ChaoZhang
概要
この戦略は,開場価格,最高価格,最低価格,および取引量の異常高さのグラフのVWAPを含む複数のVWAP (取引量重平均価格) レベルに基づいています. この戦略は,VWAPをサポートとレジスタンスとして使用し,取引量の異常を考慮します. 価格がVWAPレベルを突破し,特定の条件を満たしたとき,この戦略は取引信号を生成します. さらに,この戦略は,RSI指標を使用して,移動量変化を検知し,平仓条件として使用します.
戦略原則
- オープン価格VWAP,最高価格VWAP,最低価格VWAP,異常高取引量グラフVWAPを含む複数のVWAPレベルを計算する.
- 異常な高成交の図を検出し,その図に異常な高成交のVWAPの累積変数を再置する.
- 取引シグナルのトリガー条件として,VWAPレベルより上下偏差値を設定します.
- VWAPの反対側に空飛ぶ物があるかどうかをチェックして,誤った信号を避ける.
- VWAPに対する価格の位置と,閉盘価格と開盘価格の関係によって,Wick (陰線) とCrossover (交差) の2つのタイプを含む複数の取引シグナルが生成されます.
- RSI指標を用いて動量変化を検知し,RSIが70以上または30以下であるとき,平仓の相応の取引.
優位分析
- この戦略は,複数のVWAPレベルを利用して,より包括的なサポートとレジスタンス情報を提供する.
- 市場における重要な変化を捉えるための戦略は,異常なトラフィックを検知するフットグラフです.
- 偏差値の設定は,いくつかのノイズ信号をフィルタリングし,取引信号の質を向上させます.
- VWAPの反対側で価格が飛ぶことを考慮して,誤った信号を回避しました.
- 価格とVWAPの相対的な位置と,閉盘価格と開盤価格の関係によって,複数の取引シグナルが生み出され,戦略の柔軟性が増加する.
- RSI指標を平衡条件として使用することで,動力が変化したときに,戦略をタイムリーに退場させることができます.
リスク分析
- この戦略はVWAPレベルに依存し,市場が極端な状況に遭遇した場合,VWAPは効果を失ってしまう可能性がある.
- 異常高取引量判断は,固定値の値に基づいて行われ,異なる市場状況に適応できない可能性がある.
- 偏差値の設定は,異なる市場と取引品種に応じて調整する必要があるかもしれません.
- この戦略により,複数の取引信号が生まれ,過剰取引と高額な取引コストが引き起こされる可能性があります.
- RSI指標は後退した平仓の信号を生じさせ,戦略により大きなリスクを負わせる可能性があります.
最適化の方向
- VWAPレベルの計算方法の最適化,例えば,より長い時間周期を考慮するか,加重方法を使用する.
- 異常に高い取引量の判断基準を最適化します.例えば,自主的な値を使用するか,他の取引量指標と組み合わせるなどです.
- 偏差値をパラメータ最適化して,最適な偏差幅を見つけます.
- 単一取引のリスクの限界を制御するストップとストップを設定するなどのリスク管理措置を導入する.
- 他の動力の指標を試すか,複数の指標を組み合わせ,より正確な平衡信号を得る.
- トレードシグナルをフィルタリングし,過剰取引と取引コストを削減します.
要約する
この戦略は,複数のVWAPレベルと取引量異常検出を利用して,多様な取引信号を生成する.価格とVWAPの相対的な位置,閉店価格と開店価格の関係,およびRSI指標を考慮して,戦略は市場の重要な変化を捕捉し,取引を早期に終了しようとする.しかし,この戦略には,極端な状況への適応性,過度取引,遅滞した平仓シグナルなどのいくつかのリスクもあります.
ストラテジーソースコード
/*backtest
start: 2024-05-30 00:00:00
end: 2024-06-06 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("5 Anchored VWAP Strategy with Abnormally High Volume Candle", overlay=true)
// Initialize VWAP variables
var float vwap_open = na
var float vwap_high = na
var float vwap_low = na
var float vwap_high_volume = na
var float cum_v_open = 0
var float cum_v_high = 0
var float cum_v_low = 0
var float cum_v_high_volume = 0
var float cum_pv_open = 0
var float cum_pv_high = 0
var float cum_pv_low = 0
var float cum_pv_high_volume = 0
var float highest_volume = 0
// Initialize YTD high and low variables
var float ytd_high = na
var float ytd_low = na
// Parameters for abnormal volume detection
length = 20
volume_threshold = 2.0
// Displacement parameters
displacement_percentage = 0.01 // 1% displacement
// Calculate average volume
avg_volume = ta.sma(volume, length)
// Check if it's the first day of the year
is_first_day_of_year = year(time) != year(time[1])
// Reset YTD high and low on the first day of the year
if is_first_day_of_year
ytd_high := high
ytd_low := low
// Update YTD high and low
ytd_high := na(ytd_high) ? high : math.max(ytd_high, high)
ytd_low := na(ytd_low) ? low : math.min(ytd_low, low)
// Update cumulative variables for open VWAP
cum_v_open += volume
cum_pv_open += close * volume
if cum_v_open != 0
vwap_open := cum_pv_open / cum_v_open
// Update cumulative variables for high VWAP
if high == ytd_high
cum_v_high := 0
cum_pv_high := 0
cum_v_high += volume
cum_pv_high += close * volume
if cum_v_high != 0
vwap_high := cum_pv_high / cum_v_high
// Update cumulative variables for low VWAP
if low == ytd_low
cum_v_low := 0
cum_pv_low := 0
cum_v_low += volume
cum_pv_low += close * volume
if cum_v_low != 0
vwap_low := cum_pv_low / cum_v_low
// Check for new high-volume candle that is also abnormally high and reset cumulative variables for high-volume VWAP
new_high_volume = false
if volume > highest_volume and volume > volume_threshold * avg_volume
highest_volume := volume
cum_v_high_volume := 0
cum_pv_high_volume := 0
new_high_volume := true
cum_v_high_volume += volume
cum_pv_high_volume += close * volume
if cum_v_high_volume != 0
vwap_high_volume := cum_pv_high_volume / cum_v_high_volume
// Plot VWAPs
plot(vwap_open, color=color.red, linewidth=2, title="VWAP Open")
plot(vwap_high, color=color.green, linewidth=2, title="VWAP High")
plot(vwap_low, color=color.blue, linewidth=2, title="VWAP Low")
plot(vwap_high_volume, color=color.purple, linewidth=2, title="VWAP High Volume")
// Plot a vertical line on the chart only when a new high-volume VWAP anchor occurs
bgcolor(new_high_volume ? color.new(color.purple, 90) : na, offset=-1)
// Calculate displacement amounts
displacement_amount_open = vwap_open * displacement_percentage
displacement_amount_high = vwap_high * displacement_percentage
displacement_amount_low = vwap_low * displacement_percentage
displacement_amount_high_volume = vwap_high_volume * displacement_percentage
// Check for gaps on the opposite side of a VWAP
gap_up_opposite_open = na(close[1]) ? false : (open > close[1] and open < vwap_open and close[1] > vwap_open)
gap_down_opposite_open = na(close[1]) ? false : (open < close[1] and open > vwap_open and close[1] < vwap_open)
gap_up_opposite_high = na(close[1]) ? false : (open > close[1] and open < vwap_high and close[1] > vwap_high)
gap_down_opposite_high = na(close[1]) ? false : (open < close[1] and open > vwap_high and close[1] < vwap_high)
gap_up_opposite_low = na(close[1]) ? false : (open > close[1] and open < vwap_low and close[1] > vwap_low)
gap_down_opposite_low = na(close[1]) ? false : (open < close[1] and open > vwap_low and close[1] < vwap_low)
gap_up_opposite_high_volume = na(close[1]) ? false : (open > close[1] and open < vwap_high_volume and close[1] > vwap_high_volume)
gap_down_opposite_high_volume = na(close[1]) ? false : (open < close[1] and open > vwap_high_volume and close[1] < vwap_high_volume)
// RSI calculation for momentum change detection
rsi = ta.rsi(close, 14)
long_exit_condition = rsi > 70
short_exit_condition = rsi < 30
// Debugging Plots
plotshape(not gap_up_opposite_open and not gap_down_opposite_open and close > vwap_open and low < vwap_open - displacement_amount_open and close[1] < vwap_open, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small, title="Open Long Signal")
plotshape(not gap_up_opposite_open and not gap_down_opposite_open and close < vwap_open and high > vwap_open + displacement_amount_open and close[1] > vwap_open, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small, title="Open Short Signal")
plotshape(not gap_up_opposite_high and not gap_down_opposite_high and close > vwap_high and low < vwap_high - displacement_amount_high and close[1] < vwap_high, style=shape.triangledown, location=location.abovebar, color=color.blue, size=size.small, title="High Long Signal")
plotshape(not gap_up_opposite_high and not gap_down_opposite_high and close < vwap_high and high > vwap_high + displacement_amount_high and close[1] > vwap_high, style=shape.triangleup, location=location.belowbar, color=color.orange, size=size.small, title="High Short Signal")
plotshape(not gap_up_opposite_low and not gap_down_opposite_low and close > vwap_low and low < vwap_low - displacement_amount_low and close[1] < vwap_low, style=shape.triangledown, location=location.abovebar, color=color.purple, size=size.small, title="Low Long Signal")
plotshape(not gap_up_opposite_low and not gap_down_opposite_low and close < vwap_low and high > vwap_low + displacement_amount_low and close[1] > vwap_low, style=shape.triangleup, location=location.belowbar, color=color.yellow, size=size.small, title="Low Short Signal")
plotshape(not gap_up_opposite_high_volume and not gap_down_opposite_high_volume and close > vwap_high_volume and low < vwap_high_volume - displacement_amount_high_volume and close[1] < vwap_high_volume, style=shape.triangledown, location=location.abovebar, color=color.teal, size=size.small, title="High Volume Long Signal")
plotshape(not gap_up_opposite_high_volume and not gap_down_opposite_high_volume and close < vwap_high_volume and high > vwap_high_volume + displacement_amount_high_volume and close[1] > vwap_high_volume, style=shape.triangleup, location=location.belowbar, color=color.fuchsia, size=size.small, title="High Volume Short Signal")
// Trading signals based on VWAP support/resistance with displacement, no gaps on the opposite side, and bounce conditions
if not gap_up_opposite_open and not gap_down_opposite_open
if (close > vwap_open and low < vwap_open)
if close > open
strategy.entry("Long_Open_Wick", strategy.long, comment="Wick")
else
strategy.entry("Long_Open_Crossover", strategy.long, comment="Crossover")
if (close < vwap_open and high > vwap_open)
if close < open
strategy.entry("Short_Open_Wick", strategy.short, comment="Wick")
else
strategy.entry("Short_Open_Crossover", strategy.short, comment="Crossover")
if not gap_up_opposite_high and not gap_down_opposite_high
if (close > vwap_high and low < vwap_high)
if close > open
strategy.entry("Long_High_Wick", strategy.long, comment="Wick")
else
strategy.entry("Long_High_Crossover", strategy.long, comment="Crossover")
if (close < vwap_high and high > vwap_high)
if close < open
strategy.entry("Short_High_Wick", strategy.short, comment="Wick")
else
strategy.entry("Short_High_Crossover", strategy.short, comment="Crossover")
if not gap_up_opposite_low and not gap_down_opposite_low
if (close > vwap_low and low < vwap_low)
if close > open
strategy.entry("Long_Low_Wick", strategy.long, comment="Wick")
else
strategy.entry("Long_Low_Crossover", strategy.long, comment="Crossover")
if (close < vwap_low and high > vwap_low)
if close < open
strategy.entry("Short_Low_Wick", strategy.short, comment="Wick")
else
strategy.entry("Short_Low_Crossover", strategy.short, comment="Crossover")
if not gap_up_opposite_high_volume and not gap_down_opposite_high_volume
if (close > vwap_high_volume and low < vwap_high_volume)
if close > open
strategy.entry("Long_High_Volume_Wick", strategy.long, comment="Wick")
else
strategy.entry("Long_High_Volume_Crossover", strategy.long, comment="Crossover")
if (close < vwap_high_volume and high > vwap_high_volume)
if close < open
strategy.entry("Short_High_Volume_Wick", strategy.short, comment="Wick")
else
strategy.entry("Short_High_Volume_Crossover", strategy.short, comment="Crossover")
// Exit trades based on RSI momentum change
if strategy.position_size > 0 and long_exit_condition
strategy.close("Long_Open_Wick")
strategy.close("Long_Open_Crossover")
strategy.close("Long_High_Wick")
strategy.close("Long_High_Crossover")
strategy.close("Long_Low_Wick")
strategy.close("Long_Low_Crossover")
strategy.close("Long_High_Volume_Wick")
strategy.close("Long_High_Volume_Crossover")
if strategy.position_size < 0 and short_exit_condition
strategy.close("Short_Open_Wick")
strategy.close("Short_Open_Crossover")
strategy.close("Short_High_Wick")
strategy.close("Short_High_Crossover")
strategy.close("Short_Low_Wick")
strategy.close("Short_Low_Crossover")
strategy.close("Short_High_Volume_Wick")
strategy.close("Short_High_Volume_Crossover")