오스실레이션 스펙트럼 이동 평균 거래 전략

저자:차오장, 날짜: 2024-01-25 14:19:27
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전반적인 설명

전략 원칙

핵심 논리는 변수 함수를 통해 두 개의 이동 평균 선을 생성하는 것입니다.closeSeries = variant(basisType, close, basisLen, offsetSigma, offsetALMA)그리고openSeries = variant(basisType, open, basisLen, offsetSigma, offsetALMA)

거래 신호를 생성하는 기본 논리는 다음과 같습니다.longCond = xlong그리고shortCond = xshort즉, 빠른 선이 느린 선 위에 넘어가면 긴 위치가 취해지고 빠른 선이 느린 선 아래로 넘어가면 짧은 위치가 취됩니다.

이점 분석

또 다른 장점은 전략 논리가 간단하고 명확하지만 강력한 기능을 제공한다는 것입니다. 사용자가이 전략을 이해하고 사용하기 쉽습니다. 동시에 풍부한 입력 매개 변수는 고급 사용자에게 충분한 최적화 공간을 제공합니다.

위험 분석

최적화 방향

이 전략의 주요 최적화 방향은 다음과 같습니다.

가장 좋은 조합을 찾기 위해 이동 평균 조합의 더 많은 유형을 테스트
다른 제품과 시간 틀을 시도하세요

위의 방향에서 최적화함으로써 전략의 실시간 거래 성능을 지속적으로 향상시킬 수 있습니다.

요약

/*backtest
start: 2023-01-18 00:00:00
end: 2024-01-24 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//

strategy(title="Long/Short", shorttitle="Banana Maker", overlay=true, pyramiding=0, default_qty_type=strategy.percent_of_equity, default_qty_value=100, calc_on_every_tick=false)



// === INPUTS ===
useRes = input(defval=true, title="Use Alternate Resolution?")
intRes = input(defval=7, title="Multiplier for Alernate Resolution")
stratRes = timeframe.ismonthly ? tostring(timeframe.multiplier * intRes, "###M") : 
   timeframe.isweekly ? tostring(timeframe.multiplier * intRes, "###W") : 
   timeframe.isdaily ? tostring(timeframe.multiplier * intRes, "###D") : 
   timeframe.isintraday ? tostring(timeframe.multiplier * intRes, "####") : '60'
basisType = input(defval="DEMA", title="MA Type: ", options=["SMA", "EMA", "DEMA", "TEMA", "WMA", "VWMA", "SMMA", "HullMA", "LSMA", "ALMA", "SSMA", "TMA"])
basisLen = input(defval=8, title="MA Period", minval=1)
offsetSigma = input(defval=6, title="Offset for LSMA / Sigma for ALMA", minval=0)
offsetALMA = input(defval=0.85, title="Offset for ALMA", minval=0, step=0.01)
scolor = input(false, title="Show coloured Bars to indicate Trend?")
delayOffset = input(defval=0, title="Delay Open/Close MA (Forces Non-Repainting)", minval=0, step=1)
tradeType = input("BOTH", title="What trades should be taken : ", options=["LONG", "SHORT", "BOTH", "NONE"])
// === /INPUTS ===

// Constants colours that include fully non-transparent option.
green100 = #008000FF
lime100 = #6ad279
red100 = #FF0000FF
blue100 = #0000FFFF
aqua100 = #00FFFFFF
darkred100 = #8B0000FF
gray100 = #808080FF

// === BASE FUNCTIONS ===
variant(type, src, len, offSig, offALMA) =>
    v1 = sma(src, len)  // Simple
    v2 = ema(src, len)  // Exponential
    v3 = 2 * v2 - ema(v2, len)  // Double Exponential
    v4 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len)  // Triple Exponential
    v5 = wma(src, len)  // Weighted
    v6 = vwma(src, len)  // Volume Weighted
    v7 = 0.0
    sma_1 = sma(src, len)  // Smoothed
    v7 := na(v7[1]) ? sma_1 : (v7[1] * (len - 1) + src) / len
    v8 = wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len)))  // Hull
    v9 = linreg(src, len, offSig)  // Least Squares
    v10 = alma(src, len, offALMA, offSig)  // Arnaud Legoux
    v11 = sma(v1, len)  // Triangular (extreme smooth)
    // SuperSmoother filter
    // © 2013  John F. Ehlers
    a1 = exp(-1.414 * 3.14159 / len)
    b1 = 2 * a1 * cos(1.414 * 3.14159 / len)
    c2 = b1
    c3 = -a1 * a1
    c1 = 1 - c2 - c3
    v12 = 0.0
    v12 := c1 * (src + nz(src[1])) / 2 + c2 * nz(v12[1]) + c3 * nz(v12[2])
    type == "EMA" ? v2 : type == "DEMA" ? v3 : 
       type == "TEMA" ? v4 : type == "WMA" ? v5 : type == "VWMA" ? v6 : 
       type == "SMMA" ? v7 : type == "HullMA" ? v8 : type == "LSMA" ? v9 : 
       type == "ALMA" ? v10 : type == "TMA" ? v11 : type == "SSMA" ? v12 : v1

// security wrapper for repeat calls* NEEDS REFINEMENT- backtesting this shows repaint. need new wrapper
reso(exp, use, res) =>
    security_1 = security(syminfo.tickerid, res, exp, gaps=barmerge.gaps_off, lookahead=barmerge.lookahead_on)
    use ? security_1 : exp



// === /BASE FUNCTIONS ===

// === SERIES SETUP ===
closeSeries = variant(basisType, close[delayOffset], basisLen, offsetSigma, offsetALMA)
openSeries = variant(basisType, open[delayOffset], basisLen, offsetSigma, offsetALMA)
// === /SERIES ===

// === PLOTTING ===

// alt resulution 
closeSeriesAlt = reso(closeSeries, useRes, stratRes)
openSeriesAlt = reso(openSeries, useRes, stratRes)
//
trendColour = closeSeriesAlt > openSeriesAlt ? color.green : color.red
bcolour = closeSeries > openSeriesAlt ? lime100 : red100
barcolor(scolor ? bcolour : na, title="Bar Colours")
closeP = plot(closeSeriesAlt, title="Close Series", color=trendColour, linewidth=0, style=plot.style_line, transp=1)
openP = plot(openSeriesAlt, title="Open Series", color=trendColour, linewidth=0, style=plot.style_line, transp=1)
fill(closeP, openP, color=trendColour, transp=80)

// === /PLOTTING ===
//

//
// === ALERT conditions

xlong = crossover(closeSeriesAlt, openSeriesAlt)
xshort = crossunder(closeSeriesAlt, openSeriesAlt)
longCond = xlong  // alternative: longCond[1]? false : (xlong or xlong[1]) and close>closeSeriesAlt and close>=open
shortCond = xshort  // alternative: shortCond[1]? false : (xshort or xshort[1]) and close<closeSeriesAlt and close<=open


// === /ALERT conditions. needs work in study mode. the banana maker is the study script. 
// Create alert for cross, shunt back 1 if source is not 'open', this should prevent repaint issue.
//shunt = RSIsrc == open ? 0 : 1
//shunt = 0
//c_alert = (buy[shunt]==1 or sell[shunt]==1)
//alertcondition(c_alert, title="QQECROSS Alert", message="QQECROSS Alert")
// show only when alert condition is met and bar closed.
//plotshape(c_alert,title= "Alert Indicator Closed", location=location.bottom, color=sell[shunt]==1?red:green, transp=0, style=shape.circle)

//Repaint city, study mode will help but wont trigger the alerts


// === STRATEGY ===
// stop loss
slPoints = input(defval=0, title="Initial Stop Loss Points (zero to disable)", minval=0)
tpPoints = input(defval=0, title="Initial Target Profit Points (zero for disable)", minval=0)
// Include bar limiting algorithm
ebar = input(defval=1000, title="Number of Bars for Back Testing", minval=0)
dummy = input(false, title="- SET to ZERO for Daily or Longer Timeframes")
//
// Calculate how many mars since last bar
tdays = (timenow - time) / 60000.0  // number of minutes since last bar
tdays := timeframe.ismonthly ? tdays / 1440.0 / 5.0 / 4.3 / timeframe.multiplier : 
   timeframe.isweekly ? tdays / 1440.0 / 5.0 / timeframe.multiplier : 
   timeframe.isdaily ? tdays / 1440.0 / timeframe.multiplier : 
   tdays / timeframe.multiplier  // number of bars since last bar
//
//set up exit parameters
TP = tpPoints > 0 ? tpPoints : na
SL = slPoints > 0 ? slPoints : na

// Make sure we are within the bar range, Set up entries and exit conditions
if (ebar == 0 or tdays <= ebar) and tradeType != "NONE"
    strategy.entry("long", strategy.long, when=longCond == true and tradeType != "SHORT")
    strategy.entry("short", strategy.short, when=shortCond == true and tradeType != "LONG")
    strategy.close("long", when=shortCond == true and tradeType == "LONG")
    strategy.close("short", when=longCond == true and tradeType == "SHORT")
    strategy.exit("XL", from_entry="long", profit=TP, loss=SL)
    strategy.exit("XS", from_entry="short", profit=TP, loss=SL)



// === /STRATEGY ===
// eof

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