基于锚定滚动CVDVWAP的信号策略是一个在TradingView平台上设计的复杂的技术分析指标。它集成了锚定成交量加权平均价格(VWAP)、累积成交量(CVD)和标准差分析的概念,以生成交易的入场和退出信号。
该策略的核心在于计算一个锚定的VWAP,即从一个特定的“锚定柱”开始计算VWAP,这个锚定柱是在一个用户定义的周期内成交量最大的柱。然后根据这个锚定的VWAP绘制一个通过标准差计算的包络带,反映超买超卖区域。同时结合价格的变化率(ROC)指标检测“下跌”和“上涨”形态。当检测到形态的同时CVD过滤器发出信号,就生成买入和卖出信号。这些信号可以进行切换以重复发出,或者等待当前信号退出后再发出下一个信号。
基于锚定滚动CVDVWAP的信号策略综合运用多种指标判断价格走势和买卖力度,对于发现交易机会很有帮助。但仍需谨慎使用,需要不断测试和优化以配合自身的交易策略使用。
/*backtest
start: 2022-12-28 00:00:00
end: 2023-12-28 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy('Anchored Rolling CVDVWAP Signal Strategy', overlay=true)
// User-defined settings
vwapAnchorPeriod = input.int(20, title="Rolling VWAP Anchor Period", group="Settings")
stdDevMult = input.float(2.0, title="Standard Deviation Multiplier for Envelope", group="Settings")
analysis_period = input.int(7, minval=1, maxval=100, title="Analysis Period", group="Settings")
useVwapFilter = input.bool(true, title="Use Anchored VWAP Filter", group="Filters")
useCvdFilter = input.bool(true, title="Use CVD Filter", group="Filters")
cvdLength = input.int(20, title="CVD Length", group="Filters")
tpPercent = input.float(200.0, title="Take Profit % of SL Distance", group="Trade Settings")
slPeriods = input.int(200, title="Stop Loss Lookback Period", group="Trade Settings")
toggleSignals = input.bool(false, title="Toggle Signals", group="Settings")
// Finding the anchor bar
highestVol = ta.highest(volume, vwapAnchorPeriod)
var int anchorBar = na
if volume == highestVol
anchorBar := bar_index
// Initializing variables for anchored VWAP and envelope calculation
var float avwapNumerator = na
var float avwapDenominator = na
var float anchoredVwap = na
var float sum = 0.0
var int count = 0
var float sumDev = 0.0
// Calculating Anchored VWAP and envelope
if not na(anchorBar)
if bar_index == anchorBar
avwapNumerator := high * volume + low * volume + close * volume
avwapDenominator := volume * 3
sum := 0.0
count := 0
sumDev := 0.0
else if bar_index > anchorBar
avwapNumerator := avwapNumerator[1] + high * volume + low * volume + close * volume
avwapDenominator := avwapDenominator[1] + volume * 3
sum := sum[1] + close
count := count[1] + 1
sumDev := sumDev[1] + math.pow(close - (sum / count), 2)
anchoredVwap := avwapNumerator / avwapDenominator
// Standard deviation envelope calculation
float mean = sum / math.max(count, 1)
float stDev = math.sqrt(sumDev / math.max(count, 1))
float upperBand = anchoredVwap + stdDevMult * stDev
float lowerBand = anchoredVwap - stdDevMult * stDev
// CVD calculation and filter application
cvd = ta.cum(volume - ta.sma(volume, cvdLength))
bool cvdCondition = useCvdFilter ? (cvd[1] < cvd and cvd > cvd[1]) : true
// Dip and Rip pattern detection
roc = ta.roc(close, analysis_period)
dip_move_value = input.float(-8, title="Down (%)", step=0.50, minval=-100, maxval=-0.01, group="Settings")
rip_move_value = input.float(8, title="Up (%)", step=0.50, minval=0.01, maxval=100.00, group="Settings")
dip = roc <= dip_move_value and cvdCondition and (not useVwapFilter or close < anchoredVwap)
rip = roc >= rip_move_value and cvdCondition and (not useVwapFilter or close > anchoredVwap)
// State variables for signals and TP/SL execution
var bool inTrade = false // If we are currently in a trade
var bool takeLong = false // If the last signal was a buy
var bool takeShort = false // If the last signal was a sell
var float tradeEntryPrice = na // The trade entry price
var float tradeSL = na // The current trade's Stop Loss level
var float tradeTP = na // The current trade's Take Profit level
// Setting SL and TP levels for the trade
tradeSL := dip ? ta.highest(high, slPeriods) : (rip ? ta.lowest(low, slPeriods) : tradeSL)
tradeTP := dip ? tradeEntryPrice - (tradeSL - tradeEntryPrice) * tpPercent / 100 : (rip ? tradeEntryPrice + (tradeEntryPrice - tradeSL) * tpPercent / 100 : tradeTP)
// Trade entry logic
if (dip or rip) and not inTrade
tradeEntryPrice := close
inTrade := true
takeLong := rip
takeShort := dip
// Trade exit logic at TP or SL
if inTrade and ((takeLong and (low < tradeSL or high > tradeTP)) or (takeShort and (high > tradeSL or low < tradeTP)))
inTrade := false // Exit the trade
// Display logic for signals based on the toggle
bool showLongSignal = rip and (not toggleSignals or not takeLong)
bool showShortSignal = dip and (not toggleSignals or not takeShort)
// Reset signals if toggle is active and trade is exited
if toggleSignals and not inTrade
takeLong := true
takeShort := true
// Strategy entry and exit logic
if showLongSignal
strategy.entry("Long", strategy.long)
if showShortSignal
strategy.close("Long")
if showShortSignal
strategy.entry("Short", strategy.short)
if showLongSignal
strategy.close("Short")
// Plotting of entry signals, anchored VWAP, and envelope
plot(upperBand, title="Upper Envelope", color=color.green)
plot(lowerBand, title="Lower Envelope", color=color.red)
plot(anchoredVwap, title="Anchored VWAP", color=color.blue)
// Coloring and shapes for Dip and Rip
barcolor(dip ? color.rgb(255, 0, 0) : na, title="Down Bar Color")
bgcolor(dip ? color.rgb(255, 0, 0, 80) : na, title="Down Background Color")
plotshape(dip, title="Dip - Down", location=location.top, color=color.rgb(255, 82, 82, 45), style=shape.square, size=size.tiny)
barcolor(rip ? color.rgb(0, 255, 0) : na, title="Up Bar Color")
bgcolor(rip ? color.rgb(0, 255, 0, 80) : na, title="Up Background Color")
plotshape(rip, title="Rip - Up", location=location.top, color=color.rgb(76, 175, 79, 55), style=shape.square, size=size.tiny)
// Strategy exit conditions for TP and SL
strategy.exit("Take Profit Long", from_entry = "Long", limit = tradeTP)
strategy.exit("Stop Loss Long", from_entry = "Long", stop = tradeSL)
strategy.exit("Take Profit Short", from_entry = "Short", limit = tradeTP)
strategy.exit("Stop Loss Short", from_entry = "Short", stop = tradeSL)