Strategi ini menggunakan indeks prestasi harga ((PPI) untuk menentukan arah trend pasaran, apabila PPI meningkat, lebih banyak, dan apabila PPI turun, lebih sedikit. PPI menilai dinamika harga dan arah masa depan dengan mengira peratusan perubahan harga dalam tempoh tertentu.
Logik utama:
PPI mengira peratusan perubahan harga dalam tempoh tertentu (default 14 hari)
Apabila PPI naik, harga naik, buat lebih
Apabila PPI turun, ia menunjukkan harga turun, dan anda melakukan shorting.
Isyarat perdagangan terbalik pilihan
Kenaikan PPI menunjukkan harga mengumpul tenaga ke atas, dan penurunan menunjukkan tenaga ke bawah. Dengan parameter tertentu, jejak PPI dapat menangkap trend harga garis tengah dan panjang.
Menggunakan petunjuk mudah untuk menilai trend dan momentum harga
Parameter boleh dikonfigurasikan secara bebas untuk pelbagai jenis
Logik transaksi jelas dan intuitif
Perdagangan reversibel, mempertimbangkan pelbagai keadaan pasaran
Tidak dapat menghapuskan bunyi jangka pendek, mudah untuk dirampas
Tidak mengambil kira pengurusan kedudukan dan hentikan kerugian
Parameter yang tidak betul mungkin kehilangan trend atau terlalu banyak perdagangan
Cara untuk menangani masalah ini:
Parameter pengoptimuman, keseimbangan kestabilan dan kepekaan
Meningkatkan strategi penangguhan kerugian dan mengawal kerugian tunggal
Pertimbangkan pengurusan kedudukan untuk mengurangkan risiko tunggal
Kombinasi parameter untuk menguji pelbagai varieti
Menapis isyarat palsu dalam kombinasi dengan petunjuk lain
Pembangunan mekanisme pengurusan kedudukan dinamik
Peningkatan kehilangan pergerakan atau kehilangan masa
Menggunakan pembelajaran mesin untuk menilai kualiti isyarat
Strategi ini berdasarkan trend penilaian indeks prestasi harga, mempunyai kesederhanaan dan kesempurnaan. Ia boleh menjadi strategi perdagangan kuantitatif yang stabil melalui pengoptimuman parameter, langkah-langkah kawalan risiko dan sebagainya.
/*backtest
start: 2022-09-14 00:00:00
end: 2023-09-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 23/03/2018
// The Performance indicator or a more familiar term, KPI (key performance indicator),
// is an industry term that measures the performance. Generally used by organizations,
// they determine whether the company is successful or not, and the degree of success.
// It is used on a business’ different levels, to quantify the progress or regress of a
// department, of an employee or even of a certain program or activity. For a manager
// it’s extremely important to determine which KPIs are relevant for his activity, and
// what is important almost always depends on which department he wants to measure the
// performance for. So the indicators set for the financial team will be different than
// the ones for the marketing department and so on.
//
// Similar to the KPIs companies use to measure their performance on a monthly, quarterly
// and yearly basis, the stock market makes use of a performance indicator as well, although
// on the market, the performance index is calculated on a daily basis. The stock market
// performance indicates the direction of the stock market as a whole, or of a specific stock
// and gives traders an overall impression over the future security prices, helping them decide
// the best move. A change in the indicator gives information about future trends a stock could
// adopt, information about a sector or even on the whole economy. The financial sector is the
// most relevant department of the economy and the indicators provide information on its overall
// health, so when a stock price moves upwards, the indicators are a signal of good news. On the
// other hand, if the price of a particular stock decreases, that is because bad news about its
// performance are out and they generate negative signals to the market, causing the price to go
// downwards. One could state that the movement of the security prices and consequently, the movement
// of the indicators are an overall evaluation of a country’s economic trend.
//
// You can change long to short in the Input Settings
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
strategy(title="Perfomance index Backtest")
Period = input(14, minval=1)
reverse = input(false, title="Trade reverse")
xKPI = (close - close[Period]) * 100 / close[Period]
clr = iff(xKPI > 0, green, red)
p1 = plot(xKPI, color=blue, title="KPI")
p2 = plot(0, color=blue, title="0")
pos = iff(xKPI > 0, 1,
iff(xKPI < 0, -1, nz(pos[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)
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
fill(p1,p2,color=clr)