Định hướng MACD nhiều khung thời gian theo chiến lược

Tác giả:ChaoZhang
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Tên chiến lược

Định hướng MACD nhiều khung thời gian theo chiến lược

Chiến lược logic

  1. Kết hợp khu vực mua quá mức / bán quá mức của MACD để lọc một số tín hiệu sai
  2. Yêu cầu giá đóng cửa trên trung bình động trên đường chéo vàng để vào
  3. Yêu cầu chỉ số RSI trên một mức nhất định khi chữ thập vàng để nhập

Ưu điểm

  • Xây dựng trong nhiều loại trung bình động, có thể linh hoạt thích nghi với các sản phẩm khác nhau
  • Khả năng theo dõi xu hướng mạnh mẽ, phù hợp với các hoạt động trung bình dài hạn

Rủi ro

  • Cài đặt tham số không chính xác có thể dẫn đến hiệu suất chiến lược kém
  • Không có chức năng dừng lỗ có thể dẫn đến tổn thất lớn hơn

Các phương pháp như điều chỉnh các tham số đúng cách, đặt dừng lỗ, kết hợp các chỉ số khác có thể giúp giảm rủi ro.

Hướng dẫn tối ưu hóa

Chiến lược có thể được tối ưu hóa trong các khía cạnh sau:

  1. Thêm các cơ chế dừng lỗ để tránh tác động từ các sự kiện đột ngột trên thị trường
  2. Kết hợp với các chỉ số khác như KDJ, Chỉ số biến động để cải thiện hiệu suất chiến lược

Kết luận


/*backtest
start: 2023-01-16 00:00:00
end: 2024-01-22 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/
// © HamidBox


//@version=4
strategy("MACD [5-in-1]")

matype_zone(src, len, type) =>
    type == "EMA" ? ema(src, len) :
     type == "SMA" ? sma(src, len) :
     type == "RMA" ? rma(src, len) : 
     type == "WMA" ? wma(src, len) : 
     type == "VWMA" ? vwma(src, len) :
     na

matype_signal(src, len, type) =>
    type == "EMA" ? ema(src, len) :
     type == "SMA" ? sma(src, len) :
     type == "RMA" ? rma(src, len) : 
     type == "WMA" ? wma(src, len) : 
     type == "VWMA" ? vwma(src, len) :
     na

// MACD INPUTS ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
macd_FastLength     = input(title="MACD Fast", defval=12, minval=1, type=input.integer, inline="fastslow")                      ///
macd_SlowLength     = input(title="MACD Slow ", defval=26, minval=1, type=input.integer, inline="fastslow")                     ///
macd_signalLen      = input(title="Signal Line", defval=9, minval=1, type=input.integer, inline="signalsrc")                    ///
macd_Source         = input(title="Source      ", defval=close, type=input.source, inline="signalsrc")                          ///
MACD_Line           = input(title="Oscilattor ", defval="EMA", type=input.string, options=["EMA" , "SMA"], inline="matype")     ///
SignalLine          = input(title="Signal       ", defval="EMA", type=input.string, options=["EMA" , "SMA"], inline="matype")   ///
                                                                                                                                ///
// MACD SETUP /////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
macd_Fast           = MACD_Line == "SMA" ? sma(macd_Source , macd_FastLength) : ema(macd_Source , macd_FastLength)      ///
macd_Slow           = MACD_Line == "SMA" ? sma(macd_Source , macd_SlowLength) : ema(macd_Source , macd_SlowLength)      ///
MACD                = macd_Fast - macd_Slow                                                                             ///
Signal              = SignalLine == "SMA" ? sma(MACD, macd_signalLen) : ema(MACD, macd_signalLen)                       ///
histogram           = MACD - Signal                                                                                     ///
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// MACD CONDITIONS SECTION /////////////////////////////////////////////////////
macd_grtr_signal    = MACD > Signal                                           //
macd_less_signal    = MACD < Signal                                           //
macd_crsovr_signal  = crossover(MACD , Signal) ? MACD : na      // FOR MACD CROSS DOT PLOTING //
macd_crsndr_signal  = crossunder(MACD , Signal) ? MACD : na     // FOR MACD CROSS DOT PLOTING //                 
macd_crsovr         = crossover(MACD , Signal)                                //
macd_crsndr         = crossunder(MACD , Signal)                               //
////////////////////////////////////////////////////////////////////////////////


// Choose your Desire Signal ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_crs_signal     = input(true, "Stgy №1:👉 MACD CrossOver", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\nBUY: MACD CrossOver Signal Line\nSELL: MACD CrossUnder Signal Line\nDefault Signal")

/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

MACD_OB             = input(false, "Stgy №2:👉 MACD + OverBought ", inline="obs", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="MACD also work as OverBought & OverSold system, same like RSI or other indicators who have OB/OS system, so i added OB-Level in MACD,\nso simple rule is: if MACD Lines is Above OB-Level, we will not take any trade, we only follow MACD signals when MACD-Lines will Below OB-Level")
MACD_OB_LVL         = input(title="", defval=0.0, type=input.float, inline="obs", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="MACD also work as OverBought & OverSold system, same like RSI or other indicators who have OB/OS system, so i added OB-Level in MACD,\nso simple rule is: if MACD Lines is Above OB-Level, we will not take any trade, we only follow MACD signals when MACD-Lines will Below OB-Level") 
hline(MACD_OB_LVL, color=color.red, title="MACD OB", linestyle=hline.style_dashed)

/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

MACD_close          = input(false, "Stgy №3:👉 MACD + Close         ", inline="MAsignal", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) Than Moving Average\n\nSELL RULES\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) Than Moving Average\n\nExplanation: When (MACD Cross Signal Line) and also Market current Candle Close or previous 1st-4th any Candle will have close greater than Moving Average (You Choose: EMA or SMA etc...)\n🚦NOTE: in this Condition only Singal Moving Average work => (Slow MA),")
MA_signal_len       = input(title="", defval=21, type=input.integer, inline="MAsignal", group="CHOOSE YOUR DESIRE SIGNAL")    //      // 
MA_signal_type      = input(title="", defval="EMA", options=["SMA" , "EMA" , "RMA", "WMA" , "VWMA" , "DEMA", "TEMA"], inline="MAsignal", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) Than Moving Average\n\nSELL RULES\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) Than Moving Average\n\nExplanation: When (MACD Cross Signal Line) and also Market current Candle Close will have close greater than Moving Average (You Choose: EMA or SMA etc...)")     //      //

dema = if MA_signal_type == "DEMA"
    ema = ema(close , MA_signal_len)
    2 * ema - ema(ema , MA_signal_len)
tema = if MA_signal_type == "TEMA"
    ema = ema(close , MA_signal_len)
    3 * (ema - ema(ema, MA_signal_len)) + ema(ema(ema, MA_signal_len), MA_signal_len)

MA_signal           = matype_zone(close, MA_signal_len, MA_signal_type)

/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_ZONE           = input(false, "Stgy №4:👉 MACD + MA-ZONE    ", inline="MAZONE", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES:\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) than (MA-ZONE)\n\nSELL RULES:\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) than (MA-ZONE)")
MA_zone_len         = input(title="", defval=21, type=input.integer, inline="MAZONE", group="CHOOSE YOUR DESIRE SIGNAL")
MA_zone_type        = input(title="", defval="EMA", options=["SMA" , "EMA" , "RMA", "WMA" , "VWMA" , "DEMA", "TEMA"], inline="MAZONE", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES:\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) than (MA-ZONE)\n\nSELL RULES:\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) than (MA-ZONE)")

dema2 = if MA_zone_type == "DEMA"
    ema = ema(close , MA_zone_len)
    2 * ema - ema(ema , MA_zone_len)
tema2 = if MA_zone_type == "TEMA"
    ema = ema(close , MA_zone_len)
    3 * (ema - ema(ema, MA_zone_len)) + ema(ema(ema, MA_zone_len), MA_zone_len)

MA_zone_srcHi       = matype_signal(high, MA_zone_len, MA_zone_type)                                                                                        //      //
MA_zone_srcLO       = matype_signal(low, MA_zone_len, MA_zone_type)

/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

MACD_wid_rsiOB      = input(false, "Stgy №5:👉 MACD + RSI-OB", group="CHOOSE YOUR DESIRE SIGNAL")
rsilen              = input(title="Length", defval=14, type=input.integer, inline="rsi", group="CHOOSE YOUR DESIRE SIGNAL")
rsi_ent_value       = input(title="Entry", defval=50, type=input.integer, minval=1, inline="rsi", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY Rule\nMACD Crossover Signal\nRSI Greater then Entry Level (You Choose)\n\n🚦🚦🚦 Explanation 🚦🚦🚦\nWe have RSI with 2 Levels,\n1st: Entry Level\n2nd: No-Entry Level\n\nEntry level:\nfor never want to BUY trade when RSI is Below our specific Level, like you want open Trade when RSI above 50 level or 30 level etc... \n\nNo-Entry Level:\nthis is same as (Entry Level) Condition, as we know RSI-70 level use for OverBought, and its mean market will go down after RSI-OB level, and thats why we can set overbought level for NO-ENTRY when Market is on OverBought area.")
rsi_ob_value        = input(title="No-Entry", defval=70, minval=1, type=input.integer, inline="rsi", group="CHOOSE YOUR DESIRE SIGNAL")   
RSI                 = rsi(close , rsilen)

///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////



///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
startTime           =       input(title="Start Time                           ", type = input.time, defval = timestamp("01 Jan 2021 00:00 +0000"), inline="Backtesting Time Period")
endTime             =       input(title="End Time                          ", type = input.time, defval = timestamp("01 Jan 2022 00:00 +0000"))

inDateRange         =       true


// Stgy №1:👉 MACD Cross Signal CONDITION //////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + CLOSE ))                                                       ////
if macd_crsovr and MACD_crs_signal and inDateRange                   ////
    strategy.entry("BUY", strategy.long, comment="S#1")                     ////
if macd_crsndr and MACD_crs_signal and inDateRange                  ////
    strategy.close("BUY", comment="x")                                      ////
////////////////////////////////////////////////////////////////////////////////
// // Stgy №1 Ploting 
// plotshape(MACD_crs_signal ? macd_crsovr : na, title="Stgy Sign", color=color.blue, style=shape.labelup, text="MACD", textcolor=color.white, location=location.bottom)
// plotshape(MACD_crs_signal ? macd_crsndr : na, title="Stgy Sign", color=color.maroon, style=shape.labeldown, text="MACD-x", textcolor=color.white, location=location.top)
// ////////////////////////////////////////////////////////////////////////////////


// Stgy №2:👉 MACD + OverBought CONDITION //////////////////////////////////////
only_Trade_when     = MACD < MACD_OB_LVL and Signal < MACD_OB_LVL           ////
macd_ob_buy         = macd_crsovr and only_Trade_when                       ////
macd_ob_sell        = macd_crsndr                                           ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + ZONE ))                                                        ////
if macd_ob_buy and MACD_OB and inDateRange                                  ////
    strategy.entry("BUY", strategy.long, comment="S#2")                     ////
if macd_ob_sell and MACD_OB and inDateRange                                 ////
    strategy.close("BUY", comment="x")                                      ////
////////////////////////////////////////////////////////////////////////////////
// plotshape(MACD_OB ? macd_ob_buy : na, title="Stgy Sign", color=color.blue, style=shape.labelup, text="M+OB", textcolor=color.white, location=location.bottom)
// plotshape(MACD_OB ? macd_ob_sell : na, title="Stgy Sign", color=color.maroon, style=shape.labeldown, text="M+OB-x", textcolor=color.white, location=location.top)
// ////////////////////////////////////////////////////////////////////////////////



// Stgy №3:👉 MACD + CLOSE CONDITION ///////////////////////////////////////////
macd_close_buy       = macd_crsovr and ( ( close > MA_signal or (close[1] > MA_signal[1]) or (close[2] > MA_signal[2]) or (close[3] > MA_signal[3]) )    or    ( close > dema  or (close[1] > dema[1]) or (close[2] > dema[2]) or (close[3] > dema[3]) )    or    ( close > tema  or (close[1] > tema[1]) or (close[2] > tema[2]) or (close[3] > tema[3]) ) ) 
macd_close_sell      = macd_crsndr and ( ( close > MA_signal or (close[1] < MA_signal[1]) or (close[2] < MA_signal[2]) or (close[3] < MA_signal[3]) )    or    ( close < dema  or (close[1] < dema[1]) or (close[2] < dema[2]) or (close[3] < dema[3]) )    or    ( close < tema  or (close[1] < tema[1]) or (close[2] < tema[2]) or (close[3] < tema[3]) ) )                  ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + CLOSE ))                                                       ////
if macd_close_buy and MACD_close and inDateRange                            ////
    strategy.entry("BUY", strategy.long, comment="S#3")                     ////
if macd_close_sell and MACD_close and inDateRange                           ////
    strategy.close("BUY", comment="x")                                      ////
////////////////////////////////////////////////////////////////////////////////
// // Stgy №3 Ploting 
// plotshape(MACD_close ? macd_close_buy : na, title="Stgy Sign", color=color.blue, style=shape.labelup, text="MACD", textcolor=color.white, location=location.bottom)
// plotshape(MACD_close ? macd_close_sell : na, title="Stgy Sign", color=color.maroon, style=shape.labeldown, text="MACD-x", textcolor=color.white, location=location.top)
// ////////////////////////////////////////////////////////////////////////////////




// Stgy №3:👉 MACD + MA-ZONE MACD + ZONE CONDITION /////////////////////////////
macd_zone_buy       = macd_crsovr and ( ( close > MA_zone_srcHi or (close[1] > MA_zone_srcHi[1]) or (close[2] > MA_zone_srcHi[2]) or (close[3] > MA_zone_srcHi[3]) )    or      ( close > dema2 or (close[1] > dema2[1]) or (close[2] > dema2[2]) or (close[3] > dema2[3]) )    or      ( close > tema2 or (close[1] > tema2[1]) or (close[2] > tema2[2]) or (close[3] > tema2[3]) )   )            ////
macd_zone_sell      = macd_crsndr and ( ( close < MA_zone_srcHi or (close[1] < MA_zone_srcHi[1]) or (close[2] < MA_zone_srcHi[2]) or (close[3] < MA_zone_srcHi[3]) )    or      ( close < dema2 or (close[1] < dema2[1]) or (close[2] < dema2[2]) or (close[3] < dema2[3]) )    or      ( close < tema2 or (close[1] < tema2[1]) or (close[2] < tema2[2]) or (close[3] < tema2[3]) )   )           ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + ZONE ))                                                        ////
if macd_zone_buy and MACD_ZONE and inDateRange                              ////
    strategy.entry("BUY", strategy.long, comment="S#4")                     ////
if macd_zone_sell and MACD_ZONE and inDateRange                             ////
    strategy.close_all()                                      ////
////////////////////////////////////////////////////////////////////////////////



// Stgy №5:👉 MACD + RSI-OB CONDITION //////////////////////////////////////////
MACD_rsi_EnBuy         = RSI > rsi_ent_value and RSI < rsi_ob_value         ////
MACD_rsi_EnSell         = RSI < rsi_ent_value           ////
MACD_rsi_Ex       = crossunder(RSI , rsi_ob_value) or crossunder(RSI[1] , rsi_ob_value[1]) or crossunder(RSI[2] , rsi_ob_value[2]) or crossunder(RSI[3] , rsi_ob_value[3]) or crossunder(RSI[4] , rsi_ob_value[4]) or crossunder(RSI[5] , rsi_ob_value[5]) or crossunder(RSI[6] , rsi_ob_value[6])         ////
                                                                            ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// ((MACD + RSI-OB ))                                                       ////
if macd_crsovr and MACD_rsi_EnBuy and MACD_wid_rsiOB and inDateRange        ////
    strategy.entry("BUY", strategy.long, comment="S#5")                     ////
if macd_crsndr and MACD_wid_rsiOB and inDateRange                           ////
    strategy.close("BUY", comment="x")                                      ////
////////////////////////////////////////////////////////////////////////////////
if (not inDateRange)           ///
    strategy.close_all()       ///
//////////////////////////////////









// MACD COLORS SECTION /////////////////////////////////////////////////////////
// ( Colors of [MACD and Signal-Line] )
MACD_width          = input(title="MACD Line               ", defval=2, minval=1, type=input.integer, group="🚦🚦macd Width & Colors setting🚦🚦", inline="macdColor")
MACD_color_High     = input(#11ff00, title="", type=input.color, group="🚦🚦macd Width & Colors setting🚦🚦", inline="macdColor")
MACD_color_Low      = input(#e91e63, title="", type=input.color, group="🚦🚦macd Width & Colors setting🚦🚦", inline="macdColor")
signal_width        = input(title="Signal Line               ", defval=2, minval=1, type=input.integer, group="🚦🚦macd Width & Colors setting🚦🚦", inline="signal")
signalLine_col_hi   = input(#ffeb3b, title="", type=input.color, inline="signal", group="🚦🚦macd Width & Colors setting🚦🚦")
signalLine_col_lo   = input(#ffeb3b, title="", type=input.color, inline="signal", group="🚦🚦macd Width & Colors setting🚦🚦")


// ((Histogram Color)) /////////////////////////////////////////////////////////
macd_hist_on        = input(true, "Histogram        ", inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
BuyStrongHist       = input(#26A69A, title="", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
BuyWeakHist         = input(#B2DFDB, title="", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
SellWeakHist        = input(#FFCDD2, title="✨", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
SellStrongHist      = input(#FF5252, title="", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
// ((FOR HISTOGRAM COLOR CONDITION))
hist_col            = (histogram >= 0 ? (histogram[1] < histogram ? BuyStrongHist : BuyWeakHist) : histogram[1] < histogram ? SellWeakHist : SellStrongHist)


// (( CROSSOVER DOT) ///////////////////////////////////////////////////////////
macd_crsovr_dot_on  = input(true, "Cross               ", inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
macd_cross_width    = input(defval=5, title="", inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
dot_crsovr_col      = input(#ffffff, title="", type=input.color, inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
dot_crsndr_col      = input(color.new(#e91e63, 0), title="", type=input.color, inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")


// (( MACD ZONE COLOR ))
zone_on             = input(true, "Zone Color        ", inline="zone", group="🚦🚦macd Width & Colors setting🚦🚦")
zone_crsovr_col     = input(color.new(color.lime, 70), title="", type=input.color, inline="zone", group="🚦🚦macd Width & Colors setting🚦🚦")
zone_crsndr_col     = input(color.new(#e91e63, 70), title="", type=input.color, inline="zone", group="🚦🚦macd Width & Colors setting🚦🚦")

///////////////////////////////////////// ((FOR MACD LINE COLOR CONDITION))
MACD_line_col = if macd_grtr_signal    //
    MACD_color_High                    //
else                                   //
    if macd_less_signal                //
        MACD_color_Low                 //
///////////////////////////////////////// ((FOR SIGNAL LINE COLOR CONDITION))
signal_line_col = if macd_grtr_signal  //
    signalLine_col_hi                  //
else                                   //
    if macd_less_signal                //
        signalLine_col_lo              //
///////////////////////////////////////// ((FOR MACD CROSS DOTs COLOR CONDITION))
MACD_Dot_col = if macd_crsovr_signal   //
    dot_crsovr_col                     //
else                                   //
    if macd_crsndr_signal              //
        dot_crsndr_col                 //
/////////////////////////////////////////////////////////////////////////////////////////////////
zone_crsovr_plot = if macd_grtr_signal  and zone_on // ((For Zone Color Comdition + On/Off)) ///
    zone_crsovr_col                                 ///////////////////////////////////////////
else                                                //
    if macd_less_signal and zone_on                 //
        zone_crsndr_col                             //
//////////////////////////////////////////////////////


// MACD PLOTING //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
histplot    = plot(macd_hist_on ? histogram : na, title="Histogram", color=hist_col, style=plot.style_columns)
macdplot    = plot(MACD, title="MACD", color=MACD_line_col, linewidth=MACD_width)
signalplot  = plot(Signal, title="Signal", color=signal_line_col, linewidth=signal_width)
fill(macdplot , signalplot, color=zone_crsovr_plot)

plot(macd_crsovr_dot_on ? macd_crsovr_signal : na,  title="c-over", style=plot.style_circles, color=MACD_Dot_col, linewidth=macd_cross_width)
plot(macd_crsovr_dot_on ? macd_crsndr_signal : na,  title="c-under", style=plot.style_circles, color=MACD_Dot_col, linewidth=macd_cross_width)




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