Strategi henti untung dan henti rugi adaptif berdasarkan rangka masa dwi dan penunjuk momentum
ChaoZhang
Gambaran keseluruhan
Strategi ini menggunakan kombinasi dua bingkai masa dan indikator momentum untuk mencapai penangguhan berhenti yang beradaptasi. Bingkai masa utama memantau arah trend, bingkai masa tambahan digunakan untuk mengesahkan isyarat. Apabila kedua-dua arah sesuai, menghasilkan isyarat perdagangan.
Prinsip Strategi
Rangka masa utama menggunakan indikator regresi linear Sqqueeze Momentum ((SQM) untuk menilai trend, dan Rangka masa tambahan menggunakan indikator EMA SQM untuk menyaring isyarat palsu.
Apabila SQM melangkau ke atas, SQM melangkau ke atas, lakukan lebih banyak; apabila SQM melangkau ke bawah, SQM melangkau ke bawah, lakukan kosong.
Selepas masuk, anda boleh menetapkan titik berhenti awal dan titik henti rugi berdasarkan parameter input. Apabila harga mencapai titik berhenti, anda boleh mengemas kini titik berhenti dan titik henti rugi. Cara yang tepat adalah: titik berhenti meningkat mengikut perkadaran yang ditetapkan, titik henti rugi berkurangan mengikut perkadaran, untuk mencapai titik henti bertahap.
Kelebihan Strategik
Dua bingkai masa menapis isyarat palsu untuk memastikan ketepatan isyarat.
Indeks SQM menilai arah trend dan mengelakkan gangguan bunyi pasaran.
Adaptasi mekanisme hentian hentian, kunci keuntungan maksimum, mengawal risiko dengan berkesan.
Analisis risiko
SQM parameter penunjuk yang tidak betul, mungkin terlepas titik peralihan trend, membawa kerugian.
Pemilihan bingkai masa yang tidak betul dalam grafik bantuan tidak dapat menyaring kebisingan dengan berkesan, dan menyebabkan kesalahan transaksi.
Ia boleh menyebabkan kerugian yang lebih besar jika anda meletakkan stop loss terlalu tinggi.
Arah pengoptimuman
Parameter penunjuk SQM perlu disesuaikan dengan pasaran yang berbeza untuk memastikan kepekaan mereka.
Rangka masa grafik tambahan juga memerlukan ujian pada kitaran yang berbeza untuk melihat mana yang paling berkesan.
Stop loss boleh ditetapkan dalam julat turun naik, dan bukan nilai tetap, yang boleh disesuaikan dengan tahap turun naik pasaran.
ringkaskan
Strategi ini sangat praktikal secara keseluruhan, dua bingkai masa bekerjasama dengan indikator momentum untuk menilai trend, dan menggunakan cara menghentikan dan menghentikan kerugian yang menyesuaikan diri untuk mencapai keuntungan yang stabil. Dengan mengoptimumkan parameter indikator SQM, dan membantu menetapkan kitaran grafik dan stop loss, anda dapat membuat kesan strategi lebih baik, dan ia patut digunakan dan dioptimumkan di lapangan.
/*backtest
start: 2023-11-15 00:00:00
end: 2023-11-22 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("SQZ Multiframe Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)
fast_ema_len = input(11, minval=5, title="Fast EMA")
slow_ema_len = input(34, minval=20, title="Slow EMA")
sqm_lengthKC = input(20, title="SQM KC Length")
kauf_period = input(20, title="Kauf Period")
kauf_mult = input(2,title="Kauf Mult factor")
min_profit_sl = input(5.0, minval=1, maxval=100, title="Min profit to start moving SL [%]")
longest_sl = input(10, minval=1, maxval=100, title="Maximum possible of SL [%]")
sl_step = input(0.5, minval=0.0, maxval=1.0, title="Take profit factor")
// ADMF
CMF_length = input(11, minval=1, title="CMF length") // EMA27 = SMMA/RMA14 ~ lunar month
show_plots = input(true, title="Show plots")
lower_resolution = timeframe.period=='1'?'5':timeframe.period=='5'?'15':timeframe.period=='15'?'30':timeframe.period=='30'?'60':timeframe.period=='60'?'240':timeframe.period=='240'?'D':timeframe.period=='D'?'W':'M'
higher_resolution = timeframe.period=='5'?'1':timeframe.period=='15'?'5':timeframe.period=='30'?'15':timeframe.period=='60'?'30':timeframe.period=='240'?'60':timeframe.period=='D'?'240':timeframe.period=='W'?'D':'W'
// Calculate Squeeze Momentum
sqm_val = linreg(close - avg(avg(highest(high, sqm_lengthKC), lowest(low, sqm_lengthKC)),sma(close,sqm_lengthKC)), sqm_lengthKC,0)
sqm_val_high = security(syminfo.tickerid, higher_resolution, linreg(close - avg(avg(highest(high, sqm_lengthKC), lowest(low, sqm_lengthKC)),sma(close,sqm_lengthKC)), sqm_lengthKC,0), lookahead=barmerge.lookahead_on)
sqm_val_low = security(syminfo.tickerid, lower_resolution, linreg(close - avg(avg(highest(high, sqm_lengthKC), lowest(low, sqm_lengthKC)),sma(close,sqm_lengthKC)), sqm_lengthKC,0), gaps=barmerge.gaps_off, lookahead=barmerge.lookahead_on)
// Emas
high_close = security(syminfo.tickerid, higher_resolution, close, lookahead=barmerge.lookahead_on)
high_fast_ema = security(syminfo.tickerid, higher_resolution, ema(close, fast_ema_len), lookahead=barmerge.lookahead_on)
high_slow_ema = security(syminfo.tickerid, higher_resolution, ema(close, slow_ema_len), lookahead=barmerge.lookahead_on)
//low_fast_ema = security(syminfo.tickerid, lower_resolution, ema(close, fast_ema_len), lookahead=barmerge.lookahead_on)
//low_slow_ema = security(syminfo.tickerid, lower_resolution, ema(close, slow_ema_len), lookahead=barmerge.lookahead_on)
// CMF
ad = close==high and close==low or high==low ? 0 : ((2*close-low-high)/(high-low))*volume
money_flow = sum(ad, CMF_length) / sum(volume, CMF_length)
// Entry conditions
low_condition_long = (sqm_val_low > sqm_val_low[1])
low_condition_short = (sqm_val_low < sqm_val_low[1])
money_flow_min = (money_flow[4] > money_flow[3]) and (money_flow[3] > money_flow[2]) and (money_flow[2] < money_flow[1]) and (money_flow[1] < money_flow)
money_flow_max = (money_flow[4] < money_flow[3]) and (money_flow[3] < money_flow[2]) and (money_flow[2] > money_flow[1]) and (money_flow[1] > money_flow)
condition_long = ((sqm_val > sqm_val[1])) and (money_flow_min or money_flow_min[1] or money_flow_min[2] or money_flow_min[3]) and lowest(sqm_val, 5) < 0
condition_short = ((sqm_val < sqm_val[1])) and (money_flow_max or money_flow_max[1] or money_flow_max[2] or money_flow_max[3]) and highest(sqm_val, 5) > 0
high_condition_long = true//high_close > high_fast_ema and high_close > high_slow_ema //(high_fast_ema > high_slow_ema) //and (sqm_val_low > sqm_val_low[1])
high_condition_short = true//high_close < high_fast_ema and high_close < high_slow_ema//(high_fast_ema < high_slow_ema) //and (sqm_val_low < sqm_val_low[1])
enter_long = low_condition_long and condition_long and high_condition_long
enter_short = low_condition_short and condition_short and high_condition_short
// Stop conditions
var current_target_price = 0.0
var current_sl_price = 0.0 // Price limit to take profit
var current_target_per = 0.0
var current_profit_per = 0.0
set_targets(isLong, min_profit, current_target_per, current_profit_per) =>
target = 0.0
sl = 0.0
if isLong
target := close * (1.0 + current_target_per)
sl := close * (1.0 - (longest_sl/100.0)) // Longest SL
else
target := close * (1.0 - current_target_per)
sl := close * (1.0 + (longest_sl/100.0)) // Longest SL
[target, sl]
target_reached(isLong, min_profit, current_target_per, current_profit_per) =>
target = 0.0
sl = 0.0
profit_per = 0.0
target_per = 0.0
if current_profit_per == 0
profit_per := (min_profit*sl_step) / 100.0
else
profit_per := current_profit_per + ((min_profit*sl_step) / 100.0)
target_per := current_target_per + (min_profit / 100.0)
if isLong
target := strategy.position_avg_price * (1.0 + target_per)
sl := strategy.position_avg_price * (1.0 + profit_per)
else
target := strategy.position_avg_price * (1.0 - target_per)
sl := strategy.position_avg_price * (1.0 - profit_per)
[target, sl, profit_per, target_per]
hl_diff = sma(high - low, kauf_period)
stop_condition_long = 0.0
new_stop_condition_long = low - (hl_diff * kauf_mult)
if (strategy.position_size > 0)
if (close > current_target_price)
[target, sl, profit_per, target_per] = target_reached(true, min_profit_sl, current_target_per, current_profit_per)
current_target_price := target
current_sl_price := sl
current_profit_per := profit_per
current_target_per := target_per
stop_condition_long := max(stop_condition_long[1], current_sl_price)
else
stop_condition_long := new_stop_condition_long
stop_condition_short = 99999999.9
new_stop_condition_short = high + (hl_diff * kauf_mult)
if (strategy.position_size < 0)
if (close < current_target_price)
[target, sl, profit_per, target_per] = target_reached(false, min_profit_sl, current_target_per, current_profit_per)
current_target_price := target
current_sl_price := sl
current_profit_per := profit_per
current_target_per := target_per
stop_condition_short := min(stop_condition_short[1], current_sl_price)
else
stop_condition_short := new_stop_condition_short
// Submit entry orders
if (enter_long and (strategy.position_size <= 0))
if (strategy.position_size < 0)
strategy.close(id="SHORT")
current_target_per := (min_profit_sl / 100.0)
current_profit_per := 0.0
[target, sl] = set_targets(true, min_profit_sl, current_target_per, current_profit_per)
current_target_price := target
current_sl_price := sl
strategy.entry(id="LONG", long=true)
// if show_plots
// label.new(bar_index, high, text=tostring("LONG\nSL: ") + tostring(stop_condition_long), style=label.style_labeldown, color=color.green)
if (enter_short and (strategy.position_size >= 0))
if (strategy.position_size > 0)
strategy.close(id="LONG")
current_target_per := (min_profit_sl / 100.0)
current_profit_per := 0.0
[target, sl] = set_targets(false, min_profit_sl, current_target_per, current_profit_per)
current_target_price := target
current_sl_price := sl
strategy.entry(id="SHORT", long=false)
// if show_plots
// label.new(bar_index, high, text=tostring("SHORT\nSL: ") + tostring(stop_condition_short), style=label.style_labeldown, color=color.red)
if (strategy.position_size > 0)
strategy.exit(id="EXIT LONG", stop=stop_condition_long)
if (strategy.position_size < 0)
strategy.exit(id="EXIT SHORT", stop=stop_condition_short)
// Plot anchor trend
plotshape(low_condition_long, style=shape.triangleup,
location=location.abovebar, color=color.green)
plotshape(low_condition_short, style=shape.triangledown,
location=location.abovebar, color=color.red)
plotshape(condition_long, style=shape.triangleup,
location=location.belowbar, color=color.green)
plotshape(condition_short, style=shape.triangledown,
location=location.belowbar, color=color.red)
//plotshape((close < profit_target_short) ? profit_target_short : na, style=shape.triangledown,
// location=location.belowbar, color=color.yellow)
plotshape(enter_long, style=shape.triangleup,
location=location.bottom, color=color.green)
plotshape(enter_short, style=shape.triangledown,
location=location.bottom, color=color.red)
// Plot emas
plot(ema(close, 20), color=color.blue, title="20 EMA")
plot(ema(close, 50), color=color.orange, title="50 EMA")
plot(sma(close, 200), color=color.red, title="MA 200")
// Plot stop loss values for confirmation
plot(series=(strategy.position_size > 0) and show_plots ? stop_condition_long : na,
color=color.green, style=plot.style_linebr,
title="Long Stop")
plot(series=(strategy.position_size < 0) and show_plots ? stop_condition_short : na,
color=color.green, style=plot.style_linebr,
title="Short Stop")
plot(series=(strategy.position_size < 0) and show_plots ? current_target_price : na,
color=color.yellow, style=plot.style_linebr,
title="Short TP")
plot(series=(strategy.position_size > 0) and show_plots ? current_target_price : na,
color=color.yellow, style=plot.style_linebr,
title="Long TP")
//plot(series=(strategy.position_size < 0) ? profit_sl_short : na,
// color=color.gray, style=plot.style_linebr,
// title="Short Stop")