfib_short = short_signal ? fib5 : nz(last_hfib_short[1])
last_fib7 = long ? fib7 : nz(last_fib7[1])
last_fib10 = long ? fib10 : nz(last_fib10[1])
last_fib8 = short ? fib8 : nz(last_fib8[1])
last_fib9 = short ? fib9 : nz(last_fib9[1])
last_long_signal = long_signal ? time : nz(last_long_signal[1])
last_short_signal = short_signal ? time : nz(last_short_signal[1])
last_long_tp = long_tp ? time : nz(last_long_tp[1])
last_short_tp = short_tp ? time : nz(last_short_tp[1])
last_long_ts = long_ts ? time : nz(last_long_ts[1])
last_short_ts = short_ts ? time : nz(last_short_ts[1])
long_ts_signal = crossover(last_long_ts, last_long_signal)
short_ts_signal = crossover(last_short_ts, last_short_signal)
last_long_sl = long_sl ? time : nz(last_long_sl[1])
last_short_sl = short_sl ? time : nz(last_short_sl[1])
long_tp_signal = crossover(last_long_tp, last_long)
short_tp_signal = crossover(last_short_tp, last_short)
long_sl_signal = crossover(last_long_sl, last_long)
short_sl_signal = crossover(last_short_sl, last_short)
last_long_tp_signal = long_tp_signal ? time : nz(last_long_tp_signal[1])
last_short_tp_signal = short_tp_signal ? time : nz(last_short_tp_signal[1])
last_long_sl_signal = long_sl_signal ? time : nz(last_long_sl_signal[1])
last_short_sl_signal = short_sl_signal ? time : nz(last_short_sl_signal[1])
last_long_ts_signal = long_ts_signal ? time : nz(last_long_ts_signal[1])
last_short_ts_signal = short_ts_signal ? time : nz(last_short_ts_signal[1])
true_long_signal = long_signal and last_long_sl_signal > last_long_signal[1] or long_signal and last_long_tp_signal > last_long_signal[1] or long_signal and last_long_ts_signal > last_long_signal[1]
true_short_signal = short_signal and last_short_sl_signal > last_short_signal[1] or short_signal and last_short_tp_signal > last_short_signal[1] or short_signal and last_short_ts_signal > last_short_signal[1]
// strategy.entry("BLUE", strategy.long, when=long)
// strategy.entry("RED", strategy.short, when=short)
g = delta > 0 and vrsi < overSold and vrsiup
r = delta < 0 and vrsi > overBought and vrsidown
long1 = cross(close, fib1) and g and last_long_signal[1] > last_short_signal// and last_long_signal > long
short1 = cross(close, fib5) and r and last_short_signal[1] > last_long_signal// and last_short_signal > short
last_long1 = long1 ? time : nz(last_long1[1])
last_short1 = short1 ? time : nz(last_short1[1])
last_open_long1 = long1 ? open : nz(last_open_long1[1])
last_open_short1 = short1 ? open : nz(last_open_short1[1])
long1_signal = crossover(last_long1, last_long_signal)
short1_signal = crossover(last_short1, last_short_signal)
last_long1_signal = long1_signal ? time : nz(last_long1_signal[1])
last_short1_signal = short1_signal ? time : nz(last_short1_signal[1])
long2 = cross(close, fib2) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short2 = cross(close, fib4) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long2 = long2 ? time : nz(last_long2[1])
last_short2 = short2 ? time : nz(last_short2[1])
last_open_short2 = short2 ? open : nz(last_open_short2[1])
long2_signal = crossover(last_long2, last_long1_signal) and long1_signal==0
short2_signal = crossover(last_short2, last_short1_signal) and short1_signal==0
last_long2_signal = long2_signal ? time : nz(last_long2_signal[1])
last_short2_signal = short2_signal ? time : nz(last_short2_signal[1])
//Trade 4
long3 = cross(close, fib3) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short3 = cross(close, fib3) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long3 = long3 ? time : nz(last_long3[1])
last_short3 = short3 ? time : nz(last_short3[1])
last_open_short3 = short3 ? open : nz(last_open_short3[1])
long3_signal = crossover(last_long3, last_long2_signal) and long2_signal==0
short3_signal = crossover(last_short3, last_short2_signal) and short2_signal==0
last_long3_signal = long3_signal ? time : nz(last_long3_signal[1])
last_short3_signal = short3_signal ? time : nz(last_short3_signal[1])
//Trade 5
long4 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short4 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long4 = long4 ? time : nz(last_long4[1])
last_short4 = short4 ? time : nz(last_short4[1])
long4_signal = crossover(last_long4, last_long3_signal) and long2_signal==0 and long3_signal==0
short4_signal = crossover(last_short4, last_short3_signal) and short2_signal==0 and short3_signal==0
last_long4_signal = long4_signal ? time : nz(last_long4_signal[1])
last_short4_signal = short4_signal ? time : nz(last_short4_signal[1])
//Trade 6
long5 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short5 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long5 = long5 ? time : nz(last_long5[1])
last_short5 = short5 ? time : nz(last_short5[1])
long5_signal = crossover(last_long5, last_long4_signal) and long3_signal==0 and long4_signal==0
short5_signal = crossover(last_short5, last_short4_signal) and short3_signal==0 and short4_signal==0
last_long5_signal = long5_signal ? time : nz(last_long5_signal[1])
last_short5_signal = short5_signal ? time : nz(last_short5_signal[1])
//Trade 7
long6 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short6 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long6 = long6 ? time : nz(last_long6[1])
last_short6 = short6 ? time : nz(last_short6[1])
long6_signal = crossover(last_long6, last_long5_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0
short6_signal = crossover(last_short6, last_short5_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0
last_long6_signal = long6_signal ? time : nz(last_long6_signal[1])
last_short6_signal = short6_signal ? time : nz(last_short6_signal[1])
//Trade 8
long7 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short7 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long7 = long7 ? time : nz(last_long7[1])
last_short7 = short7 ? time : nz(last_short7[1])
long7_signal = crossover(last_long7, last_long6_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0
short7_signal = crossover(last_short7, last_short6_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0
last_long7_signal = long7_signal ? time : nz(last_long7_signal[1])
last_short7_signal = short7_signal ? time : nz(last_short7_signal[1])
//Trade 9
long8 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short8 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long8 = long8 ? time : nz(last_long8[1])
last_short8 = short8 ? time : nz(last_short8[1])
long8_signal = crossover(last_long8, last_long7_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0
short8_signal = crossover(last_short8, last_short7_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0
last_long8_signal = long8_signal ? time : nz(last_long8_signal[1])
last_short8_signal = short8_signal ? time : nz(last_short8_signal[1])
//Trade 10
long9 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short9 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long9 = long9 ? time : nz(last_long9[1])
last_short9 = short9 ? time : nz(last_short9[1])
long9_signal = crossover(last_long9, last_long8_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0 and long8_signal==0
short9_signal = crossover(last_short9, last_short8_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0 and short8_signal==0
last_long9_signal = long9_signal ? time : nz(last_long9_signal[1])
last_short9_signal = short9_signal ? time : nz(last_short9_signal[1])
strategy.entry("Long", strategy.long, qty=1, when=long_signal)
strategy.entry("Short", strategy.short, qty=1, when=short_signal)
strategy.entry("Long", strategy.long, qty=2, when=long1_signal)
strategy.entry("Short1", strategy.short, qty=2, when=short1_signal)
strategy.entry("Long", strategy.long, qty=4, when=long2_signal)
strategy.entry("Short2", strategy.short, qty=4, when=short2_signal)
strategy.entry("Long", strategy.long, qty=8, when=long3_signal)
strategy.entry("Short3", strategy.short, qty=8, when=short3_signal)
strategy.entry("Long", strategy.long, qty=5, when=long4_signal)
strategy.entry("Short", strategy.short, qty=5, when=short4_signal)
strategy.entry("Long", strategy.long, qty=6, when=long5_signal)
strategy.entry("Short", strategy.short, qty=6, when=short5_signal)
strategy.entry("Long", strategy.long, qty=7, when=long6_signal)
strategy.entry("Short", strategy.short, qty=7, when=short6_signal)
strategy.entry("Long", strategy.long, qty=8, when=long7_signal)
strategy.entry("Short", strategy.short, qty=8, when=short7_signal)
strategy.entry("Long", strategy.long, qty=9, when=long8_signal)
strategy.entry("Short", strategy.short, qty=9, when=short8_signal)
strategy.entry("Long", strategy.long, qty=10, when=long9_signal)
strategy.entry("Short", strategy.short, qty=10, when=short9_signal)
short1_tp = low <= (last_open_short1 - tp) and short1[1] == 0
short2_tp = low <= (last_open_short2 - tp) and short2[1] == 0
short3_tp = low <= (last_open_short3 - tp) and short3[1] == 0
short1_sl = high >= (last_open_short1 + sl) and short1[1] == 0
short2_sl = high >= (last_open_short2 + sl) and short2[1] == 0
short3_sl = high >= (last_open_short3 + sl) and short3[1] == 0
close_long = cross(close, fib6)
close_short = cross(close, fib0)
// strategy.close("Long", when=close_long)
// strategy.close("Long", when=long_tp)
// strategy.close("Long", when=long_sl)
// strategy.close("Short", when=long_signal)
// strategy.close("Short1", when=long_signal)
// strategy.close("Short2", when=long_signal)
// strategy.close("Short3", when=long_signal)
strategy.close("Short", when=short_tp)
strategy.close("Short1", when=short1_tp)
strategy.close("Short2", when=short2_tp)
strategy.close("Short3", when=short3_tp)
strategy.close("Short", when=short_sl)
strategy.close("Short1", when=short1_sl)
strategy.close("Short2", when=short2_sl)
strategy.close("Short3", when=short3_sl)