Strategi pengurusan wang dinamik pelbagai faktor
ChaoZhang
Gambaran keseluruhan
Strategi ini menggunakan pelbagai petunjuk teknikal seperti MACD, RSI, PSAR dan prinsip pengurusan wang dinamik untuk melakukan trend tracking dan membalikkan perdagangan dalam pelbagai rangka masa. Strategi ini boleh digunakan untuk perdagangan garis pendek, garis tengah dan garis panjang.
Prinsip
Strategi menggunakan indikator PSAR untuk menentukan arah trend. Garis laju EMA yang bersilang dengan garis tengah BB sebagai titik pengesahan pertama. Arah bentuk tiang MACD sebagai titik pengesahan kedua. RSI melalui kawasan jual beli sebagai titik pengesahan ketiga.
Tetapkan titik henti kerugian selepas masuk. Tetapkan titik henti kerugian mengikut kelipatan tertentu dari nilai ATR. Tetapkan titik henti kerugian.
Flips juga mempunyai seting peratus. Ia akan berhenti apabila keuntungan mencapai peratusan tertentu daripada jumlah hak milik akaun.
Pengurusan Dana Dinamik Mengira saiz kedudukan berdasarkan jumlah ekuiti akaun, ATR, dan setelan penggandaan henti rugi. Ia juga menetapkan jumlah dagangan minimum.
Kelebihan
Pengesahan pelbagai faktor, mengelakkan penembusan palsu, meningkatkan ketepatan kemasukan.
Pengurusan wang dinamik mengawal risiko individu, melindungi akaun dengan berkesan.
Hentian kerugian boleh disesuaikan dengan tahap turun naik pasaran.
Peratusan Flutter dan Flutter Setup untuk mengunci keuntungan dan mengelakkan pukulan balik.
Risiko
Portfolio pelbagai faktor mungkin terlepas beberapa peluang perdagangan.
Peratusan yang terlalu tinggi boleh menyebabkan kerugian meningkat.
Tetapan nilai ATR yang tidak betul boleh menyebabkan stop loss terlalu longgar atau terlalu radikal.
Pengaturan pengurusan wang yang tidak betul boleh menyebabkan kedudukan tunggal yang terlalu besar.
Arah pengoptimuman
Menyesuaikan berat faktor kemasukan untuk mengoptimumkan ketepatan isyarat.
Uji peratusan parameter yang berbeza untuk mencari kombinasi terbaik.
Pilih ATR yang munasabah mengikut ciri-ciri pelbagai jenis.
Parameter pengurusan dana disesuaikan secara dinamik mengikut keputusan tinjauan balik.
Optimumkan tetapan tempoh masa, uji tempoh perdagangan.
ringkaskan
Strategi ini menggunakan pelbagai petunjuk teknikal untuk menilai trend, menggabungkan risiko kawalan pengurusan wang dinamik, dan mencapai keuntungan yang stabil dalam jangka masa yang berbilang. Berdasarkan hasil tinjauan semula, anda boleh terus mengoptimumkan berat faktor, parameter kawalan risiko, dan tetapan pengurusan wang, untuk mendapatkan kesan yang lebih baik.
/*backtest
start: 2023-09-16 00:00:00
end: 2023-10-16 00:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © SoftKill21
//@version=4
strategy("EURUSD 1min strat RISK %% ", overlay=false, initial_capital = 1000)
// BACKTESTING RANGE
// From Date Inputs
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 6, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2020, title = "From Year", minval = 1970)
// To Date Inputs
toDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2020, title = "To Year", minval = 1970)
// Calculate start/end date and time condition
DST = 1 //day light saving for usa
//--- Europe
London = iff(DST==0,"0000-0900","0100-1000")
//--- America
NewYork = iff(DST==0,"0400-1500","0500-1600")
//--- Pacific
Sydney = iff(DST==0,"1300-2200","1400-2300")
//--- Asia
Tokyo = iff(DST==0,"1500-2400","1600-0100")
//-- Time In Range
timeinrange(res, sess) => time(res, sess) != 0
london = timeinrange(timeframe.period, London)
newyork = timeinrange(timeframe.period, NewYork)
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
//
//
// rsi
length = input( 5 )
overSold = input( 23 )
overBought = input( 72 )
price = close
vrsi = rsi(price, length)
co = crossover(vrsi, overSold)
cu = crossunder(vrsi, overBought)
// macd
fast_length_macd = input(title="Fast Length", type=input.integer, defval=12)
slow_length_macd = input(title="Slow Length", type=input.integer, defval=26)
src_macd = input(title="Source", type=input.source, defval=close)
signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 9)
sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=true)
sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=true)
// Plot colors
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350
col_macd = #0094ff
col_signal = #ff6a00
// Calculating
fast_ma = sma_source ? sma(src_macd, fast_length_macd) : ema(src_macd, fast_length_macd)
slow_ma = sma_source ? sma(src_macd, slow_length_macd) : ema(src_macd, slow_length_macd)
macd = fast_ma - slow_ma
signal = sma_signal ? sma(macd, signal_length) : ema(macd, signal_length)
hist = macd - signal
//plot(hist, title="Histogram", style=plot.style_columns, color=(hist>=0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below) ), transp=0 )
// sar
start = input(0.02)
increment = input(0.02)
maximum = input(0.2)
var bool uptrend = na
var float EP = na
var float SAR = na
var float AF = start
var float nextBarSAR = na
if bar_index > 0
firstTrendBar = false
SAR := nextBarSAR
if bar_index == 1
float prevSAR = na
float prevEP = na
lowPrev = low[1]
highPrev = high[1]
closeCur = close
closePrev = close[1]
if closeCur > closePrev
uptrend := true
EP := high
prevSAR := lowPrev
prevEP := high
else
uptrend := false
EP := low
prevSAR := highPrev
prevEP := low
firstTrendBar := true
SAR := prevSAR + start * (prevEP - prevSAR)
if uptrend
if SAR > low
firstTrendBar := true
uptrend := false
SAR := max(EP, high)
EP := low
AF := start
else
if SAR < high
firstTrendBar := true
uptrend := true
SAR := min(EP, low)
EP := high
AF := start
if not firstTrendBar
if uptrend
if high > EP
EP := high
AF := min(AF + increment, maximum)
else
if low < EP
EP := low
AF := min(AF + increment, maximum)
if uptrend
SAR := min(SAR, low[1])
if bar_index > 1
SAR := min(SAR, low[2])
else
SAR := max(SAR, high[1])
if bar_index > 1
SAR := max(SAR, high[2])
nextBarSAR := SAR + AF * (EP - SAR)
//plot(SAR, style=plot.style_cross, linewidth=3, color=color.orange)
//plot(nextBarSAR, style=plot.style_cross, linewidth=3, color=color.aqua)
//plot(strategy.equity, title="equity", color=color.red, linewidth=2, style=plot.style_areabr)
//bb
length_bb = input(17, minval=1)
src_bb = input(close, title="Source")
mult_bb = input(2.0, minval=0.001, maxval=50, title="StdDev")
basis_bb = sma(src_bb, length_bb)
dev_bb = mult_bb * stdev(src_bb, length_bb)
upper_bb = basis_bb + dev_bb
lower_bb = basis_bb - dev_bb
offset = input(0, "Offset", type = input.integer, minval = -500, maxval = 500)
//plot(basis_bb, "Basis", color=#872323, offset = offset)
//p1_bb = plot(upper_bb, "Upper", color=color.teal, offset = offset)
//p2_bb = plot(lower_bb, "Lower", color=color.teal, offset = offset)
//fill(p1_bb, p2_bb, title = "Background", color=#198787, transp=95)
//ema
len_ema = input(10, minval=1, title="Length")
src_ema = input(close, title="Source")
offset_ema = input(title="Offset", type=input.integer, defval=0, minval=-500, maxval=500)
out_ema = ema(src_ema, len_ema)
//plot(out_ema, title="EMA", color=color.blue, offset=offset_ema)
//out_ema e emaul
//basis_bb e middle de la bb
//hist e histograma
// rsi cu band0 cross pt rsi
// confirmarea
shortCondition = (uptrend==false and crossunder(ema(src_ema, len_ema),sma(src_bb, length_bb)) and hist < 0 and vrsi < overSold) //and time_cond
longCondition = (uptrend==true and crossover(ema(src_ema, len_ema),sma(src_bb, length_bb)) and hist > 0 and vrsi > overBought ) //and time_cond
//tp=input(0.0025,type=input.float, title="tp")
//sl=input(0.001,type=input.float, title="sl")
//INDICATOR---------------------------------------------------------------------
//Average True Range (1. RISK)
atr_period = input(14, "Average True Range Period")
atr = atr(atr_period)
strategy.initial_capital = 50000
//MONEY MANAGEMENT--------------------------------------------------------------
balance = strategy.netprofit + strategy.initial_capital //current balance
floating = strategy.openprofit //floating profit/loss
risk = input(2,type=input.float,title="Risk %")/100 //risk % per trade
isTwoDigit = input(false,"Is this a 2 digit pair? (JPY, XAU, XPD...")
equity_protector = input(1 ,type=input.float, title="Equity Protection %")/100 //equity protection %
equity_protectorTP = input(2 ,type=input.float, title="Equity TP %")/100 //equity protection %
multtp = input(5,type=input.float, title="multi atr tp")
multsl = input(5,type=input.float, title="multi atr sl")
stop = atr*100000*input(1,"SL X")* multsl //Stop level
if(isTwoDigit)
stop := stop/100
target = atr*100000*input(1,"TP X")*multtp //Stop level
//Calculate current DD and determine if stopout is necessary
equity_stopout = false
if(floating<0 and abs(floating/balance)>equity_protector)
equity_stopout := true
equity_stopout2 = false
if(floating>0 and abs(floating/balance)>equity_protectorTP)
equity_stopout2 := true
//Calculate the size of the next trade
temp01 = balance * risk //Risk in USD
temp02 = temp01/stop //Risk in lots
temp03 = temp02*100000 //Convert to contracts
size = temp03 - temp03%1000 //Normalize to 1000s (Trade size)
if(size < 10000)
size := 10000 //Set min. lot size
//TRADE EXECUTION---------------------------------------------------------------
strategy.close_all(equity_stopout, comment="equity sl", alert_message = "equity_sl") //Close all trades w/equity protector
//strategy.close_all(equity_stopout2, comment="equity tp", alert_message = "equity_tp") //Close all trades w/equity protector
is_open = strategy.opentrades > 0
strategy.entry("long",true,oca_name="a",when=longCondition and not is_open) //Long entry
strategy.entry("short",false,oca_name="a",when=shortCondition and not is_open) //Short entry
strategy.exit("exit_long","long",loss=stop, profit=target) //Long exit (stop loss)
strategy.close("long",when=shortCondition) //Long exit (exit condition)
strategy.exit("exit_short","short",loss=stop, profit=target) //Short exit (stop loss)
strategy.close("short",when=longCondition) //Short exit (exit condition)
//strategy.entry("long", strategy.long,size,when=longCondition , comment="long" , alert_message = "long")
//strategy.entry("short", strategy.short, size,when=shortCondition , comment="short" , alert_message = "short")
//strategy.exit("closelong", "long" , profit = close * tp / syminfo.mintick, alert_message = "closelong")
//strategy.exit("closeshort", "short" , profit = close * tp / syminfo.mintick, alert_message = "closeshort")
//strategy.exit("closelong", "long" ,size, profit = close * tp / syminfo.mintick, loss = close * sl / syminfo.mintick, alert_message = "closelong")
//strategy.exit("closeshort", "short" , size, profit = close * tp / syminfo.mintick, loss = close * sl / syminfo.mintick, alert_message = "closeshort")
//strategy.close("long" , when=not (time_cond), comment="time", alert_message = "closelong" )
//strategy.close("short" , when=not (time_cond), comment="time", alert_message = "closeshort")
//strategy.close_all(when=not (time_cond), comment ='time')