定量取引のローソク足パターンとトレンドフォロー戦略
作成日:
2024-01-31 17:24:30
最終変更日:
2024-01-31 17:24:30
コピー:
3
クリック数:
681
ChaoZhang
1
フォロー
1617
フォロワー
概要
この戦略は,量化取引の形とトレンド追跡戦略の. この戦略は形分析とトレンド追跡取引の戦略思想を融合した.
戦略は,主に異なる形を識別し,市場の現在の空白状態と可能な転換点を判断する.最高価格と最低価格の追跡を組み合わせて,入場と退出シグナルを形成し,中長線の価格トレンドを捕捉する.
戦略原則
この戦略は以下のモジュールで構成されています.
- 形判断
策略は,まず,実体,影線などの体上の要素を定義し,十字星,開星,三内上などの40以上の一般的な形を識別するためにいくつかのパラメータを設定する.これらの形を識別すると,マルチヘッドまたは空頭信号として標識され判断される.
- 傾向を判断する
戦略は,最高価格と最低価格の追跡を活用して,価格がN日の最高価格を超えると上昇傾向と判断し,価格がN日の最低価格を下回ると空頭傾向と判断する.
- 入場と退場
形判定による多空信号は,トレンド判定における最高価格と最低価格の突破と組み合わせて,入場と退出ルールを形成する.
例えば,線のような多頭形が認識され,価格がN日の最高価格を超えると,多頭を作る.価格がN日の最低価格を下回ると,多頭を平らにする.
- 検出範囲設定
策略は最後に,反測の開始停止時間を設定して,策略の論理全体の閉環を完了します.
優位分析
この戦略の利点は以下の通りです.
- 形状とトレンドを組み合わせる
形状判断とトレンド追跡の組み合わせの優位性を利用して,形状によって価格の可能なターニングポイントを判断することも,トレンドによって入場タイミングを決定することもできます.
- 多形態識別
戦略は40以上の一般的な形状の識別を含み,幅広い範囲で,異なる市場環境でより多くの潜在的な取引機会を識別できます.
- 高いパラメータ調整機能
戦略のパラメータは,追跡日数,形状の識別などのパラメータは,自主的に調整され,適応性が高く,特定の市場に対して調整しやすくなっています.
- 拡張可能
形状認識モジュールは,既存の論理に直接拡張され,さらに要因判断モジュールを追加して,戦略の効果を最適化し続けることができます.
リスク分析
この戦略には以下のリスクもあります.
- 形状認識の精度は100%ではない
形判定は完全に正確ではないが,誤認の確率は一定であり,取引信号が誤って誘発された場合がある.
- ストップダストモジュールの欠如
現在,ストップ・ロジックが設定されていないため,単一損失を効果的に制御することはできません.トレンド判断が失敗すると,口座に大きな損失をもたらす可能性があります.
- データの一致を測るリスク
現行の戦略効果は,反測区間のデータに何らかの適合がある可能性があり,実盤でのパフォーマンスは低下する可能性があります.
最適化の方向
戦略の主要な最適化方向は以下の通りです.
- ストップダストモジュールを追加
移動停止やパーセンテージ・ストップなどのストップ・ストラトジーを追加することで,リスクを効果的にコントロールし,単一の最大損失を制限できる.
- 機械学習による形状判断の精度向上
機械学習アルゴリズムによるモデル訓練により,形判定の精度が向上し,誤信号率が低下する.
- 多市場検証
外為市場や仮想通貨市場など,より多くの市場で戦略の強性をテストし,反測データ適合を防止する.
- 複数の要素を組み合わせる
量価指標,資金流動指標など,より多くの量化要因を導入することができ,戦略の論理を豊かにし,安定性を向上させる.
要約する
この戦略は,形判断とトレンド追跡取引を組み合わせて,市場転換点を判断しながら価格トレンドを捉え,余剰収益を実現することができる.戦略の最適化スペースは大きく,リスク管理,機械学習,複数の要因などから向上させることができ,戦略をより頑強で商業的な価値にする.
ストラテジーソースコード
/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy("Candle analysis & long/short strategy (HF) inspired by TurtleBC", shorttitle="TurtleBC-V.Troussel", overlay=true,initial_capital=1000)
//VARIABLES
body=close-open
range=high-low
middle=(open+close)/2
abody=abs(body)
ratio=abody/range
longcandle= (ratio>0.6)
bodytop=max(open, close)
bodybottom=min(open, close)
shadowtop=high-bodytop
shadowbottom=bodybottom-low
//Doji
DojiSize = input(0.05, minval=0.01, title="Doji size")
data=(abs(open - close) <= (high - low) * DojiSize)
plotchar(data, title="Doji", text='Doji', color=black)
//BULLISH SIGNALS
//Homing Pigeon
HomingPigeon=(body[1]<0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(HomingPigeon, title= "Homing Pigeon", location=location.belowbar, color=lime, style=shape.arrowup, text="Homing\nPigeon")
//Dragonfly Doji Bottom
DragonflyDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3)
plotshape(DragonflyDojiBottom, title= "Dragonfly Doji Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Dragonfly\nDoji\nBottom")
//Concealing Baby Swallow
ConcealingBabySwallow=(body[3]<0 and body[2]<0 and body[1]<0 and body<0 and ratio[3]>0.8 and ratio[2]>0.8 and ratio>0.8 and open[1]<close[2] and high[1]>close[2] and shadowtop[1]>0.6*(abody[1]+shadowbottom[1]) and bodybottom<bodybottom[1] and bodytop>high[1])
plotshape(ConcealingBabySwallow, title= "Concealing Baby Swallow", location=location.belowbar, color=lime, style=shape.arrowup, text="Concealing\nBaby\nSwallow")
//Gravestone Doji Bottom
GravestoneDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>3*abody and shadowbottom<shadowtop/3)
plotshape(GravestoneDojiBottom, title= "Gravestone Doji Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Gravestone\nDoji\nBottom")
//Last Engulfing Bottom
LastEngulfingBottom=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(LastEngulfingBottom, title= "Last Engulfing Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Last\nEngulfing\nBottom")
//Bullish Harami Cross
BullishHaramiCross=(body[1]<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1])
plotshape(BullishHaramiCross, title= "Bullish Harami Cross", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nHarami\nCross")
//Three Stars in the South
ThreeStarsInTheSouth=(body[2]<0 and body[1]<0 and body<0 and shadowtop[2]<range[2]/4 and shadowbottom[2]>abody[2]/2 and low[1]>low[2] and high[1]<high[2] and abody[1]<abody[2] and shadowtop[1]<range[1]/4 and shadowbottom[1]>abody[1]/2 and low>low[1] and high<high[1] and abody<abody[1] and shadowtop<range/4 and shadowbottom<range/4)
plotshape(ThreeStarsInTheSouth, title= "Three Stars In TheSouth", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nStars\nIn\nThe\nSouth")
//Bullish Breakaway
BullishBreakaway=(body[4]<0 and body[3]<0 and body>0 and open[3]<close[4] and close[2]<close[3] and close[1]<close[2] and longcandle and close<close[4] and close>open[3])
plotshape(BullishBreakaway, title= "Bullish Breakaway", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nBreakaway")
//Hammer
Hammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>2*abody and shadowtop<0.3*abody)
plotshape(Hammer, title= "Hammer", location=location.belowbar, color=lime, style=shape.arrowup, text="Hammer")
//Inverted Hammer
InvertedHammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>2*abody and shadowbottom<0.3*abody)
plotshape(InvertedHammer, title= "Inverted Hammer", location=location.belowbar, color=lime, style=shape.arrowup, text="Inverted\nHammer")
//Rising Three Methods
RisingThreeMethods=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and longcandle and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1])
plotshape(RisingThreeMethods, title= "Rising Three Methods", location=location.belowbar, color=lime, style=shape.arrowup, text="Rising\nThree\nMethods")
//BullishThreeLineStrike
BullishThreeLineStrike=(body[3]>0 and body[2]>0 and body[1]>0 and body<0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]>close[3] and close[1]>close[2] and open>close[1] and close<open[3])
plotshape(BullishThreeLineStrike, title= "Bullish Three Line Strike", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nThreeLine\nStrike")
//Bullish Mat Hold
BullishMatHold=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and close[3]>close[4] and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1])
plotshape(BullishMatHold, title= "Bullish Mat Hold", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nMat\nHold")
//Doji Star Bottom
DojiStarBottom=(body[1]<0 and longcandle[1] and low<low[1] and open<close[1] and ratio<0.3 and range<0.3*range[1])
plotshape(DojiStarBottom, title= "Doji Star Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Doji\nStar\nBottom")
//Morning Star
MorningStar=(body[2]<0 and body>0 and longcandle[2] and open[1]<close[2] and open>close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and low[1]<low and low[1]<low[2] and high[1]<open[2] and high[1]<close)
plotshape(MorningStar, title= "Morning Star", location=location.belowbar, color=lime, style=shape.arrowup, text="Morning\nStar")
//Abandoned Baby Bottom
AbandonedBabyBottom=(body[2]<0 and body>0 and longcandle[2] and ratio[1]<0.3 and high[1]<low[2] and high[1]<low)
plotshape(AbandonedBabyBottom, title= "Abandoned Baby Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Abandoned\nBaby\nBottom")
//Bullish Harami
BullishHarami=(body[1]<0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(BullishHarami, title= "Bullish Harami", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nHarami")
//Three Inside Up
ThreeInsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishHarami[1] and close>close[1])
plotshape(ThreeInsideUp, title= "Three Inside Up", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nInside\nUp")
//Bullish Engulfing
BullishEngulfing=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(BullishEngulfing, title= "Bullish Engulfing", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nEngulfing")
//Piercing Line
PiercingLine=(body[1]<0 and body>0 and longcandle[1] and longcandle and open<low[1] and close>middle[1] and close<open[1])
plotshape(PiercingLine, title= "Piercing Line", location=location.belowbar, color=lime, style=shape.arrowup, text="Piercing\nLine")
//Three Outside Up
ThreeOutsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishEngulfing[1] and close>close[1])
plotshape(ThreeOutsideUp, title= "Three Outside Up", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nOutside\nUp")
//Three White Soldiers
ThreeWhiteSoldiers=(body[2]>0 and body[1]>0 and body>0 and high[1]>high[2] and high>high[1] and close[1]>close[2] and close>close[1] and open[1]>open[2] and open[1]<close[2] and open>open[1] and open<close[1])
plotshape(ThreeWhiteSoldiers, title= "Three White Soldiers", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nWhite\nSoldiers")
//BEARISH SIGNALS
//Evening Star
EveningStar=(body[2]>0 and body<0 and longcandle[2] and open[1]>close[2] and open<close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and high[1]>high and high[1]>high[2] and low[1]>open[2] and low[1]>close)
plotshape(EveningStar, title= "Evening Star", color=red, style=shape.arrowdown, text="Evening\nStar")
//Dark Cloud Cover
DarkCloudCover=(body[1]>0 and body<0 and longcandle[1] and longcandle and open>high[1] and close<middle[1] and close>open[1])
plotshape(DarkCloudCover, title= "Dark Cloud Cover", color=red, style=shape.arrowdown, text="Dark\nCloud\nCover")
//Abandoned Baby Top
AbandonedBabyTop=(body[2]>0 and body<0 and longcandle[2] and ratio[1]<0.3 and low[1]>high[2] and low[1]>high)
plotshape(AbandonedBabyTop, title= "Abandoned Baby Top", color=red, style=shape.arrowdown, text="Abandoned\nBaby\nTop")
//Bearish Harami
BearishHarami=(body[1]>0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(BearishHarami, title= "Bearish Harami", color=red, style=shape.arrowdown, text="Bearish\nHarami")
//Descending Hawk
DescendingHawk=(body[1]>0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(DescendingHawk, title= "Descending Hawk", color=red, style=shape.arrowdown, text="Descending\nHawk")
//Bearish Engulfing
BearishEngulfing=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(BearishEngulfing, title= "Bearish Engulfing", color=red, style=shape.arrowdown, text="Bearish\nEngulfing")
//Gravestone Doji Top
GravestoneDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>3*abody and shadowbottom<shadowtop/3)
plotshape(GravestoneDojiTop, title= "Gravestone Doji Top", color=red, style=shape.arrowdown, text="Gravestone\nDoji\nTop")
//Shooting Star
ShootingStar=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>2*abody and shadowbottom<0.3*abody)
plotshape(ShootingStar, title= "Shooting Star", color=red, style=shape.arrowdown, text="Shooting\nStar")
//Hanging Man
HangingMan=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>2*abody and shadowtop<0.3*abody)
plotshape(HangingMan, title= "Hanging Man", color=red, style=shape.arrowdown, text="Hanging\nMan")
//Bearish Three Line Strike
BearishThreeLineStrike=(body[3]<0 and body[2]<0 and body[1]<0 and body>0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]<close[3] and close[1]<close[2] and open<close[1] and close>open[3])
plotshape(BearishThreeLineStrike, title= "Bearish Three Line Strike", color=red, style=shape.arrowdown, text="Bearish\nThree\nLine\nStrike")
//Falling Three Methods
FallingThreeMethods=(body[4]<0 and body[3]>0 and body[1]>0 and body<0 and longcandle[4] and longcandle and close[2]>close[3] and close[1]>close[2] and low[2]>low[3] and low[1]>low[2] and high[1]<high[4] and open<close[1] and close<low[4] and close<low[3] and close<low[2] and close<low[1])
plotshape(FallingThreeMethods, title= "Falling Three Methods", color=red, style=shape.arrowdown, text="Falling\n\nThreeMethods")
//Three Inside Down
ThreeInsideDown=(body[2]>0 and body[1]<0 and body<0 and BearishHarami[1] and close<close[1])
plotshape(ThreeInsideDown, title= "Three Inside Down", color=red, style=shape.arrowdown, text="Three\nInside\nDown")
//Three Outside Down
ThreeOutsideDown=(body[2]>0 and body[1]<0 and body<0 and BearishEngulfing[1] and close<close[1])
plotshape(ThreeOutsideDown, title= "Three Outside Down", color=red, style=shape.arrowdown, text="Three\nOutside\nDown")
//Three Black Crows
ThreeBlackCrows=(body[2]<0 and body[1]<0 and body<0 and longcandle[2] and longcandle[1] and longcandle and low[1]<low[2] and low<low[1] and close[1]<close[2] and close<close[1] and open[1]<open[2] and open[1]>close[2] and open<open[1] and open>close[1])
plotshape(ThreeBlackCrows, title= "Three Black Crows", color=red, style=shape.arrowdown, text="Three\nBlack\nCrows")
//Upside Gap Two Crows
UpsideGapTwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and bodytop>bodytop[1] and bodybottom<bodybottom[1] and close>close[2])
plotshape(UpsideGapTwoCrows, title= "Upside Gap Two Crows", color=red, style=shape.arrowdown, text="Upside\nGap\nTwo\nCrows")
//Last Engulfing Top
LastEngulfingTop=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(LastEngulfingTop, title= "Last Engulfing Top", color=red, style=shape.arrowdown, text="Last\nEngulfing\nTop")
//Dragonfly Doji Top
DragonflyDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3)
plotshape(DragonflyDojiTop, title= "Dragonfly Doji Top", color=red, style=shape.arrowdown, text="Dragonfly\nDoji\nTop")
//Bearish Harami Cross
BearishHaramiCross=(body[1]>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1])
plotshape(BearishHaramiCross, title= "Bearish Harami Cross", color=red, style=shape.arrowdown, text="Bearish\nHarami\nCross")
//Advance Block
AdvanceBlock=(body[2]>0 and body[1]>0 and body>0 and high[2]<high[1] and high[1]<high and open[1]>bodybottom[2] and open[1]<bodytop[2] and open>bodybottom[1] and open<bodytop[1] and abody[1]<abody[2] and abody<abody[1])
plotshape(AdvanceBlock, title= "Advance Block", color=red, style=shape.arrowdown, text="Advance\nBlock")
//Bearish Breakaway
BearishBreakaway=(body[4]>0 and body[3]>0 and body<0 and open[3]>close[4] and close[2]>close[3] and close[1]>close[2] and longcandle and close>close[4] and close<open[3])
plotshape(BearishBreakaway, title= "Bearish Breakaway", color=red, style=shape.arrowdown, text="Bearish\nBreakaway")
//Two Crows
TwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and close[1]>close[2] and open<bodytop[1] and open>bodybottom[1] and close<bodytop[2] and close>bodybottom[2])
plotshape(TwoCrows, title= "Two Crows", color=red, style=shape.arrowdown, text="Two\nCrows")
// === BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1)
FromDay = input(defval = 1, title = "From Day", minval = 1)
FromYear = input(defval = 2016, title = "From Year", minval = 2016)
ToMonth = input(defval = 1, title = "To Month", minval = 1)
ToDay = input(defval = 1, title = "To Day", minval = 1)
ToYear = input(defval = 9999, title = "To Year", minval = 9999)
enter_fast = input(20, minval=1)
exit_fast = input(10, minval=1)
exit_fast_short=input(10,minval=1)
fastL = highest(close, enter_fast)
fastS = highest(close ,exit_fast_short)
fastLC = lowest(close, exit_fast)
//entrées et sorties pour long et short, le short utilise la sortie du long comme entrée
enterL1 = close > fastL[1]
exitL1 = close <= fastLC[1]
exitS=close>fastS[1]
strategy.entry("Long", strategy.long, when = enterL1 )
strategy.close("Long", when = exitL1)
strategy.entry("Short", strategy.short, when = exitL1)
strategy.close("Short", when = exitS)