ChaoZhang
概要
この戦略は,クラシックなグラフ形状の認識とトレンド分析を組み合わせた総合的な技術分析取引システムである.このシステムは,主に10以上の異なるグラフ形状を含む複数のクラシックなグラフ形状の認識を頼り,短期および長期の移動平均を組み合わせて,市場動向を確認し,買い売りシグナルを生成する.この戦略は,異なる時間周期に適用され,短線取引にも中期および長期のポジションにも使用できます.
戦略原則
戦略は,複数のレベルの 信号確認メカニズムを使用しています.
- 6周期指数移動平均 ((EMA) を短期トレンド指標として使用
- 50と200周期のSMA (Simple Moving Average) を用いて長期トレンドを判断する
- 画像の形状を識別する:
- 十字星族 (普通十字星,墓碑十字,十字)
- 形 (線,上吊線,下,流星)
- 形を呑み込む
- 妊娠線形
- 明星/夕焼け星
- 三兵/三形
- トレンドと形状を組み合わせて取引信号を生成する
戦略的優位性
- 信号の多次元確認:移動平均とグラフ形状の二重確認により,取引信号の信頼性を高める
- 適応力:市場環境に適応し,トレンドと逆転の機会を捉える
- リスクコントロールの改善:形状認識の厳格な条件によって偽信号を低減する
- 操作ロジックは明瞭です.各取引シグナルには明確な入場条件があります.
- 拡張性: ポリシーのフレームワークは,必要に応じて新しい形状認識モジュールを簡単に追加できます.
戦略リスク
- 形状認識の遅延:図形状確認は多根のK線を完了させる必要があり,最適な入場時間を逃す可能性がある.
- 信号重複:複数の形態が同時に出現し,信号衝突を引き起こす
- 市場騒音:揺れ動いている市で誤った信号が多すぎる可能性
- 参数感性:移動平均周期の選択は,戦略のパフォーマンスに大きな影響を与える
- 計算の複雑さ:複数の形態のリアルタイム計算が実行効率に影響を与える
戦略最適化の方向性
- シグナル重量システム:
- 異なる形状に合わせて調整可能な重量
- 市場環境の動向に応じて重点を調整する
- 市場環境の認識:
- 市場状況を識別するための波動率指標の追加
- 異なる市場状況に応じて戦略パラメータを調整する
- ストップ・ローズ・オプティマイゼーション
- 形状特性をベースに設計された動的止損
- トラッキング・ストップ・メカニズムを追加
- 信号のフィルター:
- 取引量確認メカニズムの追加
- トレンド強度フィルターを追加
- コンピュータの効率を最適化します
- 簡略化された形状認識アルゴリズム
- データ構造を最適化する
要約する
この戦略は,複数の技術分析ツールを統合することで,完全な取引システムを構築している.戦略の核心的な優位性は,多次元的な信号確認機構にあるが,同時に,信号の遅延と過剰フィット化のリスクにも直面している.市場環境の識別と動的パラメータの調整機構を追加することで,戦略は,より良いパフォーマンスを期待している.実際のアプリケーションでは,パラメータをフィットバックで最適化し,リスク管理システムと組み合わせて使用することを推奨している.
ストラテジーソースコード
/*backtest
start: 2023-11-12 00:00:00
end: 2024-11-11 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("hazed candles", shorttitle="hazed candles", overlay=true)
// Inputs
ema_input = input.int(6, title="EMA value to detect trend")
show_doji = input.bool(true, title="Doji star")
show_doji_grave = input.bool(true, title="Doji grave")
show_doji_dragonfly = input.bool(true, title="Doji dragonfly")
show_hammer = input.bool(true, title="Hammer")
show_hanginman = input.bool(true, title="Hanging man")
show_rhammer = input.bool(true, title="Reversed hammer")
show_falling_star = input.bool(true, title="Falling star")
show_absorption = input.bool(true, title="Absorptions")
show_tweezers = input.bool(true, title="Tweezers")
show_triple_inside = input.bool(true, title="Triple inside")
show_three_soldiers = input.bool(true, title="Three soldiers")
show_three_crows = input.bool(true, title="Three crows")
show_morning_evening_stars = input.bool(true, title="Morning / evening stars")
show_golden_death_cross = input.bool(true, title="Golden / Death cross")
// EMA calculation
prev_p_1 = ta.ema(close, ema_input)
// Variables
lowhigh_long_prop = 10
body_prop_size = 9
bar_size_h = high - close
bar_size_l = math.max(open, close) - math.min(close, open)
body_size_h = high - low
low_body_prop = close - low
high_body_prop = high - close
low_half_eq = (low_body_prop > body_size_h / 2.5 and low_body_prop < body_size_h / 1.65)
high_half_eq = (high_body_prop > body_size_h / 2.5 and high_body_prop < body_size_h / 1.65)
open_close_eq = (bar_size_l < body_size_h / body_prop_size)
///////////////// Doji star ///////////////
doji_star_up = show_doji and close <= prev_p_1 and open_close_eq and high_body_prop and low_half_eq
doji_star_down = show_doji and close > prev_p_1 and open_close_eq and high_body_prop and low_half_eq
plotshape(doji_star_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Doji star")
plotshape(doji_star_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Doji star")
// Strategy entries for Doji star
if (doji_star_up)
strategy.entry("Buy Doji Star", strategy.long)
if (doji_star_down)
strategy.entry("Sell Doji Star", strategy.short)
///////////////// Doji grave ///////////////
long_high_body = (high_body_prop > bar_size_l * lowhigh_long_prop)
open_low_eq = ((close - low) < body_size_h / body_prop_size)
doji_grave = show_doji_grave and close > prev_p_1 and open_close_eq and open_low_eq and long_high_body
plotshape(doji_grave, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Doji grave")
// Strategy entries for Doji grave
if (doji_grave)
strategy.entry("Sell Doji Grave", strategy.short)
///////////////// Doji dragonfly ///////////////
long_low_body = (low_body_prop > bar_size_l * lowhigh_long_prop)
open_high_eq = ((high - close) < body_size_h / body_prop_size)
doji_dragonfly = show_doji_dragonfly and close <= prev_p_1 and open_close_eq and open_high_eq and long_low_body
plotshape(doji_dragonfly, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Doji dragonfly")
// Strategy entries for Doji dragonfly
if (doji_dragonfly)
strategy.entry("Buy Doji Dragonfly", strategy.long)
///////////////// Hammer ///////////////
bottom_low = close - bar_size_h * 15
bottom_high = close - bar_size_h * 1.5
top_low = open + bar_size_l * 1.5
top_high = open + bar_size_l * 15
h_down = show_hammer and prev_p_1 > close and open == high and low > bottom_low and low < bottom_high
plotshape(h_down, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Hammer")
// Strategy entries for Hammer
if (h_down)
strategy.entry("Buy Hammer", strategy.long)
///////////////// Hanging man ///////////////
hm_down = show_hanginman and prev_p_1 < close and open == high and low > bottom_low and low < bottom_high
plotshape(hm_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Hanging man")
// Strategy entries for Hanging man
if (hm_down)
strategy.entry("Sell Hanging Man", strategy.short)
///////////////// Reversed hammer ///////////////
rh_down = show_rhammer and prev_p_1 > open and low == close and high > top_low and high < top_high
plotshape(rh_down, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Reversed hammer")
// Strategy entries for Reversed hammer
if (rh_down)
strategy.entry("Buy Reversed Hammer", strategy.long)
///////////////// Fallling star ///////////////
fs_down = show_falling_star and prev_p_1 < close and low == close and high > top_low and high < top_high
plotshape(fs_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Falling star")
// Strategy entries for Falling star
if (fs_down)
strategy.entry("Sell Falling Star", strategy.short)
///////////////// Absorption ///////////////
open_1 = open[1]
close_1 = close[1]
high_1 = high[1]
low_1 = low[1]
open_2 = open[2]
close_2 = close[2]
high_2 = high[2]
low_2 = low[2]
open_3 = open[3]
close_3 = close[3]
high_3 = high[3]
low_3 = low[3]
bar_1 = math.max(open_1, close_1) - math.min(open_1, close_1)
bar_2 = math.max(open_2, close_2) - math.min(open_2, close_2)
bar_3 = math.max(open_3, close_3) - math.min(open_3, close_3)
bar_h = math.max(open, close) - math.min(open, close)
bar_size_min = bar_1 * 1.2
bar_size_f = (bar_h > bar_size_min)
absorption_up = show_absorption and bar_size_f and open_1 > close_1 and open_1 != open and open_3 > open_2 and open_2 > open_1 and open_1 > open and close > open
absorption_down = show_absorption and bar_size_f and open_1 < close_1 and open_1 != open and open_3 < open_2 and open_2 < open_1 and open_1 < open and close < open
plotshape(absorption_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Absorption")
plotshape(absorption_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Absorption")
// Strategy entries for Absorption
if (absorption_up)
strategy.entry("Buy Absorption", strategy.long)
if (absorption_down)
strategy.entry("Sell Absorption", strategy.short)
///////////////// Tweezer ///////////////
match_lows = (low_1 == low or (low_2 == low and open_2 == open_1))
sprici_up = show_tweezers and prev_p_1 > open and match_lows and open_3 > open_2 and open_2 > open_1 and open_1 > open and low != open and close_1 != low_1
plotshape(sprici_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Tweezer")
match_highs = (high_1 == high or (high_2 == high and open_2 == open_1))
sprici_down = show_tweezers and prev_p_1 <= open and match_highs and open_3 < open_2 and open_2 < open_1 and open_1 < open and high != open and close_1 != high_1
plotshape(sprici_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Tweezer")
// Strategy entries for Tweezer
if (sprici_up)
strategy.entry("Buy Tweezer", strategy.long)
if (sprici_down)
strategy.entry("Sell Tweezer", strategy.short)
///////////////// Triple inside up/down ///////////////
open_close_min = math.min(close, open)
open_close_max = math.max(close, open)
bar = open_close_max - open_close_min
open_close_min_1 = math.min(close[1], open[1])
open_close_max_1 = math.max(close[1], open[1])
open_close_min_2 = math.min(close[2], open[2])
open_close_max_2 = math.max(close[2], open[2])
body_top_1 = math.max(close[1], open[1])
body_low_1 = math.min(close[1], open[1])
triple_inside_up = show_triple_inside and open_close_min_2 == open_close_min_1 and bar_1 > bar_2 * 0.4 and bar_1 < bar_2 * 0.6 and close > open_2 and bar > bar_1 and bar + bar_1 < bar_2 * 2
plotshape(triple_inside_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Three inside")
triple_inside_down = show_triple_inside and open_close_max_2 == open_close_max_1 and bar_1 > bar_2 * 0.4 and bar_1 < bar_2 * 0.6 and close < open_2 and bar > bar_1 and bar + bar_1 < bar_2 * 2
plotshape(triple_inside_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Three inside")
// Strategy entries for Triple inside
if (triple_inside_up)
strategy.entry("Buy Triple Inside", strategy.long)
if (triple_inside_down)
strategy.entry("Sell Triple Inside", strategy.short)
///////////////// Triple soldiers / crows ///////////////
triple_solders = show_three_soldiers and prev_p_1 > open_2 and bar > bar_1 * 0.8 and bar < bar_1 * 1.2 and bar > bar_2 * 0.8 and bar < bar_2 * 1.2 and close > close_1 and close_1 > close_2 and open_2 < close_2 and open_1 < close_1
plotshape(triple_solders, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Three soldiers")
triple_crows = show_three_crows and prev_p_1 < open_2 and bar > bar_1 * 0.8 and bar < bar_1 * 1.2 and bar > bar_2 * 0.8 and bar < bar_2 * 1.2 and close < close_1 and close_1 < close_2 and open_2 > close_2 and open_1 > close_1
plotshape(triple_crows, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Three crows")
// Strategy entries for Three soldiers and Three crows
if (triple_solders)
strategy.entry("Buy Three Soldiers", strategy.long)
if (triple_crows)
strategy.entry("Sell Three Crows", strategy.short)
///////////////// Golden death cross ///////////////
ma_50 = ta.sma(close, 50)
ma_200 = ta.sma(close, 200)
ma_50_200_cross = ta.crossover(ma_50, ma_200) or ta.crossunder(ma_50, ma_200)
golden_cross_up = show_golden_death_cross and ma_50_200_cross and ma_50 > ma_200
plotshape(golden_cross_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Golden cross")
death_cross_down = show_golden_death_cross and ma_50_200_cross and ma_50 < ma_200
plotshape(death_cross_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Death cross")
// Strategy entries for Golden cross and Death cross
if (golden_cross_up)
strategy.entry("Buy Golden Cross", strategy.long)
if (death_cross_down)
strategy.entry("Sell Death Cross", strategy.short)
///////////////// Morning evening stars ///////////////
morning_star = show_morning_evening_stars and bar > bar_1 and bar_2 > bar_1 and bar > (bar_2 * 0.5) and open_close_min_2 > open_close_min_1 and open_close_min > open_close_min_1 and prev_p_1 > close_2 and prev_p_1 > close_1 and close > close_1 and close_3 > close_2 and close_2 > close_1 and close > body_top_1 and close_2 != close_1 and open != close and open_2 != close_2
plotshape(morning_star, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Morning star")
evening_star = show_morning_evening_stars and bar > bar_1 and bar_2 > bar_1 and bar > (bar_2 * 0.5) and open_close_max_2 < open_close_max_1 and open_close_max < open_close_max_1 and prev_p_1 < close_2 and prev_p_1 < close_1 and close < close_1 and close_3 < close_2 and close_2 < close_1 and close < body_low_1 and close_2 != close_1 and open != close and open_2 != close_2
plotshape(evening_star, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Evening star")
// Strategy entries for Morning star and Evening star
if (morning_star)
strategy.entry("Buy Morning Star", strategy.long)
if (evening_star)
strategy.entry("Sell Evening Star", strategy.short)