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Strategi Saluran Regresi Linear Adaptif

Penulis:ChaoZhang, Tarikh: 2024-01-26 15:48:35
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Ringkasan

Prinsip

  2. Mengira pekali regresi:

Kelebihan

  1. Lebih saintifik dan munasabah, model analisis regresi mempunyai kepentingan statistik yang lebih tinggi daripada purata bergerak

  4. Pengesahan praktikal yang baik, menunjukkan hasil yang memuaskan dalam perdagangan langsung

Analisis Risiko

Risiko utama strategi ini ialah:

  1. Kerugian besar disebabkan oleh turun naik harga yang berlebihan.

Arahan pengoptimuman

Strategi ini boleh dioptimumkan lagi dalam aspek berikut:

  1. Uji lebih banyak kombinasi parameter untuk mencari parameter optimum

  3. Meningkatkan strategi stop loss untuk mengawal pendedahan risiko dan melindungi modal

Ringkasan

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy("Stealthy 7 Linear Regression Channel Strategy", overlay=true)
source = open
length = input(100, minval=1)
mult1 = input(1, minval=0.001, maxval=50)
mult2 = input(1, minval=0.001, maxval=50)
DayTrader = input(title="Range Mode", type=bool, defval=false)

//Making the first least squares line
sum_x = length * (length + 1) / 2
sum_y = 0
sum_xy = 0
xyproductsum = 0
sum_xx = 0
for i = 1 to length
    sum_y := sum_y + close[i]
    sum_xy := i * close[i] + sum_xy
    sum_xx := i * i + sum_xx
m = (length*sum_xy - (sum_x * sum_y)) / (length * sum_xx - (sum_x * sum_x))
b = sum_y / length - (m * sum_x / length)

//Finding the first standard deviation from the line
difference = 0
for i = 1 to length
    y = i * m  + b
    difference := pow(abs(close[i] - y),2) + difference
STDDEV = sqrt(difference / length)

//Creating trading zones
dev = mult1 * STDDEV
dev2 = mult2 * STDDEV
upper = b + dev
lower = b - dev2
middle = b

if DayTrader == false
    if crossover(source, upper)
        strategy.entry("RGLONG", strategy.long, oca_name="RegChannel",  comment="RegLong")
    else
        strategy.cancel(id="RGLONG")

    if crossunder(source, lower)
        strategy.entry("RGSHORT", strategy.short, oca_name="RegChannel",  comment="RegShort")
    else
        strategy.cancel(id="RGSHORT")

    if crossover(source, middle) and strategy.position_size < 0
        strategy.close_all()
    if crossunder(source,middle) and strategy.position_size > 0
        strategy.close_all()

if DayTrader == true
    if crossover(source, lower) 
        strategy.entry("RGLONG", strategy.long, oca_name="RegChannel",  comment="RegLong")
    else
        strategy.cancel(id="RGLONG")

    if crossunder(source, upper)
        strategy.entry("RGSHORT", strategy.short, oca_name="RegChannel",  comment="RegShort")
    else
        strategy.cancel(id="RGSHORT")


plot(upper, title="UpperBand", color=purple, linewidth=1, style=line)
plot(lower, title="LowerBand", color=purple, linewidth=1, style=line)
plot(middle, title="MiddleBand", color=black, linewidth=1, style=line)
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