123 Strategi Gabungan Petunjuk Transformasi Pembalikan dan Fisher
ChaoZhang
Strategi ini dinamakan strategi gabungan penukaran 123 dan penukaran Fisher. Strategi ini mengintegrasikan penentuan bentuk 123 dan penukaran Fisher untuk membeli atau menjual apabila kedua-duanya mengeluarkan isyarat bersama.
Bentuk 123 berbalik merujuk kepada tiga hari berturut-turut harga membentuk lubang tinggi dan rendah, dan pada hari ketiga, penutupan membalikkan trend dua hari sebelumnya. Menurut statistik, perdagangan 123 berbalik mendapat kadar keuntungan yang lebih tinggi.
Penunjuk penukaran Fischer memproses harga secara positif, dan dapat mengenal pasti titik-titik perubahan harga dengan berkesan apabila terdapat titik-titik yang melampaui garis penukaran.
Logik urus niaga adalah seperti berikut:
123 bentuk terbalik menunjukkan isyarat beli atau menjual.
Kurva perubahan Fisher menunjukkan isyarat beli atau jual.
Apabila kedua-dua pihak menghantar isyarat arah sama, lakukan pembelian atau penjualan yang sesuai.
Apabila kedua-duanya memberi isyarat untuk berpatah balik, jaga kedudukan kosong.
Kelebihan strategi ini adalah bahawa kombinasi penunjuk dapat meningkatkan ketepatan penghakiman mengenai titik perubahan harga. Tetapi pengoptimuman parameter masih penting dan memerlukan pengurusan dana yang ketat.
Secara keseluruhannya, penggunaan integrasi penunjuk dapat membentuk perspektif analisis yang lebih menyeluruh. Namun, peniaga masih perlu mengekalkan fleksibiliti yang mencukupi untuk menyesuaikan strategi mengikut keadaan pasaran.
/*backtest
start: 2023-08-13 00:00:00
end: 2023-09-12 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 28/08/2020
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Market prices do not have a Gaussian probability density function
// as many traders think. Their probability curve is not bell-shaped.
// But trader can create a nearly Gaussian PDF for prices by normalizing
// them or creating a normalized indicator such as the relative strength
// index and applying the Fisher transform. Such a transformed output
// creates the peak swings as relatively rare events.
// Fisher transform formula is: y = 0.5 * ln ((1+x)/(1-x))
// The sharp turning points of these peak swings clearly and unambiguously
// identify price reversals in a timely manner.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
FTI(Length) =>
pos = 0
nValue1 =0.0
nFish = 0.0
xHL2 = hl2
xMaxH = highest(xHL2, Length)
xMinL = lowest(xHL2,Length)
nValue1 := 0.33 * 2 * ((xHL2 - xMinL) / (xMaxH - xMinL) - 0.5) + 0.67 * nz(nValue1[1])
nValue2 = iff(nValue1 > .99, .999,
iff(nValue1 < -.99, -.999, nValue1))
nFish := 0.5 * log((1 + nValue2) / (1 - nValue2)) + 0.5 * nz(nFish[1])
pos := iff(nFish > nz(nFish[1]), 1,
iff(nFish < nz(nFish[1]), -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Fisher Transform Indicator", shorttitle="Combo", overlay = true)
Length = input(15, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LengthFTI = input(10, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posFTI = FTI(LengthFTI)
pos = iff(posReversal123 == 1 and posFTI == 1 , 1,
iff(posReversal123 == -1 and posFTI == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )