定量取引プラットフォームに基づく適応型グリッド取引戦略
作成日:
2024-02-21 10:55:21
最終変更日:
2024-02-21 10:55:21
コピー:
1
クリック数:
1101
ChaoZhang
1
フォロー
1617
フォロワー
概要
この策略は,量化取引プラットフォームに基づく自己適応格子取引策である.この策略は,自動または手動の格子取引範囲を設定し,範囲に等間隔で買取票を置き,格子取引を実現する.価格が格子上下限を破るとき,策略は自動的に格子範囲を調整する.
戦略原則
格子上の上下限価格を設定する. 特定の区間の間の価格が,上下限として,歴史的な価格の最高点と最低点を自動的に計算したり,固定された上下限価格を手動で設定することもできます.
上下限価格と格子数に基づいて,各格子の価格間隔を計算する.
上下限価格の間の等間隔で,複数の買賣点を網状に並べます.
市場価格が格子の下限を突破すると,最新の未平仓注文の格子にある格子に次ぐ格子に買い札を置く.市場価格が格子上限を突破すると,最新の未平仓注文の格子にある格子に次ぐ格子に売り札を置く.
このように,格子上の下限の間,継続的に取引が行われます.価格の傾向が逆転すると,以前の注文は徐々に停止または停止されます.
戦略的優位性
格子取引は横断と振動の状況で利益を得ることができます.
格子範囲を自律的に調整し,市場変動に応じて自動的に調整し,人工の介入を必要としません.
投資額を予測し,各格子に比例して配分し,各リスクを制御する.
シンプルな論理,分かりやすい,パラメータ調整の柔軟性.
リスクと対策
上下限を突破して損失
- 解決方法: 合理的な止損位置を設定する
トレンドは重複的な損失を生む
- 解決方法:トレンドを把握し,取引を一時停止する
パラメータが正しく設定されていません.
- 解決方法: 格子数と価格間隔のパラメータを調整する.
最適化の方向
機械学習を用いて価格変動の範囲と傾向を予測し,格子パラメータを動的に調整する.
格子取引の損失を避けるために,トレンドの状況でトレンドに切り替える.
資金利用率,収益率などの指標を組み合わせたリスク管理を行う.
資金の活用を拡大する多種多様性
要約する
この戦略は,自動調整可能なパラメータ自適応格子戦略で,横横振動する株式,デジタル通貨,外為品種に適用され,パラメータパラメータの調整により,市場の異なる状況に適応し,一定の実戦価値を有する.
ストラテジーソースコード
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-24 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//hk4jerry
strategy("Grid Bot Backtesting", overlay=false, pyramiding=3000, close_entries_rule="ANY", default_qty_type=strategy.cash, initial_capital=100.0, currency="USD", commission_type=strategy.commission.percent, commission_value=0.025)
i_autoBounds = input(group="Grid Bounds", title="Use Auto Bounds?", defval=true, type=input.bool) // calculate upper and lower bound of the grid automatically? This will theorhetically be less profitable, but will certainly require less attention
i_boundSrc = input(group="Grid Bounds", title="(Auto) Bound Source", defval="Hi & Low", options=["Hi & Low", "Average"]) // should bounds of the auto grid be calculated from recent High & Low, or from a Simple Moving Average
i_boundLookback = input(group="Grid Bounds", title="(Auto) Bound Lookback", defval=250, type=input.integer, maxval=500, minval=0) // when calculating auto grid bounds, how far back should we look for a High & Low, or what should the length be of our sma
i_boundDev = input(group="Grid Bounds", title="(Auto) Bound Deviation", defval=0.10, type=input.float, maxval=1, minval=-1) // if sourcing auto bounds from High & Low, this percentage will (positive) widen or (negative) narrow the bound limits. If sourcing from Average, this is the deviation (up and down) from the sma, and CANNOT be negative.
i_upperBound = input(group="Grid Bounds", title="(Manual) Upper Boundry(상단 가격)", defval=0.285, type=input.float) // for manual grid bounds only. The upperbound price of your grid
i_lowerBound = input(group="Grid Bounds", title="(Manual) Lower Boundry(하단 가격)", defval=0.225, type=input.float) // for manual grid bounds only. The lowerbound price of your grid.
i_gridQty = input(group="Grid Lines", title="Grid Line Quantity(그리드 수)", defval=30, maxval=999, minval=1, type=input.integer) // how many grid lines are in your grid
initial_balance = input(group="Trading option", title="Initial balance(투자금액)", defval=100, step=0.01)
start_time = input(group="Trading option",defval=timestamp('15 March 2023 06:00'), title='Start Time', type = input.time)
end_time = input(group="Trading option",defval=timestamp('31 Dec 2035 20:00'), title='End Time', type = input.time)
isAfterStartDate = true
tradingtime= (timenow - start_time)/(86400000*30)
yeartime=tradingtime/12
f_getGridBounds(_bs, _bl, _bd, _up) =>
if _bs == "Hi & Low"
_up ? highest(close, _bl) * (1 + _bd) : lowest(close, _bl) * (1 - _bd)
else
avg = sma(close, _bl)
_up ? avg * (1 + _bd) : avg * (1 - _bd)
f_buildGrid(_lb, _gw, _gq) =>
gridArr = array.new_float(0)
for i=0 to _gq-1
array.push(gridArr, _lb+(_gw*i))
gridArr
f_getNearGridLines(_gridArr, _price) =>
arr = array.new_int(3)
for i = 0 to array.size(_gridArr)-1
if array.get(_gridArr, i) > _price
array.set(arr, 0, i == array.size(_gridArr)-1 ? i : i+1)
array.set(arr, 1, i == 0 ? i : i-1)
break
arr
var upperBound = i_autoBounds ? f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, true) : i_upperBound // upperbound of our grid
var lowerBound = i_autoBounds ? f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, false) : i_lowerBound // lowerbound of our grid
var gridWidth = (upperBound - lowerBound)/(i_gridQty-1) // space between lines in our grid
var gridLineArr = f_buildGrid(lowerBound, gridWidth, i_gridQty) // an array of prices that correspond to our grid lines
var orderArr = array.new_bool(i_gridQty, false) // a boolean array that indicates if there is an open order corresponding to each grid line
var closeLineArr = f_getNearGridLines(gridLineArr, close) // for plotting purposes - an array of 2 indices that correspond to grid lines near price
var nearTopGridLine = array.get(closeLineArr, 0) // for plotting purposes - the index (in our grid line array) of the closest grid line above current price
var nearBotGridLine = array.get(closeLineArr, 1) // for plotting purposes - the index (in our grid line array) of the closest grid line below current price
if isAfterStartDate
for i = 0 to (array.size(gridLineArr) - 1)
if close < array.get(gridLineArr, i) and not array.get(orderArr, i) and i < (array.size(gridLineArr) - 1)
buyId = i
array.set(orderArr, buyId, true)
strategy.entry(id=tostring(buyId), long=true, qty=(initial_balance/(i_gridQty-1))/close, comment="#"+tostring(buyId))
if close > array.get(gridLineArr, i) and i != 0
if array.get(orderArr, i-1)
sellId = i-1
array.set(orderArr, sellId, false)
strategy.close(id=tostring(sellId), comment="#"+tostring(sellId))
if i_autoBounds
upperBound := f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, true)
lowerBound := f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, false)
gridWidth := (upperBound - lowerBound)/(i_gridQty-1)
gridLineArr := f_buildGrid(lowerBound, gridWidth, i_gridQty)
closeLineArr := f_getNearGridLines(gridLineArr, close)
nearTopGridLine := array.get(closeLineArr, 0)
nearBotGridLine := array.get(closeLineArr, 1)
var table table = table.new(position.top_right,6,8, frame_color = color.rgb(255, 255, 255),frame_width = 2,border_width = 2, border_color=color.rgb(255, 255, 255))
//제목
table.cell(table,0,0,"상단 라인 :", bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,0,1,"하단 라인 :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,0,2,"그리드 수 :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,0,3,"투자금액 :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,0,4,"그리드당 투자금액 :",text_color =color.white,bgcolor=color.new(color.black,0))
//수치
table.cell(table,1,0, tostring(upperBound, '###.#####')+ " USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,1, tostring(lowerBound, '###.#####')+ " USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,2, tostring(i_gridQty, '###'), bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,3, tostring(initial_balance,'###.##')+ " USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,4, tostring(initial_balance/i_gridQty,'###.##')+ " USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)
//제목
table.cell(table,2,0,"현재 포지션 :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,2,1,"현재 포지션 평단가 :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,2,2,"현재 포지션 수익 :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,2,3,"현재 포지션 수익 % :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,2,4,"현재 포지션 수수료 :",text_color =color.white,bgcolor=color.new(color.black,0))
//수치
table.cell(table,3,0, tostring(strategy.position_size) + syminfo.basecurrency + "\n" + tostring(strategy.position_size*strategy.position_avg_price/1, '###.##') + "USDT" ,text_color =color.white,bgcolor=color.new(#5a637e, 0))
table.cell(table,3,1, text=strategy.position_size>0 ? tostring(strategy.position_avg_price,'###.####')+ " USDT" : "NOT TRADING",text_color =color.white,bgcolor=color.new(#5a637e, 0))
table.cell(table,3,2, tostring(strategy.openprofit, '###.##')+ " USDT",text_color =color.white,bgcolor=strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,3,3, tostring(strategy.openprofit/initial_balance*100, '###.##')+ "%",text_color =color.white,bgcolor=strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,3,4, "-" + tostring(strategy.position_avg_price*strategy.position_size*0.025/100,'###.##')+ " USDT",text_color =color.white,bgcolor=color.new(#5a637e, 0))
//제목
table.cell(table,4,0,"그리드 수익 :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,4,1,"그리드 수익률 :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,4,2,"총 수익 :", bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,4,3,"총 수익률 :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,4,4,"현재 자산 :",bgcolor=color.new(color.black,0),text_color =color.white)
//수치
table.cell(table,5,0, tostring(strategy.netprofit, '###.#####')+ "USDT", text_color =color.white,bgcolor=strategy.netprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,1, tostring((strategy.netprofit)/initial_balance*100/tradingtime, '####.##') + "%",text_color =color.white,bgcolor=strategy.netprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,2, tostring(strategy.netprofit+strategy.openprofit, '###.##') + " USDT",text_color =color.white,bgcolor=strategy.netprofit+strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,3, tostring((strategy.netprofit+strategy.openprofit)/initial_balance*100, '####.##') + "%",text_color =color.white,bgcolor=strategy.netprofit+strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,4, tostring(initial_balance+strategy.netprofit+strategy.openprofit, '###.##')+ " USDT", text_color =color.white,bgcolor=color.new(#3d4d7c, 0))
// plot(strategy.initial_capital+ strategy.netprofit+strategy.openprofit, "총 수익 USDT",color=color.rgb(81, 137, 128))
// plot(initial_balance, "투자금액",color=color.rgb(81, 137, 128))