Strategi Pengesanan Trend Pembalikan Ganda

Penulis:ChaoZhang, Tarikh: 2023-12-13 18:01:53
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Ringkasan

Ini adalah strategi pengesanan trend yang menggabungkan isyarat pembalikan berganda. Ia mengintegrasikan strategi pembalikan 123 dan strategi indeks prestasi untuk mengesan titik pembalikan harga untuk penilaian trend yang lebih boleh dipercayai.

Prinsip Strategi

Strategi ini terdiri daripada dua sub-strategi:

  1. 123 Strategi Pembalikan

    Gunakan K-line 14 hari untuk menilai isyarat pembalikan.

    • Isyarat bullish: Harga penutupan jatuh dalam dua hari sebelumnya. Harga penutupan K-line semasa lebih tinggi daripada harga penutupan hari sebelumnya.
    • Isyarat penurunan: Harga penutupan meningkat dalam dua hari sebelumnya. Harga penutupan K-line semasa lebih rendah daripada harga penutupan hari sebelumnya.
  2. Strategi Indeks Prestasi

    Mengira kadar peningkatan/pengurangan dalam tempoh 14 hari yang lalu sebagai penunjuk.

    • Indeks prestasi > (0), menghasilkan isyarat menaik - Indeks prestasi <(0), menghasilkan isyarat penurunan

Isyarat akhir adalah gabungan kedua-dua isyarat. iaitu, isyarat bullish / bearish arah yang sama diperlukan untuk menjana operasi beli / jual sebenar.

Ini boleh menapis beberapa bunyi dan membuat isyarat lebih boleh dipercayai.

Kelebihan Strategi

Sistem pembalikan berganda ini mempunyai kelebihan berikut:

  1. Isyarat yang lebih boleh dipercayai dengan menggabungkan faktor dua
  2. Boleh menapis bunyi pasaran dengan berkesan dan mengelakkan isyarat palsu
  3. 123 corak klasik dan praktikal, mudah untuk menilai dan menghasilkan semula
  4. Indeks prestasi boleh menilai arah trend masa depan
  5. Gabungan parameter yang fleksibel, boleh ditingkatkan lagi

Risiko Strategi

Strategi ini juga mempunyai beberapa risiko:

  1. Mungkin terlepas perubahan tiba-tiba, tidak dapat menangkap trend sepenuhnya
  2. Gabungan isyarat berganda membawa kepada lebih sedikit isyarat yang boleh menjejaskan keuntungan
  3. Memerlukan penilaian yang konsisten, mudah dipengaruhi oleh turun naik stok individu
  4. Masalah penetapan parameter boleh menyebabkan penyimpangan isyarat

Aspek berikut boleh dipertimbangkan untuk pengoptimuman:

  1. Sesuaikan parameter seperti panjang K-garis, kitaran Stochastic dan lain-lain.
  2. Mengoptimumkan logik untuk penghakiman isyarat dua
  3. Sertakan lebih banyak faktor seperti jumlah dan lain-lain.
  4. Tambahkan mekanisme stop loss

Ringkasan

Strategi ini mengintegrasikan penghakiman pembalikan berganda untuk mengesan titik perubahan harga dengan berkesan. Walaupun kebarangkalian kejadian isyarat berkurangan, kebolehpercayaan lebih tinggi, sesuai untuk menangkap trend jangka menengah dan panjang. Kesan strategi dapat ditingkatkan lagi melalui penyesuaian parameter dan pengoptimuman pelbagai faktor.


/*backtest
start: 2023-11-12 00:00:00
end: 2023-12-12 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 15/04/2021
// 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
// 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.
//
// 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


PI(Period) =>
    pos = 0.0
    xKPI = (close - close[Period]) * 100 / close[Period]
    pos := iff(xKPI > 0, 1,
              iff(xKPI < 0, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal & Perfomance index", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Perfomance index ----")
Period = input(14, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posPI = PI(Period)
pos = iff(posReversal123 == 1 and posPI == 1 , 1,
	   iff(posReversal123 == -1 and posPI == -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 )

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