マルチタイムフレームオシレーションチャネルトレンドフォロー戦略


作成日: 2023-12-25 14:27:06 最終変更日: 2023-12-25 14:27:06
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マルチタイムフレームオシレーションチャネルトレンドフォロー戦略

[trans]

概要

この戦略は,超トレンド指標に基づいており,複数の時間枠で市場動向を分析し,入場タイミングを特定する振動チャネル手法を使用する.

戦略原則

  • 伝統的な超トレンド指標を用いてトレンドの方向性を判断する
  • 高タイムフレームの超トレンドを増やし,高タイムフレームのトレンドも確保する
  • 2つのタイムフレームのスーパートレンド指標から全体的なトレンドの方向性を判断する
  • 価格の突破の揺れ通路の上下軌道に基づいて,特定の入場時刻を決定する

優位分析

  • 複数の時間枠分析により,トレンドの判断がより確実になります.
  • 高低のタイムフレームを組み合わせて,大きなトレンドを保証し,短期的な機会を捉える
  • ストップポイントを設定し,リスクを制御する

リスクと解決

  • 超トレンドは,それ自体には遅延があり,トレンドの転換点を逃す可能性があります.
  • パラメータの最適化または他の指標との組み合わせで判断可能な知られたトレンド変換,遅滞のリスクを低減する

最適化の方向

  • 超トレンドのパラメータを最適化し,遅滞を減らす
  • トレンドフィルタを追加して,上向きのトレンドを正確に判断する.
  • テストし,より適切な止損方法を選択する

要約する

この戦略は,多時間枠分析とトレンド追跡指標を統合し,主要トレンドを把握しながら,特定の入場タイミングを探しています.継続的な最適化により,長期にわたって安定した超利益が得られることが期待されています.

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Overview

This strategy is based on the Supertrend indicator, combined with multiple timeframe market trend analysis, and adopts the oscillation channel method to identify entry opportunities.

Strategy Principle

  • Use the traditional Supertrend indicator to determine the trend direction
  • Add Supertrend of higher timeframe to ensure there is a trend in higher timeframe too
  • Determine the overall trend direction based on the Supertrend indicators of two timeframes
  • Identify specific entry opportunities based on the price breakout of the upper and lower rails of the oscillation channel

Advantage Analysis

  • Multi-timeframe analysis makes trend judgment more reliable
  • Combining high and low timeframes ensures catching the major trend while being able to capture short-term opportunities
  • The oscillation channel setting stops loss points which helps risk control

Risks and Solutions

  • The Supertrend itself has some lagging phenomenon, which may miss trend reversal points
  • The lagging risk can be reduced by optimizing parameters or incorporating other indicators to assist in identifying trend changes

Optimization Directions

  • Optimize Supertrend parameters to reduce lagging
  • Add trend filtering indicators to ensure catching the major trend more accurately
  • Test and select more appropriate stop loss methods

Summary

This strategy integrates multi-timeframe analysis and trend tracking indicators to grasp the major trend while seeking specific entry opportunities. With continuous optimization, it is expected to achieve long-term steady excess returns.

ストラテジーソースコード 
/*backtest
start: 2022-12-18 00:00:00
end: 2023-12-24 00:00:00
period: 1d
basePeriod: 1h
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/
// © ramki_simple
// Thanks to LonesomeTheBlue for the original code
//@version=4
strategy("Multi Supertrend with no-repaint HTF option strategy", overlay = true, shorttitle='Multi Supertrend')
//auto higher time frame
HTFAuto = timeframe.period == '1' ? '5' : 
  timeframe.period == '3' ? '15' : 
  timeframe.period == '5' ? '15' : 
  timeframe.period == '15' ? '60' : 
  timeframe.period == '30' ? '60' : 
  timeframe.period == '45' ? '60' : 
  timeframe.period == '60' ? '240' : 
  timeframe.period == '120' ? '240' : 
  timeframe.period == '180' ? '240' : 
  timeframe.period == '240' ? 'D' : 
  timeframe.period == 'D' ? 'W' :
  '5W'
HTFSelection = input(title='Select HTF Automatically for Additional Supertrend', type=input.bool, defval=false)
HTFUserSel = input(title='Select Higher Timeframe for Additional Supertrend',type=input.resolution, defval ='')
HTF = HTFSelection ? HTFAuto : HTFUserSel


Mult1 = input(title='Multiplier for Default Supertrend', defval=3.0, minval = 0, maxval = 10)
Period1 = input(title='Period for Default Supertrend', defval=10, minval = 1, maxval = 100)
Mult2 = input(title='Multiplier for Additional Supertrend', defval=2.0, minval = 0, maxval = 10)
Period2 = input(title='Period for Additional Supertrend', defval=14, minval = 1, maxval = 100)

chbarcol = input(true, title = "Change Bar Color")

[Trailings, Trend] = supertrend(Mult1, Period1)

linecolor = Trend == -1 and Trend[1] == -1 ? color.teal :
   Trend == 1 and Trend[1] == 1 ? color.red :
   color.new(color.white, 100)
plot(Trailings, color = linecolor,  linewidth = 2,title = "SuperTrend")

f_Security(_symbol, _res, _src) => security(_symbol, _res, _src[1], lookahead = barmerge.lookahead_on)

nonVectorSupertrend(Mult, Period) =>
    [Trail_, Trend_] = supertrend(Mult, Period)
    Trail_*Trend_


[TrailingslHtf, TrendHtf] = supertrend(Mult2, Period2)

if HTF != timeframe.period and HTF != ''
    CompositeTrailHtf = f_Security(syminfo.tickerid, HTF,nonVectorSupertrend(Mult2, Period2) )
    TrailingslHtf := abs(CompositeTrailHtf)
    TrendHtf := CompositeTrailHtf > 0 ? 1 : -1


linecolorHtf = TrendHtf == -1 and TrendHtf[1] == -1 ? color.blue :
   TrendHtf == 1 and TrendHtf[1] == 1 ? color.maroon :
   color.new(color.white, 100)
plot(TrailingslHtf, color = linecolorHtf, linewidth = 3, title = "Supertrend Higher Time Frame")

barcolor_ = Trend == -1 and TrendHtf == -1 ? color.lime :
   Trend == 1 and TrendHtf == 1 ? color.red :
   color.white
barcolor(color = chbarcol ? barcolor_ : na)

vwapfilter = input(false)

Long = Trend == -1 and TrendHtf == -1
Short = Trend == 1 and TrendHtf == 1
strategy.entry("enter long", true, 1, when = Long and not Long[1] and (vwapfilter and close > vwap or not vwapfilter))
strategy.entry("enter short", false, 1, when = Short and not Short[1] and (vwapfilter and close < vwap or not vwapfilter))
strategy.close("enter long", when = Long[1] and not Long)
strategy.close("enter short", when = Short[1] and not Short)
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