ianzeng123
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Gambaran keseluruhan
Ini adalah strategi perdagangan kuantitatif yang didasarkan pada bentuk serangan tiga baris dan corak engulfing. Strategi ini menangkap titik perubahan trend pasaran dengan mengenal pasti tiga garis K berturut-turut dan membuat keputusan perdagangan dengan menggabungkan pelbagai petunjuk teknikal. Strategi ini merancang sistem pengenalan isyarat dan mekanisme kawalan risiko yang lengkap dan menyediakan parameter yang sangat disesuaikan.
Prinsip Strategi
Logik teras strategi ini adalah berdasarkan dua bentuk K-line utama:
- Bentuk pukulan tiga kali: untuk menilai pembalikan trend dengan mengenal pasti tiga garis K yang berturut-turut yang berlawanan arah. Bentuk bullish terdiri daripada tiga garis K merah yang berturut-turut jatuh dan diikuti oleh satu garis K yang menelan hijau yang lebih besar; bentuk bearish terdiri daripada tiga garis K hijau yang meningkat dan diikuti oleh satu garis K yang menelan merah yang lebih besar.
- Pencerobohan bentuk: Satu-satunya K-garis pencerobohan yang besar juga berfungsi sebagai isyarat tambahan. Strategi untuk mengenal pasti bentuk pencerobohan adalah dengan mengira K-garis semasa dengan membandingkan saiz entiti K-garis sebelumnya.
Kelebihan Strategik
- Pengiktirafan isyarat tepat: Strategi menggunakan kaedah pengiraan matematik yang ketat untuk menilai bentuk garis K dan memastikan kualiti isyarat melalui penapisan pelbagai syarat.
- Kawalan risiko yang baik: parameter risiko seperti modal awal, peratusan pegangan, dan larangan masuk semula.
- Ketinggian boleh disesuaikan: menyediakan banyak tetapan parameter yang boleh dioptimumkan mengikut ciri-ciri pasaran dan keperluan perdagangan yang berbeza.
- Sokongan visual: menyediakan tanda grafik yang jelas dan maklumat isyarat untuk analisis dan pemantauan.
Risiko Strategik
- Bergantung kepada keadaan pasaran: Terlalu banyak isyarat palsu boleh dihasilkan dalam pasaran yang bergolak.
- Kesan titik licin: Titik masuk untuk saluran K besar boleh terjejas oleh titik licin yang lebih besar.
- Risiko kelewatan: pengenalan bentuk memerlukan lebih banyak garis K untuk diselesaikan, dan mungkin terlepas masa kemasukan terbaik.
Arah pengoptimuman strategi
- Pengenalan penunjuk lalu lintas: penapis kualiti isyarat dengan menggabungkan perubahan lalu lintas.
- Tetapan berhenti yang dioptimumkan: menyesuaikan kedudukan berhenti secara dinamik berdasarkan ATR atau kadar turun naik.
- Tambah penapis trend: Tambah sistem garis rata untuk menilai trend keseluruhan.
- Meningkatkan mekanisme penarikan diri: reka bentuk yang lebih fleksibel untuk menjana keuntungan.
ringkaskan
Strategi ini menangkap titik-titik perubahan penting di pasaran melalui kaedah analisis teknikal yang sistematik, mempunyai asas teori yang kuat dan nilai yang nyata. Dengan pengoptimuman parameter dan pengendalian risiko yang sempurna, ia boleh berfungsi sebagai bahagian penting dalam sistem perdagangan yang mantap. Reka bentuk modular strategi juga menyediakan asas yang baik untuk pengoptimuman lanjut.
Overview
This is a quantitative trading strategy based on Three Line Strike and Engulfing patterns. The strategy captures market turning points by identifying breakthrough reversal candlesticks following three consecutive candles, combining multiple technical indicators for trading decisions. It features a complete signal detection system and risk control mechanism, with highly customizable parameter settings.
Strategy Principle
The core logic is based on two main candlestick patterns:
- Three Line Strike Pattern: Identifies trend reversals through three consecutive same-direction candles followed by a reversal candle. Bullish pattern consists of three consecutive red candles followed by a large green engulfing candle; bearish pattern consists of three consecutive green candles followed by a large red engulfing candle.
- Engulfing Pattern: Large single engulfing candles serve as auxiliary signals. The strategy identifies engulfing patterns by comparing the body size of current and previous candles.
Strategy Advantages
- Precise Signal Identification: Uses strict mathematical calculations to judge candlestick patterns, ensuring signal quality through multiple condition filtering.
- Comprehensive Risk Control: Includes risk parameters like initial capital and position sizing, with pyramiding prevention.
- Highly Customizable: Offers rich parameter settings for optimization according to different market characteristics and trading needs.
- Visual Support: Provides clear graphical markers and alert messages for analysis and monitoring.
Strategy Risks
- Market Environment Dependency: May generate excessive false signals in ranging markets.
- Slippage Impact: Entry points for large engulfing candles may be subject to significant slippage.
- Delay Risk: Pattern recognition requires multiple candles, potentially missing optimal entry points.
Optimization Directions
- Incorporate Volume Indicators: Filter signal quality by combining volume changes.
- Optimize Stop Loss Settings: Dynamically adjust stop loss positions based on ATR or volatility.
- Add Trend Filtering: Implement moving average systems to judge overall trend.
- Improve Exit Mechanism: Design more flexible profit-taking conditions.
Summary
The strategy captures important market turning points through systematic technical analysis, with strong theoretical foundation and practical value. Through parameter optimization and risk control refinement, it can serve as an important component of a robust trading system. The modular design also provides a good foundation for further optimization.
Kod sumber strategi
/*backtest
start: 2024-03-09 18:40:00
end: 2025-02-19 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/
// Copyright ...
// Based on the TMA Overlay by Arty, converted to a simple strategy example.
// Pine Script v5
//@version=5
strategy(title='3 Line Strike [TTF] - Strategy',
shorttitle='3LS Strategy [TTF]',
overlay=true,
initial_capital=100000,
default_qty_type=strategy.percent_of_equity,
default_qty_value=100,
pyramiding=0)
// -----------------------------------------------------------------------------
// INPUTS
// -----------------------------------------------------------------------------
//
// ### 3 Line Strike
//
showBear3LS = input.bool(title='Show Bearish 3 Line Strike', defval=true, group='3 Line Strike',
tooltip="Bearish 3 Line Strike (3LS-Bear) = 3 green candles followed by a large red candle (engulfing).")
showBull3LS = input.bool(title='Show Bullish 3 Line Strike', defval=true, group='3 Line Strike',
tooltip="Bullish 3 Line Strike (3LS-Bull) = 3 red candles followed by a large green candle (engulfing).")
showMemeChars = input.bool(title="Plot 3 Line Strike meme symbols", defval=false, group="3 Line Strike")
//
//### Engulfing Candles
//
showBearEngulfing= input.bool(title='Show Bearish Big Candles', defval=false, group='Big Candles')
showBullEngulfing= input.bool(title='Show Bullish Big Candles', defval=false, group='Big Candles')
//
//### Alerts
//
void = input.bool(title="(Info) Alerts are based on detected signals.", defval=true)
// -----------------------------------------------------------------------------
// HELPER FUNCTIONS
// -----------------------------------------------------------------------------
// Function: Get the 'color' of the candle: -1 = red, 0 = doji, +1 = green
getCandleColorIndex(barIndex) =>
int ret = na
if (close[barIndex] > open[barIndex])
ret := 1
else if (close[barIndex] < open[barIndex])
ret := -1
else
ret := 0
ret
// Function: Check if the candle is engulfing (based on the body size of the candles)
isEngulfing(checkBearish) =>
// Size of the previous candle
sizePrevCandle = close[1] - open[1]
// Size of the current candle
sizeCurrentCandle = close - open
isCurrentLargerThanPrevious = math.abs(sizeCurrentCandle) > math.abs(sizePrevCandle)
// Bearish / Bullish division
if checkBearish
// Bearish engulfing: previous green, current larger red
isGreenToRed = (getCandleColorIndex(0) < 0) and (getCandleColorIndex(1) > 0)
isCurrentLargerThanPrevious and isGreenToRed
else
// Bullish engulfing: previous red, current larger green
isRedToGreen = (getCandleColorIndex(0) > 0) and (getCandleColorIndex(1) < 0)
isCurrentLargerThanPrevious and isRedToGreen
// Simplified calls for bullish/bearish engulfing
isBearishEngulfing() => isEngulfing(true)
isBullishEngulfing() => isEngulfing(false)
// Function: 3 consecutive candles of one color followed by the opposite engulfing candle
// 3 Line Strike - Bearish
is3LSBear() =>
// Three consecutive green candles?
is3LineSetup = (getCandleColorIndex(1) > 0) and (getCandleColorIndex(2) > 0) and (getCandleColorIndex(3) > 0)
// Followed by Bearish engulfing
is3LineSetup and isBearishEngulfing()
// 3 Line Strike - Bullish
is3LSBull() =>
// Three consecutive red candles?
is3LineSetup = (getCandleColorIndex(1) < 0) and (getCandleColorIndex(2) < 0) and (getCandleColorIndex(3) < 0)
// Followed by Bullish engulfing
is3LineSetup and isBullishEngulfing()
// -----------------------------------------------------------------------------
// SIGNALS
// -----------------------------------------------------------------------------
// ### 3 Line Strike
is3LSBearSig = is3LSBear()
is3LSBullSig = is3LSBull()
// Meme icons vs. standard shapes
plotchar(showBull3LS and showMemeChars ? is3LSBullSig : na, char="🍆", color=color.rgb(0, 255, 0, 0),
location=location.belowbar, size=size.tiny, text='3LS-Bull', title='3 Line Strike Up (Meme Icon)', editable=false)
plotchar(showBear3LS and showMemeChars ? is3LSBearSig : na, char="🍑", color=color.rgb(255, 0, 0, 0),
location=location.abovebar, size=size.tiny, text='3LS-Bear', title='3 Line Strike Down (Meme Icon)', editable=false)
plotshape(showBull3LS and not showMemeChars ? is3LSBullSig : na, style=shape.triangleup,
color=color.green, location=location.belowbar, size=size.small, text='3LS-Bull', title='3 Line Strike Up')
plotshape(showBear3LS and not showMemeChars ? is3LSBearSig : na, style=shape.triangledown,
color=color.red, location=location.abovebar, size=size.small, text='3LS-Bear', title='3 Line Strike Down')
// ### Engulfing Candles
isBullEngulfingSig = isBullishEngulfing()
isBearEngulfingSig = isBearishEngulfing()
plotshape(showBullEngulfing ? isBullEngulfingSig : na, style=shape.triangleup,
location=location.belowbar, color=color.new(color.green,0), size=size.tiny, title='Big Candle Up')
plotshape(showBearEngulfing ? isBearEngulfingSig : na, style=shape.triangledown,
location=location.abovebar, color=color.new(color.red,0), size=size.tiny, title='Big Candle Down')
// -----------------------------------------------------------------------------
// ALERTS
// -----------------------------------------------------------------------------
// 3LS - "Old" alertcondition + "New" alert() (based on what people use)
alertcondition(showBull3LS and is3LSBullSig, title='Bullish 3 Line Strike',
message='{{exchange}}:{{ticker}} {{interval}} - Bullish 3 Line Strike')
alertcondition(showBear3LS and is3LSBearSig, title='Bearish 3 Line Strike',
message='{{exchange}}:{{ticker}} {{interval}} - Bearish 3 Line Strike')
if (showBull3LS and is3LSBullSig)
m = syminfo.tickerid + ' ' + timeframe.period + ' - Bullish 3 Line Strike'
alert(message=str.tostring(m), freq=alert.freq_once_per_bar_close)
if (showBear3LS and is3LSBearSig)
m = syminfo.tickerid + ' ' + timeframe.period + ' - Bearish 3 Line Strike'
alert(message=str.tostring(m), freq=alert.freq_once_per_bar_close)
// Engulfing - "Old" alertcondition + "New" alert()
alertcondition(showBullEngulfing and isBullEngulfingSig, title='Bullish Engulfing',
message='{{exchange}}:{{ticker}} {{interval}} - Bullish candle engulfing previous candle')
alertcondition(showBearEngulfing and isBearEngulfingSig, title='Bearish Engulfing',
message='{{exchange}}:{{ticker}} {{interval}} - Bearish candle engulfing previous candle')
if (showBullEngulfing and isBullEngulfingSig)
m = syminfo.tickerid + ' ' + timeframe.period + ' - Bullish candle engulfing previous candle'
alert(message=str.tostring(m), freq=alert.freq_once_per_bar_close)
if (showBearEngulfing and isBearEngulfingSig)
m = syminfo.tickerid + ' ' + timeframe.period + ' - Bearish candle engulfing previous candle'
alert(message=str.tostring(m), freq=alert.freq_once_per_bar_close)
// -----------------------------------------------------------------------------
// STRATEGY ENTRY ORDERS
// -----------------------------------------------------------------------------
//
// Logic for entering trades. If display is enabled and a signal is detected, a trade will be entered.
//
// 3 Line Strike
if (showBull3LS and is3LSBullSig)
strategy.entry("3LS_Bull", strategy.long, comment="3LS Bullish")
if (showBear3LS and is3LSBearSig)
strategy.entry("3LS_Bear", strategy.short, comment="3LS Bearish")
// Engulfing
if (showBullEngulfing and isBullEngulfingSig)
strategy.entry("BullEngulf", strategy.long, comment="Bullish Engulfing")
if (showBearEngulfing and isBearEngulfingSig)
strategy.entry("BearEngulf", strategy.short, comment="Bearish Engulfing")
//
// End of script