Strategi Penembusan Berganda
Penulis:ChaoZhang, Tarikh: 2024-01-30 17:27:01Tag:
Ringkasan
Ini adalah strategi perdagangan terobosan berganda berdasarkan K-line. Ia akan menghasilkan isyarat perdagangan apabila harga penutupan K-line semasa mempunyai terobosan berbanding dengan harga tertinggi dan terendah dari dua K-line sebelumnya.
Prinsip Strategi
Logik asas strategi adalah:
-
Menentukan isyarat bull:
bull = close > open and close > math.max(close[2], open[2]) and low[1] < low[2] and high[1] < high[2]Iaitu, harga penutupan K-line semasa lebih besar daripada harga pembukaan, dan lebih besar daripada harga tertinggi dua K-line sebelumnya, sementara harga terendah K-line semasa lebih rendah daripada harga terendah K-line sebelumnya. -
Tentukan isyarat beruang:
bear = close < open and close < math.min(close[2], open[2]) and low[1] > low[2] and high[1] > high[2]Iaitu, harga penutupan K-line semasa adalah lebih rendah daripada harga pembukaan, dan lebih rendah daripada harga terendah dari dua K-line sebelumnya, sementara harga tertinggi K-line semasa adalah lebih tinggi daripada harga tertinggi K-line sebelumnya. -
Apabila isyarat bull diaktifkan, pergi panjang; apabila isyarat bear diaktifkan, pergi pendek.
-
Stop loss dan mengambil keuntungan boleh ditetapkan.
Strategi ini menggunakan ciri-ciri terobosan berganda untuk menilai perubahan trend melalui terobosan zon harga utama, dengan itu menjana isyarat perdagangan.
Analisis Kelebihan
Ini adalah strategi breakout yang agak mudah dan intuitif dengan kelebihan berikut:
-
Logiknya jelas dan mudah difahami dan dilaksanakan, dengan halangan masuk yang rendah.
-
Terobosan adalah isyarat perdagangan biasa yang cenderung membentuk trend dengan mudah.
-
Pergi panjang dan pendek membolehkan perdagangan dua arah, meningkatkan peluang keuntungan.
-
Tetapan stop loss dan mengambil keuntungan yang fleksibel membantu mengawal risiko.
Analisis Risiko
Strategi ini juga membawa beberapa risiko:
-
Perdagangan dua arah membawa risiko yang lebih tinggi dan memerlukan pemantauan yang teliti.
-
Pelarangan boleh menjadi rentan kepada perangkap, berpotensi membentuk isyarat palsu.
-
Tetapan parameter yang tidak betul boleh menyebabkan overtrading.
-
Tetapan stop loss dan mengambil keuntungan yang tidak betul juga boleh menjejaskan potensi keuntungan.
Risiko boleh dikurangkan dengan mengoptimumkan parameter dan menapis produk dengan betul.
Arahan pengoptimuman
Strategi ini boleh dioptimumkan dalam aspek berikut:
-
Mengoptimumkan parameter seperti kitaran pecah, stop loss / mengambil keuntungan julat dan lain-lain
-
Tambah keadaan penapisan untuk mengelakkan kesilapan dari arbitrage, pergerakan sampingan dan lain-lain.
-
Menggabungkan penunjuk trend untuk mengelakkan julat penyatuan.
-
Mengoptimumkan pengurusan modal, memperbaiki algoritma kedudukan.
-
Parameter yang berbeza untuk produk yang berbeza, uji dan optimum secara berasingan.
Ringkasan
Ini adalah strategi mudah berdasarkan konsep pecah berganda. Ia mempunyai kelebihan logik yang jelas dan pelaksanaan yang mudah, tetapi juga membawa risiko pemantauan tertentu. Hasil strategi yang lebih baik boleh diharapkan melalui parameter dan pengoptimuman keadaan.
/*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=5
// # ========================================================================= #
// # | Strategy |
// # ========================================================================= #
SystemName = "Strategy Template Autoview"
TradeId = "S"
// These values are used both in the strategy() header and in the script's relevant inputs as default values so they match.
// Unless these values match in the script's Inputs and the TV backtesting Properties, results between them cannot be compared.
InitCapital = 1000000
InitPosition = 2
InitCommission = 0.075
InitPyramidMax = 1
CalcOnorderFills = false
ProcessOrdersOnClose = true // display the signals one candle earlier
CalcOnEveryTick = true // forward testing
//CloseEntriesRule = "ANY"
strategy(title=SystemName, shorttitle=SystemName,
overlay=true, pyramiding=InitPyramidMax, initial_capital=InitCapital, default_qty_type=strategy.fixed, process_orders_on_close=ProcessOrdersOnClose,
default_qty_value=InitPosition, commission_type=strategy.commission.percent, commission_value=InitCommission, calc_on_order_fills=CalcOnorderFills,
calc_on_every_tick=CalcOnEveryTick,
precision=6, max_lines_count=500, max_labels_count=500)
// # ========================================================================= #
// # ========================================================================= #
// # || Alerts ||
// # ========================================================================= #
// # ========================================================================= #
show_alerts_debug = input.bool(true, title = "Show Alerts Debug Label?", group = "Debug")
//i_alert_txt_entry_long = input.text_area(defval = "", title = "Long Entry Message", group = "Alerts")
//i_alert_txt_entry_short = input.text_area(defval = "", title = "Short Entry Message", group = "Alerts")
//i_alert_txt_exit_long = input.text_area(defval = "", title = "Long Exit Message", group = "Alerts")
//i_alert_txt_exit_short = input.text_area(defval = "", title = "Short Exit Message", group = "Alerts")
i_broker_mode = input.string("DEMO", title = "Use Demo or Live Broker", options=["DEMO", "LIVE"], group = "Automation")
i_broker_name = input.string("Tradovate", title = "Broker Name", options=["Tradovate", "AscendEX", "Binance", "Binance Futures", "Binance US", "Binance Delivery", "Kraken", "Deribit", "Poloniex", "Okcoin", "Bitfinex", "Oanda", "Kucoin", "Okex", "Bybit", "FTX", "Bitmex", "Alpaca", "Gemini"], group = "Automation")
i_enable_trades = input.bool(true, title = "Enable trades?", group = "Automation", tooltip = "If not enabled, disables live trades, but more importantly, it will output what Autoview is going to do when you go live.")
i_account_name = input.string("*", title = "Account Name", group = "Automation")
i_symbol_name = input.string("btcusd_perp", title = "Symbol Name", group = "Automation")
nb_contracts = input.int(2, title = "Nb Contracts", group = "Automation")
use_delay = input.bool(false, title = "Use Delay between orders", group = "Automation", inline = "delay")
i_delay_qty = input.int(1, title = "Delay in seconds", group = "Automation", inline = "delay")
i_use_borrow_repay = input.bool(false, title = "Use Borrow/Repay Mode?", group = "Binance Automation")
i_asset_borrow_repay = input.string("BTC", title = "Asset to Borrow/Repay", group = "Binance Automation")
i_qty_borrow_repay = input.float(1., title = "Quantity of assets to borrow?", group = "Binance Automation")
// # ========================================================================= #
// # ========================================================================= #
// # || Dates Range Filtering ||
// # ========================================================================= #
// # ========================================================================= #
DateFilter = input(false, "Date Range Filtering", group="Date")
// ————— Syntax coming from https://www.tradingview.com/blog/en/new-parameter-for-date-input-added-to-pine-21812/
i_startTime = input(defval = timestamp("01 Jan 2019 13:30 +0000"), title = "Start Time", group="Date")
i_endTime = input(defval = timestamp("30 Dec 2021 23:30 +0000"), title = "End Time", group="Date")
TradeDateIsAllowed() => true
// # ========================================================================= #
// # | Custom Exits |
// # ========================================================================= #
//use_custom_exit = input.bool(true, title = "Use Custom Exits?", group = "Custom Exits")
// # ========================================================================= #
// # | Stop Loss |
// # ========================================================================= #
use_sl = input.string("None", title = "Select Stop Loss Mode", options=["None", "Percent", "Price"], group = "Stop Loss")
sl_input_perc = input.float(3, minval = 0, title = "Stop Loss (%)", group = "Stop Loss (%)") * 0.01
sl_input_pips = input.float(30, minval = 0, title = "Stop Loss (USD)", group = "Stop Loss (USD)")
// # ========================================================================= #
// # | Take Profit |
// # ========================================================================= #
use_tp = input.string("None", title = "Select Take Profit Mode", options=["None", "Percent", "Price"], group = "Take Profit")
tp_input_perc = input.float(3, minval = 0, title = "Take Profit (%)", group = "Take Profit (%)") * 0.01
tp_input_pips = input.float(30, minval = 0, title = "Take Profit (USD)", group = "Take Profit (USD)")
// # ========================================================================= #
// # | Consolidated Entries |
// # ========================================================================= #
bull = close > open and close > math.max(close[2], open[2]) and low[1] < low[2] and high[1] < high[2] // low < low[1] and low[1] < low[2]
bear = close < open and close < math.min(close[2], open[2]) and low[1] > low[2] and high[1] > high[2] // low < low[1] and low[1] < low[2]
// # ========================================================================= #
// # | Entry Price |
// # ========================================================================= #
entry_long_price = ta.valuewhen(condition=bull and strategy.position_size[1] <= 0, source=close, occurrence=0)
entry_short_price = ta.valuewhen(condition=bear and strategy.position_size[1] >= 0, source=close, occurrence=0)
var float entry_price = 0.
if bull
entry_price := entry_long_price
if bear
entry_price := entry_short_price
// # ========================================================================= #
// # || Global Trend Variables ||
// # ========================================================================= #
T1_sinceUP = ta.barssince(bull)
T1_sinceDN = ta.barssince(bear)
T1_nUP = ta.crossunder(T1_sinceUP,T1_sinceDN)
T1_nDN = ta.crossover(T1_sinceUP,T1_sinceDN)
T1_sinceNUP = ta.barssince(T1_nUP)
T1_sinceNDN = ta.barssince(T1_nDN)
T1_BuyTrend = T1_sinceDN > T1_sinceUP
T1_SellTrend = T1_sinceDN < T1_sinceUP
T1_SellToBuy = T1_BuyTrend and T1_SellTrend[1]
T1_BuyToSell = T1_SellTrend and T1_BuyTrend[1]
T1_ChangeTrend = T1_BuyToSell or T1_SellToBuy
// # ========================================================================= #
// # | Stop Loss |
// # ========================================================================= #
var float final_SL_Long = 0.
var float final_SL_Short = 0.
if use_sl == "Percent"
final_SL_Long := entry_long_price * (1 - sl_input_perc)
final_SL_Short := entry_short_price * (1 + sl_input_perc)
else if use_sl == "Price"
final_SL_Long := entry_long_price - (sl_input_pips)
final_SL_Short := entry_short_price + (sl_input_pips)
plot(strategy.position_size > 0 and use_sl != "None" ? final_SL_Long : na, title = "SL Long", color = color.fuchsia, linewidth=2, style=plot.style_linebr)
plot(strategy.position_size < 0 and use_sl != "None" ? final_SL_Short : na, title = "SL Short", color = color.fuchsia, linewidth=2, style=plot.style_linebr)
// # ========================================================================= #
// # | Take Profit |
// # ========================================================================= #
var float final_TP_Long = 0.
var float final_TP_Short = 0.
if use_tp == "Percent"
final_TP_Long := entry_long_price * (1 + tp_input_perc)
final_TP_Short := entry_short_price * (1 - tp_input_perc)
else if use_tp == "Price"
final_TP_Long := entry_long_price + (tp_input_pips)
final_TP_Short := entry_short_price - (tp_input_pips)
plot(strategy.position_size > 0 and use_tp != "None" ? final_TP_Long : na, title = "TP Long", color = color.orange, linewidth=2, style=plot.style_linebr)
plot(strategy.position_size < 0 and use_tp != "None" ? final_TP_Short : na, title = "TP Short", color = color.orange, linewidth=2, style=plot.style_linebr)
// # ========================================================================= #
// # | AutoView Calls |
// # ========================================================================= #
float quantity = nb_contracts
string product_type_ticker = i_symbol_name
var string broker_mode = ""
if i_broker_mode == "DEMO"
broker_mode := switch i_broker_name
"Tradovate" => "tradovatesim"
"Ascendex" => "ascendex-sandbox"
"Binance Futures" => "binancefuturestestnet"
"Binance Delivery" => "binancedeliverytestnet"
"Oanda" => "oandapractice"
"Bitmex" => "bitmextestnet"
"Bybit" => "bybittestnet"
"Alpaca" => "alpacapaper"
"Kucoin" => "kucoinsandbox"
"Deribit" => "deribittestnet"
"Gemini" => "gemini-sandbox"
=> i_broker_name
else // "LIVE"
broker_mode := switch i_broker_name
"Tradovate" => "tradovate"
"Ascendex" => "ascendex"
"Binance Futures" => "binancefutures"
"Binance Delivery" => "binancedelivery"
"Binance" => "binance"
"Oanda" => "oanda"
"Kraken" => "kraken"
"Deribit" => "deribit"
"Bitfinex" => "bitfinex"
"Poloniex" => "poloniex"
"Bybit" => "bybit"
"Okcoin" => "okcoin"
"Kucoin" => "kucoin"
"FTX" => "ftx"
"Bitmex" => "bitmex"
"Alpaca" => "alpaca"
"Gemini" => "gemini"
=> i_broker_name
enable_trades = i_enable_trades ? "" : " d=1"
string delay_qty = use_delay ? " delay=" + str.tostring(i_delay_qty) : ""
i_alert_txt_entry_long = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=short c=position t=market" +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty
i_alert_txt_entry_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=long c=position t=market" +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty
var string temp_txt_SL_long = ""
var string temp_txt_SL_short = ""
var string temp_txt_TP_long = ""
var string temp_txt_TP_short = ""
if use_sl == "Percent"
temp_txt_SL_long := "sl=-" + str.tostring(sl_input_perc * 100) + "%"
temp_txt_SL_short := "sl=" + str.tostring(sl_input_perc * 100) + "%"
else if use_sl == "Price"
temp_txt_SL_long := "fsl=" + str.tostring(final_SL_Long)
temp_txt_SL_short := "fsl=" + str.tostring(final_SL_Short)
if use_tp == "Percent"
temp_txt_TP_long := "p=" + str.tostring(tp_input_perc * 100) + "%"
temp_txt_TP_short := "p=-" + str.tostring(tp_input_perc * 100) + "%"
else if use_tp == "Price"
temp_txt_TP_long := "fpx=" + str.tostring(final_TP_Long)
temp_txt_TP_short := "fpx=" + str.tostring(final_TP_Short)
i_alert_txt_exit_SL_long = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long c=position t=market " + temp_txt_SL_long + enable_trades
i_alert_txt_exit_SL_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short c=position t=market " + temp_txt_SL_short + enable_trades
i_alert_txt_exit_TP_long = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long c=position t=market " + temp_txt_TP_long + enable_trades
i_alert_txt_exit_TP_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short c=position t=market " + temp_txt_TP_short + enable_trades
string final_alert_txt_entry_long = i_alert_txt_entry_long
string final_alert_txt_entry_short = i_alert_txt_entry_short
if i_use_borrow_repay and i_broker_name == "Binance"
final_alert_txt_entry_long := "a=" + i_account_name + " e=" + broker_mode + "y=borrow w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=short c=position t=market" + delay_qty +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty +
"\n a=" + i_account_name + " e=" + broker_mode + "y=repay w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades
final_alert_txt_entry_short := "a=" + i_account_name + " e=" + broker_mode + "y=borrow w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=long c=position t=market" + delay_qty +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty +
"\n a=" + i_account_name + " e=" + broker_mode + "y=repay w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades
//i_alert_txt_entry_long := final_alert_txt_entry_long
//i_alert_txt_entry_short := final_alert_txt_entry_short
if show_alerts_debug and barstate.islastconfirmedhistory
var label lblTest = na
label.delete(lblTest)
string label_txt = i_alert_txt_entry_long
if use_sl != "None"
label_txt := label_txt + "\n" + i_alert_txt_exit_SL_long
if use_tp != "None"
label_txt := label_txt + "\n" + i_alert_txt_exit_TP_long
t = time + (time - time[1]) * 25
lblTest := label.new(
x = t,
y = ta.highest(50),
text = label_txt,
xloc = xloc.bar_time,
yloc = yloc.price,
color = color.new(color = color.gray, transp = 0),
style = label.style_label_left,
textcolor = color.new(color = color.white, transp = 0),
size = size.large
)
// # ========================================================================= #
// # | Strategy Calls and Alerts |
// # ========================================================================= #
if bull and TradeDateIsAllowed()
strategy.entry(id = "Long", direction = strategy.long, comment = "Long", alert_message = i_alert_txt_entry_long, qty = nb_contracts)
alert(i_alert_txt_entry_long, alert.freq_once_per_bar)
else if bear and TradeDateIsAllowed()
strategy.entry(id = "Short", direction = strategy.short, comment = "Short", alert_message = i_alert_txt_entry_short, qty = nb_contracts)
alert(i_alert_txt_entry_short, alert.freq_once_per_bar)
//quantity := quantity * 2
strategy.exit(id = "Exit Long", from_entry = "Long", stop = (use_sl != "None") ? final_SL_Long : na, comment_loss = "Long Exit SL", alert_loss = (use_sl != "None") ? i_alert_txt_exit_SL_long : na, limit = (use_tp != "None") ? final_TP_Long : na, comment_profit = "Long Exit TP", alert_profit = (use_tp != "None") ? i_alert_txt_exit_TP_long : na)
strategy.exit(id = "Exit Short", from_entry = "Short", stop = (use_sl != "None") ? final_SL_Short : na, comment_loss = "Short Exit SL", alert_loss = (use_sl != "None") ? i_alert_txt_exit_SL_short : na, limit = (use_tp != "None") ? final_TP_Short : na, comment_profit = "Short Exit TP", alert_profit = (use_tp != "None") ? i_alert_txt_exit_TP_short : na)
if strategy.position_size > 0 and low < final_SL_Long and use_sl != "None"
alert(i_alert_txt_exit_SL_long, alert.freq_once_per_bar)
else if strategy.position_size < 0 and high > final_SL_Short and use_sl != "None"
alert(i_alert_txt_exit_SL_short, alert.freq_once_per_bar)
if strategy.position_size > 0 and high > final_TP_Long and use_tp != "None"
alert(i_alert_txt_exit_TP_long, alert.freq_once_per_bar)
else if strategy.position_size < 0 and low < final_TP_Short and use_tp != "None"
alert(i_alert_txt_exit_TP_short, alert.freq_once_per_bar)
// # ========================================================================= #
// # | Reset Variables |
// # ========================================================================= #
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