Estratégia de negociação em rede baseada no rastreamento de linhas K em tempo real

Autora:ChaoZhang, Data: 2024-02-01 14:40:22
Tags:

Resumo

Esta estratégia é uma estratégia de negociação de rede bidirecional baseada no rastreamento em tempo real das mudanças da linha K. Pode gerar lucros constantes em mercados de alta e baixa.

Estratégia lógica

Calcular automaticamente o intervalo de preços e o preço de cada rede com base no número de redes definidas pelos utilizadores.
Quando o preço ultrapassa um preço de rede, abrir uma posição longa com quantidade fixa; quando o preço cai abaixo de um preço de rede, fechar uma posição longa e abrir uma posição curta.
Através do acompanhamento das variações de preços, podem ser obtidos lucros quando os preços flutuam dentro do intervalo da rede.

Análise das vantagens

Calcular automaticamente uma faixa de rede razoável sem necessidade de determinar manualmente o suporte e a resistência.
O comércio bidirecional adapta-se às condições de mercado em evolução.
O tamanho fixo das posições abertas facilita o controlo do risco.
Código simples e direto que é fácil de entender e modificar.

Análise de riscos

As variações significativas dos preços podem conduzir a perdas crescentes.
As taxas de negociação acumuladas têm igualmente um impacto nos lucros finais.
Precisamos de determinar razoavelmente o número de grades.

Orientações de otimização

Incorporar uma estratégia de stop loss para limitar as perdas.
Adicionar ajuste dinâmico do número de grades.
Considere adicionar alavancagem para amplificar o volume de negociação.

Resumo

A estratégia tem uma lógica geral clara e simples para gerar renda estável através da negociação de rede bidirecional, mas também carrega certos riscos comerciais.

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

//hk4jerry

strategy("Grid Bot Backtesting", overlay=false, pyramiding=3000, close_entries_rule="ANY", default_qty_type=strategy.cash, initial_capital=100.0, currency="USD", commission_type=strategy.commission.percent, commission_value=0.025)
i_autoBounds    = input(group="Grid Bounds", title="Use Auto Bounds?", defval=true, type=input.bool)                             // calculate upper and lower bound of the grid automatically? This will theorhetically be less profitable, but will certainly require less attention
i_boundSrc      = input(group="Grid Bounds", title="(Auto) Bound Source", defval="Hi & Low", options=["Hi & Low", "Average"])     // should bounds of the auto grid be calculated from recent High & Low, or from a Simple Moving Average
i_boundLookback = input(group="Grid Bounds", title="(Auto) Bound Lookback", defval=250, type=input.integer, maxval=500, minval=0) // when calculating auto grid bounds, how far back should we look for a High & Low, or what should the length be of our sma
i_boundDev      = input(group="Grid Bounds", title="(Auto) Bound Deviation", defval=0.10, type=input.float, maxval=1, minval=-1)  // if sourcing auto bounds from High & Low, this percentage will (positive) widen or (negative) narrow the bound limits. If sourcing from Average, this is the deviation (up and down) from the sma, and CANNOT be negative.
i_upperBound    = input(group="Grid Bounds", title="(Manual) Upper Boundry(상단 가격)", defval=0.285, type=input.float)                      // for manual grid bounds only. The upperbound price of your grid
i_lowerBound    = input(group="Grid Bounds", title="(Manual) Lower Boundry(하단 가격)", defval=0.225, type=input.float)                      // for manual grid bounds only. The lowerbound price of your grid.
i_gridQty       = input(group="Grid Lines",  title="Grid Line Quantity(그리드 수)", defval=30, maxval=999, minval=1, type=input.integer)       // how many grid lines are in your grid
initial_balance = input(group="Trading option", title="Initial balance(투자금액)", defval=100, step=0.01)


start_time = input(group="Trading option",defval=timestamp('15 March 2023 06:00'), title='Start Time', type = input.time)
end_time = input(group="Trading option",defval=timestamp('31 Dec 2035 20:00'), title='End Time', type = input.time)
isAfterStartDate = true

tradingtime= (timenow - start_time)/(86400000*30)
yeartime=tradingtime/12


f_getGridBounds(_bs, _bl, _bd, _up) =>
    if _bs == "Hi & Low"
        _up ? highest(close, _bl) * (1 + _bd) : lowest(close, _bl)  * (1 - _bd)
    else
        avg = sma(close, _bl)
        _up ? avg * (1 + _bd) : avg * (1 - _bd)

f_buildGrid(_lb, _gw, _gq) =>
    gridArr = array.new_float(0)
    for i=0 to _gq-1
        array.push(gridArr, _lb+(_gw*i))
    gridArr

f_getNearGridLines(_gridArr, _price) =>
    arr = array.new_int(3)
    for i = 0 to array.size(_gridArr)-1
        if array.get(_gridArr, i) > _price
            array.set(arr, 0, i == array.size(_gridArr)-1 ? i : i+1)
            array.set(arr, 1, i == 0 ? i : i-1)
            break
    arr

var upperBound      = i_autoBounds ? f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, true) : i_upperBound  // upperbound of our grid
var lowerBound      = i_autoBounds ? f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, false) : i_lowerBound // lowerbound of our grid
var gridWidth       = (upperBound - lowerBound)/(i_gridQty-1)                                                       // space between lines in our grid
var gridLineArr     = f_buildGrid(lowerBound, gridWidth, i_gridQty)                                                 // an array of prices that correspond to our grid lines
var orderArr        = array.new_bool(i_gridQty, false)                                                              // a boolean array that indicates if there is an open order corresponding to each grid line

var closeLineArr    = f_getNearGridLines(gridLineArr, close)                                                        // for plotting purposes - an array of 2 indices that correspond to grid lines near price
var nearTopGridLine = array.get(closeLineArr, 0)                                                                    // for plotting purposes - the index (in our grid line array) of the closest grid line above current price
var nearBotGridLine = array.get(closeLineArr, 1)                                                                    // for plotting purposes - the index (in our grid line array) of the closest grid line below current price
if isAfterStartDate
    for i = 0 to (array.size(gridLineArr) - 1)
        if close < array.get(gridLineArr, i) and not array.get(orderArr, i) and i < (array.size(gridLineArr) - 1)
            buyId = i
            array.set(orderArr, buyId, true)
            strategy.entry(id=tostring(buyId), long=true, qty=(initial_balance/(i_gridQty-1))/close, comment="#"+tostring(buyId))
        if close > array.get(gridLineArr, i) and i != 0
            if array.get(orderArr, i-1)
                sellId = i-1
                array.set(orderArr, sellId, false)
                strategy.close(id=tostring(sellId), comment="#"+tostring(sellId))

    if i_autoBounds
        upperBound  := f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, true)
        lowerBound  := f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, false)
        gridWidth   := (upperBound - lowerBound)/(i_gridQty-1)
        gridLineArr := f_buildGrid(lowerBound, gridWidth, i_gridQty)

    closeLineArr    := f_getNearGridLines(gridLineArr, close)
    nearTopGridLine := array.get(closeLineArr, 0)
    nearBotGridLine := array.get(closeLineArr, 1)






var table table = table.new(position.top_right,6,8, frame_color = color.rgb(255, 255, 255),frame_width = 2,border_width = 2, border_color=color.rgb(255, 255, 255))
        


//제목
table.cell(table,0,0,"Upper limit price :", bgcolor=color.new(color.black,0),text_color =color.white)    
table.cell(table,0,1,"Lower limit price :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,0,2,"Grids quantity :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,0,3,"Investment :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,0,4,"USDT per grid :",text_color =color.white,bgcolor=color.new(color.black,0))
//수치
table.cell(table,1,0, tostring(upperBound, '###.#####')+ "  USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)    
table.cell(table,1,1, tostring(lowerBound, '###.#####')+ "  USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,2, tostring(i_gridQty, '###'), bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,3, tostring(initial_balance,'###.##')+ "  USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)
table.cell(table,1,4, tostring(initial_balance/i_gridQty,'###.##')+ "  USDT", bgcolor=color.new(#5a637e, 0),text_color =color.white)

//제목
table.cell(table,2,0,"Current position :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,2,1,"Position cost price :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,2,2,"Unrealized profit :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,2,3,"Unrealized profit % :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,2,4,"Fee :",text_color =color.white,bgcolor=color.new(color.black,0))

//수치
table.cell(table,3,0, tostring(strategy.position_size) +   syminfo.basecurrency + "\n"  + tostring(strategy.position_size*strategy.position_avg_price/1, '###.##') + "USDT" ,text_color =color.white,bgcolor=color.new(#5a637e, 0))
table.cell(table,3,1, text=strategy.position_size>0 ? tostring(strategy.position_avg_price,'###.####')+ "  USDT" : "NOT TRADING",text_color =color.white,bgcolor=color.new(#5a637e, 0))
table.cell(table,3,2, tostring(strategy.openprofit, '###.##')+ "  USDT",text_color =color.white,bgcolor=strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,3,3, tostring(strategy.openprofit/initial_balance*100, '###.##')+ "%",text_color =color.white,bgcolor=strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,3,4, "-" + tostring(strategy.position_avg_price*strategy.position_size*0.025/100,'###.##')+ "  USDT",text_color =color.white,bgcolor=color.new(#5a637e, 0))

//제목
table.cell(table,4,0,"Grid profit :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,4,1,"Grid profit % :",text_color =color.white,bgcolor=color.new(color.black,0))
table.cell(table,4,2,"Net profit :", bgcolor=color.new(color.black,0),text_color =color.white)    
table.cell(table,4,3,"Net profit % :",bgcolor=color.new(color.black,0),text_color =color.white)
table.cell(table,4,4,"Balance USDT :",bgcolor=color.new(color.black,0),text_color =color.white)


//수치
table.cell(table,5,0, tostring(strategy.netprofit, '###.#####')+ "USDT", text_color =color.white,bgcolor=strategy.netprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,1, tostring((strategy.netprofit)/initial_balance*100/tradingtime, '####.##') + "%",text_color =color.white,bgcolor=strategy.netprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,2, tostring(strategy.netprofit+strategy.openprofit, '###.##') + "  USDT",text_color =color.white,bgcolor=strategy.netprofit+strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,3, tostring((strategy.netprofit+strategy.openprofit)/initial_balance*100, '####.##') + "%",text_color =color.white,bgcolor=strategy.netprofit+strategy.openprofit > 0 ? color.teal : color.maroon)
table.cell(table,5,4, tostring(initial_balance+strategy.netprofit+strategy.openprofit, '###.##')+ "  USDT", text_color =color.white,bgcolor=color.new(#3d4d7c, 0))





// plot(strategy.initial_capital+ strategy.netprofit+strategy.openprofit, "Current Balance",color=color.rgb(81, 137, 128))
// plot(initial_balance, "Investment",color=color.rgb(81, 137, 128))

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