Strategi perdagangan adaptif berdasarkan penunjuk ADX
ChaoZhang
Gambaran keseluruhan
Inti strategi ini adalah menggunakan indikator ADX untuk menilai trend pasaran, dan digabungkan dengan nilai selisih indikator DI+- untuk mengenal pasti titik pecah secara automatik, untuk mewujudkan perdagangan yang menyesuaikan diri. Apabila selisih DI+ dan ADX melebihi nilai set, maka lakukan lebih banyak, dan apabila selisih DI- dan ADX melebihi nilai set, maka lakukan kosong. Strategi ini dapat mengenal pasti titik pecah trend secara automatik, tanpa campur tangan manusia, sesuai untuk memegang garis tengah.
Prinsip Strategi
Hitung Indikator Jarak Benar, Pergerakan Arahan, untuk mendapatkan indikator seperti DI +, DI- , DX dan ADX.
Bandingkan amplitudo perbezaan DI+ dan ADX 1, amplitudo perbezaan DI- dan ADX 2 ◦
Apabila amplitude1 lebih besar daripada seting threshold ((seperti 10) menghasilkan signal do multi; apabila amplitude2 lebih besar daripada seting threshold ((seperti 10) menghasilkan signal do vakum.
Dan meminta ADX antara DI+ dan DI- untuk menyaring isyarat yang salah.
Dengan cara ini, apabila pasaran memasuki keadaan trend, DI+ atau DI- akan jelas mendahului ADX, yang akan menghasilkan isyarat perdagangan; apabila pasaran berakhir, DI+, DI- dan ADX akan kembali berdekatan, untuk mengelakkan mengejar naik dan turun.
Kelebihan Strategik
Ia boleh mengesan titik tolak trend secara automatik, tanpa sebarang penilaian manual.
Nilai terhad DI dan ADX boleh disesuaikan secara fleksibel untuk menyesuaikan diri dengan keadaan pasaran yang berbeza.
Gabungan dengan ADX, ia boleh menyaring isyarat silap secara berkesan.
Pemilihan saham yang lebih lama, tidak memerlukan transaksi yang lebih kerap, penggunaan dana yang tinggi.
Pengunduran boleh dikawal, pertumbuhan stabil.
Risiko Strategik
Indeks ADX tertinggal, mungkin kehilangan peluang perdagangan garis pendek. Ia boleh digabungkan dengan indikator lain atau mengurangkan parameter ADX untuk meningkatkan kepekaan.
Ia mudah dipadamkan dalam keadaan gegaran. Anda boleh memperkenalkan strategi hentikan kerugian atau menambah syarat penapisan ADX untuk mengurangkan kebarangkalian setup.
Apabila trend berbalik secara besar-besaran, ia akan menyebabkan kerugian besar. Anda boleh menetapkan hentian bergerak atau hentian pengesanan untuk mengawal risiko.
Pengoptimuman Strategi
Anda boleh menguji pasaran dan varieti yang berbeza untuk menyesuaikan kombinasi parameter terbaik.
Ia boleh dipertimbangkan untuk meningkatkan ketepatan isyarat dalam kombinasi dengan penilaian indikator lain, seperti MACD, KD dan sebagainya.
Tambah strategi stop loss untuk mengawal penarikan balik dan kerugian maksimum.
Memperkenalkan pengurusan kedudukan, menyesuaikan kedudukan dagangan mengikut keadaan pasaran.
Mengoptimumkan pilihan titik masuk dan syarat keluar untuk mengurangkan risiko perdagangan.
ringkaskan
Strategi ini mengintegrasikan kelebihan indikator ADX dan DI, mewujudkan penilaian yang berkesan terhadap trend dan perdagangan yang menyesuaikan diri. Tidak perlu sering mengendalikan, sesuai untuk memegang garis panjang tengah.
/*backtest
start: 2023-01-10 00:00:00
end: 2024-01-16 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/
// © MAURYA_ALGO_TRADER
//@version=5
strategy("Monthly Performance by Dr. Maurya", overlay=true, default_qty_value = 15, commission_type = strategy.commission.percent, commission_value = 0.1)
len = input(14)
th = input(20)
TrueRange = math.max(math.max(high - low, math.abs(high - nz(close[1]))), math.abs(low - nz(close[1])))
DirectionalMovementPlus = high - nz(high[1]) > nz(low[1]) - low ? math.max(high - nz(high[1]), 0) : 0
DirectionalMovementMinus = nz(low[1]) - low > high - nz(high[1]) ? math.max(nz(low[1]) - low, 0) : 0
SmoothedTrueRange = 0.0
SmoothedTrueRange := nz(SmoothedTrueRange[1]) - nz(SmoothedTrueRange[1]) / len + TrueRange
SmoothedDirectionalMovementPlus = 0.0
SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) - nz(SmoothedDirectionalMovementPlus[1]) / len + DirectionalMovementPlus
SmoothedDirectionalMovementMinus = 0.0
SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) - nz(SmoothedDirectionalMovementMinus[1]) / len + DirectionalMovementMinus
DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
DX = math.abs(DIPlus - DIMinus) / (DIPlus + DIMinus) * 100
ADX = ta.sma(DX, len)
//diff_1 = math.abs(DIPlus - DIMinus)
diff_2 = math.abs(DIPlus-ADX)
diff_3 = math.abs(DIMinus - ADX)
long_diff = input(10, "Long Difference")
short_diff = input(10, "Short Difference")
buy_condition = diff_2 >=long_diff and diff_3 >=long_diff and (ADX < DIPlus and ADX > DIMinus)
sell_condition = diff_2 >=short_diff and diff_3 >=short_diff and (ADX > DIPlus and ADX < DIMinus)
if buy_condition
strategy.entry("Long Entry", strategy.long, comment = "Long")
if sell_condition
strategy.entry("Short Entry", strategy.short, comment = "Short")
// Copy below code to end of the desired strategy script
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// monthly pnl performance by Dr. Maurya @MAURYA_ALGO_TRADER //
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
show_performance = input.bool(true, 'Show Monthly Monthly Performance ?', group='Monthly Performance')
dash_loc_mp = input("Bottom Right","Location" ,options=["Top Right","Bottom Right","Top Left","Bottom Left", "Middle Right","Bottom Center"] ,group='Monthly Performance', inline = "performance")
text_size_mp = input('Small',"Size" ,options=["Tiny","Small","Normal","Large"] ,group='Monthly Performance', inline = "performance")
bg_c = input.color( color.rgb(7, 226, 242, 38), "Background Color", group='Monthly Performance')
text_head_color = input.color( color.rgb(0,0,0), "Month/Year Heading Color", group='Monthly Performance')
tab_month_c = input.color( color.white, "Month PnL Data Color", group='Monthly Performance')
tab_year_c = input.color( color.rgb(0,0,0), "Year PnL Data Color", group='Monthly Performance')
border_c = input.color( color.white, "Table Border Color", group='Monthly Performance')
var table_position_mp = dash_loc_mp == 'Top Left' ? position.top_left :
dash_loc_mp == 'Bottom Left' ? position.bottom_left :
dash_loc_mp == 'Middle Right' ? position.middle_right :
dash_loc_mp == 'Bottom Center' ? position.bottom_center :
dash_loc_mp == 'Top Right' ? position.top_right : position.bottom_right
var table_text_size_mp = text_size_mp == 'Tiny' ? size.tiny :
text_size_mp == 'Small' ? size.small :
text_size_mp == 'Normal' ? size.normal : size.large
/////////////////
strategy.initial_capital =50000
/////////////////////////////////////////////
// var bool new_month = na
new_month = ta.change(month) //> 0 ? true : false
newest_month = new_month and strategy.closedtrades >= 1
// profit
only_profit = strategy.netprofit
initial_balance = strategy.initial_capital
// month number
var int month_number = na
month_number := (ta.valuewhen(newest_month, month(time), 0)) //and month(time) > 1 ? (ta.valuewhen(newest_month, month(time), 0) - 1) : 12 //1 to 12
//month_year
var int month_time = na
month_time := ta.valuewhen(newest_month, time, 0) - 2419200000
var int m_counter = 0
if newest_month
m_counter += 1
// current month values
var bool new_year = na
new_year := ta.change(year)
curr_m_pnl = only_profit - nz(ta.valuewhen(newest_month, only_profit, 0), 0)
curr_m_number = newest_month ? ta.valuewhen(newest_month, month(time), 0) : month(time)
curr_y_pnl = (only_profit - nz(ta.valuewhen(new_year, only_profit, 0),0))
var float [] net_profit_array = array.new_float()
var int [] month_array = array.new_int()
var int [] month_time_array = array.new_int()
if newest_month
array.push(net_profit_array, only_profit)
array.push(month_array, month_number)
array.push(month_time_array, month_time)
var float [] y_pnl_array = array.new_float()
var int [] y_number_array = array.new_int()
var int [] y_time_array = array.new_int()
newest_year = ta.change(year) and strategy.closedtrades >= 1
get_yearly_pnl = nz(ta.valuewhen(newest_year, strategy.netprofit, 0) - nz(ta.valuewhen(newest_year, strategy.netprofit, 1), 0), 0)
get_m_year = ta.valuewhen(newest_year, year(time), 1)
get_y_time = ta.valuewhen(newest_year, time, 0)
if newest_year
array.push(y_pnl_array, get_yearly_pnl)
array.push(y_number_array, get_m_year)
array.push(y_time_array, get_y_time)
var float monthly_profit = na
var int column_month_number = na
var int row_month_time = na
var testTable = table.new(position = table_position_mp, columns = 14, rows = 40, bgcolor = bg_c, border_color = border_c, border_width = 1)
if barstate.islastconfirmedhistory and show_performance
table.cell(table_id = testTable, column = 0, row = 0, text = "YEAR", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 1, row = 0, text = "JAN", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 2, row = 0, text = "FEB", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 3, row = 0, text = "MAR", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 4, row = 0, text = "APR", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 5, row = 0, text = "MAY", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 6, row = 0, text = "JUN", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 7, row = 0, text = "JUL", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 8, row = 0, text = "AUG", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 9, row = 0, text = "SEP", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 10, row = 0, text = "OCT", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 11, row = 0, text = "NOV", text_color = text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 12, row = 0, text = "DEC", text_color =text_head_color, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 13, row = 0, text = "YEAR P/L", text_color = text_head_color, text_size=table_text_size_mp)
for i = 0 to (array.size(y_number_array) == 0 ? na : array.size(y_number_array) - 1)
row_y = year(array.get(y_time_array, i)) - year(array.get(y_time_array, 0)) + 1
table.cell(table_id = testTable, column = 13, row = row_y, text = str.tostring(array.get(y_pnl_array , i), "##.##") + '\n' + '(' + str.tostring(array.get(y_pnl_array , i)*100/initial_balance, "##.##") + ' %)', bgcolor = array.get(y_pnl_array , i) > 0 ? color.green : array.get(y_pnl_array , i) < 0 ? color.red : color.gray, text_color = tab_year_c, text_size=table_text_size_mp)
curr_row_y = array.size(month_time_array) == 0 ? 1 : (year(array.get(month_time_array, array.size(month_time_array) - 1))) - (year(array.get(month_time_array, 0))) + 1
table.cell(table_id = testTable, column = 13, row = curr_row_y, text = str.tostring(curr_y_pnl, "##.##") + '\n' + '(' + str.tostring(curr_y_pnl*100/initial_balance, "##.##") + ' %)', bgcolor = curr_y_pnl > 0 ? color.green : curr_y_pnl < 0 ? color.red : color.gray, text_color = tab_year_c, text_size=table_text_size_mp)
for i = 0 to (array.size(net_profit_array) == 0 ? na : array.size(net_profit_array) - 1)
monthly_profit := i > 0 ? ( array.get(net_profit_array, i) - array.get(net_profit_array, i - 1) ) : array.get(net_profit_array, i)
column_month_number := month(array.get(month_time_array, i))
row_month_time :=((year(array.get(month_time_array, i))) - year(array.get(month_time_array, 0)) ) + 1
table.cell(table_id = testTable, column = column_month_number, row = row_month_time, text = str.tostring(monthly_profit, "##.##") + '\n' + '(' + str.tostring(monthly_profit*100/initial_balance, "##.##") + ' %)', bgcolor = monthly_profit > 0 ? color.green : monthly_profit < 0 ? color.red : color.gray, text_color = tab_month_c, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 0, row =row_month_time, text = str.tostring(year(array.get(month_time_array, i)), "##.##"), text_color = text_head_color, text_size=table_text_size_mp)
curr_row_m = array.size(month_time_array) == 0 ? 1 : (year(array.get(month_time_array, array.size(month_time_array) - 1))) - (year(array.get(month_time_array, 0))) + 1
table.cell(table_id = testTable, column = curr_m_number, row = curr_row_m, text = str.tostring(curr_m_pnl, "##.##") + '\n' + '(' + str.tostring(curr_m_pnl*100/initial_balance, "##.##") + ' %)', bgcolor = curr_m_pnl > 0 ? color.green : curr_m_pnl < 0 ? color.red : color.gray, text_color = tab_month_c, text_size=table_text_size_mp)
table.cell(table_id = testTable, column = 0, row =curr_row_m, text = str.tostring(year(time), "##.##"), text_color = text_head_color, text_size=table_text_size_mp)
//============================================================================================================================================================================