ChaoZhang
개요
이 전략은 양적 거래 양형과 트렌드 추적 전략으로 불린다. 이 전략은 양형 분석과 트렌드 추적 거래의 전략적 아이디어를 결합한다.
이 전략은 주로 다른 형태를 식별하여 시장의 현재 빈 상태와 가능한 전환점을 판단합니다. 최고 가격과 최저 가격의 추적과 결합하여 진입 및 퇴출 신호를 형성하여 중간 긴 선의 가격 흐름을 포착합니다.
전략 원칙
이 전략은 다음과 같은 몇 가지 모듈로 구성되어 있습니다.
- 모형 판단
전략은 먼저 실체, 그림자 등과 같은 실체의 요소를 정의하고 크로스스타, 스타, 삼중 내부 상승 등과 같은 40개 이상의 일반적인 실체 형태를 식별하기 위해 몇 가지 매개 변수를 설정합니다. 이러한 형태를 식별하면 다중 머리 또는 공허 머리 신호로 표시되고 판단됩니다.
- 트렌드 판단
전략은 최고 가격과 최저 가격의 추적을 사용하여 추세를 판단합니다. 가격이 N 일 동안의 최고 가격을 초과하면 상승 추세로 판단하고, 가격이 N 일 동안의 최저 가격으로 떨어지면 공중 추세로 판단합니다.
- 입국과 퇴출
형태 판단에 따른 다공간 신호, 트렌드 판단의 최고 가격과 최저 가격의 돌파구와 결합하여 입수 및 퇴출 규칙을 형성한다.
예를 들어, 오리줄과 같은 다중 모양을 인식하고 가격이 N일 최고 가격을 초과하면 더 많이; 가격이 N일 최저 가격을 초과하면 더 많이 평행한다.
- 탐지 범위 설정
전략은 마지막으로 재측정의 시작 및 종료 시간을 설정하여 전체 전략 논리의 닫힌 순환을 완료한다.
우위 분석
이 전략에는 다음과 같은 장점이 있습니다.
- 형태와 추세의 결합
형 판단과 트렌드 추적 조합의 장점을 활용하여, 형태를 통해 가격의 가능한 전환점을 판단 할 수 있으며, 트렌드를 통해 진입 시기를 결정할 수 있습니다.
- 다중 형식 인식
이 전략은 40개 이상의 일반적인 형태를 식별하고, 다양한 시장 환경에서 더 많은 잠재적인 거래 기회를 식별할 수 있습니다.
- 높은 매개변수 조정성
전략의 파라미터는 추적일수, 형태를 식별하는 파라미터는 자율적으로 조정할 수 있고, 적응력이 강하며, 특정 시장에 맞게 조정하기 쉽다.
- 확장하기 쉬운
기존의 논리에 직접적으로 더 많은 형태 인식 모듈을 확장할 수 있으며, 또한 더 많은 요소 판단 모듈을 추가하여 전략 효과를 계속 최적화할 수 있다.
위험 분석
이 전략에는 다음과 같은 위험도 있습니다.
- 형상 인식 정확도는 100%가 되지 않습니다.
형 판단은 완전히 정확하지 않으며, 여전히 잘못된 식별 확률이 있으며, 거래 신호가 잘못 유발되는 경우가 발생할 수 있습니다.
- 단축 모듈의 부재
현재 전략에는 스톱 로직이 설정되어 있지 않아 단편 손실을 효과적으로 제어할 수 없다. 추세 판단이 실패하면 계좌에 큰 손실을 초래할 수 있다.
- 데이터 일치의 위험
현재 전략의 효과는 재검토 영역 내의 데이터에 대한 어느 정도의 적합성이 있을 수 있으며, 실전에서의 성능은 떨어질 수 있다.
최적화 방향
이 전략의 주요 최적화 방향은 다음과 같습니다.
- 스톱 손실 모듈을 추가
이동 중지, 비율 중지 등의 중지 전략을 추가하면 위험을 효과적으로 제어하고 단일 최대 손실을 제한할 수 있습니다.
- 기계 학습을 통해 형상 판단의 정확도를 향상시킵니다.
기계 학습 알고리즘을 사용하여 모형을 훈련하여 모양 판단의 정확도를 높이고 잘못된 신호율을 줄입니다.
- 다중 시장 검증
외환, 디지털 화폐 시장과 같은 더 많은 시장에서 전략의 안정성을 테스트하여 재검토 데이터의 일치를 방지하십시오.
- 더 많은 요소를 결합하는 것
수량 지표, 자본 흐름 지표 등과 같은 더 많은 수치 요소를 도입하여 전략 논리를 풍부하게하고 안정성을 향상시킬 수 있습니다.
요약하다
이 전략은 전체적으로 볼 때, ?? 형태 판단과 트렌드 추적 거래를 결합하여 시장 전환점을 판단하는 동시에 가격 추세를 포착하여 초과 수익을 달성 할 수 있습니다. 전략의 최적화 공간은 넓고, 위험 제어, 기계 학습, 다인자 등에서 향상시킬 수 있으며, 전략이 더 거칠고 비즈니스 가치가 있습니다.
전략 소스 코드
/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy("Candle analysis & long/short strategy (HF) inspired by TurtleBC", shorttitle="TurtleBC-V.Troussel", overlay=true,initial_capital=1000)
//VARIABLES
body=close-open
range=high-low
middle=(open+close)/2
abody=abs(body)
ratio=abody/range
longcandle= (ratio>0.6)
bodytop=max(open, close)
bodybottom=min(open, close)
shadowtop=high-bodytop
shadowbottom=bodybottom-low
//Doji
DojiSize = input(0.05, minval=0.01, title="Doji size")
data=(abs(open - close) <= (high - low) * DojiSize)
plotchar(data, title="Doji", text='Doji', color=black)
//BULLISH SIGNALS
//Homing Pigeon
HomingPigeon=(body[1]<0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(HomingPigeon, title= "Homing Pigeon", location=location.belowbar, color=lime, style=shape.arrowup, text="Homing\nPigeon")
//Dragonfly Doji Bottom
DragonflyDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3)
plotshape(DragonflyDojiBottom, title= "Dragonfly Doji Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Dragonfly\nDoji\nBottom")
//Concealing Baby Swallow
ConcealingBabySwallow=(body[3]<0 and body[2]<0 and body[1]<0 and body<0 and ratio[3]>0.8 and ratio[2]>0.8 and ratio>0.8 and open[1]<close[2] and high[1]>close[2] and shadowtop[1]>0.6*(abody[1]+shadowbottom[1]) and bodybottom<bodybottom[1] and bodytop>high[1])
plotshape(ConcealingBabySwallow, title= "Concealing Baby Swallow", location=location.belowbar, color=lime, style=shape.arrowup, text="Concealing\nBaby\nSwallow")
//Gravestone Doji Bottom
GravestoneDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>3*abody and shadowbottom<shadowtop/3)
plotshape(GravestoneDojiBottom, title= "Gravestone Doji Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Gravestone\nDoji\nBottom")
//Last Engulfing Bottom
LastEngulfingBottom=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(LastEngulfingBottom, title= "Last Engulfing Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Last\nEngulfing\nBottom")
//Bullish Harami Cross
BullishHaramiCross=(body[1]<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1])
plotshape(BullishHaramiCross, title= "Bullish Harami Cross", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nHarami\nCross")
//Three Stars in the South
ThreeStarsInTheSouth=(body[2]<0 and body[1]<0 and body<0 and shadowtop[2]<range[2]/4 and shadowbottom[2]>abody[2]/2 and low[1]>low[2] and high[1]<high[2] and abody[1]<abody[2] and shadowtop[1]<range[1]/4 and shadowbottom[1]>abody[1]/2 and low>low[1] and high<high[1] and abody<abody[1] and shadowtop<range/4 and shadowbottom<range/4)
plotshape(ThreeStarsInTheSouth, title= "Three Stars In TheSouth", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nStars\nIn\nThe\nSouth")
//Bullish Breakaway
BullishBreakaway=(body[4]<0 and body[3]<0 and body>0 and open[3]<close[4] and close[2]<close[3] and close[1]<close[2] and longcandle and close<close[4] and close>open[3])
plotshape(BullishBreakaway, title= "Bullish Breakaway", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nBreakaway")
//Hammer
Hammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>2*abody and shadowtop<0.3*abody)
plotshape(Hammer, title= "Hammer", location=location.belowbar, color=lime, style=shape.arrowup, text="Hammer")
//Inverted Hammer
InvertedHammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>2*abody and shadowbottom<0.3*abody)
plotshape(InvertedHammer, title= "Inverted Hammer", location=location.belowbar, color=lime, style=shape.arrowup, text="Inverted\nHammer")
//Rising Three Methods
RisingThreeMethods=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and longcandle and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1])
plotshape(RisingThreeMethods, title= "Rising Three Methods", location=location.belowbar, color=lime, style=shape.arrowup, text="Rising\nThree\nMethods")
//BullishThreeLineStrike
BullishThreeLineStrike=(body[3]>0 and body[2]>0 and body[1]>0 and body<0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]>close[3] and close[1]>close[2] and open>close[1] and close<open[3])
plotshape(BullishThreeLineStrike, title= "Bullish Three Line Strike", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nThreeLine\nStrike")
//Bullish Mat Hold
BullishMatHold=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and close[3]>close[4] and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1])
plotshape(BullishMatHold, title= "Bullish Mat Hold", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nMat\nHold")
//Doji Star Bottom
DojiStarBottom=(body[1]<0 and longcandle[1] and low<low[1] and open<close[1] and ratio<0.3 and range<0.3*range[1])
plotshape(DojiStarBottom, title= "Doji Star Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Doji\nStar\nBottom")
//Morning Star
MorningStar=(body[2]<0 and body>0 and longcandle[2] and open[1]<close[2] and open>close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and low[1]<low and low[1]<low[2] and high[1]<open[2] and high[1]<close)
plotshape(MorningStar, title= "Morning Star", location=location.belowbar, color=lime, style=shape.arrowup, text="Morning\nStar")
//Abandoned Baby Bottom
AbandonedBabyBottom=(body[2]<0 and body>0 and longcandle[2] and ratio[1]<0.3 and high[1]<low[2] and high[1]<low)
plotshape(AbandonedBabyBottom, title= "Abandoned Baby Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Abandoned\nBaby\nBottom")
//Bullish Harami
BullishHarami=(body[1]<0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(BullishHarami, title= "Bullish Harami", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nHarami")
//Three Inside Up
ThreeInsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishHarami[1] and close>close[1])
plotshape(ThreeInsideUp, title= "Three Inside Up", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nInside\nUp")
//Bullish Engulfing
BullishEngulfing=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(BullishEngulfing, title= "Bullish Engulfing", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nEngulfing")
//Piercing Line
PiercingLine=(body[1]<0 and body>0 and longcandle[1] and longcandle and open<low[1] and close>middle[1] and close<open[1])
plotshape(PiercingLine, title= "Piercing Line", location=location.belowbar, color=lime, style=shape.arrowup, text="Piercing\nLine")
//Three Outside Up
ThreeOutsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishEngulfing[1] and close>close[1])
plotshape(ThreeOutsideUp, title= "Three Outside Up", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nOutside\nUp")
//Three White Soldiers
ThreeWhiteSoldiers=(body[2]>0 and body[1]>0 and body>0 and high[1]>high[2] and high>high[1] and close[1]>close[2] and close>close[1] and open[1]>open[2] and open[1]<close[2] and open>open[1] and open<close[1])
plotshape(ThreeWhiteSoldiers, title= "Three White Soldiers", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nWhite\nSoldiers")
//BEARISH SIGNALS
//Evening Star
EveningStar=(body[2]>0 and body<0 and longcandle[2] and open[1]>close[2] and open<close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and high[1]>high and high[1]>high[2] and low[1]>open[2] and low[1]>close)
plotshape(EveningStar, title= "Evening Star", color=red, style=shape.arrowdown, text="Evening\nStar")
//Dark Cloud Cover
DarkCloudCover=(body[1]>0 and body<0 and longcandle[1] and longcandle and open>high[1] and close<middle[1] and close>open[1])
plotshape(DarkCloudCover, title= "Dark Cloud Cover", color=red, style=shape.arrowdown, text="Dark\nCloud\nCover")
//Abandoned Baby Top
AbandonedBabyTop=(body[2]>0 and body<0 and longcandle[2] and ratio[1]<0.3 and low[1]>high[2] and low[1]>high)
plotshape(AbandonedBabyTop, title= "Abandoned Baby Top", color=red, style=shape.arrowdown, text="Abandoned\nBaby\nTop")
//Bearish Harami
BearishHarami=(body[1]>0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(BearishHarami, title= "Bearish Harami", color=red, style=shape.arrowdown, text="Bearish\nHarami")
//Descending Hawk
DescendingHawk=(body[1]>0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(DescendingHawk, title= "Descending Hawk", color=red, style=shape.arrowdown, text="Descending\nHawk")
//Bearish Engulfing
BearishEngulfing=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(BearishEngulfing, title= "Bearish Engulfing", color=red, style=shape.arrowdown, text="Bearish\nEngulfing")
//Gravestone Doji Top
GravestoneDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>3*abody and shadowbottom<shadowtop/3)
plotshape(GravestoneDojiTop, title= "Gravestone Doji Top", color=red, style=shape.arrowdown, text="Gravestone\nDoji\nTop")
//Shooting Star
ShootingStar=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>2*abody and shadowbottom<0.3*abody)
plotshape(ShootingStar, title= "Shooting Star", color=red, style=shape.arrowdown, text="Shooting\nStar")
//Hanging Man
HangingMan=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>2*abody and shadowtop<0.3*abody)
plotshape(HangingMan, title= "Hanging Man", color=red, style=shape.arrowdown, text="Hanging\nMan")
//Bearish Three Line Strike
BearishThreeLineStrike=(body[3]<0 and body[2]<0 and body[1]<0 and body>0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]<close[3] and close[1]<close[2] and open<close[1] and close>open[3])
plotshape(BearishThreeLineStrike, title= "Bearish Three Line Strike", color=red, style=shape.arrowdown, text="Bearish\nThree\nLine\nStrike")
//Falling Three Methods
FallingThreeMethods=(body[4]<0 and body[3]>0 and body[1]>0 and body<0 and longcandle[4] and longcandle and close[2]>close[3] and close[1]>close[2] and low[2]>low[3] and low[1]>low[2] and high[1]<high[4] and open<close[1] and close<low[4] and close<low[3] and close<low[2] and close<low[1])
plotshape(FallingThreeMethods, title= "Falling Three Methods", color=red, style=shape.arrowdown, text="Falling\n\nThreeMethods")
//Three Inside Down
ThreeInsideDown=(body[2]>0 and body[1]<0 and body<0 and BearishHarami[1] and close<close[1])
plotshape(ThreeInsideDown, title= "Three Inside Down", color=red, style=shape.arrowdown, text="Three\nInside\nDown")
//Three Outside Down
ThreeOutsideDown=(body[2]>0 and body[1]<0 and body<0 and BearishEngulfing[1] and close<close[1])
plotshape(ThreeOutsideDown, title= "Three Outside Down", color=red, style=shape.arrowdown, text="Three\nOutside\nDown")
//Three Black Crows
ThreeBlackCrows=(body[2]<0 and body[1]<0 and body<0 and longcandle[2] and longcandle[1] and longcandle and low[1]<low[2] and low<low[1] and close[1]<close[2] and close<close[1] and open[1]<open[2] and open[1]>close[2] and open<open[1] and open>close[1])
plotshape(ThreeBlackCrows, title= "Three Black Crows", color=red, style=shape.arrowdown, text="Three\nBlack\nCrows")
//Upside Gap Two Crows
UpsideGapTwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and bodytop>bodytop[1] and bodybottom<bodybottom[1] and close>close[2])
plotshape(UpsideGapTwoCrows, title= "Upside Gap Two Crows", color=red, style=shape.arrowdown, text="Upside\nGap\nTwo\nCrows")
//Last Engulfing Top
LastEngulfingTop=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(LastEngulfingTop, title= "Last Engulfing Top", color=red, style=shape.arrowdown, text="Last\nEngulfing\nTop")
//Dragonfly Doji Top
DragonflyDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3)
plotshape(DragonflyDojiTop, title= "Dragonfly Doji Top", color=red, style=shape.arrowdown, text="Dragonfly\nDoji\nTop")
//Bearish Harami Cross
BearishHaramiCross=(body[1]>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1])
plotshape(BearishHaramiCross, title= "Bearish Harami Cross", color=red, style=shape.arrowdown, text="Bearish\nHarami\nCross")
//Advance Block
AdvanceBlock=(body[2]>0 and body[1]>0 and body>0 and high[2]<high[1] and high[1]<high and open[1]>bodybottom[2] and open[1]<bodytop[2] and open>bodybottom[1] and open<bodytop[1] and abody[1]<abody[2] and abody<abody[1])
plotshape(AdvanceBlock, title= "Advance Block", color=red, style=shape.arrowdown, text="Advance\nBlock")
//Bearish Breakaway
BearishBreakaway=(body[4]>0 and body[3]>0 and body<0 and open[3]>close[4] and close[2]>close[3] and close[1]>close[2] and longcandle and close>close[4] and close<open[3])
plotshape(BearishBreakaway, title= "Bearish Breakaway", color=red, style=shape.arrowdown, text="Bearish\nBreakaway")
//Two Crows
TwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and close[1]>close[2] and open<bodytop[1] and open>bodybottom[1] and close<bodytop[2] and close>bodybottom[2])
plotshape(TwoCrows, title= "Two Crows", color=red, style=shape.arrowdown, text="Two\nCrows")
// === BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1)
FromDay = input(defval = 1, title = "From Day", minval = 1)
FromYear = input(defval = 2016, title = "From Year", minval = 2016)
ToMonth = input(defval = 1, title = "To Month", minval = 1)
ToDay = input(defval = 1, title = "To Day", minval = 1)
ToYear = input(defval = 9999, title = "To Year", minval = 9999)
enter_fast = input(20, minval=1)
exit_fast = input(10, minval=1)
exit_fast_short=input(10,minval=1)
fastL = highest(close, enter_fast)
fastS = highest(close ,exit_fast_short)
fastLC = lowest(close, exit_fast)
//entrées et sorties pour long et short, le short utilise la sortie du long comme entrée
enterL1 = close > fastL[1]
exitL1 = close <= fastLC[1]
exitS=close>fastS[1]
strategy.entry("Long", strategy.long, when = enterL1 )
strategy.close("Long", when = exitL1)
strategy.entry("Short", strategy.short, when = exitL1)
strategy.close("Short", when = exitS)