カスタマイズ可能な非リペイント HTF MACD MFI スケーブルボット戦略

作者: リン・ハーンチャオチャン開催日:2023年12月22日12時47分21秒
タグ:

概要

この戦略は,MACDとMFIインジケーターを使用して高度にカスタマイズ可能な非再塗装組み合わせ戦略であり,アルゴリズム取引ボットに適しています. 取引信号を生成するためにトレンドとモメントインジケーターの両方を組み込み,偽の信号を避けるために追加のフィルターを備えています.

戦略の論理

この戦略は,市場動向方向を決定するためにMACD指標を使用する.MACDは,MACDヒストグラムを得るためにスロームービング平均を高速ムービング平均から減算し,シグナルラインとしてMACDのEMAを使用して計算されるトレンドフォローするインパルス指標である.シグナルライン上のクロスオーバーは購入信号を与え,下のクロスオーバーは販売信号を与える.

さらに,MFI指標は,価格と量の両方の情報を組み込むことで,市場における過買い/過売りレベルを測定するために使用されます.MFIは0から100の間を振動し,20未満の値は過買い地域を示し,80を超える値は過買い地域を示します.

誤った信号をフィルタリングするために,戦略はトレンドフィルターとRSIフィルターも実装する.価格が上昇傾向にあり,RSIが限界を下回っている場合にのみ購入信号が生成される.

戦略の利点

市場状態の評価をより堅牢にするために複数の指標を組み合わせ,勝率を向上させる
フィルタリングメカニズムは誤った信号を回避し,不必要な取引を減らす
高度にカスタマイズ可能なパラメータとフィルター,異なる楽器や取引の好みに適応可能
手動取引に使用したり,自動取引のためのアルゴリズムボットに接続することができます.

リスクと緩和策

パラメータの調節が不十分なら誤った信号が発信される
最適な設定を見つけるために異なるパラメータの組み合わせをテストする
パラメータは"サイズ"ではなく,各機器ごとに別々のテスト/最適化が必要です
高い取引頻度はコストと滑り込みリスクを増加させる
取引頻度を減らすためにフィルターを調整する
ライブ取引中にコストを注意深く監視する

戦略の最適化のための方向性

パラメータの安定性を評価するために,より長いデータ期間の試験
インディケーターパラメータの異なる組み合わせを試す
安定性を高めるために指標の重量を最適化する
不必要な取引を避けるためにより多くのフィルターを追加します.

結論

これは,市場状態を測定するためにトレンドとモメントインジケーターの両方を組み合わせて高度にカスタマイズ可能なトレンドフォロー戦略であり,リスクを制御するためにフィルタリングメカニズムを効果的に使用します.手動取引に使用したり,高度な自動化のためにアルゴリズムボットに接続したりできます.長期的に追跡および最適化する価値のある戦略です.

/*backtest
start: 2022-12-15 00:00:00
end: 2023-12-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//(c) Wunderbit Trading
//Modified by Mauricio Zuniga - Trade at your own risk
//This script was originally shared on Wunderbit website as a free open source script for the community. (https://help.wundertrading.com/en/articles/5246468-macd-mfi-trading-bot-for-ftx)
// 
//WHAT THIS SCRIPT DOES:
//   This is a scalping script originally intended to be used on altorightmic bot trading.
//   This strategy is based on the trend-following momentum indicator. It includes the Money Flow index as an additional point for entry. 
//HOW IT DOES IT:
//   It uses a combination of MACD and MFI indicators to create entry signals.  Parameters for each indicator have been surfaced for user configurability.
//   Take profits are fixed, but stop loss uses ATR configuration to minimize losses and close profitably.
//HOW IS MY VERSION ORIGINAL:
//   I started trying to deploy this script myself in my algorithmic tradingg but ran into some issues which I have tried to address in this version.
//   Delayed Signals : The script has been refactored to use a time frame drop down.  The higher time frame can be run on a faster chart (recommended on one minute chart for fastest signal confirmation and relay to algotrading platform.  
//   Repainting Issues : All indicators have been recoded to use the security function that checks to see if the current calculation is in realtime, if it is, then it uses the previous bar for calculation.
//   If you are still experiencing repainting issues based on intended (or non intended use), please provide a report with screenshot and explanation so I can try to address.
//   Filtering :  I have added to additional filters an ABOVE EMA Filter and a BELOW RSI Filter (both can be turned on and off) 
//   Customizable Long and Clos Messages : This allows someone to use the script for algorithmic trading without having to alter code.  It also means you can use one indicator for all of your different alterts required for your bots.
//HOW TO USE IT:
//   Find a pair with high volatility - I have found it works particularly well with 3L and 3S tokens for crypto. although it the limitation is that confrigurations I have found to work typically have low R/R ratio, but very high win rate and profit factor.
//   Ieally set one minute chart for bots, but you can use other charts for manual trading.  The signal will be delayed by one bar but I have found configurations that still test well.
//   Select a time frame in configuration for your indicator calculations. 
//   I like ot use 5 and 15 minutes for scalping scenarios, but I am interested in hearing back from other community memebers.
//   Optimize your indicator without filters (trendFilter and RSI Filter)
//   Use the TrendFilter and RSI Filter to further refine your signals for entry.

//@version=4
strategy("Customizable HTF MACD Strategy v1.2", overlay=false, pyramiding=0, commission_type=strategy.commission.percent, commission_value=0.07, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, currency = currency.USD)

openlongcomment = "Comment In Here"
closelongcomment = ""
openshortcomment = ""
closeshortcommment = ""
//RES
res = input(title="Resolution", type=input.resolution, defval="5", group="Strategy", inline="1")
comment = input(title="Open Long Comment", type=input.string, defval="",group="Strategy", inline="1")

if not(comment == "")
    openlongcomment := comment
// FUNCTIONS

Ema(src,p) =>
    ema = 0.
    sf = 2/(p+1)
    ema := nz(ema[1] + sf*(src - ema[1]),src)

Sma(src,p) => a = cum(src), (a - a[max(p,0)])/max(p,0)

Atr(p, res) =>
    atr = 0.
    highHTF = security(syminfo.tickerid, res, high[barstate.isrealtime ? 1 : 0])
    lowHTF = security(syminfo.tickerid, res, low[barstate.isrealtime ? 1 : 0])
    closeHTF = security(syminfo.tickerid, res, close[barstate.isrealtime ? 1 : 0])
    Tr = max(highHTF - lowHTF, max(abs(highHTF - closeHTF[1]), abs(lowHTF - closeHTF[1])))
    atr := nz(atr[1] + (Tr - atr[1])/p,Tr)


ribbon_period = input(39, "Period", step=1)

htfClose = security(syminfo.tickerid, res, close[barstate.isrealtime ? 1 : 0])

leadLine1 = ema(htfClose, ribbon_period)
leadLine2 = sma(htfClose, ribbon_period)

// p3 = plot(leadLine1, color= #53b987, title="EMA", transp = 50, linewidth = 1)
// p4 = plot(leadLine2, color= #eb4d5c, title="SMA", transp = 50, linewidth = 1)
// fill(p3, p4, transp = 60, color = leadLine1 > leadLine2 ? #53b987 : #eb4d5c)

//Upward Trend
UT=leadLine2 < leadLine1
DT=leadLine2>leadLine1
//FILTER LOGIC
aboveTrend = input(true, title="Use Trend", group="Filters", inline='1', type=input.bool)
TrendLength  = input(3, minval=1, title="Trend MA", group="Filters", inline='1', type=input.integer)
aboveTrendFilter = sma(htfClose,TrendLength)

useRSI = input(true, title="Use RSI", group="Filters", inline='2', type=input.bool)
RSILength  = input(34, minval=1, title="RSI Length", group="Filters", inline='2') // used to calculate RSI
belowRSIFilter  = input(50, minval=1, title="Buy Below RSI Filter", group="Filters", inline='2') // only buy if its below this RSI - doesn't seem to work as expected
rsi = rsi(htfClose,RSILength)

if not(useRSI)
    belowRSIFilter = 100
if not(aboveTrend)
    aboveTrendFilter = -1
    

// MACD
fast_length = input(title="Fast Length", type=input.integer, defval=7)
slow_length = input(title="Slow Length", type=input.integer, defval=23)
src = input(title="Source", type=input.source, defval=close)
signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 10)
sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=false)
sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=false)

// Plot colors
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350
col_macd = #0094ff
col_signal = #ff6a00


srcHTF = security(syminfo.tickerid, res, src[barstate.isrealtime ? 1 : 0])
// Calculating
fast_ma = sma_source ? Sma(srcHTF, fast_length) : Ema(srcHTF, fast_length)
slow_ma = sma_source ? Sma(srcHTF, slow_length) : Ema(srcHTF, slow_length)

macd = fast_ma - slow_ma
signal = sma_signal ? Sma(macd, signal_length) : Ema(macd, signal_length)
hist = macd - signal

//plot(hist, title="Histogram", style=plot.style_columns, color=(hist>=0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below) ), transp=0 )
plot(macd, title="MACD", color=col_macd, transp=0)
plot(signal, title="Signal", color=col_signal, transp=0)

/// MFI

MFIsource = hlc3
sourceHTF = security(syminfo.tickerid, res, MFIsource[barstate.isrealtime ? 1 : 0])
length = input(15, minval=1)
lower = input(12, minval=0, maxval=50)
upper = input(80, minval=50, maxval=100)

// DrawMFI_f=input(true, title="Draw MFI?", type=bool)
HighlightBreaches=input(true, title="Highlight Oversold/Overbought?")

volumeHTF = security(syminfo.tickerid, res, volume[barstate.isrealtime ? 1 : 0])

// MFI
upper_s = sum(volumeHTF * (change(sourceHTF) <= 0 ? 0 : sourceHTF), length)
lower_s = sum(volumeHTF * (change(sourceHTF) >= 0 ? 0 : sourceHTF), length)
mf = rsi(upper_s, lower_s)
mfp = plot(mf, color=color.new(color.gray,0), linewidth=1)
top = hline(upper, color=color.new(color.gray, 100), linewidth=1, editable=false)
bottom = hline(lower, color=color.new(color.gray,100), linewidth=1, editable=false)
hline(0, color=color.new(color.black,100), editable=false)
hline(100, color=color.new(color.black,100), editable=false)

// Breaches
b_color = (mf > upper) ? color.new(color.red,70) : (mf < lower) ? color.new(color.green,60) : na
bgcolor(HighlightBreaches ? b_color : na)

fill(top, bottom, color=color.gray, transp=75)

// TAKE PROFIT AND STOP LOSS
long_tp1_inp = input(1, title='Long Take Profit 1 %', step=0.1)/100
long_tp1_qty = input(20, title="Long Take Profit 1 Qty", step=1)

long_trailing = input(1.3, title='Trailing Stop Long', step=0.1) / 100

long_take_level_1 = strategy.position_avg_price * (1 + long_tp1_inp)

// Stop Loss
multiplier = input(2, "SL Mutiplier", minval=1, step=0.1)
ATR_period=input(40,"ATR period", minval=1, step=1)

// Strategy
entry_long=(crossover(macd,signal) or (crossover(mf,lower) and leadLine2 < leadLine1)) and rsi < belowRSIFilter and close > aboveTrendFilter 
entry_price_long=valuewhen(entry_long,close,0)
//SL_floating_long = entry_price_long -( (entry_price_long)*multiplier/100)//*Atr(ATR_period,res)
//SL_floating_long = entry_price_long - multiplier*Atr(ATR_period,res)
SL_floating_long = entry_price_long - multiplier*Atr(ATR_period,res)
exit_long= close < SL_floating_long

///// BACKTEST PERIOD ///////
testStartYear = input(2018, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, 0, 0)

testStopYear = input(9999, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)

testPeriod() =>
    time >= testPeriodStart and time <= testPeriodStop ? true : false

if testPeriod()
    if UT
        strategy.entry("long", strategy.long, when=entry_long == true, comment=openlongcomment)
    strategy.exit("TP1","long", qty_percent=long_tp1_qty, limit=long_take_level_1)
    strategy.exit("Trail stop","long",  comment=closelongcomment,  trail_points=entry_price_long * long_trailing / syminfo.mintick, trail_offset=entry_price_long * long_trailing / syminfo.mintick)
    strategy.close("long", exit_long == true,  comment=closelongcomment )

もっと

2019 FMZ - すべての権利は保護されています.

カスタマイズ可能な非リペイント HTF MACD MFI スケーブルボット戦略

概要

戦略の論理

戦略 の 利点

リスクと緩和策

戦略の最適化のための方向性

結論

戦略の利点