Estratégia da linha de reversão média

Autora:ChaoZhang, Data: 2023-12-29 11:33:04
Tags:

Resumo

A estratégia de linha de reversão média é uma estratégia de negociação de curto prazo baseada em reversões médias móveis.

A estratégia é usada principalmente para produtos altamente líquidos, como índices de ações, forex e metais preciosos.

Princípio da estratégia

Use Bandas de Bollinger para julgar as zonas de desvio de preço. Considere ir curto quando o preço se aproxima da Banda de Bollinger superior e considere ir longo quando o preço se aproxima da Banda de Bollinger inferior.
Combine o indicador RSI para determinar condições de sobrecompra e sobrevenda.
O indicador CCI é relativamente sensível às anomalias e pode capturar efetivamente as oportunidades de reversão dos preços.
A posição da média móvel representa a faixa de preços principal atual e a relação entre o preço e a média móvel reflete mudanças potenciais na tendência.
Após o sinal de entrada ser confirmado, feche a posição rapidamente para obter lucros.

Vantagens da estratégia

A combinação de vários indicadores melhora a precisão do sinal

A estratégia de linha de reversão média combina Bandas de Bollinger, RSI, CCI e outros indicadores. Estes indicadores são bastante sensíveis às mudanças de preço e sua combinação pode melhorar a precisão do sinal e reduzir os falsos sinais.

Regras de entrada rígidas para evitar seguir tendências

A estratégia requer sinais e preços de indicadores sincronizados para evitar a enganação por um único indicador.

Mecanismo de stop loss eficiente para controlar perdas de transações individuais

Seja longo ou curto, a estratégia definirá uma linha de stop loss relativamente rigorosa.

O lucro razoável procura maximizar o lucro por negócio

A estratégia estabelecerá duas metas de lucro para realizar lucros em etapas. Ao mesmo tempo, depois de tirar lucro, ele usará rastreamento de stop loss de ajuste de pequenos passos para expandir o espaço de lucro por comércio.

Análise de riscos

A volatilidade dos preços desencadeia o stop loss

Em caso de flutuações extremas de preços, a linha de stop loss pode ser quebrada, causando perdas desnecessárias.

Este risco pode ser mitigado através da ampliação do intervalo de stop loss e evitando operações durante grandes eventos.

Incapaz de reverter após aumento do sobreaquecimento

Quando a tendência de alta é muito feroz, os preços muitas vezes aumentam muito rapidamente para reverterem no tempo.

É melhor esperar e ver temporariamente neste caso, e considerar a possibilidade de fazer curto apenas após o ímpeto ascendente ter enfraquecido significativamente.

Orientações de otimização

Otimizar os parâmetros do indicador para melhorar a precisão do sinal

Os resultados do backtest podem ser testados sob diferentes combinações de parâmetros para selecionar os parâmetros ideais.

Incorporar indicadores de volume para determinar o verdadeiro tempo de reversão

Os indicadores de volume, como o volume de negociação ou a largura de banda de Bollinger, podem ser adicionados, evitando a geração de falsos sinais quando os preços estão apenas ajustando ligeiramente.

Otimizar as estratégias de captação de lucro e stop loss para maximizar o lucro único

Diferentes pontos de tomada de lucro e stop loss podem ser testados para maximizar o lucro por negociação.

Conclusão

A estratégia de linha de reversão média utiliza de forma abrangente vários julgamentos de indicadores e possui as características de sinais precisos, operações sólidas e riscos controláveis. É adequada para produtos que são altamente sensíveis às mudanças do mercado e têm uma liquidez relativamente forte.

Em aplicações práticas, a atenção ainda deve ser dada à otimização dos parâmetros do indicador, ao mesmo tempo em que se combinam indicadores de volume para determinar o momento das reversões reais.

/*backtest
start: 2022-12-22 00:00:00
end: 2023-12-28 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © sg1999

//@version=4


// >>>>>strategy name
strategy(title = "CCI-RSI MR", shorttitle = "CCI-RSI MR", overlay = true)

// >>>>input variables

// 1. risk per trade as % of initial capital
risk_limit = input(title="Risk Limit (%)", type=input.float, minval=0.1, defval=2.0, step=0.1)

// 2. drawdown
Draw_down = input(title="Max Drawdown (x ATR)", type=input.float, minval=0.5, maxval=10, defval=2.0, step=0.1)

// 3. type of stop loss to be used
original_sl_type  = input(title="SL Based on", defval="Close Price", options=["Close Price","Last Traded Price"])

// 4. entry signal validity for bollinger strategies
dist_from_signal= input(title="Entry distance from signal", type=input.integer, minval=1, maxval=20, defval=3, step=1)

// 5. multiple exit points
exit_1_pft_pct          = input(title="1st exit when reward is", type=input.float, minval=0.5, maxval=100, defval=1.0, step=0.1)
exit_1_qty_pct          = input(title="1st exit quantity %", type=input.float, minval=1, maxval=100, defval=100, step=5)
exit_2_pft_pct          = input(title="2nd exit when reward is", type=input.float, minval=0.5, maxval=100, defval=1.5, step=0.1)
sl_trail_pct            = input(title="Trailing SL compared to original SL", type=input.float, minval=0.5, maxval=100, defval=0.5, step=0.5)

//show signal bool
plotBB = input(title="Show BB", type=input.bool, defval=true)
plotSignals  = input(title="Show Signals", type=input.bool, defval=true)

// 6. date range to be used for backtesting
fromMonth = input(defval = 1,    title = "From Month",      type = input.integer, minval = 1, maxval = 12)
fromDay   = input(defval = 1,    title = "From Day",        type = input.integer, minval = 1, maxval = 31)
fromYear  = input(defval = 1990, title = "From Year",       type = input.integer, minval = 1970)
thruMonth = input(defval = 1,    title = "Thru Month",      type = input.integer, minval = 1, maxval = 12)
thruDay   = input(defval = 1,    title = "Thru Day",        type = input.integer, minval = 1, maxval = 31)
thruYear  = input(defval = 2022, title = "Thru Year",       type = input.integer, minval = 1970)

start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => true

// >>>>>strategy variables

//input variables 
current_high = highest(high, 5)     // swing high (5 period)
current_low = lowest(low, 5)        // swing low (5 period)
current_ma = sma(close, 5)          // Simple Moving average (5 period)
atr_length = atr(20)                // ATR (20 period)  
CCI = cci(close,20)                 // CCI (20 period)
RSI = rsi(close,14)                 // RSI (14 period)
RSI_5 = sma (RSI, 5)                // Simple moving average of RSI (5 period)


// 1. for current candle

long_entry              = false 
short_entry             = false
risk_reward_ok          = false
sl_hit_flag             = false
tsl_hit_flag            = false
sl_cross                = false

// 2. across candles

var RSI_short           = false     //short signal boolean
var RSI_long            = false     //long signal boolean
var cci_sell            = false     //sellsignal crossunder boolean
var cci_buy             = false     //buy signal crossover boolean
var bar_count_long      = 0         // Number of bars after a long signal 
var bar_count_short     = 0         // Number of bars after a short signal
var candles_on_trade    = 0         
var entry_price         = 0.00
var sl_price            = 0.00
var qty                 = 0
var exit_1_qty          = 0
var exit_2_qty          = 0
var exit_1_price        = 0.0
var exit_2_price        = 0.0
var hold_high           = 0.0       // variable used to calculate Trailing sl
var hold_low            = 0.0       // variable used to calculate Trailing sl
var tsl_size            = 0.0       // Trailing Stop loss size(xR)
var sl_size             = 0.0       // Stop loss size (R)
var tsl_price           = 0.0       //Trailing stoploss price


// >>>>>strategy conditions.
// Bollinger bands (2 std)
[mBB0,uBB0,lBB0] = bb(close,20,2)
uBB0_low= lowest(uBB0,3) // lowest among upper BB of past 3 periods
lBB0_high= highest(lBB0,3) //highest among upper BB of past 3 periods


//RSI and CCI may not necessarily crossunder on the same candle
t_sell_RSI = sum( crossunder(RSI,RSI_5)? 1 : 0, 2) == 1 // checks if crossunder has happened in the last 3 candles (including the current candle)
t_sell_CCI = sum( crossunder(CCI,100)? 1 : 0, 2) == 1 //and (CCI >50)
t_buy_RSI  = sum( crossover(RSI,RSI_5)? 1 : 0, 2) == 1  //checks if crossover has happened in the last 3 candles (including the current candle)
t_buy_CCI  = sum( crossover(CCI,-100) ? 1 : 0, 2) == 1 //and (CCI<-50)

// CONDITIONS FOR A SELL signal
if t_sell_RSI and t_sell_CCI and (current_high >= uBB0_low) 
    cci_sell := true
    bar_count_short := 0
 
if  cci_sell and strategy.position_size ==0 
    bar_count_short := bar_count_short + 1
    
if  cci_sell and bar_count_short<= dist_from_signal and close <= current_ma  and strategy.position_size ==0
    RSI_short := true

//conditions for a BUY signal
if t_buy_RSI and t_buy_CCI and (current_low <= lBB0_high) // or current_low_close <= lBB01_high)
    cci_buy := true
    bar_count_long := 0

if  cci_buy and strategy.position_size ==0 
    bar_count_long := bar_count_long + 1
    
if  cci_buy and  bar_count_long<= dist_from_signal and close >= current_ma and strategy.position_size ==0
    RSI_long := true

if RSI_long and RSI_short
    RSI_long := false
    RSI_short := false



// >>>>>entry and target specifications

if strategy.position_size == 0 and RSI_short 
    short_entry         := true
    entry_price         := close
    sl_price            := current_high + syminfo.mintick // (swing high + one tick) is the stop loss
    sl_size             := abs(entry_price - sl_price)
    candles_on_trade    := 0
    tsl_size            := abs(entry_price - sl_price)*sl_trail_pct // Here sl_trail_pct is the multiple of R which is used to calculate TSL size

if strategy.position_size == 0 and RSI_long 
    long_entry          := true
    entry_price         := close
    sl_price            := current_low -  syminfo.mintick //(swing low - one tick) is the stop loss
    candles_on_trade    := 0
    sl_size             := abs(entry_price - sl_price)
    tsl_size            := abs(entry_price - sl_price)*sl_trail_pct // Here sl_trail_pct is the multiple of R which is used to calculate TSL size
    
if long_entry and short_entry
    long_entry          := false
    short_entry         := false
    
    
// >>>>risk evaluation criteria
    
//>>>>> quantity determination and exit point specifications.
    
if (long_entry or short_entry) and strategy.position_size == 0 // Based on our risk (R), no.of lots is calculated by considering a risk per trade limit formula
    qty                 := round((strategy.equity) * (risk_limit/100)/(abs(entry_price - sl_price)*syminfo.pointvalue))
    exit_1_qty          := round(qty * (exit_1_qty_pct/100))
    exit_2_qty          := qty - (exit_1_qty)
    if long_entry
        exit_1_price    := entry_price + (sl_size * exit_1_pft_pct) 
        exit_2_price    := entry_price + (sl_size * exit_2_pft_pct)
    if short_entry
        exit_1_price    := entry_price - (sl_size * exit_1_pft_pct) 
        exit_2_price    := entry_price - (sl_size * exit_2_pft_pct)
        
        
// trail SL after 1st target is hit
if abs(strategy.position_size) == 0
    hold_high   := 0
    hold_low    := 0

if strategy.position_size > 0 and high > exit_1_price
    if high > hold_high or hold_high == 0
        hold_high    := high
    tsl_price        := hold_high - tsl_size
    

if strategy.position_size < 0 and low < exit_1_price
    if low  < hold_low or hold_low == 0
        hold_low     := low
    tsl_price        := hold_low + tsl_size

    
//>>>> entry conditons

if long_entry and strategy.position_size == 0
    strategy.cancel("BUY", window())   // add another window condition which considers day time (working hours)
    strategy.order("BUY", strategy.long, qty, comment="BUY @ "+ tostring(entry_price),when=window())

if short_entry and strategy.position_size == 0
    strategy.cancel("SELL", window()) // add another window condition which considers day time (working hours)
    strategy.order("SELL", strategy.short, qty, comment="SELL @ "+ tostring(entry_price),when=window())

//>>>> exit conditons

tsl_hit_flag     := false

//exit at tsl
if strategy.position_size > 0 and close < tsl_price  and abs(strategy.position_size)!=qty 
    strategy.order("EXIT at TSL", strategy.short, abs(strategy.position_size),  comment="EXIT TSL @ "+ tostring(close))
    RSI_short                := false   
    RSI_long                 := false
    bar_count_long            := 0
    bar_count_short           := 0
    tsl_hit_flag              := true
    cci_sell := false
    cci_buy := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL",true)

if strategy.position_size < 0 and close > tsl_price  and abs(strategy.position_size)!=qty 
    strategy.order("EXIT at TSL", strategy.long, abs(strategy.position_size), comment="EXIT TSL @ "+ tostring(close))
    RSI_short                := false   
    RSI_long                 := false
    bar_count_long            := 0
    bar_count_short           := 0   
    tsl_hit_flag              := true
    cci_sell := false
    cci_buy := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL",true)

//>>>>exit at sl
    
if strategy.position_size > 0 and original_sl_type == "Close Price" and close < sl_price and abs(strategy.position_size)==qty
    strategy.cancel("EXIT at SL", true)
    strategy.order("EXIT at SL", strategy.short, abs(strategy.position_size),stop= sl_price,  comment="EXIT SL @ "+ tostring(close))
    RSI_short                := false   
    RSI_long                 := false
    bar_count_long            := 0
    bar_count_short           := 0
    cci_buy := false
    cci_sell := false
    sl_hit_flag               := true
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)
    

if strategy.position_size < 0 and original_sl_type == "Close Price" and close > sl_price and abs(strategy.position_size)==qty
    strategy.cancel("EXIT at SL", true)
    strategy.order("EXIT at SL", strategy.long, abs(strategy.position_size), stop = sl_price, comment="EXIT SL @ "+ tostring(close))
    RSI_short               := false   
    RSI_long                := false
    bar_count_long           := 0
    bar_count_short          := 0   
    cci_buy := false
    cci_sell := false
    sl_hit_flag              := true
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)
    

    
//>>>>>for ltp sl setting

if strategy.position_size > 0 and original_sl_type == "Last Traded Price" and abs(strategy.position_size) ==qty
    strategy.order("EXIT at SL", strategy.short, abs(strategy.position_size),stop= sl_price,  comment="EXIT SL @ "+ tostring(close))
    RSI_short              := false   
    RSI_long               := false
    bar_count_long          := 0
    bar_count_short         := 0
    cci_buy := false
    cci_sell := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)
    
if strategy.position_size < 0 and original_sl_type == "Last Traded Price" and abs(strategy.position_size) ==qty
    strategy.order("EXIT at SL", strategy.long, abs(strategy.position_size), stop = sl_price, comment="EXIT SL @ "+ tostring(close))
    RSI_short              := false   
    RSI_long               := false
    bar_count_long          := 0
    bar_count_short         := 0   
    cci_buy := false
    cci_sell := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)

//>>>>>exit at target

if strategy.position_size > 0 and abs(strategy.position_size) == qty and not tsl_hit_flag
    strategy.order("EXIT 1", strategy.short, exit_1_qty, limit=exit_1_price, comment="EXIT TG1 @ "+ tostring(exit_1_price))
    strategy.cancel("Exit Drawd",true)
    cci_sell := false
    cci_buy := false

if strategy.position_size > 0 and abs(strategy.position_size) < qty and abs(strategy.position_size) != qty and not tsl_hit_flag
    strategy.order("EXIT 2", strategy.short, exit_2_qty, limit=exit_2_price, comment="EXIT TG2 @ "+ tostring(exit_2_price))
    RSI_short := false   
    RSI_long  := false
    bar_count_long := 0
    bar_count_short := 0
    cci_buy := false
    cci_sell := false
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL", true)

if strategy.position_size < 0 and abs(strategy.position_size) == qty and not tsl_hit_flag
    strategy.order("EXIT 1", strategy.long, exit_1_qty, limit=exit_1_price, comment="EXIT TG1 @ "+ tostring(exit_1_price))
    strategy.cancel("Exit Drawd",true)
    cci_buy := false
    cci_sell := false

if strategy.position_size < 0 and abs(strategy.position_size) < qty and abs(strategy.position_size) != qty 
    strategy.order("EXIT 2", strategy.long, exit_2_qty, limit=exit_2_price, comment="EXIT TG2 @ "+ tostring(exit_2_price))
    RSI_short := false   
    RSI_long  := false
    bar_count_long := 0
    bar_count_short := 0  
    cci_buy := false
    cci_sell := false
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL", true)
    
//>>>>>>drawdown execution

if strategy.position_size < 0 and original_sl_type == "Close Price" and not tsl_hit_flag  
    strategy.cancel("Exit Drawd",true)
    strategy.order("Exit Drawd", strategy.long, abs(strategy.position_size), stop= (entry_price + Draw_down*atr_length)  ,comment="Drawdown exit S")
    RSI_short            := false   
    RSI_long             := false
    bar_count_long        := 0
    bar_count_short       := 0
    cci_buy := false
    cci_sell := false
   
    
if strategy.position_size > 0 and original_sl_type == "Close Price" and not tsl_hit_flag and not sl_hit_flag 
    strategy.cancel("Exit Drawd",true)
    strategy.order("Exit Drawd", strategy.short, abs(strategy.position_size), stop= (entry_price - Draw_down*atr_length)  ,comment="Drawdown exit B")
    RSI_short           := false   
    RSI_long            := false
    bar_count_long       := 0
    bar_count_short      := 0
    cci_buy := false
    cci_sell := false
    
//>>>>to add sl hit sign  

if strategy.position_size != 0 and sl_hit_flag //For symbols on chart
    sl_cross := true

//>>>>>cancel all pending orders if the trade is booked

strategy.cancel_all(strategy.position_size == 0 and not (long_entry or short_entry))

//>>>>plot indicators
p_mBB = plot(plotBB ? mBB0 : na, color=color.teal)
p_uBB = plot(plotBB ? uBB0 : na, color=color.teal, style=plot.style_stepline)
p_lBB = plot(plotBB ? lBB0 : na, color=color.teal, style=plot.style_stepline)


plot(sma(close,5), color=color.blue, title="MA")





//>>>>plot signals

plotshape(plotSignals and RSI_short, style=shape.triangledown, location=location.abovebar, color=color.red)
plotshape(plotSignals and RSI_long, style=shape.triangleup, location=location.belowbar, color=color.green)
plotshape(sl_cross, text= "Stoploss Hit",size= size.normal,style=shape.xcross , location=location.belowbar, color=color.red)

//>>>>plot signal high low
if strategy.position_size != 0
    candles_on_trade := candles_on_trade + 1

if strategy.position_size != 0 and candles_on_trade == 1
    line.new(x1=bar_index[1], y1=high[1], x2=bar_index[0], y2=high[1], color=color.black, width=2)
    line.new(x1=bar_index[1], y1=low[1],  x2=bar_index[0], y2=low[1],  color=color.black, width=2)



//>>>>end of program

Mais.