This strategy is a quantitative trading strategy based on P-Signal indicator calculated by Gaussian error function to measure price changes. It uses P-Signal to determine price trend and turning points for entries and exits.
The core indicator of this strategy is P-Signal. The calculation formula of P-Signal is:
fPSignal(ser, int) =>
nStDev = stdev(ser, int)
nSma = sma(ser, int)
fErf(nStDev > 0 ? nSma/nStDev/sqrt(2) : 1.0)
Here ser represents the price series, int represents the parameter nPoints, which is the number of bars to look back. This formula consists of three parts:
The meaning of the whole formula is to take the moving average of price divided by the standard deviation of price, then divided by sqrt(2) for standardization, and finally mapped to (-1, 1) range by the Gaussian error function. That is, if the price fluctuation is greater than the average, P-Signal is close to 1; if the price fluctuation is less than the average, P-Signal is close to -1.
The strategy uses the value of P-Signal and the sign of its change to determine entries and exits:
strategy.entry("long", strategy.long, 1, when = nPSignal < 0 and ndPSignal > 0)
strategy.close("long", when = nPSignal > 0 and ndPSignal < 0)
It goes long when P-Signal is less than 0 and change to positive. It closes position when P-Signal is greater than 0 and change to negative.
The advantages of this strategy include:
There are also some risks with this strategy:
To reduce those risks, some measures can be taken into consideration: adding filters to reduce trade frequency; optimizing parameter combination and transaction costs setting; live testing and choosing suitable products.
There is room for further enhancement:
In conclusion, the core idea of this strategy is innovative, fitting price distribution with Gaussian function and automatically adjusting parameters. But as a high frequency trading strategy, it requires further testing and optimization on risk control and parameter tuning before stable profitability in live trading, especially as a high frequency trading strategy.
/*backtest start: 2023-01-12 00:00:00 end: 2024-01-18 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/ // P-Signal Strategy © Kharevsky // @version=4 // ********************************************************************************************************** strategy("P-Signal Strategy", precision = 3) // Parameters and const of P-Signal. nPoints = input(title = "Number of Bars", type = input.integer, defval = 9, minval = 4, maxval = 100, group = "Parameters of observation.") int nIntr = nPoints - 1 // Horner's method for the error (Gauss) & P-Signal functions. fErf(x) => nT = 1.0/(1.0 + 0.5*abs(x)) nAns = 1.0 - nT*exp(-x*x - 1.26551223 + nT*( 1.00002368 + nT*( 0.37409196 + nT*( 0.09678418 + nT*(-0.18628806 + nT*( 0.27886807 + nT*(-1.13520398 + nT*( 1.48851587 + nT*(-0.82215223 + nT*( 0.17087277 )))))))))) x >= 0 ? nAns : -nAns fPSignal(ser, int) => nStDev = stdev(ser, int) nSma = sma(ser, int) fErf(nStDev > 0 ? nSma/nStDev/sqrt(2) : 1.0) // Strat. float nPSignal = sma(fPSignal(change(ohlc4), nIntr), nIntr) float ndPSignal = sign(nPSignal[0] - nPSignal[1]) strategy.entry("long", strategy.long, 1, when = nPSignal < 0 and ndPSignal > 0) strategy.close("long", when = nPSignal > 0 and ndPSignal < 0) // Plotting. hline(+1.0, color = color.new(color.orange,70), linestyle = hline.style_dotted) hline(-1.0, color = color.new(color.orange,70), linestyle = hline.style_dotted) plot(nPSignal, color = color.blue, style = plot.style_line) plot(strategy.position_size, color = color.white, style = plot.style_cross) // Alerts. if(strategy.position_size[0] > strategy.position_size[1]) alert("P-Signal strategy opened the long position: " + syminfo.tickerid + " " + timeframe.period, alert.freq_once_per_bar) if(strategy.position_size[0] < strategy.position_size[1]) alert("P-Signal strategy closed the long position: " + syminfo.tickerid + " " + timeframe.period, alert.freq_once_per_bar) // The end.template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6