下落を調整して戦略を買う


作成日: 2023-10-24 14:14:00 最終変更日: 2023-10-24 14:14:00
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下落を調整して戦略を買う

概要

この戦略は,RSI指標と価格均線を組み合わせて,株価が平均線を下回るときに超売り機会を探し,多額のポジションを立てます.株価がさらに下落すると,戦略は,平均保有コストの目的を達成するために,既定の割合で段階的にポジションを上げます.ポジションの利益が配置のストップパーセンテージに達すると,戦略は平仓を選択します.同時に,戦略は,段階的なストップメカニズムを導入し,すでに達成された単位のポジションの利益に基づいて,動的に全体のポジションのストップ価格を調整します.これは,損失のリスクを効果的に軽減し,段階的な退出を実現します.

戦略原則

  1. RSI指標が超売り線29を下回り,閉盘価格が平均線を下回ったとき,多開き最初のオーダーを行う.

  2. 株価が最初の単一の下落より2%に達したとき,より多く加仓する.下落が3%に達したとき,第3回加仓する.このようにして最大8回加仓する.これは,分批に倉庫を建設する効果を実現する.

  3. 取引開始の際には,その時点の取引開始価格を記録する.これらの価格点は,入場のための参照価格である.そして,これらの価格線をグラフに描く.

  4. ポジション開設後,保有価格の平均値が計算されます.平均価格の3%を各ポジションのストップ価格,4%を整体ポジションのストップ価格として使用します.

  5. 価格が上昇すると,あるポジションのストップ価格を超えると,そのポジションを平仓する.

  6. 漸進的ストップの計算方法:一つのポジションを平らにするたびに,ストップ価格全体からそのポジションが実現した利益を控える.このようにして,ストップラインがゆっくり下移し,すべてのポジションの利益が最大損失を補うのに十分な場合にのみ,完全にストップされる.

  7. 価格がグラデーションストップラインを触発すると,全平仓を選択します.

優位分析

  1. RSI指標は,超売り領域を正確に判断し,反転の機会を捉えるのに役立ちます.

  2. 低値で平均保有コストを上げることができる.

  3. 漸進的停止は,損失のリスクを軽減し,漸進的退出を実現する.損失が発生しても,一定範囲で制御することができる.

  4. 設定可能なストップ・プローパーと加減プローパー,市場による戦略リスクの調整が可能.

  5. グラフに描かれた開設基準線と停止基準線で,直観的にポジション分布を判断することができる.

リスク分析

  1. 振動的な状況では,ポジションの開設と停止を複数回引き起こす可能性があり,取引は頻繁に滑点損失を引き起こす. RSIパラメータを適切に緩め,取引回数を減らすことができます.

  2. 貯金回数と割合の設定が不適切である場合,過度な取引につながる可能性があり,資金状況に応じて慎重に配置する必要があります.

  3. 市場が下落し続けた場合,加仓は底なしのリスクに直面する可能性がある。加仓回数上限を想定し,最後の加仓比率は保守的である。

  4. 停止比率が小さすぎると,停止が早すぎることが考えられます. 適切な停止比率は,歴史の復元データに基づいて設定する必要があります.

最適化の方向

  1. RSI信号をフィルターする MACDなどの指標を導入し,無効取引を減らすことができます.

  2. ATRの設定により,極度の損失を回避できます.

  3. 貯蓄回数,比率,停止比率などのパラメータを最適化して,戦略を異なる品種に適応させることができる.

  4. 波動率に合わせてストップ比をスマートに調整し,波動が大きいときは適切に緩めることができる.

要約する

この戦略は,RSI指標を充分活用して超売り地域を判断し,価格均線を伴って反転取引を行う.同時に,スマート加仓および漸進的止まり機構を使用し,リスクを制御する前提で,高効率な多重戦略を実現する.指標パラメータ,止まり機構などの最適化により,戦略をより安定して高効率化することができる.この戦略は,株式指数期貨,デジタル通貨などの反転傾向特性の金融品種に広く適用され,実際の投資価値を持つ.

ストラテジーソースコード 
/*backtest
start: 2023-09-23 00:00:00
end: 2023-10-23 00:00:00
period: 1h
basePeriod: 15m
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/
//@version=5
// © A3Sh

// RSI Strategy that buys the dips, uses Price Averaging and Pyramiding.
// When the price drops below specified percentages of the price (8 PA layers), new entries are openend to average the price of the assets.
// Open entries are closed by a specified take profit.
// Entries can be reopened, after closing and consequently crossing a PA layer again.
// This strategy is based on the RSI+PA+DCA strategy I created earlier. The difference is the way the Take Profit is calculated.
// Instead of directly connecting the take profit limit to the decreasing average price level with an X percent above the average price, 
// the take profit is calculated for a part on the decreasing average price and for another part on the deduction 
// of the profits of the individual closed positions.
// The Take Profit Limit drop less significant then the average price level and the full position only completely exits 
// when enough individual closed positions made up for the losses.
// This makes it less risky and more conservative and great for a long term trading strategy
// RSI code is adapted from the build in Relative Strength Index indicator
// MA Filter and RSI concept adapted from the Optimized RSI Buy the Dips strategy, by Coinrule
// https://www.tradingview.com/script/Pm1WAtyI-Optimized-RSI-Strategy-Buy-The-Dips-by-Coinrule/
// Pyramiding entries code adapted from Pyramiding Entries on Early Trends startegy, by Coinrule
// Pyramiding entries code adapted from Pyramiding Entries on Early Trends startegy, by Coinrule
// https://www.tradingview.com/script/7NNJ0sXB-Pyramiding-Entries-On-Early-Trends-by-Coinrule/
// Plot entry layers code adapted from HOWTO Plot Entry Price by vitvlkv
// https://www.tradingview.com/script/bHTnipgY-HOWTO-Plot-Entry-Price/


strategy(title='RSI+PA+PTP', pyramiding=16, overlay=true, initial_capital=400, default_qty_type=strategy.percent_of_equity, default_qty_value=15, commission_type=strategy.commission.percent, commission_value=0.075, close_entries_rule='FIFO')

port = input.float(12, group = "Risk", title='Portfolio % Used To Open The 8 Positions', step=0.1, minval=0.1, maxval=100)
q    = strategy.equity / 100 * port / open


// Long position PA entry layers. Percentage from the entry price of the the first long
ps2 = input.float(2,  group = "Long Position Entry Layers", title='2nd Long Entry %', step=0.1)
ps3 = input.float(3,  group = "Long Position Entry Layers", title='3rd Long Entry %', step=0.1)
ps4 = input.float(5,  group = "Long Position Entry Layers", title='4th Long Entry %', step=0.1)
ps5 = input.float(10, group = "Long Position Entry Layers", title='5th Long Entry %', step=0.1)
ps6 = input.float(16, group = "Long Position Entry Layers", title='6th Long Entry %', step=0.1)
ps7 = input.float(25, group = "Long Position Entry Layers" ,title='7th Long Entry %', step=0.1)
ps8 = input.float(40, group = "Long Position Entry Layers", title='8th Long Entry %', step=0.1)


// Calculate Moving Averages
plotMA               = input.bool(group = "Moving Average Filter", title='Plot Moving Average', defval=false)
movingaverage_signal = ta.sma(close, input(100, group = "Moving Average Filter", title='MA Length'))

plot (plotMA ? movingaverage_signal : na, color = color.new (color.green, 0))


// RSI inputs and calculations
rsiLengthInput = input.int(14, minval=1, title="RSI Length", group="RSI Settings")
rsiSourceInput = input.source(close, "Source", group="RSI Settings")

up   = ta.rma(math.max(ta.change(rsiSourceInput), 0), rsiLengthInput)
down = ta.rma(-math.min(ta.change(rsiSourceInput), 0), rsiLengthInput)
rsi  = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))

overSold = input.int(29, title="Oversold, Trigger to Enter First Position", group = "RSI Settings")

// Long trigger (co)
co = ta.crossover(rsi, overSold) and close < movingaverage_signal


// Store values to create and plot the different PA layers
long1 = ta.valuewhen(co, close, 0)
long2 = ta.valuewhen(co, close - close / 100 * ps2, 0)
long3 = ta.valuewhen(co, close - close / 100 * ps3, 0)
long4 = ta.valuewhen(co, close - close / 100 * ps4, 0)
long5 = ta.valuewhen(co, close - close / 100 * ps5, 0)
long6 = ta.valuewhen(co, close - close / 100 * ps6, 0)
long7 = ta.valuewhen(co, close - close / 100 * ps7, 0)
long8 = ta.valuewhen(co, close - close / 100 * ps8, 0)

eps1 = 0.00
eps1 := na(eps1[1]) ? na : eps1[1]

eps2 = 0.00
eps2 := na(eps2[1]) ? na : eps2[1]

eps3 = 0.00
eps3 := na(eps3[1]) ? na : eps3[1]

eps4 = 0.00
eps4 := na(eps4[1]) ? na : eps4[1]

eps5 = 0.00
eps5 := na(eps5[1]) ? na : eps5[1]

eps6 = 0.00
eps6 := na(eps6[1]) ? na : eps6[1]

eps7 = 0.00
eps7 := na(eps7[1]) ? na : eps7[1]

eps8 = 0.00
eps8 := na(eps8[1]) ? na : eps8[1]

plot(strategy.position_size > 0 ? eps1 : na, title='Long entry 1', style=plot.style_linebr)
plot(strategy.position_size > 0 ? eps2 : na, title='Long entry 2', style=plot.style_linebr)
plot(strategy.position_size > 0 ? eps3 : na, title='Long entry 3', style=plot.style_linebr)
plot(strategy.position_size > 0 ? eps4 : na, title='Long entry 4', style=plot.style_linebr)
plot(strategy.position_size > 0 ? eps5 : na, title='Long entry 5', style=plot.style_linebr)
plot(strategy.position_size > 0 ? eps6 : na, title='Long entry 6', style=plot.style_linebr)
plot(strategy.position_size > 0 ? eps7 : na, title='Long entry 7', style=plot.style_linebr)
plot(strategy.position_size > 0 ? eps8 : na, title='Long entry 8', style=plot.style_linebr)


// Take Profit Settings
ProfitTarget_Percent     = input.float(3.0,   group = "Take Profit Settings", title='Take Profit % (Per Position)')
ProfitTarget_Percent_All = input.float(4.0,   group = "Take Profit Settings", title='Take Profit % (Exit All, Progressive Take Profit Limit')
TakeProfitProgression    = input.float(12,    group = "Take Profit Settings", title='Take Profit Progression', tooltip = 'Progression is defined by the position size. By default 12% of the start equity (portfolio) is used to open a position, see Risk. This same % percentage is used to calculate the profit amount that will be deducted from the Take Profit Limit.')
entryOn                  = input.bool (true,  group = "Take Profit Settings", title='New entries affect Take Profit limit', tooltip = 'This option changes the behaviour of the Progressive Take Profit. When switchted on, the difference between the former and current original Take Profit is deducted from the Progressive Take Profit. When switchted off, the Progressive Take Profit is only affected by the profit deduction or each closed position.')
avPricePlot              = input.bool (false, group = "Take Profit Settings", title='Plot Average Price (FIFO)')
// Original Take Profit Limit
tpLimit                  = strategy.position_avg_price + (strategy.position_avg_price / 100 * ProfitTarget_Percent_All) 


// Create variables to calculate the Take Profit Limit Progresssion
var endVal   = 0.0   
var startVal = 0.0

// The value at the the start of the loop is the value of the end of the previous loop
startVal := endVal 

// Set variable to the original Take Profit Limit when the first position opens.
if strategy.position_size > 0 and strategy.position_size[1] ==0
    endVal := tpLimit  

// Everytime a specific position opens, the difference of the previous (original) Take Profit price and the current (original) Take Profit price will be deducted from the Progressive Take Profit Limit
// This feature can be toggled on and off in the settings panel. By default it is toggled on.
entryAmount = 0.0
for i = 1 to strategy.opentrades
    entryAmount := i
    if entryOn  and strategy.position_size > 0 and strategy.opentrades[1] == (entryAmount) and strategy.opentrades == (entryAmount + 1)
        endVal := startVal - (tpLimit[1] - tpLimit)

// Everytime a specific position closes, the amount of profit from that specific position will be deducted from the Progressive Take Profit Limit.
exitAmount = 0.0
for id = 1 to strategy.opentrades
    exitAmount := id
    if strategy.opentrades[1] ==(exitAmount + 1) and strategy.opentrades == (exitAmount)
        endVal := startVal - (TakeProfitProgression / 100 * strategy.opentrades.entry_price (id - 1) / 100 * ProfitTarget_Percent )

// The Final Take Profit Price
tpn = (strategy.position_avg_price + (strategy.position_avg_price / 100 * ProfitTarget_Percent_All))  - (strategy.position_avg_price + (strategy.position_avg_price / 100 * ProfitTarget_Percent_All) - endVal)
plot  (strategy.position_size > 0 ? tpn : na, title = "Take Profit Limit", color=color.new(color.red, 0), style = plot.style_linebr, linewidth = 1) 

// Plot position average price as reference
plot  (avPricePlot ? strategy.position_avg_price : na, title= "Average price", color = color.new(color.white, 0), style = plot.style_linebr, linewidth = 1) 


// When to trigger the Take Profit per position or the Progressive Take Profit
tpl1 = close < tpn ? eps1 + close * (ProfitTarget_Percent / 100) : tpn
tpl2 = close < tpn ? eps2 + close * (ProfitTarget_Percent / 100) : tpn
tpl3 = close < tpn ? eps3 + close * (ProfitTarget_Percent / 100) : tpn
tpl4 = close < tpn ? eps4 + close * (ProfitTarget_Percent / 100) : tpn
tpl5 = close < tpn ? eps5 + close * (ProfitTarget_Percent / 100) : tpn
tpl6 = close < tpn ? eps6 + close * (ProfitTarget_Percent / 100) : tpn
tpl7 = close < tpn ? eps7 + close * (ProfitTarget_Percent / 100) : tpn
tpl8 = close < tpn ? eps8 + close * (ProfitTarget_Percent / 100) : tpn



// Submit Entry Orders
if co and strategy.opentrades == 0
    eps1 := long1
    eps2 := long2
    eps3 := long3
    eps4 := long4
    eps5 := long5
    eps6 := long6
    eps7 := long7
    eps8 := long8

    strategy.entry('Long1', strategy.long, q)

if strategy.opentrades == 1
    strategy.entry('Long2', strategy.long, q, limit=eps2)

if strategy.opentrades == 2
    strategy.entry('Long3', strategy.long, q, limit=eps3)

if strategy.opentrades == 3
    strategy.entry('Long4', strategy.long, q, limit=eps4)

if strategy.opentrades == 4
    strategy.entry('Long5', strategy.long, q, limit=eps5)

if strategy.opentrades == 5
    strategy.entry('Long6', strategy.long, q, limit=eps6)

if strategy.opentrades == 6
    strategy.entry('Long7', strategy.long, q, limit=eps7)

if strategy.opentrades == 7
    strategy.entry('Long8', strategy.long, q, limit=eps8)



// Submit Exit orders
if strategy.position_size > 0
    strategy.exit(id='Exit 1', from_entry='Long1', limit=tpl1)
    strategy.exit(id='Exit 2', from_entry='Long2', limit=tpl2)
    strategy.exit(id='Exit 3', from_entry='Long3', limit=tpl3)
    strategy.exit(id='Exit 4', from_entry='Long4', limit=tpl4)
    strategy.exit(id='Exit 5', from_entry='Long5', limit=tpl5)
    strategy.exit(id='Exit 6', from_entry='Long6', limit=tpl6)
    strategy.exit(id='Exit 7', from_entry='Long7', limit=tpl7)
    strategy.exit(id='Exit 8', from_entry='Long8', limit=tpl8)


// Make sure that all open limit orders are canceled after exiting all the positions 
longClose = strategy.position_size[1] > 0 and strategy.position_size == 0 ? 1 : 0
if longClose
    strategy.cancel_all()
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