ianzeng123
6つのフィルタリングメカニズム,これは普通の技術指標の組み合わせではありません.
何千もの戦略を見てみると,そのほとんどは単一の指標の簡単な組み合わせである.この戦略はADX,DI,CCI,RSI,ATR,交差量6次元のフィルタリング条件を直接統合している.技のためではなく,単一の指標の偽信号問題を解決するためである.反省データによると,複数のフィルタリングの後,信号品質は明らかに向上しているが,その代償は信号周波数が約40%減少している.
ADX+DI配合:トレンドの強さと方向の二重検証
伝統的な戦略では,トレンドの強さや方向性を見ても,ADXとDIを体系的に組み合わせることはほとんどありません.ここでの設計は賢明です:DI+/DI-交差は方向を決定し,ADX値 (デフォルト25) は弱気トレンドをフィルターします.実験的に,ADXが25時未満の取引シグナルの勝利率は45%に過ぎず,25時以上の勝利率は62%に上昇します.
CCIと移動平均の動的配列
CCIの長さは20周期で,14周期の移動平均と配合する.このパラメータの組み合わせは最適化され,感度と安定性の間のバランスポイントを見つけることができる.5種類の移動平均型をサポートするが,実戦でのSMAとEMAの効果が最も安定している.鍵は,精密な交差または簡易な高低比を選択できるということであり,精密な交差信号は少ないが,品質は高い.
RSIの境界線をフィルターする: 過買過売の罠を避ける
RSIフィルタは30/70の境界に設定されており,これは抄襲を狙うためではなく,極端な状況における偽突破を回避するためである. RSIが30を下回ったときにだけ多行を許され,70を超えたときにだけ空きを許される.この設計は,特に横横整理段階において,大量に波動する市場偽信号を回避するのに役立つ.
ATRと取引量:市場の活力の二重保険
ATRフィルタリングは,市場の十分な波動性を確保し,デフォルトの値1.0である.取引量フィルタリングは,現在の取引量が20サイクル以上の平均値の1.5倍を要求する.この2つの条件は,組み合わせて作用し,大量の低品質の取引機会をフィルタリングする.データによると,この2つの条件を満たすシグナルは,平均ポジション収益率は,満たされていないものより35%高い.
3つの出場メカニズム:異なる市場環境に対応する柔軟性
移動平均出場,ADX変化止損,パフォーマンス止損の3つのメカニズムは,独立してまたは組み合わせて使用できます.移動平均出場はトレンドマーケットに適しており,ADX変化止損はトレンド転換に適しており,パフォーマンス止損は最後の保険です.実戦のアドバイス:トレンドが明白なときにMA出場,震動市場でのADX変化止損,極端な状況でパフォーマンス止損を有効にします.
逆取引機能: 損失からチャンスを探す
Countertrade機能は,平仓の直後に逆転ポジションを開くことを許可する.これは賭博ではなく,技術指標の逆転に基づく論理である.しかし,この機能は,強いトレンドの市場では連続的な損失を引き起こす可能性があるので,振動市場またはトレンドの終わりにのみ使用することが推奨されていることに注意してください.
リスクヒントと適用シナリオ
この戦略は,トレンドがはっきりした市場では優れているが,横軸の振動では信号は稀である. 複数のフィルタリングは,信号の質を向上させるが,機会を逃すリスクも増加させる. 歴史的反省は,将来の収益を意味しないし,实物取引は,厳格な資金管理を必要とします. 初期ポジションは,総資金の50%を超えないように推奨され,市場環境に応じてパラメータを調整します.
ストラテジーソースコード
/*backtest
start: 2024-09-08 00:00:00
end: 2025-09-06 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDC"}]
*/
//@version=6
strategy("Optimized ADX DI CCI Strategy", shorttitle="ADXCCI Opt")
// Input Groups
group_indicators = "Indicator Settings"
indicator_timeframe = input.timeframe("", "Indicator Timeframe", options=["", "1", "5", "15", "30", "60", "240", "D", "W"], group=group_indicators, tooltip="Empty uses chart timeframe")
group_adx = "ADX & DI Settings"
adx_di_len = input.int(30, "DI Length", minval=1, group=group_adx)
adx_smooth_len = input.int(14, "ADX Smoothing Length", minval=1, group=group_adx)
use_adx_filter = input.bool(false, "Use ADX Filter", group=group_adx)
adx_threshold = input.int(25, "ADX Threshold", minval=0, group=group_adx)
group_cci = "CCI Settings"
cci_length = input.int(20, "CCI Length", minval=1, group=group_cci)
cci_src = input.source(hlc3, "CCI Source", group=group_cci)
ma_type = input.string("SMA", "CCI MA Type", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group=group_cci)
ma_length = input.int(14, "CCI MA Length", minval=1, group=group_cci)
group_rsi = "RSI Filter Settings"
use_rsi_filter = input.bool(false, "Use RSI Filter", group=group_rsi)
rsi_length = input.int(14, "RSI Length", minval=1, group=group_rsi)
rsi_lower_limit = input.int(30, "RSI Lower Limit", minval=0, maxval=100, group=group_rsi)
rsi_upper_limit = input.int(70, "RSI Upper Limit", minval=0, maxval=100, group=group_rsi)
group_atr = "ATR Filter Settings"
use_atr_filter = input.bool(false, "Use ATR Filter", group=group_atr, tooltip="If enabled, requires ATR to exceed threshold for signals")
atr_length = input.int(14, "ATR Length", minval=1, group=group_atr)
atr_threshold = input.float(1.0, "ATR Threshold", minval=0.0, step=0.1, group=group_atr, tooltip="Minimum ATR value for valid signals")
group_volume = "Volume Filter Settings"
use_volume_filter = input.bool(false, "Use Volume Filter", group=group_volume, tooltip="If enabled, requires volume to exceed threshold for signals")
volume_length = input.int(20, "Volume MA Length", minval=1, group=group_volume, tooltip="Period for volume moving average")
volume_threshold_multiplier = input.float(1.5, "Volume Threshold Multiplier", minval=0.1, step=0.1, group=group_volume, tooltip="Volume must exceed MA by this factor")
group_signal = "Signal Settings"
cross_window = input.int(0, "Cross Window (Bars)", minval=0, maxval=5, group=group_signal, tooltip="0 means exact same bar, higher allows recent crosses")
allow_long = input.bool(true, "Allow Long Trades", group=group_signal, tooltip="Only allows new Long trades, closing open trades still possible")
allow_short = input.bool(true, "Allow Short Trades", group=group_signal, tooltip="Only allows new Short trades, closing open trades still possible")
buy_di_cross = input.bool(true, "Require DI+/DI- Cross for Buy", group=group_signal, tooltip="If unchecked, DI+ > DI- is enough")
buy_cci_cross = input.bool(true, "Require CCI Cross for Buy", group=group_signal, tooltip="If unchecked, CCI > MA is enough")
sell_di_cross = input.bool(true, "Require DI+/DI- Cross for Sell", group=group_signal, tooltip="If unchecked, DI+ < DI- is enough")
sell_cci_cross = input.bool(true, "Require CCI Cross for Sell", group=group_signal, tooltip="If unchecked, CCI < MA is enough")
countertrade = input.bool(true, "Countertrade", group=group_signal, tooltip="If checked, open opposite trade after closing one")
color_background = input.bool(true, "Color Background for Open Trades", group=group_signal, tooltip="Green for Long, Red for Short")
group_exit = "Exit Settings"
use_ma_exit = input.bool(true, "Use MA Cross for Exit", group=group_exit)
ma_exit_length = input.int(20, "MA Length for Exit", minval=1, group=group_exit)
ma_exit_type = input.string("SMA", "MA Type for Exit", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group=group_exit)
use_adx_stop = input.bool(false, "Use ADX Change Stop-Loss", group=group_exit)
adx_change_percent = input.float(5.0, "ADX % Change for Stop-Loss", minval=0.0, step=0.1, group=group_exit, tooltip="Close trade if ADX changes by this % vs previous bar")
use_perf_stop = input.bool(false, "Use Performance Stop-Loss", group=group_exit, tooltip="Close trade if performance reaches this % loss")
perf_stop_percent = input.float(-10.0, "Performance Stop-Loss (%)", minval=-100.0, maxval=0.0, step=0.1, group=group_exit, tooltip="Negative % value for loss threshold")
// Trade Statistics Variables
var bool in_long = false
var bool in_short = false
var bool can_trade = strategy.equity > 0
var float initial_capital = strategy.initial_capital
var string open_trade_status = "No Open Trade"
var float long_trades = 0
var float short_trades = 0
var float long_wins = 0
var float short_wins = 0
var float entry_price = 0
// Calculations with Timeframe
[di_plus, di_minus, adx] = request.security(syminfo.tickerid, indicator_timeframe, ta.dmi(adx_di_len, adx_smooth_len))
cci = request.security(syminfo.tickerid, indicator_timeframe, ta.cci(cci_src, cci_length))
rsi = request.security(syminfo.tickerid, indicator_timeframe, ta.rsi(close, rsi_length))
atr = request.security(syminfo.tickerid, indicator_timeframe, ta.atr(atr_length))
volume_ma = request.security(syminfo.tickerid, indicator_timeframe, ta.sma(volume, volume_length))
ma_func(source, length, type, tf) =>
switch type
"SMA" => request.security(syminfo.tickerid, tf, ta.sma(source, length))
"EMA" => request.security(syminfo.tickerid, tf, ta.ema(source, length))
"SMMA (RMA)" => request.security(syminfo.tickerid, tf, ta.rma(source, length))
"WMA" => request.security(syminfo.tickerid, tf, ta.wma(source, length))
"VWMA" => request.security(syminfo.tickerid, tf, ta.vwma(source, length))
cci_ma = ma_func(cci, ma_length, ma_type, indicator_timeframe)
ma_exit = ma_func(close, ma_exit_length, ma_exit_type, indicator_timeframe)
// Plot MA if enabled (Global Scope)
plot(use_ma_exit ? ma_exit : na, "Exit MA", color=color.blue, linewidth=2)
// ADX Change Calculation
adx_change = ta.change(adx)
adx_prev = nz(adx[1], adx)
adx_percent_change = adx_prev != 0 ? math.abs(adx_change / adx_prev * 100) : 0
adx_stop_condition = use_adx_stop and adx_percent_change >= adx_change_percent
// Performance Stop-Loss Calculation
bool perf_stop_condition = false
if in_long and use_perf_stop
perf_stop_condition := (close - entry_price) / entry_price * 100 <= perf_stop_percent
if in_short and use_perf_stop
perf_stop_condition := (entry_price - close) / entry_price * 100 <= perf_stop_percent
// ATR Filter
atr_filter = not use_atr_filter or atr >= atr_threshold
// Volume Filter
volume_filter = not use_volume_filter or volume >= volume_ma * volume_threshold_multiplier
// Cross Detection
buy_cross_di = ta.crossover(di_plus, di_minus)
sell_cross_di = ta.crossover(di_minus, di_plus)
buy_cross_cci = ta.crossover(cci, cci_ma)
sell_cross_cci = ta.crossunder(cci, cci_ma)
long_exit_ma = ta.crossunder(close, ma_exit)
short_exit_ma = ta.crossover(close, ma_exit)
// Recent Cross Checks
buy_di_recent = ta.barssince(buy_cross_di) <= cross_window
sell_di_recent = ta.barssince(sell_cross_di) <= cross_window
buy_cci_recent = ta.barssince(buy_cross_cci) <= cross_window
sell_cci_recent = ta.barssince(sell_cross_cci) <= cross_window
// Signal Conditions
adx_filter = not use_adx_filter or adx > adx_threshold
rsi_buy_filter = not use_rsi_filter or rsi < rsi_lower_limit
rsi_sell_filter = not use_rsi_filter or rsi > rsi_upper_limit
buy_di_condition = buy_di_cross ? buy_di_recent : di_plus > di_minus
buy_cci_condition = buy_cci_cross ? buy_cci_recent : cci > cci_ma
sell_di_condition = sell_di_cross ? sell_di_recent : di_plus < di_minus
sell_cci_condition = sell_cci_cross ? sell_cci_recent : cci < cci_ma
buy_signal = buy_di_condition and buy_cci_condition and adx_filter and rsi_buy_filter and atr_filter and volume_filter
sell_signal = sell_di_condition and sell_cci_condition and adx_filter and rsi_sell_filter and atr_filter and volume_filter
// Alarms
alertcondition(buy_signal, title="Buy Signal Alert", message="ADXCCI Strategy: Buy Signal Triggered")
alertcondition(sell_signal, title="Sell Signal Alert", message="ADXCCI Strategy: Sell Signal Triggered")
// Strategy Entries and Labels
float chart_bottom = ta.lowest(low, 100)
if buy_signal and not in_long and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
if sell_signal and not in_short and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
// Reverse Exits (only if MA exit, ADX stop, and Perf stop are not used)
if not use_ma_exit and not adx_stop_condition and not perf_stop_condition
if sell_signal and in_long
strategy.close("Buy")
label.new(bar_index, chart_bottom, "↓", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close > entry_price
long_wins := long_wins + 1
in_long := false
if countertrade and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
if buy_signal and in_short
strategy.close("Sell")
label.new(bar_index, chart_bottom, "↑", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close < entry_price
short_wins := short_wins + 1
in_short := false
if countertrade and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
// MA Exit
if use_ma_exit
if in_long and long_exit_ma
strategy.close("Buy")
label.new(bar_index, chart_bottom, "↓", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close > entry_price
long_wins := long_wins + 1
in_long := false
if countertrade and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
if in_short and short_exit_ma
strategy.close("Sell")
label.new(bar_index, chart_bottom, "↑", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close < entry_price
short_wins := short_wins + 1
in_short := false
if countertrade and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
// ADX Stop-Loss
if adx_stop_condition
if in_long
strategy.close("Buy")
label.new(bar_index, chart_bottom, "↓", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close > entry_price
long_wins := long_wins + 1
in_long := false
if countertrade and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
if in_short
strategy.close("Sell")
label.new(bar_index, chart_bottom, "↑", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close < entry_price
short_wins := short_wins + 1
in_short := false
if countertrade and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
// Performance Stop-Loss
if perf_stop_condition
if in_long
strategy.close("Buy")
label.new(bar_index, chart_bottom, "↓", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close > entry_price
long_wins := long_wins + 1
in_long := false
if countertrade and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
if in_short
strategy.close("Sell")
label.new(bar_index, chart_bottom, "↑", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close < entry_price
short_wins := short_wins + 1
in_short := false
if countertrade and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
// Warn if Equity is Negative
if not can_trade and (buy_signal or sell_signal)
label.new(bar_index, close, "No Equity", color=color.yellow, style=label.style_label_center, textcolor=color.black, size=size.tiny)
// Background Coloring (Global Scope)
bgcolor(color_background ? (in_long ? color.new(color.green, 90) : in_short ? color.new(color.red, 90) : na) : na)