Strategi Perdagangan Grid Purata Pergerakan Dinamik
Tarikh penciptaan:
2023-12-20 13:55:15
Akhirnya diubah suai:
2023-12-20 13:55:15
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ChaoZhang
1
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Pengikut
Gambaran keseluruhan
Strategi ini adalah strategi perdagangan grid dinamik yang menggunakan garis rata-rata bergerak. Ia akan membahagikan beberapa kawasan jual beli dan kawasan jual beli di bawah garis rata-rata berdasarkan garis rata-rata dan ketinggian yang ditetapkan.
Prinsip Strategi
- Pengguna menetapkan parameter rata-rata bergerak untuk menentukan pusat perdagangan utama;
- Berdasarkan ATR dan parameter tetapan, memisahkan beberapa kawasan membeli dan menjual di bawah garis rata;
- Apabila harga memasuki kawasan pembelian yang berlainan, ia akan mencetuskan isyarat melakukan lebih banyak jumlah yang sesuai;
- Apabila harga kembali ke kawasan jualan yang sesuai, ia akan dihapuskan secara berurutan;
- Membuat mekanisme perdagangan grid yang disesuaikan secara dinamik.
Kelebihan Strategik
- Menggunakan garis rata-rata untuk menilai arah trend dan mengelakkan kedudukan terbalik;
- ATR mempertimbangkan turun naik pasaran secara menyeluruh, menjadikan grid lebih dinamik;
- Ia adalah satu-satunya cara untuk mengawal risiko.
- Mengurangkan kerugian secara berturut-turut untuk mengelakkan kerugian yang berjatuhan;
- Tetapan parameter mudah, mudah untuk dikendalikan.
Risiko Strategik
- Ia juga boleh menyebabkan kerosakan yang kerap berlaku di rangkaian.
- Dalam trend yang kuat, titik hentian mungkin terlalu dekat, menyebabkan hentian yang cepat selepas kenaikan;
- Menambah jumlah transaksi dan membebankan yuran;
- Tidak berlaku untuk pasaran yang bergolak atau tidak jelas trend.
Risiko boleh dikurangkan dengan cara yang sesuai untuk melepas jarak grid, mengoptimumkan parameter ATR, mengurangkan bilangan kedudukan. Anda juga boleh menetapkan kombinasi kedua-dua parameter perdagangan trend dan perdagangan goyah berdasarkan pasaran yang berbeza.
Arah pengoptimuman
- Indeks saham boleh digunakan untuk menilai pergerakan saham besar dan membezakan pasaran kosong.
- Penggunaan strategi untuk varieti yang mempunyai ciri-ciri trend yang boleh ditambah dengan penyaringan indikator kuantitatif;
- Parameter ATR atau jarak grid boleh disesuaikan secara langsung mengikut kadar lonjakan;
- Anda boleh menambah strategi stop-loss, mengikuti trend dan mendapat lebih banyak keuntungan.
Ini boleh dioptimumkan lebih jauh untuk menjadikan strategi lebih dinamik dan bertenaga di kawasan tertentu.
ringkaskan
Strategi ini secara keseluruhannya adalah strategi grid trend-tracking yang lebih sederhana. Ia menggunakan garis rata untuk menilai trend besar, kemudian membina grid dinamik untuk melakukan perdagangan secara berperingkat. Ia mempunyai keupayaan kawalan risiko tertentu. Dengan pengoptimuman kuantitatif lanjut, ia boleh menjadi alat kuantitatif yang sangat praktikal.
Kod sumber strategi
/*backtest
start: 2022-12-13 00:00:00
end: 2023-12-19 00:00:00
period: 1d
basePeriod: 1h
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/
// © Seungdori_
//@version=5
strategy("Grid Strategy with MA", overlay=true, initial_capital = 100000, default_qty_type = strategy.cash, default_qty_value = 10000, pyramiding = 10, process_orders_on_close = true, commission_type = strategy.commission.percent, commission_value = 0.04)
//Inputs//
length = input.int(defval = 100, title = 'MA Length', group = 'MA')
MA_Type = input.string("SMA", title="MA Type", options=['EMA', 'HMA', 'LSMA', 'RMA', 'SMA', 'WMA'],group = 'MA')
logic = input.string(defval='ATR', title ='Grid Logic', options = ['ATR', 'Percent'])
band_mult = input.float(2.5, step = 0.1, title = 'Band Multiplier/Percent', group = 'Parameter')
atr_len = input.int(defval=100, title = 'ATR Length', group ='parameter')
//Var//
var int order_cond = 0
var bool order_1 = false
var bool order_2 = false
var bool order_3 = false
var bool order_4 = false
var bool order_5 = false
var bool order_6 = false
var bool order_7 = false
var bool order_8 = false
var bool order_9 = false
var bool order_10 = false
var bool order_11 = false
var bool order_12 = false
var bool order_13 = false
var bool order_14 = false
var bool order_15 = false
/////////////////////
//Region : Function//
/////////////////////
getMA(source ,ma_type, length) =>
maPrice = ta.ema(source, length)
ema = ta.ema(source, length)
sma = ta.sma(source, length)
if ma_type == 'SMA'
maPrice := ta.sma(source, length)
maPrice
if ma_type == 'HMA'
maPrice := ta.hma(source, length)
maPrice
if ma_type == 'WMA'
maPrice := ta.wma(source, length)
maPrice
if ma_type == "RMA"
maPrice := ta.rma(source, length)
if ma_type == "LSMA"
maPrice := ta.linreg(source, length, 0)
maPrice
main_plot = getMA(ohlc4, MA_Type, length)
atr = ta.atr(length)
premium_zone_1 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*1), 5) : ta.ema((main_plot*(1+band_mult*0.01*1)), 5)
premium_zone_2 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*2), 5) : ta.ema((main_plot*(1+band_mult*0.01*2)), 5)
premium_zone_3 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*3), 5) : ta.ema((main_plot*(1+band_mult*0.01*3)), 5)
premium_zone_4 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*4), 5) : ta.ema((main_plot*(1+band_mult*0.01*4)), 5)
premium_zone_5 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*5), 5) : ta.ema((main_plot*(1+band_mult*0.01*5)), 5)
premium_zone_6 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*6), 5) : ta.ema((main_plot*(1+band_mult*0.01*6)), 5)
premium_zone_7 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*7), 5) : ta.ema((main_plot*(1+band_mult*0.01*7)), 5)
premium_zone_8 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*8), 5) : ta.ema((main_plot*(1+band_mult*0.01*8)), 5)
//premium_zone_9 = ta.rma(main_plot + atr*(band_mult*9), 5)
//premium_zone_10 = ta.rma(main_plot + atr*(band_mult*10), 5)
discount_zone_1 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*1), 5) : ta.ema((main_plot*(1-band_mult*0.01*1)), 5)
discount_zone_2 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*2), 5) : ta.ema((main_plot*(1-band_mult*0.01*2)), 5)
discount_zone_3 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*3), 5) : ta.ema((main_plot*(1-band_mult*0.01*3)), 5)
discount_zone_4 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*4), 5) : ta.ema((main_plot*(1-band_mult*0.01*4)), 5)
discount_zone_5 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*5), 5) : ta.ema((main_plot*(1-band_mult*0.01*5)), 5)
discount_zone_6 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*6), 5) : ta.ema((main_plot*(1-band_mult*0.01*6)), 5)
discount_zone_7 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*7), 5) : ta.ema((main_plot*(1-band_mult*0.01*7)), 5)
discount_zone_8 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*8), 5) : ta.ema((main_plot*(1-band_mult*0.01*8)), 5)
//discount_zon_9 = ta.sma(main_plot - atr*(band_mult*9), 5)
//discount_zone_10 =ta.sma( main_plot - atr*(band_mult*10), 5)
//Region End//
////////////////////
// Region : Plots//
///////////////////
dis_low1 = plot(discount_zone_1, color=color.new(color.green, 80))
dis_low2 = plot(discount_zone_2, color=color.new(color.green, 70))
dis_low3 = plot(discount_zone_3, color=color.new(color.green, 60))
dis_low4 = plot(discount_zone_4, color=color.new(color.green, 50))
dis_low5 = plot(discount_zone_5, color=color.new(color.green, 40))
dis_low6 = plot(discount_zone_6, color=color.new(color.green, 30))
dis_low7 = plot(discount_zone_7, color=color.new(color.green, 20))
dis_low8 = plot(discount_zone_8, color=color.new(color.green, 10))
//dis_low9 = plot(discount_zone_9, color=color.new(color.green, 0))
//dis_low10 = plot(discount_zone_10, color=color.new(color.green, 0))
plot(main_plot, color =color.new(color.gray, 10))
pre_up1 = plot(premium_zone_1, color=color.new(color.red, 80))
pre_up2 = plot(premium_zone_2, color=color.new(color.red, 70))
pre_up3 = plot(premium_zone_3, color=color.new(color.red, 60))
pre_up4 = plot(premium_zone_4, color=color.new(color.red, 50))
pre_up5 = plot(premium_zone_5, color=color.new(color.red, 40))
pre_up6 = plot(premium_zone_6, color=color.new(color.red, 30))
pre_up7 = plot(premium_zone_7, color=color.new(color.red, 20))
pre_up8 = plot(premium_zone_8, color=color.new(color.red, 10))
//pre_up9 = plot(premium_zone_9, color=color.new(color.red, 0))
//pre_up10 = plot(premium_zone_10, color=color.new(color.red, 0))
fill(dis_low1, dis_low2, color=color.new(color.green, 95))
fill(dis_low2, dis_low3, color=color.new(color.green, 90))
fill(dis_low3, dis_low4, color=color.new(color.green, 85))
fill(dis_low4, dis_low5, color=color.new(color.green, 80))
fill(dis_low5, dis_low6, color=color.new(color.green, 75))
fill(dis_low6, dis_low7, color=color.new(color.green, 70))
fill(dis_low7, dis_low8, color=color.new(color.green, 65))
//fill(dis_low8, dis_low9, color=color.new(color.green, 60))
//fill(dis_low9, dis_low10, color=color.new(color.green, 55))
fill(pre_up1, pre_up2, color=color.new(color.red, 95))
fill(pre_up2, pre_up3, color=color.new(color.red, 90))
fill(pre_up3, pre_up4, color=color.new(color.red, 85))
fill(pre_up4, pre_up5, color=color.new(color.red, 80))
fill(pre_up5, pre_up6, color=color.new(color.red, 75))
fill(pre_up6, pre_up7, color=color.new(color.red, 70))
fill(pre_up7, pre_up8, color=color.new(color.red, 65))
//fill(pre_up8, pre_up9, color=color.new(color.red, 60))
//fill(pre_up9, pre_up10, color=color.new(color.red, 55))
//Region End//
///////////////////////
//Region : Strategies//
///////////////////////
//Longs//
longCondition1 = ta.crossunder(low, discount_zone_7)
longCondition2 = ta.crossunder(low, discount_zone_6)
longCondition3 = ta.crossunder(low, discount_zone_5)
longCondition4 = ta.crossunder(low, discount_zone_4)
longCondition5 = ta.crossunder(low, discount_zone_3)
longCondition6 = ta.crossunder(low, discount_zone_2)
longCondition7 = ta.crossunder(low, discount_zone_1)
longCondition8 = ta.crossunder(low, main_plot)
longCondition9 = ta.crossunder(low, premium_zone_1)
longCondition10 = ta.crossunder(low, premium_zone_2)
longCondition11 = ta.crossunder(low, premium_zone_3)
longCondition12 = ta.crossunder(low, premium_zone_4)
longCondition13 = ta.crossunder(low, premium_zone_5)
longCondition14 = ta.crossunder(low, premium_zone_6)
longCondition15 = ta.crossunder(low, premium_zone_7)
if (longCondition1) and order_1 == false
strategy.entry("Long1", strategy.long)
order_1 := true
if (longCondition2) and order_2 == false
strategy.entry("Long2", strategy.long)
order_2 := true
if (longCondition3) and order_3 == false
strategy.entry("Long3", strategy.long)
order_3 := true
if (longCondition4) and order_4 == false
strategy.entry("Long4", strategy.long)
order_4 := true
if (longCondition5) and order_5 == false
strategy.entry("Long5", strategy.long)
order_5 := true
if (longCondition6) and order_6 == false
strategy.entry("Long6", strategy.long)
order_6 := true
if (longCondition7) and order_7 == false
strategy.entry("Long7", strategy.long)
order_7 := true
if (longCondition8) and order_8 == false
strategy.entry("Long8", strategy.long)
order_8 := true
if (longCondition9) and order_9 == false
strategy.entry("Long9", strategy.long)
order_9 := true
if (longCondition10) and order_10 == false
strategy.entry("Long10", strategy.long)
order_10 := true
if (longCondition11) and order_11 == false
strategy.entry("Long11", strategy.long)
order_11 := true
if (longCondition12) and order_12 == false
strategy.entry("Long12", strategy.long)
order_12 := true
if (longCondition13) and order_13 == false
strategy.entry("Long13", strategy.long)
order_13 := true
if (longCondition14) and order_14 == false
strategy.entry("Long14", strategy.long)
order_14 := true
if (longCondition15) and order_15 == false
strategy.entry("Long14", strategy.long)
order_15 := true
//Close//
shortCondition1 = ta.crossover(high, discount_zone_6)
shortCondition2 = ta.crossover(high, discount_zone_5)
shortCondition3 = ta.crossover(high, discount_zone_4)
shortCondition4 = ta.crossover(high, discount_zone_3)
shortCondition5 = ta.crossover(high, discount_zone_2)
shortCondition6 = ta.crossover(high, discount_zone_1)
shortCondition7 = ta.crossover(high, main_plot)
shortCondition8 = ta.crossover(high, premium_zone_1)
shortCondition9 = ta.crossover(high, premium_zone_2)
shortCondition10 = ta.crossover(high, premium_zone_3)
shortCondition11 = ta.crossover(high, premium_zone_4)
shortCondition12 = ta.crossover(high, premium_zone_5)
shortCondition13 = ta.crossover(high, premium_zone_6)
shortCondition14 = ta.crossover(high, premium_zone_7)
shortCondition15 = ta.crossover(high, premium_zone_8)
if (shortCondition1) and order_1 == true
strategy.close("Long1")
order_1 := false
if (shortCondition2) and order_2 == true
strategy.close("Long2")
order_2 := false
if (shortCondition3) and order_3 == true
strategy.close("Long3")
order_3 := false
if (shortCondition4) and order_4 == true
strategy.close("Long4")
order_4 := false
if (shortCondition5) and order_5 == true
strategy.close("Long5")
order_5 := false
if (shortCondition6) and order_6 == true
strategy.close("Long6")
order_6 := false
if (shortCondition7) and order_7 == true
strategy.close("Long7")
order_7 := false
if (shortCondition8) and order_8 == true
strategy.close("Long8")
order_8 := false
if (shortCondition9) and order_9 == true
strategy.close("Long9")
order_9 := false
if (shortCondition10) and order_10 == true
strategy.close("Long10")
order_10 := false
if (shortCondition11) and order_11 == true
strategy.close("Long11")
order_11 := false
if (shortCondition12) and order_12 == true
strategy.close("Long12")
order_12 := false
if (shortCondition13) and order_13 == true
strategy.close("Long13")
order_13 := false
if (shortCondition14) and order_14 == true
strategy.close("Long14")
order_14 := false
if (shortCondition15) and order_15 == true
strategy.close("Long15")
order_15 := false