ChaoZhang
概述
多Bar同向策略通过统计多个Bar的走势概率,识别趋势出现的信号,在出现反转信号时进行反向交易。该策略主要应用于中短线交易。
策略原理
该策略首先设置起始统计时间和结束统计时间,用于提取历史数据。然后设置交易时间,用于识别符合条件的K线。策略统计从2根K线到7根K线内出现同向上涨或下跌的概率。如果上涨或下跌达到一定比例阈值,则产生交易信号。
例如,策略统计3根K线内出现下跌的概率,如果下跌概率低于50%,则当前3根K线符合条件,产生看涨信号。策略允许设置2根到7根K线的统计参数。
具体来说,策略逻辑如下:
设置回测时间范围,包括开始日期、结束日期、交易时间范围。
统计2根到7根K线内同向上涨或下跌的数量。
计算相邻K线数量上涨或下跌继续的概率。
如果概率低于50%,则认为目前K线符合反转信号形态。
在交易时间范围内,产生看涨或看跌信号。
进行回测,验证策略效果。
策略优势
- 通过统计多根K线概率,避免因单一K线产生错误信号
- 可自定义K线数量,识别不同时间段内的反转信号
- 设置明确的交易时间范围,避免非交易时间产生信号
- 直观显示每段K线数量的统计结果,便于判断效果
- 可优化的参数较多,适合针对不同市场进行优化
策略风险
- 统计的K线数量并不能完全确定趋势反转点,存在一定误判概率
- 需要较长的统计时间段,可能错过短线的交易机会
- 静态阈值容易受到市场变化的影响,需要动态调整
- 回测时间范围的选择会影响结果,需要防止过拟合
可以通过以下方法降低风险:
- 优化K线数量的参数,针对不同周期使用不同数量
- 结合其他指标 validated_hvgggjhjj tjgtdfnjnjhggvft
- 使用动态阈值,考虑市场波动的影响
- 扩大回测时间范围,进行多次回测验证
策略优化方向
该策略可以从以下方面进行优化:
优化K线数量。可以测试从2根到10根不同参数,选择最优参数。
优化反转阈值。可以测试40%到60%不同参数,考虑到市场变化。
增加止损策略。可以在形成信号后设置止损点,控制风险。
结合其他指标。例如可以结合RSI等指标验证反转信号。
增加期货、外汇等不同品种。针对不同交易品种参数进行测试。
进行步进优化。逐步调整参数,找到最优参数组合。
增加机器学习模型。使用算法自动寻找最优参数。
总结
多Bar同向策略通过统计分析多根K线的概率来识别潜在的反转信号,实现了较为准确的信号处理。但策略效果与参数选择有关,需要进行充分优化。此外,反转信号本身存在一定误判可能,需要结合其他因素进行验证。总体来说,该策略为一种简单有效的统计策略,值得进一步研究与优化。
策略源码
/*backtest
start: 2023-10-16 00:00:00
end: 2023-10-17 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// BO - Bar's direction Signal - Backtesting
//anch.v43
// © inno14
//@version=4
strategy("BO - Bar's direction Signal - Backtesting", pyramiding=15)
// === INPUT PERIOD OF TIME ===
Date = input(true, title = "=== Periods Counting ===")
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear = input(defval = 2020, title = "From Year", minval = 2017)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear = input(defval = 9999, title = "To Year", minval = 2017)
// === DATE RANGE ===
start = timestamp(FromYear, FromMonth, FromDay, 00, 00) // backtest start window
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) // backtest finish window
window() => time >= start and time <= finish ? true : false // create function "within window of time"
// === Trading Time ===
CTimeDvM = input(true, title = "=== Trading Time ===")
Time_zone = input(7,title="Time Zone")
FromHourDvM = input(defval = 05, title = "From Hour", minval = 00, maxval = 23)
FromMinuteDvM = input(defval = 00, title = "From Minute", minval = 00, maxval = 59)
ToHourDvM = input(defval = 04, title = "To Hour", minval = 00, maxval = 23)
ToMinuteDvM = input(defval = 59, title = "To Minute", minval = 00, maxval = 59)
GMT_FHDvM=FromHourDvM<Time_zone?FromHourDvM-Time_zone+24:FromHourDvM-Time_zone
GMT_THDvM=ToHourDvM<Time_zone?ToHourDvM-Time_zone+24:ToHourDvM-Time_zone
fhDvM= (GMT_FHDvM<10?"0"+tostring(GMT_FHDvM):tostring(GMT_FHDvM))
fmDvM= (FromMinuteDvM<10?"0"+tostring(FromMinuteDvM):tostring(FromMinuteDvM))
thDvM= (GMT_THDvM<10?"0"+tostring(GMT_THDvM):tostring(GMT_THDvM))
tmDvM= (ToMinuteDvM<10?"0"+tostring(ToMinuteDvM):tostring(ToMinuteDvM))
WorkingHourDvM = fhDvM+fmDvM+"-"+thDvM+tmDvM
t0_DvM = time(timeframe.period, WorkingHourDvM)
htrtime = input(true,title="Highlight Tradingtime")
bgcolor(htrtime? t0_DvM? color.gray : na:na, title="Trading Time", transp=90)
// === Date Backtesting ===
Date1 = input(true, title = "=== Date Backtesting ===")
FromDay1 = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth1 = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear1 = input(defval = 2020, title = "From Year", minval = 2017)
ToDay1 = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth1 = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear1 = input(defval = 9999, title = "To Year", minval = 2017)
// === DATE RANGE ===
start1 = timestamp(FromYear1, FromMonth1, FromDay1, 00, 00) // backtest start window
finish1 = timestamp(ToYear1, ToMonth1, ToDay1, 23, 59) // backtest finish window
window1() => time >= start1 and time <= finish1 ? true : false // create function "within window of time"
// === Setup ===
Setup = input(true, title = "=== Setup Options ===")
set1 = input(true, title = "Reversal after 2 bars same direction")
set2 = input(true, title = "Reversal after 3 bars same direction")
set3 = input(true, title = "Reversal after 4 bars same direction")
set4 = input(true, title = "Reversal after 5 bars same direction")
set5 = input(true, title = "Reversal after 6 bars same direction")
// Calculate hours, minutes, and seconds till close
timeLeft = barstate.isrealtime ?
(time_close - timenow) / 1000 :
na
minutesLeft = floor((timeLeft % 3600) / 60)
secondsLeft = timeLeft % 60
// truncate() truncates a given number
// to a certain number of decimals
truncate(number, decimals) =>
factor = pow(10, decimals)
int(number * factor) / factor
//count 2
redv2=window()?1:0
bluev2=window()?1:0
mchange2 = close[0]<open[0] and close[1]<open[1] and t0_DvM?-1:0
pchange2 = close[0]>open[0] and close[1]>open[1] and t0_DvM?1:0
blue2 = cum(pchange2 > 0 ? bluev2 : 0 * bluev2)
red2 = cum(mchange2 < 0 ? redv2 : 0 * redv2)
//count 3
redv3=window()?1:0
bluev3=window()?1:0
mchange3 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and t0_DvM?-1:0
pchange3 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and t0_DvM?1:0
blue3 = cum(pchange3 > 0 ? bluev3 : 0 * bluev3)
red3 = cum(mchange3 < 0 ? redv3 : 0 * redv3)
//count 4
redv4=window()?1:0
bluev4=window()?1:0
mchange4 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and close[3]<open[3] and t0_DvM?-1:0
pchange4 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and close[3]>open[3] and t0_DvM?1:0
blue4 = cum(pchange4 > 0 ? bluev4 : 0 * bluev4)
red4 = cum(mchange4 < 0 ? redv4 : 0 * redv4)
//count 5
redv5=window()?1:0
bluev5=window()?1:0
mchange5 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and close[3]<open[3] and close[4]<open[4] and t0_DvM?-1:0
pchange5 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and close[3]>open[3] and close[4]>open[4] and t0_DvM?1:0
blue5 = cum(pchange5 > 0 ? bluev5 : 0 * bluev5)
red5 = cum(mchange5 < 0 ? redv5 : 0 * redv5)
//count 6
redv6=window()?1:0
bluev6=window()?1:0
mchange6 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and close[3]<open[3] and close[4]<open[4] and close[5]<open[5] and t0_DvM?-1:0
pchange6 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and close[3]>open[3] and close[4]>open[4] and close[5]>open[5] and t0_DvM?1:0
blue6 = cum(pchange6 > 0 ? bluev6 : 0 * bluev6)
red6 = cum(mchange6 < 0 ? redv6 : 0 * redv6)
//count 7
redv7=window()?1:0
bluev7=window()?1:0
mchange7 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and close[3]<open[3] and close[4]<open[4] and close[5]<open[5] and close[6]<open[6] and t0_DvM?-1:0
pchange7 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and close[3]>open[3] and close[4]>open[4] and close[5]>open[5] and close[6]>open[6] and t0_DvM?1:0
blue7 = cum(pchange7 > 0 ? bluev7 : 0 * bluev7)
red7 = cum(mchange7 < 0 ? redv7 : 0 * redv7)
//Percent 3rd bar has same direction
pred3=(red3/red2)*100
pblue3=(blue3/blue2)*100
//2->3
p23_blue_xloc=0
p23_red_xloc=2
p23_lable_xloc=round((p23_blue_xloc+p23_red_xloc)/2)
p23_label_yloc=1.0*100
blue2_100=100
red2_100=100
plot(blue2_100, style=plot.style_columns, offset=p23_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red2_100, style=plot.style_columns, offset=-p23_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue3, style=plot.style_columns, offset=p23_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred3, style=plot.style_columns, offset=-p23_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_23=label.new(bar_index[p23_red_xloc],pred3,style=label.style_none,text=tostring(truncate(pred3,2))+"%")
// label.delete(label_pred_23[1])
//label_2dn=label.new(bar_index[p23_red_xloc],red2,style=label.style_none,text="2 bars downward: "+tostring(red2))
//label.delete(label_2dn[1])
// label_pblue_23=label.new(bar_index[p23_blue_xloc],pblue3,style=label.style_none,text=tostring(truncate(pblue3,2))+"%")
// label.delete(label_pblue_23[1])
//label_2up=label.new(bar_index[p23_blue_xloc],blue2,style=label.style_none,text="2 bars upward: "+tostring(blue2))
//label.delete(label_2up[1])
// label_23=label.new(bar_index[p23_lable_xloc],p23_label_yloc,style=label.style_labeldown,text="3 bars same direction", color=color.orange)
// label.delete(label_23[1])
//Percent 4th bar has same direction
pred4=(red4/red3)*100
pblue4=(blue4/blue3)*100
//3->4
p34_blue_xloc=4
p34_red_xloc=6
p34_lable_xloc=round((p34_blue_xloc+p34_red_xloc)/2)
p34_label_yloc=1.0*100
blue3_100=100
red3_100=100
plot(blue3_100, style=plot.style_columns, offset=-p34_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red3_100, style=plot.style_columns, offset=-p34_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue4, style=plot.style_columns, offset=-p34_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred4, style=plot.style_columns, offset=-p34_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_34=label.new(bar_index[p34_red_xloc],pred4,style=label.style_none,text=tostring(truncate(pred4,2))+"%")
// label.delete(label_pred_34[1])
// //label_3dn=label.new(bar_index[p34_red_xloc],red3,style=label.style_none,text="3 bars downward: "+tostring(red3))
// //label.delete(label_3dn[1])
// label_pblue_34=label.new(bar_index[p34_blue_xloc],pblue4,style=label.style_none,text=tostring(truncate(pblue4,2))+"%")
// label.delete(label_pblue_34[1])
// //label_3up=label.new(bar_index[p34_blue_xloc],blue3,style=label.style_none,text="3 bars upward: "+tostring(blue3))
// //label.delete(label_3up[1])
// label_34=label.new(bar_index[p34_lable_xloc],p34_label_yloc,style=label.style_labeldown,text="4 bars same direction", color=color.orange)
// label.delete(label_34[1])
//Percent 5th bar has same direction
pred5=(red5/red4)*100
pblue5=(blue5/blue4)*100
//4->5
p45_blue_xloc=8
p45_red_xloc=10
p45_lable_xloc=round((p45_blue_xloc+p45_red_xloc)/2)
p45_label_yloc=1.0*100
blue4_100=100
red4_100=100
plot(blue4_100, style=plot.style_columns, offset=-p45_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red4_100, style=plot.style_columns, offset=-p45_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue5, style=plot.style_columns, offset=-p45_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred5, style=plot.style_columns, offset=-p45_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_45=label.new(bar_index[p45_red_xloc],pred5,style=label.style_none,text=tostring(truncate(pred5,2))+"%")
// label.delete(label_pred_45[1])
// //label_4dn=label.new(bar_index[p45_red_xloc],red4,style=label.style_none,text="4 bars downward: "+tostring(red4))
// //label.delete(label_4dn[1])
// label_pblue_45=label.new(bar_index[p45_blue_xloc],pblue5,style=label.style_none,text=tostring(truncate(pblue5,2))+"%")
// label.delete(label_pblue_45[1])
// //label_4up=label.new(bar_index[p45_blue_xloc],blue4,style=label.style_none,text="4 bars upward: "+tostring(blue4))
// //label.delete(label_4up[1])
// label_45=label.new(bar_index[p45_lable_xloc],p45_label_yloc,style=label.style_labeldown,text="5 bars same direction", color=color.orange)
// label.delete(label_45[1])
//Percent 6th bar has same direction
pred6=(red6/red5)*100
pblue6=(blue6/blue5)*100
//5->6
p56_blue_xloc=12
p56_red_xloc=14
p56_lable_xloc=round((p56_blue_xloc+p56_red_xloc)/2)
p56_label_yloc=1.0*100
blue5_100=100
red5_100=100
plot(blue5_100, style=plot.style_columns, offset=-p56_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red5_100, style=plot.style_columns, offset=-p56_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue6, style=plot.style_columns, offset=-p56_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred6, style=plot.style_columns, offset=-p56_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_56=label.new(bar_index[p56_red_xloc],pred6,style=label.style_none,text=tostring(truncate(pred6,2))+"%")
// label.delete(label_pred_56[1])
// //label_5dn=label.new(bar_index[p56_red_xloc],red5,style=label.style_none,text="5 bars downward: "+tostring(red5))
// //label.delete(label_5dn[1])
// label_pblue_56=label.new(bar_index[p56_blue_xloc],pblue6,style=label.style_none,text=tostring(truncate(pblue6,2))+"%")
// label.delete(label_pblue_56[1])
// //label_5up=label.new(bar_index[p56_blue_xloc],blue5,style=label.style_none,text="5 bars upward: "+tostring(blue5))
// //label.delete(label_5up[1])
// label_56=label.new(bar_index[p56_lable_xloc],p56_label_yloc,style=label.style_labeldown,text="6 bars same direction", color=color.orange)
// label.delete(label_56[1])
//Percent 7th bar has same direction
pred7=(red7/red6)*100
pblue7=(blue7/blue6)*100
//6->7
p67_blue_xloc=16
p67_red_xloc=18
p67_lable_xloc=round((p67_blue_xloc+p67_red_xloc)/2)
p67_label_yloc=1.0*100
blue6_100=100
red6_100=100
plot(blue6_100, style=plot.style_columns, offset=-p67_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red6_100, style=plot.style_columns, offset=-p67_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue7, style=plot.style_columns, offset=-p67_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred7, style=plot.style_columns, offset=-p67_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_67=label.new(bar_index[p67_red_xloc],pred7,style=label.style_none,text=tostring(truncate(pred7,2))+"%")
// label.delete(label_pred_67[1])
// //label_6dn=label.new(bar_index[p67_red_xloc],red6,style=label.style_none,text="6 bars downward: "+tostring(red6))
// //label.delete(label_6dn[1])
// label_pblue_67=label.new(bar_index[p67_blue_xloc],pblue7,style=label.style_none,text=tostring(truncate(pblue7,2))+"%")
// label.delete(label_pblue_67[1])
// //label_6up=label.new(bar_index[p67_blue_xloc],blue6,style=label.style_none,text="6 bars upward: "+tostring(blue6))
// //label.delete(label_6up[1])
// label_67=label.new(bar_index[p67_lable_xloc],p67_label_yloc,style=label.style_labeldown,text="7 bars same direction", color=color.orange)
// label.delete(label_67[1])
//Plot Time Label
time_label_yloc=1.4*100
time_lable_xloc=round((p67_red_xloc+p23_blue_xloc)/2)
time_label_text="Bar's Direction Info From: "+tostring(FromDay)+"/"+tostring(FromMonth)+"/"+tostring(FromYear)+" To: "+tostring(ToDay)+"/"+tostring(ToMonth)+"/"+tostring(ToYear)
// label_time=label.new(bar_index[time_lable_xloc],time_label_yloc,style=label.style_none,text=time_label_text, color=color.aqua)
// label.delete(label_time[1])
//Signal
//Put signal
x1=
pblue3<50?blue2[0]>blue2[1] and blue3[0]==blue3[1]:false
x2=
pblue4<50?blue3[0]>blue3[1] and blue4[0]==blue4[1]:false
x3=
pblue5<50?blue4[0]>blue4[1] and blue5[0]==blue5[1]:false
x4=
pblue6<50?blue5[0]>blue5[1] and blue6[0]==blue6[1]:false
x5=
pblue7<50?blue6[0]>blue6[1] and blue7[0]==blue7[1]:false
//Call signal
y1=
pred3<50?red2[0]>red2[1] and red3[0]==red3[1]:false
y2=
pred4<50?red3[0]>red3[1] and red4[0]==red4[1]:false
y3=
pred5<50?red4[0]>red4[1] and red5[0]==red5[1]:false
y4=
pred6<50?red5[0]>red5[1] and red6[0]==red6[1]:false
y5=
pred7<50?red6[0]>red6[1] and red7[0]==red7[1]:false
//Function
xTech=
set1?x1:false
or set2?x2:false
or set3?x3:false
or set4?x4:false
or set5?x5:false
yTech=
set1?y1:false
or set2?y2:false
or set3?y3:false
or set4?y4:false
or set5?y5:false
//Plot Analyzing Signals
hline1=hline(-100)
hline2=hline(-1.6*100)
hline0=hline(0)
sigtext=xTech?"Put signal":yTech?"Call signal":"Analyzing Signals - Bar's Time left:"+tostring(minutesLeft)+":"+tostring(secondsLeft)
sig_col=xTech?color.new(color.red,0):yTech?color.new(color.blue,0):color.new(color.navy,0)
// label_sig_text = label.new(bar_index[0], -1.5*100, text=sigtext, style=label.style_none, textcolor=sig_col, size=size.large)
// label.delete(label_sig_text[1])
//plot Signal
putcol = xTech? color.red : na
callcol = yTech? color.blue : na
PutSignal= xTech and window1() and t0_DvM?-100:na
CallSignal= yTech and window1() and t0_DvM?-100:na
plot(PutSignal, title='Put Signal', style=plot.style_columns, color=color.red, offset=1, transp=0)
plot(CallSignal, title='Call Signal', style=plot.style_columns, color=color.blue, offset=1, transp=0)
plotshape(PutSignal, title='Put', text="Put", style=shape.labeldown, location=location.bottom, color=color.orange, textcolor=color.black, offset=1, transp=0)
plotshape(CallSignal, title='Call', text="Call", style=shape.labelup, location=location.bottom, color=color.orange, textcolor=color.black, offset=1, transp=0)
//Backtesting
strategy.entry("Call", strategy.long, when=yTech and window1() and t0_DvM)
strategy.entry("Put", strategy.short, when=xTech and window1() and t0_DvM)
strategy.close_all(when=barstate.isnew)
//EOF