ピボット黄金比に基づく高値買い安値売り戦略


作成日: 2023-12-29 16:48:06 最終変更日: 2023-12-29 16:48:06
コピー: 1 クリック数: 720
avatar of ChaoZhang ChaoZhang
1
フォロー
1621
フォロワー

ピボット黄金比に基づく高値買い安値売り戦略

概要

この戦略は,異なる時間周期の支点を重要な価格領域として計算し,黄金の分割線原理と組み合わせてトレンドの方向性を判断し,高買い低売りの取引戦略を実現する.

戦略原則

  1. 閉盤価格,最高価格,最低価格の支柱を計算する. クラシック支柱とゴールド分割支柱を含む.

  2. 価格の突破上下軌道に基づいて,現在の価格領域を判断する。5つの買取領域と5つの売り出し領域に分けられる。

  3. 買取区域で買取信号を発信し,売出区域で売出信号を発信し,高買い低売り戦略をとる.

優位分析

  1. 市場騒音に惑わされないように,多時間周期でトレンドを判断してください.

  2. クラシック支柱とゴールド分割支柱を組み合わせて支柱の信頼性を高めます.

  3. 価格区間から市場投入のタイミングを判断し,損失のリスクを最大限に回避する.

  4. トレンド取引のルールに則り,逆転取引を避ける.

リスク分析

  1. 支点の破裂に注意してください.

  2. 損失を追跡することは不利で,損失を増加させるのを防ぐ必要があります.

  3. 取引費用は最終収益にも影響します.

最適化の方向

  1. 時間周期パラメータ,取引方向パラメータなど,さまざまなパラメータをテストして,最適化策を策定する.

  2. 他の指標と組み合わせてトレンドを特定し,偽突破を回避できます.

  3. 単一損失を制御するために,ストップ・ロスのメカニズムを追加できます.

要約する

この戦略は,古典的な技術分析方法とトレンド取引戦略を統合し,支点地域を利用して市場への入場を判断し,高買い低売りの原則を採用し,取引リスクを効果的に制御し,実際の検証と最適化に値する.

ストラテジーソースコード 
/*backtest
start: 2022-12-22 00:00:00
end: 2023-12-28 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/
// © HeWhoMustNotBeNamed

//@version=4
strategy("BuyHighSellLow - Pivot points", overlay=true, initial_capital = 100000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01, calc_on_order_fills = true)
Source = input(close)
resolution = input("4D", type=input.resolution)
HTFMultiplier = input(4, title="Higher Timeframe multiplier (Used when resolution is set to Same as Symbol)", minval=2, step=1)
//ppType = input(title="Pivot points type", defval="classic", options=["classic", "fib"])
ppType = "fib"
tradeDirection = input(title="Trade Direction", defval=strategy.direction.long, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
backtestBars = input(title="Backtest from ", defval=10, minval=1, maxval=30)
backtestFrom = input(title="Timeframe", defval="years", options=["days", "months", "years"])
hideBands = input(true)
f_multiple_resolution(HTFMultiplier) => 
    target_Res_In_Min = timeframe.multiplier * HTFMultiplier * (
      timeframe.isseconds   ? 1. / 60. :
      timeframe.isminutes   ? 1. :
      timeframe.isdaily     ? 1440. :
      timeframe.isweekly    ? 7. * 24. * 60. :
      timeframe.ismonthly   ? 30.417 * 24. * 60. : na)

    target_Res_In_Min     <= 0.0417       ? "1S"  :
      target_Res_In_Min   <= 0.167        ? "5S"  :
      target_Res_In_Min   <= 0.376        ? "15S" :
      target_Res_In_Min   <= 0.751        ? "30S" :
      target_Res_In_Min   <= 1440         ? tostring(round(target_Res_In_Min)) :
      tostring(round(min(target_Res_In_Min / 1440, 365))) + "D"

f_getBackTestTimeFrom(backtestFrom, backtestBars)=>
    byDate = backtestFrom == "days"
    byMonth = backtestFrom == "months"
    byYear = backtestFrom == "years"
    
    date = dayofmonth(timenow)
    mth = month(timenow)
    yr = year(timenow)
    
    leapYearDaysInMonth = array.new_int(12,0)
    array.set(leapYearDaysInMonth,0,31)
    array.set(leapYearDaysInMonth,1,29)
    nonleapYearDaysInMonth = array.new_int(12,0)
    array.set(leapYearDaysInMonth,0,31)
    array.set(leapYearDaysInMonth,1,28)
    
    restMonths = array.new_int(10,0)
    array.set(leapYearDaysInMonth,0,31)
    array.set(leapYearDaysInMonth,1,30)
    array.set(leapYearDaysInMonth,2,31)
    array.set(leapYearDaysInMonth,3,30)
    array.set(leapYearDaysInMonth,4,31)
    array.set(leapYearDaysInMonth,5,31)
    array.set(leapYearDaysInMonth,6,30)
    array.set(leapYearDaysInMonth,7,31)
    array.set(leapYearDaysInMonth,8,30)
    array.set(leapYearDaysInMonth,9,31)
    
    array.concat(leapYearDaysInMonth,restMonths)
    array.concat(nonleapYearDaysInMonth,restMonths)
    isLeapYear = yr % 4 == 0 and (year%100 != 0 or year%400 == 0)
    numberOfDaysInCurrentMonth = isLeapYear ? array.get(leapYearDaysInMonth, mth-2) : array.get(nonleapYearDaysInMonth, mth-2)
    if(byDate)
        mth := (date - backtestBars) < 0 ? mth - 1 : mth
        yr := mth < 1 ? yr - 1 : yr
        mth := mth < 1 ? 1 : mth
        date := (date - backtestBars) < 0 ? numberOfDaysInCurrentMonth - backtestBars + date + 1 : date - backtestBars + 1
    if(byMonth)
        date := 1
        yr := (mth - (backtestBars%12)) < 0 ? yr - int(backtestBars/12) - 1 : yr - int(backtestBars/12)
        mth := mth - (backtestBars%12) + 1
    if(byYear)
        date := 1
        mth := 1
        yr := yr - backtestBars
    [date, mth, yr]

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

f_getClassicPivots(HIGHprev, LOWprev, CLOSEprev)=>
    PP = (HIGHprev + LOWprev + CLOSEprev) / 3
    R1 = PP * 2 - LOWprev
    S1 = PP * 2 - HIGHprev
    R2 = PP + (HIGHprev - LOWprev)
    S2 = PP - (HIGHprev - LOWprev)
    R3 = PP * 2 + (HIGHprev - 2 * LOWprev)
    S3 = PP * 2 - (2 * HIGHprev - LOWprev)
    R4 = PP * 3 + (HIGHprev - 3 * LOWprev)
    S4 = PP * 3 - (3 * HIGHprev - LOWprev)
    R5 = PP * 4 + (HIGHprev - 4 * LOWprev)
    S5 = PP * 4 - (4 * HIGHprev - LOWprev)
    [R5, R4, R3, R2, R1, PP, S1, S2, S3, S4, S5]
    
f_getFibPivots(HIGHprev, LOWprev, CLOSEprev)=>
    PP = (HIGHprev + LOWprev + CLOSEprev) / 3
    R1 = PP + 0.382 * (HIGHprev - LOWprev)
    S1 = PP - 0.382 * (HIGHprev - LOWprev)
    R2 = PP + 0.618 * (HIGHprev - LOWprev)
    S2 = PP - 0.618 * (HIGHprev - LOWprev)
    R3 = PP + (HIGHprev - LOWprev)
    S3 = PP - (HIGHprev - LOWprev)
    R4 = PP + 1.41 * (HIGHprev - LOWprev)
    S4 = PP - 1.41 * (HIGHprev - LOWprev)
    R5 = PP + 1.65 * (HIGHprev - LOWprev)
    S5 = PP - 1.65 * (HIGHprev - LOWprev)
    [R5, R4, R3, R2, R1, PP, S1, S2, S3, S4, S5]
    
f_getPivotPoints(HTFMultiplier, resolution, ppType)=>
    derivedResolution = resolution == ""? f_multiple_resolution(HTFMultiplier) : resolution
    HIGHprev = f_secureSecurity(syminfo.tickerid, derivedResolution, high)
    LOWprev = f_secureSecurity(syminfo.tickerid, derivedResolution, low)
    CLOSEprev = f_secureSecurity(syminfo.tickerid, derivedResolution, close)
    [R5, R4, R3, R2, R1, PP, S1, S2, S3, S4, S5] = f_getClassicPivots(HIGHprev, LOWprev, CLOSEprev)
    [Rf5, Rf4, Rf3, Rf2, Rf1, PPf, Sf1, Sf2, Sf3, Sf4, Sf5] = f_getFibPivots(HIGHprev, LOWprev, CLOSEprev)
    [R5, R4, R3, R2, R1, PP, S1, S2, S3, S4, S5]

f_getState(Source, R5, R4, R3, R2, R1, PP, S1, S2, S3, S4, S5)=>
    state =
     Source > R5 ? 5 :
     Source > R4 ? 4 :
     Source > R3 ? 3 : 
     Source > R2 ? 2 :
     Source > R1 ? 1 :
     Source > PP ? 0 :
     Source > S1 ? -1 :
     Source > S2 ? -2 :
     Source > S3 ? -3 :
     Source > S4 ? -4 :
     Source > S5 ? -5 : -6
    state

[R5, R4, R3, R2, R1, PP, S1, S2, S3, S4, S5] = f_getPivotPoints(HTFMultiplier, resolution, ppType)

[date, mth, yr] = f_getBackTestTimeFrom(backtestFrom, backtestBars)
inDateRange = time >= timestamp(syminfo.timezone, yr, mth, date, 0, 0)

BBU5 = plot(not hideBands ? R5: na, title="R5", color=color.orange, linewidth=1, transp=50, style=plot.style_linebr)
BBU4 = plot(not hideBands ? R4: na, title="R4", color=color.yellow, linewidth=1, transp=50, style=plot.style_linebr)
BBU3 = plot(not hideBands ? R3: na, title="R3", color=color.navy, linewidth=1, transp=50, style=plot.style_linebr)
BBU2 = plot(not hideBands ? R2: na, title="R2", color=color.olive, linewidth=1, transp=50, style=plot.style_linebr)
BBU1 = plot(not hideBands ? R1: na, title="R1", color=color.lime, linewidth=1, transp=50, style=plot.style_linebr)
BBM4 = plot(not hideBands ? PP:na, title="PP", color=color.black, linewidth=2, style=plot.style_linebr)
BBL1 = plot(not hideBands ? S1: na, title="S1", color=color.lime, linewidth=1, transp=50, style=plot.style_linebr)
BBL2 = plot(not hideBands ? S2: na, title="S2", color=color.olive, linewidth=1, transp=50, style=plot.style_linebr)
BBL3 = plot(not hideBands ? S3: na, title="S3", color=color.navy, linewidth=1, transp=50, style=plot.style_linebr)
BBL4 = plot(not hideBands ? S4: na, title="S4", color=color.yellow, linewidth=1, transp=50, style=plot.style_linebr)
BBL5 = plot(not hideBands ? S5: na, title="S5", color=color.orange, linewidth=1, transp=50, style=plot.style_linebr)


fill(BBU5, BBU4, title="RZ5", color=color.green, transp=90)
fill(BBU4, BBU3, title="RZ4", color=color.lime, transp=90)
fill(BBU3, BBU2, title="RZ3", color=color.olive, transp=90)
fill(BBU2, BBU1, title="RZ2", color=color.navy, transp=90)
fill(BBU1, BBM4, title="RZ1", color=color.yellow, transp=90)
fill(BBM4, BBL1, title="SZ1", color=color.orange, transp=90)
fill(BBL1, BBL2, title="SZ2", color=color.red, transp=90)
fill(BBL2, BBL3, title="SZ3", color=color.maroon, transp=90)
fill(BBL3, BBL4, title="SZ4", color=color.maroon, transp=90)
fill(BBL4, BBL5, title="SZ5", color=color.maroon, transp=90)

strategy.risk.allow_entry_in(tradeDirection)
longCondition = crossover(Source[1],R1) and inDateRange
shortCondition = crossunder(Source[1], S2) and inDateRange

strategy.entry("Buy", strategy.long, when=longCondition, oca_name="oca")
strategy.entry("Sell", strategy.short, when=shortCondition, oca_name="oca")
Forums
PINE Language FAQ Summary MyLanguage Web3 About Us
Product
Robot Strategy Node Platforms Tickets
API
Syntax guide User guide Trading api Blockchain Indicator

© 2015 - ∞ INVENTOR PTE LTD (SG)