Strategi dagangan jangka pendek berasaskan ZigZag dengan pelbagai corak
Tarikh penciptaan:
2024-01-23 15:09:13
Akhirnya diubah suai:
2024-01-23 15:09:13
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ChaoZhang
1
fokus pada
1617
Pengikut
Gambaran keseluruhan
Strategi ini berasaskan pada petunjuk ZigZag untuk mengenal pasti bentuk K-line, menggabungkan garis Fibonacci untuk menetapkan tetingkap entri, harga hentian dan harga hentian, untuk melakukan perdagangan garis pendek. Strategi ini menyokong pelbagai bentuk, termasuk 13 bentuk dengan dua trend yang lebih banyak, seperti Bat, Butterfly, dan Gartley.
Prinsip Strategi
- Penggunaan ZigZag untuk mengenal pasti titik balik yang berpotensi
- Hitung 4 titik perubahan terkini untuk menentukan sama ada ia sepadan dengan mana-mana satu daripada 13 bentuk yang telah ditentukan
- Jika harga masuk ke kawasan Fibonacci retracement 0.382, maka masuk
- Tetapan stop pada 0.618 garis pengunduran, stop pada -0.618 garis pengunduran
- Bentuk yang berkesan termasuk yang biasa seperti Bat, Butterfly, Gartley dan sebagainya, dan beberapa bentuk terbalik seperti Anti-Bat, Anti-Butterfly dan sebagainya.
Analisis kelebihan
- Strategi yang menggunakan kelebihan indikator ZigZag untuk menyaring bunyi pasaran dengan berkesan dan mengenal pasti titik peralihan trend yang lebih jelas
- Menggabungkan pelbagai bentuk untuk meningkatkan peluang Entry dan mengawal risiko
- Menggunakan Fibonacci retracement untuk menetapkan titik rujukan, anda boleh standardkan masuk dan berhenti mengambil keuntungan
Analisis risiko
- Penunjuk ZigZag sensitif kepada parameter yang memerlukan penyesuaian untuk mencari kombinasi parameter terbaik
- Pertandingan bentuk yang besar meningkatkan risiko penyesuaian kurva, dan mungkin kurang berkesan daripada pengesanan semula
- Hanya dengan melihat 4 titik perubahan baru-baru ini, kita tidak dapat mengenal pasti bentuk yang lebih kompleks.
- Ujian semula selepas penembusan garis penarikan tidak dipertimbangkan, mungkin menyebabkan kemusnahan awal
Arah pengoptimuman
- Mengoptimumkan parameter ZigZag untuk mencari kombinasi parameter terbaik
- Ujian keberkesanan untuk menambah bentuk, seperti mempertimbangkan pengesahan harga penutupan pada titik-titik penting
- Menambah lebih banyak bentuk K-Line dan meningkatkan peluang Entry
- Meningkatkan mekanisme penarikan balik dan ujian semula untuk mengurangkan risiko kerugian.
ringkaskan
Strategi ini menggunakan indikator ZigZag dan titik peralihan trend penilaian gabungan bentuk K-line, menetapkan logik keluar masuk standard Fibonacci penarikan balik zon, dan merupakan strategi perdagangan garis pendek yang berpotensi. Kuncinya adalah untuk mencari kombinasi parameter yang terbaik, sambil menyesuaikan mekanisme penangguhan kerugian dengan sewajarnya, yang diharapkan dapat memberikan kesan yang lebih baik di lapangan.
Kod sumber strategi
/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title='[STRATEGY][RS]ZigZag PA Strategy V4', shorttitle='S', overlay=true)
useHA = input(false, title='Use Heikken Ashi Candles')
useAltTF = input(true, title='Use Alt Timeframe')
tf = input('60', title='Alt Timeframe')
showPatterns = input(true, title='Show Patterns')
showFib0000 = input(title='Display Fibonacci 0.000:', type=bool, defval=true)
showFib0236 = input(title='Display Fibonacci 0.236:', type=bool, defval=true)
showFib0382 = input(title='Display Fibonacci 0.382:', type=bool, defval=true)
showFib0500 = input(title='Display Fibonacci 0.500:', type=bool, defval=true)
showFib0618 = input(title='Display Fibonacci 0.618:', type=bool, defval=true)
showFib0764 = input(title='Display Fibonacci 0.764:', type=bool, defval=true)
showFib1000 = input(title='Display Fibonacci 1.000:', type=bool, defval=true)
zigzag() =>
_isUp = close >= open
_isDown = close <= open
_direction = _isUp[1] and _isDown ? -1 : _isDown[1] and _isUp ? 1 : nz(_direction[1])
_zigzag = _isUp[1] and _isDown and _direction[1] != -1 ? highest(2) : _isDown[1] and _isUp and _direction[1] != 1 ? lowest(2) : na
_ticker = useHA ? heikenashi(syminfo.tickerid) : syminfo.tickerid
sz = useAltTF ? (ta.change(time(tf)) != 0 ? request.security(_ticker, tf, zigzag()) : na) : zigzag()
plot(sz, title='zigzag', color=color.black, linewidth=2)
// ||--- Pattern Recognition:
x = ta.valuewhen(sz, sz, 4)
a = ta.valuewhen(sz, sz, 3)
b = ta.valuewhen(sz, sz, 2)
c = ta.valuewhen(sz, sz, 1)
d = ta.valuewhen(sz, sz, 0)
xab = (abs(b-a)/abs(x-a))
xad = (abs(a-d)/abs(x-a))
abc = (abs(b-c)/abs(a-b))
bcd = (abs(c-d)/abs(b-c))
// ||--> Functions:
isBat(_mode)=>
_xab = xab >= 0.382 and xab <= 0.5
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.618 and bcd <= 2.618
_xad = xad <= 0.618 and xad <= 1.000 // 0.886
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiBat(_mode)=>
_xab = xab >= 0.500 and xab <= 0.886 // 0.618
_abc = abc >= 1.000 and abc <= 2.618 // 1.13 --> 2.618
_bcd = bcd >= 1.618 and bcd <= 2.618 // 2.0 --> 2.618
_xad = xad >= 0.886 and xad <= 1.000 // 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAltBat(_mode)=>
_xab = xab <= 0.382
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 2.0 and bcd <= 3.618
_xad = xad <= 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isButterfly(_mode)=>
_xab = xab <= 0.786
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.618 and bcd <= 2.618
_xad = xad >= 1.27 and xad <= 1.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiButterfly(_mode)=>
_xab = xab >= 0.236 and xab <= 0.886 // 0.382 - 0.618
_abc = abc >= 1.130 and abc <= 2.618 // 1.130 - 2.618
_bcd = bcd >= 1.000 and bcd <= 1.382 // 1.27
_xad = xad >= 0.500 and xad <= 0.886 // 0.618 - 0.786
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isABCD(_mode)=>
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.13 and bcd <= 2.618
_abc and _bcd and (_mode == 1 ? d < c : d > c)
isGartley(_mode)=>
_xab = xab >= 0.5 and xab <= 0.618 // 0.618
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.13 and bcd <= 2.618
_xad = xad >= 0.75 and xad <= 0.875 // 0.786
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiGartley(_mode)=>
_xab = xab >= 0.500 and xab <= 0.886 // 0.618 -> 0.786
_abc = abc >= 1.000 and abc <= 2.618 // 1.130 -> 2.618
_bcd = bcd >= 1.500 and bcd <= 5.000 // 1.618
_xad = xad >= 1.000 and xad <= 5.000 // 1.272
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isCrab(_mode)=>
_xab = xab >= 0.500 and xab <= 0.875 // 0.886
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 2.000 and bcd <= 5.000 // 3.618
_xad = xad >= 1.382 and xad <= 5.000 // 1.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiCrab(_mode)=>
_xab = xab >= 0.250 and xab <= 0.500 // 0.276 -> 0.446
_abc = abc >= 1.130 and abc <= 2.618 // 1.130 -> 2.618
_bcd = bcd >= 1.618 and bcd <= 2.618 // 1.618 -> 2.618
_xad = xad >= 0.500 and xad <= 0.750 // 0.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isShark(_mode)=>
_xab = xab >= 0.500 and xab <= 0.875 // 0.5 --> 0.886
_abc = abc >= 1.130 and abc <= 1.618 //
_bcd = bcd >= 1.270 and bcd <= 2.240 //
_xad = xad >= 0.886 and xad <= 1.130 // 0.886 --> 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiShark(_mode)=>
_xab = xab >= 0.382 and xab <= 0.875 // 0.446 --> 0.618
_abc = abc >= 0.500 and abc <= 1.000 // 0.618 --> 0.886
_bcd = bcd >= 1.250 and bcd <= 2.618 // 1.618 --> 2.618
_xad = xad >= 0.500 and xad <= 1.250 // 1.130 --> 1.130
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
is5o(_mode)=>
_xab = xab >= 1.13 and xab <= 1.618
_abc = abc >= 1.618 and abc <= 2.24
_bcd = bcd >= 0.5 and bcd <= 0.625 // 0.5
_xad = xad >= 0.0 and xad <= 0.236 // negative?
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isWolf(_mode)=>
_xab = xab >= 1.27 and xab <= 1.618
_abc = abc >= 0 and abc <= 5
_bcd = bcd >= 1.27 and bcd <= 1.618
_xad = xad >= 0.0 and xad <= 5
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isHnS(_mode)=>
_xab = xab >= 2.0 and xab <= 10
_abc = abc >= 0.90 and abc <= 1.1
_bcd = bcd >= 0.236 and bcd <= 0.88
_xad = xad >= 0.90 and xad <= 1.1
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isConTria(_mode)=>
_xab = xab >= 0.382 and xab <= 0.618
_abc = abc >= 0.382 and abc <= 0.618
_bcd = bcd >= 0.382 and bcd <= 0.618
_xad = xad >= 0.236 and xad <= 0.764
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isExpTria(_mode)=>
_xab = xab >= 1.236 and xab <= 1.618
_abc = abc >= 1.000 and abc <= 1.618
_bcd = bcd >= 1.236 and bcd <= 2.000
_xad = xad >= 2.000 and xad <= 2.236
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
plotshape(not showPatterns ? na : isABCD(-1) and not isABCD(-1)[1], text="\nAB=CD", title='Bear ABCD', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isBat(-1) and not isBat(-1)[1], text="Bat", title='Bear Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isAntiBat(-1) and not isAntiBat(-1)[1], text="Anti Bat", title='Bear Anti Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isAltBat(-1) and not isAltBat(-1)[1], text="Alt Bat", title='Bear Alt Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isButterfly(-1) and not isButterfly(-1)[1], text="Butterfly", title='Bear Butterfly', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiButterfly(-1) and not isAntiButterfly(-1)[1], text="Anti Butterfly", title='Bear Anti Butterfly', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isGartley(-1) and not isGartley(-1)[1], text="Gartley", title='Bear Gartley', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiGartley(-1) and not isAntiGartley(-1)[1], text="Anti Gartley", title='Bear Anti Gartley', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isCrab(-1) and not isCrab(-1)[1], text="Crab", title='Bear Crab', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiCrab(-1) and not isAntiCrab(-1)[1], text="Anti Crab", title='Bear Anti Crab', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isShark(-1) and not isShark(-1)[1], text="Shark", title='Bear Shark', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiShark(-1) and not isAntiShark(-1)[1], text="Anti Shark", title='Bear Anti Shark', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : is5o(-1) and not is5o(-1)[1], text="5-O", title='Bear 5-O', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isWolf(-1) and not isWolf(-1)[1], text="Wolf Wave", title='Bear Wolf Wave', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isHnS(-1) and not isHnS(-1)[1], text="Head and Shoulders", title='Bear Head and Shoulders', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isConTria(-1) and not isConTria(-1)[1], text="Contracting Triangle", title='Bear Contracting triangle', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isExpTria(-1) and not isExpTria(-1)[1], text="Expanding Triangle", title='Bear Expanding Triangle', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isABCD(1) and not isABCD(1)[1], text="AB=CD\n", title='Bull ABCD', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isBat(1) and not isBat(1)[1], text="Bat", title='Bull Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiBat(1) and not isAntiBat(1)[1], text="Anti Bat", title='Bull Anti Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAltBat(1) and not isAltBat(1)[1], text="Alt Bat", title='Bull Alt Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isButterfly(1) and not isButterfly(1)[1], text="Butterfly", title='Bull Butterfly', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiButterfly(1) and not isAntiButterfly(1)[1], text="Anti Butterfly", title='Bull Anti Butterfly', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isGartley(1) and not isGartley(1)[1], text="Gartley", title='Bull Gartley', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiGartley(1) and not isAntiGartley(1)[1], text="Anti Gartley", title='Bull Anti Gartley', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isCrab(1) and not isCrab(1)[1], text="Crab", title='Bull Crab', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiCrab(1) and not isAntiCrab(1)[1], text="Anti Crab", title='Bull Anti Crab', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isShark(1) and not isShark(1)[1], text="Shark", title='Bull Shark', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiShark(1) and not isAntiShark(1)[1], text="Anti Shark", title='Bull Anti Shark', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : is5o(1) and not is5o(1)[1], text="5-O", title='Bull 5-O', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isWolf(1) and not isWolf(1)[1], text="Wolf Wave", title='Bull Wolf Wave', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isHnS(1) and not isHnS(1)[1], text="Head and Shoulders", title='Bull Head and Shoulders', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isConTria(1) and not isConTria(1)[1], text="Contracting Triangle", title='Bull Contracting Triangle', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isExpTria(1) and not isExpTria(1)[1], text="Expanding Triangle", title='Bull Expanding Triangle', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
//-------------------------------------------------------------------------------------------------------------------------------------------------------------
fib_range = abs(d-c)
fib_0000 = not showFib0000 ? na : d > c ? d-(fib_range*0.000):d+(fib_range*0.000)
fib_0236 = not showFib0236 ? na : d > c ? d-(fib_range*0.236):d+(fib_range*0.236)
fib_0382 = not showFib0382 ? na : d > c ? d-(fib_range*0.382):d+(fib_range*0.382)
fib_0500 = not showFib0500 ? na : d > c ? d-(fib_range*0.500):d+(fib_range*0.500)
fib_0618 = not showFib0618 ? na : d > c ? d-(fib_range*0.618):d+(fib_range*0.618)
fib_0764 = not showFib0764 ? na : d > c ? d-(fib_range*0.764):d+(fib_range*0.764)
fib_1000 = not showFib1000 ? na : d > c ? d-(fib_range*1.000):d+(fib_range*1.000)
plot(title='Fib 0.000', series=fib_0000, color=fib_0000 != fib_0000[1] ? na : black)
plot(title='Fib 0.236', series=fib_0236, color=fib_0236 != fib_0236[1] ? na : red)
plot(title='Fib 0.382', series=fib_0382, color=fib_0382 != fib_0382[1] ? na : olive)
plot(title='Fib 0.500', series=fib_0500, color=fib_0500 != fib_0500[1] ? na : lime)
plot(title='Fib 0.618', series=fib_0618, color=fib_0618 != fib_0618[1] ? na : teal)
plot(title='Fib 0.764', series=fib_0764, color=fib_0764 != fib_0764[1] ? na : blue)
plot(title='Fib 1.000', series=fib_1000, color=fib_1000 != fib_1000[1] ? na : black)
bgcolor(not useAltTF ? na : change(time(tf))!=0?black:na)
f_last_fib(_rate)=>d > c ? d-(fib_range*_rate):d+(fib_range*_rate)
trade_size = input(title='Trade size:', type=float, defval=1.00)
ew_rate = input(title='Fib. Rate to use for Entry Window:', type=float, defval=0.382)
tp_rate = input(title='Fib. Rate to use for TP:', type=float, defval=0.618)
sl_rate = input(title='Fib. Rate to use for SL:', type=float, defval=-0.618)
buy_patterns_00 = isABCD(1) or isBat(1) or isAltBat(1) or isButterfly(1) or isGartley(1) or isCrab(1) or isShark(1) or is5o(1) or isWolf(1) or isHnS(1) or isConTria(1) or isExpTria(1)
buy_patterns_01 = isAntiBat(1) or isAntiButterfly(1) or isAntiGartley(1) or isAntiCrab(1) or isAntiShark(1)
sel_patterns_00 = isABCD(-1) or isBat(-1) or isAltBat(-1) or isButterfly(-1) or isGartley(-1) or isCrab(-1) or isShark(-1) or is5o(-1) or isWolf(-1) or isHnS(-1) or isConTria(-1) or isExpTria(-1)
sel_patterns_01 = isAntiBat(-1) or isAntiButterfly(-1) or isAntiGartley(-1) or isAntiCrab(-1) or isAntiShark(-1)
buy_entry = (buy_patterns_00 or buy_patterns_01) and close <= f_last_fib(ew_rate)
buy_close = high >= f_last_fib(tp_rate) or low <= f_last_fib(sl_rate)
sel_entry = (sel_patterns_00 or sel_patterns_01) and close >= f_last_fib(ew_rate)
sel_close = low <= f_last_fib(tp_rate) or high >= f_last_fib(sl_rate)
strategy.entry('buy', long=strategy.long, qty=trade_size, comment='buy', when=buy_entry)
strategy.close('buy', when=buy_close)
strategy.entry('sell', long=strategy.short, qty=trade_size, comment='sell', when=sel_entry)
strategy.close('sell', when=sel_close)