Strategi Perdagangan Pembalikan Kecerunan
ChaoZhang
Gambaran keseluruhan
Strategi perdagangan inverse gradien adalah strategi pengesanan trend yang menggunakan sistem garis lurus untuk menghantar isyarat jual beli. Ia menilai arah trend harga semasa dengan mengira purata bergerak dari pelbagai kitaran, dan melakukan pembelian atau penjualan pada titik perubahan trend. Strategi ini bertujuan untuk menangkap trend garis tengah dan panjang, dan berdagang apabila trend berubah.
Prinsip Strategi
Strategi ini menghasilkan isyarat dagangan dengan mengira dua purata bergerak, satu purata dengan tempoh yang lebih lama sebagai garis asas, dan satu purata dengan tempoh yang lebih pendek bersilang dengannya. Logik operasi khusus adalah seperti berikut:
Hitung garis rata-rata asas dengan parameter kitaran len1, yang mewakili trend kitaran yang lebih lama.
Hitung garis purata isyarat dengan parameter kitaran len2, yang mewakili garis purata trend kitaran yang lebih pendek, len2
Apabila garis purata pendek jatuh dari arah atas ke bawah melalui garis purata panjang, perdagangan short term menunjukkan bahawa trend berbalik dan harga saham mungkin turun.
Apabila garis purata pendek menembusi garis purata panjang dari arah bawah, lakukan lebih banyak dagangan, menunjukkan bahawa trend berbalik dan harga saham mungkin naik.
Apabila harga kembali berhampiran dengan garis purata panjang, anda akan melakukan seting.
Dengan cara ini, anda dapat menangkap titik-titik perubahan dalam trend garis tengah dan panjang melalui persilangan rata-rata bergerak.
Kelebihan Strategik
Menggunakan sistem persilangan rata-rata, anda boleh menangkap dengan berkesan pembalikan trend dalam kitaran pertengahan.
Isyarat perdagangan mudah difahami dan mudah difahami.
Parameter kitaran boleh disesuaikan untuk pelbagai jenis dan peniaga.
Anda boleh menetapkan Stop Loss Stop dan mengawal setiap risiko.
Tidak perlu meramalkan nilai saham, hanya memikirkan arah trend.
Risiko Strategik
Dalam keadaan gegaran, garis rata-rata sering bercampur dan menghasilkan lebih banyak isyarat palsu.
Tidak boleh mengambil keuntungan daripada turun naik harga jangka pendek, hanya sesuai untuk perdagangan trend garis panjang dan sederhana.
Sistem garis rata tertinggal dengan perubahan harga dan tidak dapat menangkap perubahan trend dalam masa yang tepat.
Ia mungkin kurang kerap diperdagangkan dan kurang menguntungkan.
Parameter perlu diselaraskan pada masa yang sesuai untuk menyesuaikan frekuensi perdagangan dengan pasaran.
Arah pengoptimuman
Digabungkan dengan petunjuk teknikal lain seperti MACD, KD dan lain-lain untuk mengesahkan dan menapis isyarat palsu.
Menambah penapis trend yang memberi isyarat hanya apabila trend jelas.
Berdagang dalam pelbagai bingkai masa, berniaga pada masa yang sama, dan menghasilkan lebih banyak peluang perdagangan.
Parameter pengoptimuman dinamik, supaya parameter kitaran mengikuti perubahan pasaran.
Menambah model pembelajaran mesin untuk membantu menentukan perubahan trend.
ringkaskan
Strategi perdagangan inversi gradien secara keseluruhan adalah strategi pengesanan trend yang mudah dan praktikal. Ia menilai titik perubahan trend pertengahan dengan menyeberang rata-rata untuk menangkap trend harga dalam jangka masa yang lebih lama. Strategi ini mudah dilaksanakan, isyarat perdagangan jelas, tetapi ada beberapa batasan. Dengan terus mengoptimumkan parameter, menggabungkan indikator teknikal lain dan memperkenalkan pembelajaran mesin, anda dapat meningkatkan keberkesanan strategi ini dan lebih baik menangkap peluang pasaran.
/*backtest
start: 2022-10-02 00:00:00
end: 2023-10-08 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
//Created by 100kiwi
strategy(title = "TrapTrading", overlay = true)
/////////////////////////////////////////////////////////////////////
// COMPONENT CODE START
//*******************************************************************
// Backtesting Period Selector | Component by pbergden
//*******************************************************************
testStartYear = input(2015, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2018, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
// A switch to control background coloring of the test period
testPeriodBackground = input(title="Color Background?", type=bool, defval=true)
testPeriodBackgroundColor = testPeriodBackground and (time >= testPeriodStart) and (time <= testPeriodStop) ? #00FF00 : na
bgcolor(testPeriodBackgroundColor, transp=97)
testPeriod() => true
// COMPONENT CODE STOP
/////////////////////////////////////////////////////////////////////
// input
buySide = input(defval = true, title = "Trade Direction (ON: Buy Side OFF: Sell Side)", type = bool)
counterTrend = input(defval = true, title = "Trade Mode (ON: Counter Trend OFF: Trend Following)", type = bool)
len1 = input(defval = 14, title = "Period")
multiple = input(defval = 1.4, title = "Multiple")
m1 = close - close[len1]
controlPoint = counterTrend ? lowest(abs(m1), len1) == abs(m1) : highest(abs(m1), len1) == abs(m1)
baseLine = valuewhen(controlPoint, avg(close, close[len1]), 0)
// trap line
atr = atr(len1)
line1Up = baseLine + (atr * multiple)
line2Up = baseLine + (atr * 2 * multiple)
line3Up = baseLine + (atr * 3 * multiple)
line4Up = baseLine + (atr * 4 * multiple)
line5Up = baseLine + (atr * 5 * multiple)
line6Up = baseLine + (atr * 6 * multiple)
line7Up = baseLine + (atr * 7 * multiple)
line8Up = baseLine + (atr * 8 * multiple)
line9Up = baseLine + (atr * 9 * multiple)
line10Up = baseLine + (atr * 10 * multiple)
line1Down = baseLine - (atr * multiple)
line2Down = baseLine - (atr * 2 * multiple)
line3Down = baseLine - (atr * 3 * multiple)
line4Down = baseLine - (atr * 4 * multiple)
line5Down = baseLine - (atr * 5 * multiple)
line6Down = baseLine - (atr * 6 * multiple)
line7Down = baseLine - (atr * 7 * multiple)
line8Down = baseLine - (atr * 8 * multiple)
line9Down = baseLine - (atr * 9 * multiple)
line10Down = baseLine - (atr * 9 * multiple)
// draw
color = close >= baseLine ? teal : red
barcolor(controlPoint ? yellow : na, title = "Candle Color")
plot(baseLine, title = "Base Line", color = white, linewidth = 4, style = stepline, transp = 0)
plot(line1Up, title = "1Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line2Up, title = "2Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line3Up, title = "3Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line4Up, title = "4Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line5Up, title = "5Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line6Up, title = "6Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line7Up, title = "7Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line8Up, title = "8Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line9Up, title = "9Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line10Up, title = "10Up Line", color = green, linewidth = 1, style = stepline, transp = 0)
plot(line1Down, title = "1Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
plot(line2Down, title = "2Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
plot(line3Down, title = "2Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
plot(line4Down, title = "4Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
plot(line5Down, title = "5Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
plot(line6Down, title = "6Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
plot(line7Down, title = "7Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
plot(line8Down, title = "8Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
plot(line9Down, title = "9Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
plot(line10Down, title = "10Down Line", color = red, linewidth = 1, style = stepline, transp = 0)
// strategy code
if testPeriod() and buySide
strategy.exit("Exit Long0", from_entry = "Long0", qty = 1, limit = line2Up)
strategy.exit("Exit Long1", from_entry = "Long1", qty = 1, limit = line1Up)
strategy.exit("Exit Long2", from_entry = "Long2", qty = 1, limit = baseLine)
strategy.exit("Exit Long3", from_entry = "Long3", qty = 1, limit = line1Down)
strategy.exit("Exit Long4", from_entry = "Long4", qty = 1, limit = line2Down)
strategy.exit("Exit Long5", from_entry = "Long5", qty = 1, limit = line3Down)
strategy.exit("Exit Long6", from_entry = "Long6", qty = 1, limit = line4Down)
strategy.exit("Exit Long7", from_entry = "Long7", qty = 1, limit = line5Down)
strategy.exit("Exit Long8", from_entry = "Long8", qty = 1, limit = line6Down)
strategy.exit("Exit Long9", from_entry = "Long9", qty = 1, limit = line7Down)
strategy.exit("Exit Long10", from_entry = "Long10", qty = 1, limit = line8Down)
strategy.order("Long0", strategy.long, qty = 1, limit = baseLine, when = strategy.position_size <= 0)
strategy.order("Long1", strategy.long, qty = 1, limit = line1Down, when = strategy.position_size <= 1)
strategy.order("Long2", strategy.long, qty = 1, limit = line2Down, when = strategy.position_size <= 2)
strategy.order("Long3", strategy.long, qty = 1, limit = line3Down, when = strategy.position_size <= 3)
strategy.order("Long4", strategy.long, qty = 1, limit = line4Down, when = strategy.position_size <= 4)
strategy.order("Long5", strategy.long, qty = 1, limit = line5Down, when = strategy.position_size <= 5)
strategy.order("Long6", strategy.long, qty = 1, limit = line6Down, when = strategy.position_size <= 6)
strategy.order("Long7", strategy.long, qty = 1, limit = line7Down, when = strategy.position_size <= 7)
strategy.order("Long8", strategy.long, qty = 1, limit = line8Down, when = strategy.position_size <= 8)
strategy.order("Long9", strategy.long, qty = 1, limit = line9Down, when = strategy.position_size <= 9)
strategy.order("Long10", strategy.long, qty = 1, limit = line10Down, when = strategy.position_size <= 10)
else
if testPeriod() and not buySide
strategy.exit("Exit Short0", from_entry = "Short0", qty = 1, limit = line2Down)
strategy.exit("Exit Short1", from_entry = "Short1", qty = 1, limit = line1Down)
strategy.exit("Exit Short2", from_entry = "Short2", qty = 1, limit = baseLine)
strategy.exit("Exit Short3", from_entry = "Short3", qty = 1, limit = line1Up)
strategy.exit("Exit Short4", from_entry = "Short4", qty = 1, limit = line2Up)
strategy.exit("Exit Short5", from_entry = "Short5", qty = 1, limit = line3Up)
strategy.exit("Exit Short6", from_entry = "Short6", qty = 1, limit = line4Up)
strategy.exit("Exit Short7", from_entry = "Short7", qty = 1, limit = line5Up)
strategy.exit("Exit Short8", from_entry = "Short8", qty = 1, limit = line6Up)
strategy.exit("Exit Short9", from_entry = "Short9", qty = 1, limit = line7Up)
strategy.exit("Exit Short10", from_entry = "Short10", qty = 1, limit = line8Up)
strategy.order("Short0", strategy.short, qty = 1, limit = baseLine, when = strategy.position_size >= 0)
strategy.order("Short1", strategy.short, qty = 1, limit = line1Up, when = strategy.position_size >= -1)
strategy.order("Short2", strategy.short, qty = 1, limit = line2Up, when = strategy.position_size >= -2)
strategy.order("Short3", strategy.short, qty = 1, limit = line3Up, when = strategy.position_size >= -3)
strategy.order("Short4", strategy.short, qty = 1, limit = line4Up, when = strategy.position_size >= -4)
strategy.order("Short5", strategy.short, qty = 1, limit = line5Up, when = strategy.position_size >= -5)
strategy.order("Short6", strategy.short, qty = 1, limit = line6Up, when = strategy.position_size >= -6)
strategy.order("Short7", strategy.short, qty = 1, limit = line7Up, when = strategy.position_size >= -7)
strategy.order("Short8", strategy.short, qty = 1, limit = line8Up, when = strategy.position_size >= -8)
strategy.order("Short9", strategy.short, qty = 1, limit = line9Up, when = strategy.position_size >= -9)
strategy.order("Short10", strategy.short, qty = 1, limit = line10Up, when = strategy.position_size >= -10)