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Strategi Dagangan Osilator Momentum Dinamik

Penulis:ChaoZhang
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Ringkasan

Strategi Dagangan Osilator Momentum Dinamik adalah berdasarkan penunjuk Dynamo yang dicadangkan oleh E. Marshall Wall dalam artikel yang diterbitkan dalam majalah Futures pada bulan Julai 1996.

Logika Strategi

Strategi ini mula-mula mengira Osilator Stochastic 10 hari, kemudian mengira purata bergerak mudah 10 hari, dan seterusnya mengira purata bergerak 20 hari berdasarkan itu.

Analisis Kelebihan

Kelebihan utama strategi ini ialah:

  2. Dengan menggabungkan kawasan overbought / oversold, ia boleh menghasilkan isyarat yang agak tepat pada titik perubahan.

Analisis Risiko

Risiko utama strategi ini ialah:

Arahan pengoptimuman

Strategi ini boleh dioptimumkan dalam aspek berikut:

Ringkasan

/*backtest
start: 2023-01-15 00:00:00
end: 2024-01-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 10/04/2017
// In July 1996 Futures magazine, E. Marshall Wall introduces the 
// Dynamic Momentum Oscillator (Dynamo). Please refer to this article 
// for interpretation.
// The Dynamo oscillator is a normalizing function which adjusts the 
// values of a standard oscillator for trendiness by taking the difference 
// between the value of the oscillator and a moving average of the oscillator 
// and then subtracting that value from the oscillator midpoint.
//
// You can change long to short in the Input Settings
// Please, use it only for learning or paper trading. Do not for real trading
////////////////////////////////////////////////////////////
strategy(title="Dynamo", shorttitle="Dynamo")
OscLen = input(10, minval=1)
MALen = input(20, minval=1)
HiBand = input(77, minval=1)
LowBand = input(23)
reverse = input(false, title="Trade reverse")
hline(HiBand, color=red, linestyle=line)
hline(LowBand, color=green, linestyle=line)
xOscK = stoch(close, high, low, OscLen)
xOscAvg = sma(xOscK, OscLen)
xMAVal = sma(xOscAvg, MALen)
maxNum = 9999999
LowestSoFar = iff(xOscAvg < nz(LowestSoFar[1], maxNum), xOscAvg, nz(LowestSoFar[1], maxNum))
HighestSoFar = iff(xOscAvg > nz(HighestSoFar[1]), xOscAvg, nz(HighestSoFar[1]))
MidPnt = (LowestSoFar + HighestSoFar) / 2
nRes = MidPnt - (xMAVal - xOscAvg)
pos = iff(nRes > HiBand, 1,
	     iff(nRes < LowBand, -1, nz(pos[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)	   	    
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
plot(nRes, color=blue, title="Dynamo")
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