Bolban Bands + RSI + ADX + Strategi Perdagangan Pembalikan ATR
ChaoZhang
Gambaran keseluruhan
Strategi ini menggabungkan pelbagai petunjuk teknikal, menilai struktur pasaran dengan RSI, ADX dan ATR apabila indikator Bollinger Bands memberi isyarat pembalikan harga, mencari peluang perdagangan pembalikan dengan kebarangkalian tinggi.
Prinsip Strategi
Menggunakan 20 kitaran Boll band, harga tiba di atas atau di bawah landasan menunggu isyarat beli dan jual yang membentuk garis K terbalik.
RSI menentukan sama ada pasaran berada di dalam kawasan goyah, RSI lebih tinggi daripada 60 adalah rantau bullish, dan lebih rendah daripada 40 adalah rantau bearish.
ADX di bawah 20 menunjukkan pasaran bergolak, di atas 20 menunjukkan trend pasaran.
Tetapan ATR Stop Loss dan Trace Stop Loss.
Gabungan dengan isyarat penapis EMA.
Analisis kelebihan strategi
Beberapa penunjuk bergabung untuk membentuk isyarat perdagangan berkemungkinan tinggi.
Parameter yang boleh dikonfigurasi untuk menyesuaikan diri dengan keadaan pasaran yang berbeza.
Peraturan yang ketat dan kawalan risiko yang berkesan.
Analisis risiko strategi
Pengaturan parameter yang tidak betul boleh menyebabkan perdagangan yang terlalu kerap.
Kemungkinan untuk berbalik gagal masih wujud.
Pengesanan Henti Kerugian mungkin tidak berkesan di pasaran tertentu.
Arah pengoptimuman strategi
Uji kombinasi lebih banyak parameter untuk mencari konfigurasi parameter yang lebih sesuai.
Mengenali peluang untuk terus berpatah balik selepas kegagalan.
Uji cara-cara yang berbeza untuk menghentikan kerosakan dan menjadikannya lebih pintar.
ringkaskan
Strategi ini menggunakan Bollinger Bands sebagai isyarat perdagangan asas, dengan pelbagai indikator tambahan membentuk sistem penapisan kebarangkalian tinggi, dan peraturan berhenti-rugi juga lebih lengkap. Prestasi strategi dapat ditingkatkan lagi dengan penyesuaian parameter dan pengoptimuman indikator. Secara keseluruhan, strategi ini membentuk satu sistem perdagangan berbalik yang boleh dipercayai.
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(shorttitle="BB + EMA + RSI + ADX + ATR Reversal", title="Bollinger Bands Reversal", overlay=true)
// Inputs
ema1Input = input(title = "EMA1 Input", defval = 200, minval = 10, maxval = 400, step = 10, group = "Indicators")
ema2Input = input(title = "EMA2 Input", defval = 100, minval = 10, maxval = 400, step = 10, group = "Indicators")
length = input(title = "BB Length", defval = 20, minval=1, group = "Bollinger Band Indicator")
bbsrc = input(title = "BB Source", defval = close, group = "Bollinger Band Indicator")
mult = input(title = "BB Standard Deviation", type = input.float, defval = 2.0, minval=0.001, maxval=50, group = "Bollinger Band Indicator")
offset = input(title = "BB Offset", defval = 0, minval = -500, maxval = 500, group = "Bollinger Band Indicator")
rsilen = input(title = "RSI Length", defval = 14, minval=1, group = "RSI Indicator")
rsisrc = input(title = "RSI Source", defval = close, group = "RSI Indicator")
rsiMaxEntry = input(title = "RSI Maximum Value", defval = 60, minval = 50, maxval = 100, group = "RSI Indicator")
rsiMinEntry = input(title = "RSI Minimum Value", defval = 40, minval = 0, maxval = 50, group = "RSI Indicator")
rsiMaxExit = input(title = "RSI Max Exit Value", defval = 70, minval = 50, maxval = 100, group = "RSI Indicator")
rsiMinExit = input(title = "RSI Min Exit Value", defval = 30, minval = 0, maxval = 50, group = "RSI Indicator")
atrLength = input(title = "ATR Length", defval = 14, minval = 1, group = "ATR Indicator")
useStructure = input(title = "Use Trailing Stop?", type = input.bool, defval = true, group = "ATR Indicator")
atrlookback = input(title = "ATR Lookback Period", defval = 7, minval = 1, group = "ATR Indicator")
atrMultiplier = input(title = "ATR Multiplier", type = input.float, defval = 1.0, minval = 0.1, group = "ATR Indicator")
sigMaxValue = input(title = "ADX Max Value", type = input.float, defval = 20.0, minval = 0, maxval = 100, step = 0.1, group = "ADX Indicator")
adxlen = input(title = "ADX Smoothing", defval = 14, group = "ADX Indicator")
dilen = input(title = "DI Length", defval = 14, group = "ADX Indicator")
// Date input
fromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12, group = "Backtest Date Range")
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31, group = "Backtest Date Range")
fromYear = input(defval = 2000, title = "From Year", minval = 1970, group = "Backtest Date Range")
thruMonth = input(defval = 1, title = "Thru Month", minval = 1, maxval = 12, group = "Backtest Date Range")
thruDay = input(defval = 1, title = "Thru Day", minval = 1, maxval = 31, group = "Backtest Date Range")
thruYear = input(defval = 2099, title = "Thru Year", minval = 1970, group = "Backtest Date Range")
inDataRange = true
// Built in Bollinger Band
basis = sma(bbsrc, length)
dev = mult * stdev(bbsrc, length)
upper = basis + dev
lower = basis - dev
// Built in RSI
up = rma(max(change(rsisrc), 0), rsilen)
down = rma(-min(change(rsisrc), 0), rsilen)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
// Built in ADX
dirmov(len) =>
up = change(high)
down = -change(low)
plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
truerange = rma(tr, len)
plus = fixnan(100 * rma(plusDM, len) / truerange)
minus = fixnan(100 * rma(minusDM, len) / truerange)
[plus, minus]
adx(dilen, adxlen) =>
[plus, minus] = dirmov(dilen)
sum = plus + minus
adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
sig = adx(dilen, adxlen)
// Custom variables
ema1 = ema(close, ema1Input)
ema2 = ema(close, ema2Input)
atr = atr(atrLength)
// Entry and exit signals
CrossLongEntry = (close <= lower or close[1] <= lower[1]) and close > open and close[1] < open[1] and close > ema1 and close > ema2 and strategy.position_size == 0 and inDataRange and rsi > rsiMinEntry and rsi < rsiMaxEntry and sig < sigMaxValue
CrossShortEntry = (close >= upper or close[1] >= upper[1]) and close < open and close[1] > open[1] and close < ema1 and close < ema2 and strategy.position_size == 0 and inDataRange and rsi > rsiMinEntry and rsi < rsiMaxEntry and sig < sigMaxValue
CrossLongExit = (close >= upper or close[1] >= upper[1]) and close < open and close[1] > open[1] and strategy.position_size > 0 and inDataRange or rsi < rsiMinExit or rsi > rsiMaxExit
CrossShortExit = (close <= lower or close[1] <= lower[1]) and close > open and close[1] < open[1] and strategy.position_size < 0 and inDataRange or rsi < rsiMinExit or rsi > rsiMaxExit
// Determining the stop loss based on ATR
StopLossLong = (useStructure ? lowest(low, atrlookback) : close) - atr * atrMultiplier
StopLossShort = (useStructure ? highest(high, atrlookback) : close) + atr * atrMultiplier
// Custom variables used to store the stoploss value
var StopLong = 0.0
var StopShort = 0.0
// Telling my script to store the stoploss value in the corresponding variables
if CrossLongEntry
StopLong := StopLossLong
if CrossShortEntry
StopShort := StopLossShort
// Strategy
strategy.entry("Entry Long", strategy.long, when = CrossLongEntry, comment = "Entry Long")
strategy.close("Entry Long", when = CrossLongExit or close < StopLong, comment = "Long Exit")
strategy.entry("Entry Short", strategy.short, when = CrossShortEntry, comment = "Entry Short")
strategy.close("Entry Short", when = CrossShortExit or close > StopShort, comment = "Short Exit")
// Plots the Bollinger Band
plot(basis, "Basis", color=#872323, offset = offset)
p1 = plot(upper, "Upper", color=color.teal, offset = offset)
p2 = plot(lower, "Lower", color=color.teal, offset = offset)
fill(p1, p2, title = "Background", color=#198787, transp=95)
// Use this if you want to see the stoploss visualised, be aware though plotting these can be confusing
// plot(StopLong)
// plot(StopShort)