ChaoZhang
개요
이 전략은 ZigZag 지표에 기반하여 K선 형태를 식별하고, 피보나치 회수선과 결합하여 엔트리 창, 정지 가격 및 손실 가격을 설정하여 단선 거래를 수행합니다. 이 전략은 다양한 형태를 지원합니다.
전략 원칙
- 지그자그 지표를 사용하여 잠재적인 전환점을 식별합니다.
- 최근 4개의 반전점을 계산하여 13개의 사전 정의된 형태들 중 어느 하나라도 일치하는지 판단합니다.
- 매칭 형태가 있고 가격이 피보나치 회수 0.382 영역으로 들어간다면, 입장이 가능합니다.
- 스톱을 0.618 회수선, 스톱을 -0.618 회수선으로 설정합니다.
- 유효한 형태는 Bat, Butterfly, Gartley 등과 같은 일반적인 형태와 Anti-Bat, Anti-Butterfly 등과 같은 역형 형태를 포함한다.
우위 분석
- 전략은 ZigZag 지표의 장점을 활용하여 시장 소음을 효과적으로 필터링하여 더 명확한 트렌드 전환점을 식별합니다.
- 다양한 형태를 결합하여 엔트리 기회를 늘리고, 위험을 통제합니다.
- 피보나치 회귀를 이용해서 기준점을 설정하여 입금과 중지 손실을 표준화할 수 있다.
위험 분석
- 지그자그 지표는 변수에 민감하며, 최적의 변수 조합을 찾기 위해 조정해야 합니다.
- 대량 형태 매칭은 곡선 적합의 위험을 증가시키고, 실디 효과는 재측정보다 약할 수 있다
- 최근 4개의 전환점을 고려했을 때, 더 복잡한 형태를 식별할 수 없습니다.
- 철수선을 통과한 후 재검토를 고려하지 않은 것은 조기 중단으로 이어질 수 있습니다.
최적화 방향
- 지그자그 변수를 최적화하여 최적의 변수 조합을 찾습니다.
- 추가 형태의 유효성 검증, 예를 들어 종식 가격에 대한 핵심 지점 확인을 고려하는 것
- 더 많은 K-선 형태를 추가하여 엔트리 기회를 확대합니다.
- 회수 및 재검토 메커니즘을 늘리고, 손실을 줄이는 위험
요약하다
이 전략은 ZigZag 지표와 K선 형태를 종합하여 트렌드 전환점을 판단하고, 피보나치 회수 영역 표준화 입출장 논리를 설정하는 잠재적인 단선 거래 전략이다. 가장 중요한 것은 최적의 변수 조합을 찾는 것과 동시에 적절한 손해 막기 장치를 조정하는 것으로, 더 나은 실전 효과를 얻을 수 있다.
전략 소스 코드
/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title='[STRATEGY][RS]ZigZag PA Strategy V4', shorttitle='S', overlay=true)
useHA = input(false, title='Use Heikken Ashi Candles')
useAltTF = input(true, title='Use Alt Timeframe')
tf = input('60', title='Alt Timeframe')
showPatterns = input(true, title='Show Patterns')
showFib0000 = input(title='Display Fibonacci 0.000:', type=bool, defval=true)
showFib0236 = input(title='Display Fibonacci 0.236:', type=bool, defval=true)
showFib0382 = input(title='Display Fibonacci 0.382:', type=bool, defval=true)
showFib0500 = input(title='Display Fibonacci 0.500:', type=bool, defval=true)
showFib0618 = input(title='Display Fibonacci 0.618:', type=bool, defval=true)
showFib0764 = input(title='Display Fibonacci 0.764:', type=bool, defval=true)
showFib1000 = input(title='Display Fibonacci 1.000:', type=bool, defval=true)
zigzag() =>
_isUp = close >= open
_isDown = close <= open
_direction = _isUp[1] and _isDown ? -1 : _isDown[1] and _isUp ? 1 : nz(_direction[1])
_zigzag = _isUp[1] and _isDown and _direction[1] != -1 ? highest(2) : _isDown[1] and _isUp and _direction[1] != 1 ? lowest(2) : na
_ticker = useHA ? heikenashi(syminfo.tickerid) : syminfo.tickerid
sz = useAltTF ? (ta.change(time(tf)) != 0 ? request.security(_ticker, tf, zigzag()) : na) : zigzag()
plot(sz, title='zigzag', color=color.black, linewidth=2)
// ||--- Pattern Recognition:
x = ta.valuewhen(sz, sz, 4)
a = ta.valuewhen(sz, sz, 3)
b = ta.valuewhen(sz, sz, 2)
c = ta.valuewhen(sz, sz, 1)
d = ta.valuewhen(sz, sz, 0)
xab = (abs(b-a)/abs(x-a))
xad = (abs(a-d)/abs(x-a))
abc = (abs(b-c)/abs(a-b))
bcd = (abs(c-d)/abs(b-c))
// ||--> Functions:
isBat(_mode)=>
_xab = xab >= 0.382 and xab <= 0.5
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.618 and bcd <= 2.618
_xad = xad <= 0.618 and xad <= 1.000 // 0.886
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiBat(_mode)=>
_xab = xab >= 0.500 and xab <= 0.886 // 0.618
_abc = abc >= 1.000 and abc <= 2.618 // 1.13 --> 2.618
_bcd = bcd >= 1.618 and bcd <= 2.618 // 2.0 --> 2.618
_xad = xad >= 0.886 and xad <= 1.000 // 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAltBat(_mode)=>
_xab = xab <= 0.382
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 2.0 and bcd <= 3.618
_xad = xad <= 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isButterfly(_mode)=>
_xab = xab <= 0.786
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.618 and bcd <= 2.618
_xad = xad >= 1.27 and xad <= 1.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiButterfly(_mode)=>
_xab = xab >= 0.236 and xab <= 0.886 // 0.382 - 0.618
_abc = abc >= 1.130 and abc <= 2.618 // 1.130 - 2.618
_bcd = bcd >= 1.000 and bcd <= 1.382 // 1.27
_xad = xad >= 0.500 and xad <= 0.886 // 0.618 - 0.786
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isABCD(_mode)=>
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.13 and bcd <= 2.618
_abc and _bcd and (_mode == 1 ? d < c : d > c)
isGartley(_mode)=>
_xab = xab >= 0.5 and xab <= 0.618 // 0.618
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.13 and bcd <= 2.618
_xad = xad >= 0.75 and xad <= 0.875 // 0.786
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiGartley(_mode)=>
_xab = xab >= 0.500 and xab <= 0.886 // 0.618 -> 0.786
_abc = abc >= 1.000 and abc <= 2.618 // 1.130 -> 2.618
_bcd = bcd >= 1.500 and bcd <= 5.000 // 1.618
_xad = xad >= 1.000 and xad <= 5.000 // 1.272
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isCrab(_mode)=>
_xab = xab >= 0.500 and xab <= 0.875 // 0.886
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 2.000 and bcd <= 5.000 // 3.618
_xad = xad >= 1.382 and xad <= 5.000 // 1.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiCrab(_mode)=>
_xab = xab >= 0.250 and xab <= 0.500 // 0.276 -> 0.446
_abc = abc >= 1.130 and abc <= 2.618 // 1.130 -> 2.618
_bcd = bcd >= 1.618 and bcd <= 2.618 // 1.618 -> 2.618
_xad = xad >= 0.500 and xad <= 0.750 // 0.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isShark(_mode)=>
_xab = xab >= 0.500 and xab <= 0.875 // 0.5 --> 0.886
_abc = abc >= 1.130 and abc <= 1.618 //
_bcd = bcd >= 1.270 and bcd <= 2.240 //
_xad = xad >= 0.886 and xad <= 1.130 // 0.886 --> 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiShark(_mode)=>
_xab = xab >= 0.382 and xab <= 0.875 // 0.446 --> 0.618
_abc = abc >= 0.500 and abc <= 1.000 // 0.618 --> 0.886
_bcd = bcd >= 1.250 and bcd <= 2.618 // 1.618 --> 2.618
_xad = xad >= 0.500 and xad <= 1.250 // 1.130 --> 1.130
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
is5o(_mode)=>
_xab = xab >= 1.13 and xab <= 1.618
_abc = abc >= 1.618 and abc <= 2.24
_bcd = bcd >= 0.5 and bcd <= 0.625 // 0.5
_xad = xad >= 0.0 and xad <= 0.236 // negative?
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isWolf(_mode)=>
_xab = xab >= 1.27 and xab <= 1.618
_abc = abc >= 0 and abc <= 5
_bcd = bcd >= 1.27 and bcd <= 1.618
_xad = xad >= 0.0 and xad <= 5
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isHnS(_mode)=>
_xab = xab >= 2.0 and xab <= 10
_abc = abc >= 0.90 and abc <= 1.1
_bcd = bcd >= 0.236 and bcd <= 0.88
_xad = xad >= 0.90 and xad <= 1.1
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isConTria(_mode)=>
_xab = xab >= 0.382 and xab <= 0.618
_abc = abc >= 0.382 and abc <= 0.618
_bcd = bcd >= 0.382 and bcd <= 0.618
_xad = xad >= 0.236 and xad <= 0.764
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isExpTria(_mode)=>
_xab = xab >= 1.236 and xab <= 1.618
_abc = abc >= 1.000 and abc <= 1.618
_bcd = bcd >= 1.236 and bcd <= 2.000
_xad = xad >= 2.000 and xad <= 2.236
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
plotshape(not showPatterns ? na : isABCD(-1) and not isABCD(-1)[1], text="\nAB=CD", title='Bear ABCD', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isBat(-1) and not isBat(-1)[1], text="Bat", title='Bear Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isAntiBat(-1) and not isAntiBat(-1)[1], text="Anti Bat", title='Bear Anti Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isAltBat(-1) and not isAltBat(-1)[1], text="Alt Bat", title='Bear Alt Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isButterfly(-1) and not isButterfly(-1)[1], text="Butterfly", title='Bear Butterfly', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiButterfly(-1) and not isAntiButterfly(-1)[1], text="Anti Butterfly", title='Bear Anti Butterfly', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isGartley(-1) and not isGartley(-1)[1], text="Gartley", title='Bear Gartley', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiGartley(-1) and not isAntiGartley(-1)[1], text="Anti Gartley", title='Bear Anti Gartley', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isCrab(-1) and not isCrab(-1)[1], text="Crab", title='Bear Crab', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiCrab(-1) and not isAntiCrab(-1)[1], text="Anti Crab", title='Bear Anti Crab', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isShark(-1) and not isShark(-1)[1], text="Shark", title='Bear Shark', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiShark(-1) and not isAntiShark(-1)[1], text="Anti Shark", title='Bear Anti Shark', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : is5o(-1) and not is5o(-1)[1], text="5-O", title='Bear 5-O', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isWolf(-1) and not isWolf(-1)[1], text="Wolf Wave", title='Bear Wolf Wave', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isHnS(-1) and not isHnS(-1)[1], text="Head and Shoulders", title='Bear Head and Shoulders', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isConTria(-1) and not isConTria(-1)[1], text="Contracting Triangle", title='Bear Contracting triangle', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isExpTria(-1) and not isExpTria(-1)[1], text="Expanding Triangle", title='Bear Expanding Triangle', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isABCD(1) and not isABCD(1)[1], text="AB=CD\n", title='Bull ABCD', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isBat(1) and not isBat(1)[1], text="Bat", title='Bull Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiBat(1) and not isAntiBat(1)[1], text="Anti Bat", title='Bull Anti Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAltBat(1) and not isAltBat(1)[1], text="Alt Bat", title='Bull Alt Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isButterfly(1) and not isButterfly(1)[1], text="Butterfly", title='Bull Butterfly', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiButterfly(1) and not isAntiButterfly(1)[1], text="Anti Butterfly", title='Bull Anti Butterfly', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isGartley(1) and not isGartley(1)[1], text="Gartley", title='Bull Gartley', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiGartley(1) and not isAntiGartley(1)[1], text="Anti Gartley", title='Bull Anti Gartley', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isCrab(1) and not isCrab(1)[1], text="Crab", title='Bull Crab', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiCrab(1) and not isAntiCrab(1)[1], text="Anti Crab", title='Bull Anti Crab', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isShark(1) and not isShark(1)[1], text="Shark", title='Bull Shark', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiShark(1) and not isAntiShark(1)[1], text="Anti Shark", title='Bull Anti Shark', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : is5o(1) and not is5o(1)[1], text="5-O", title='Bull 5-O', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isWolf(1) and not isWolf(1)[1], text="Wolf Wave", title='Bull Wolf Wave', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isHnS(1) and not isHnS(1)[1], text="Head and Shoulders", title='Bull Head and Shoulders', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isConTria(1) and not isConTria(1)[1], text="Contracting Triangle", title='Bull Contracting Triangle', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isExpTria(1) and not isExpTria(1)[1], text="Expanding Triangle", title='Bull Expanding Triangle', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
//-------------------------------------------------------------------------------------------------------------------------------------------------------------
fib_range = abs(d-c)
fib_0000 = not showFib0000 ? na : d > c ? d-(fib_range*0.000):d+(fib_range*0.000)
fib_0236 = not showFib0236 ? na : d > c ? d-(fib_range*0.236):d+(fib_range*0.236)
fib_0382 = not showFib0382 ? na : d > c ? d-(fib_range*0.382):d+(fib_range*0.382)
fib_0500 = not showFib0500 ? na : d > c ? d-(fib_range*0.500):d+(fib_range*0.500)
fib_0618 = not showFib0618 ? na : d > c ? d-(fib_range*0.618):d+(fib_range*0.618)
fib_0764 = not showFib0764 ? na : d > c ? d-(fib_range*0.764):d+(fib_range*0.764)
fib_1000 = not showFib1000 ? na : d > c ? d-(fib_range*1.000):d+(fib_range*1.000)
plot(title='Fib 0.000', series=fib_0000, color=fib_0000 != fib_0000[1] ? na : black)
plot(title='Fib 0.236', series=fib_0236, color=fib_0236 != fib_0236[1] ? na : red)
plot(title='Fib 0.382', series=fib_0382, color=fib_0382 != fib_0382[1] ? na : olive)
plot(title='Fib 0.500', series=fib_0500, color=fib_0500 != fib_0500[1] ? na : lime)
plot(title='Fib 0.618', series=fib_0618, color=fib_0618 != fib_0618[1] ? na : teal)
plot(title='Fib 0.764', series=fib_0764, color=fib_0764 != fib_0764[1] ? na : blue)
plot(title='Fib 1.000', series=fib_1000, color=fib_1000 != fib_1000[1] ? na : black)
bgcolor(not useAltTF ? na : change(time(tf))!=0?black:na)
f_last_fib(_rate)=>d > c ? d-(fib_range*_rate):d+(fib_range*_rate)
trade_size = input(title='Trade size:', type=float, defval=1.00)
ew_rate = input(title='Fib. Rate to use for Entry Window:', type=float, defval=0.382)
tp_rate = input(title='Fib. Rate to use for TP:', type=float, defval=0.618)
sl_rate = input(title='Fib. Rate to use for SL:', type=float, defval=-0.618)
buy_patterns_00 = isABCD(1) or isBat(1) or isAltBat(1) or isButterfly(1) or isGartley(1) or isCrab(1) or isShark(1) or is5o(1) or isWolf(1) or isHnS(1) or isConTria(1) or isExpTria(1)
buy_patterns_01 = isAntiBat(1) or isAntiButterfly(1) or isAntiGartley(1) or isAntiCrab(1) or isAntiShark(1)
sel_patterns_00 = isABCD(-1) or isBat(-1) or isAltBat(-1) or isButterfly(-1) or isGartley(-1) or isCrab(-1) or isShark(-1) or is5o(-1) or isWolf(-1) or isHnS(-1) or isConTria(-1) or isExpTria(-1)
sel_patterns_01 = isAntiBat(-1) or isAntiButterfly(-1) or isAntiGartley(-1) or isAntiCrab(-1) or isAntiShark(-1)
buy_entry = (buy_patterns_00 or buy_patterns_01) and close <= f_last_fib(ew_rate)
buy_close = high >= f_last_fib(tp_rate) or low <= f_last_fib(sl_rate)
sel_entry = (sel_patterns_00 or sel_patterns_01) and close >= f_last_fib(ew_rate)
sel_close = low <= f_last_fib(tp_rate) or high >= f_last_fib(sl_rate)
strategy.entry('buy', long=strategy.long, qty=trade_size, comment='buy', when=buy_entry)
strategy.close('buy', when=buy_close)
strategy.entry('sell', long=strategy.short, qty=trade_size, comment='sell', when=sel_entry)
strategy.close('sell', when=sel_close)