ianzeng123
Visão geral
Trata-se de uma estratégia de negociação quantitativa baseada no Three Line Strike e no Engulfing Pattern. A estratégia capta o ponto de viragem da tendência do mercado através da identificação de três K-lines consecutivos, combinando múltiplos indicadores técnicos para tomar decisões de negociação. A estratégia projetou um sistema completo de identificação de sinais e mecanismos de controle de risco, e fornece configurações de parâmetros altamente personalizáveis.
Princípio da estratégia
A lógica central da estratégia baseia-se em duas formas principais de linha K:
- O triplo golpe forma: a inversão de tendência é julgada através da identificação de três K-linhas de inversão consecutivas que seguem a mesma K-linha. A forma de bullish é constituída por três K-linhas vermelhas consecutivas de queda seguidas por uma K-linha de absorção verde maior; a forma de bearish é constituída por três K-linhas verdes consecutivas de subida seguidas por uma K-linha de absorção vermelha maior.
- Formato de absorção: A linha K de absorção grande isolada também serve como sinal auxiliar. A estratégia identifica o formato de absorção por meio da comparação do tamanho da entidade da linha K atual com a linha K anterior.
Vantagens estratégicas
- Identificação de sinais precisa: a estratégia usa métodos de cálculo matemático rigorosos para julgar a forma da linha K, garantindo a qualidade do sinal por meio de filtragem de múltiplos termos.
- Controle de risco perfeito: configuração de parâmetros de risco, como capital inicial, taxa de posse e proibição de reentrada.
- Altura personalizável: oferece uma ampla configuração de parâmetros que podem ser otimizados de acordo com diferentes características de mercado e necessidades de transação.
- Suporte de visualização: fornece marcas gráficas claras e dicas para facilitar a análise e o monitoramento.
Risco estratégico
- Dependência do cenário do mercado: pode haver muitos falsos sinais em mercados turbulentos.
- Efeitos de deslizamento: Os pontos de entrada de grandes linhas K de engolimento podem ser afetados por deslizamentos maiores.
- Risco de atraso: a identificação de formas requer a realização de várias linhas K, podendo perder o melhor momento de entrada.
Direção de otimização da estratégia
- Introdução de indicadores de tráfego: combinação de mudanças de tráfego para filtrar a qualidade do sinal.
- Optimizar a configuração de stop loss: ajuste a posição de stop loss com base no ATR ou na taxa de flutuação.
- Adicionar filtro de tendência: adicionar um sistema de linha média para julgar a tendência geral.
- Melhorar o mecanismo de saída: criar condições de lucro mais flexíveis.
Resumir
A estratégia captura os principais pontos de inflexão do mercado através de uma metodologia sistematizada de análise técnica, com uma base teórica sólida e valor prático. Com a otimização de parâmetros e o aperfeiçoamento do controle de risco, pode ser uma parte importante de um sistema de negociação robusto. O design modular da estratégia também fornece uma boa base para uma otimização adicional.
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.
Código-fonte da estratégia
/*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