该策略结合了价格和交易量的信号,以及斐波那契回撤水平,在15分钟和45分钟的时间框架内产生买卖信号。策略使用了多个移动平均线(MA)作为趋势和动量的指标,包括简单移动平均线(SMA)和指数移动平均线(EMA)。此外,还使用了斐波那契回撤水平作为潜在的进场点。该策略的主要目标是在价格和交易量出现显著变化时及时捕捉买卖机会。
该策略通过结合价格、交易量和斐波那契回撤水平,在多个时间框架内产生买卖信号。策略的优势在于综合考虑了多个市场要素,并使用了多个MA和EMA作为辅助指标。然而,策略在震荡市场中可能产生过多的交易信号,并且依赖于历史数据计算的指标,因此需要进一步优化以提高其适应性和可靠性。优化方向包括引入趋势强度指标、优化参数、结合其他技术指标以及引入风险管理措施等。
/*backtest
start: 2023-05-28 00:00:00
end: 2024-06-02 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy(title="Buy/Sell with Volume and Candlestick Signals", overlay=true)
// Fibonacci Retracement Levels
var float[] fibonacciLevels = array.new_float(5)
array.set(fibonacciLevels, 2, 0.47)
array.set(fibonacciLevels, 3, 0.658)
array.set(fibonacciLevels, 4, 0.886)
// Calculate Fibonacci Retracement Levels
fibonacciRetrace(highLevel, lowLevel) =>
priceRange = highLevel - lowLevel
retracementLevels = array.new_float(0)
for i = 0 to array.size(fibonacciLevels) - 1
level = highLevel - array.get(fibonacciLevels, i) * priceRange
array.push(retracementLevels, level)
retracementLevels
fibRetracementValues = fibonacciRetrace(high, low)
fibRetracement = ta.sma(close, 21)
plot(fibRetracement, color=color.purple, title="Fibonacci Retracement")
// Define inputs
fast_ma = input.int(title="Fast MA Period", defval=10)
short_sma_10 = input.int(title="Short SMA 10 Period", defval=10)
short_sma_60 = input.int(title="Short SMA 60 Period", defval=60)
slow_ma = input.int(title="Slow MA Period", defval=30)
ema1Length = input.int(title="EMA 1 Length", defval=3)
fast_ma_9 = input.int(title="Fast MA 9", defval=9)
// Define indicators
fast_ma_val = ta.sma(close, fast_ma)
short_sma_10_val = ta.sma(close, short_sma_10)
short_sma_60_val = ta.sma(close, short_sma_60)
slow_ma_val = ta.sma(close, slow_ma)
up_trend = fast_ma_val > slow_ma_val
down_trend = fast_ma_val < slow_ma_val
volume_up = volume > ta.sma(volume, 20)
volume_down = volume < ta.sma(volume, 20)
// Calculate accuracy values
fast_ema_val = ta.ema(close, fast_ma)
slow_ema_val = ta.ema(close, slow_ma)
ema1_val = ta.ema(close, ema1Length)
fast_ma_9_val = ta.sma(close, fast_ma_9)
ema7_val = ta.ema(close, 7)
accuracy = ta.crossover(close, slow_ma_val) ? fast_ema_val : slow_ema_val
// Define lines
plot(up_trend ? fast_ma_val : na, color=color.green, linewidth=2, title="Up Trend")
plot(down_trend ? fast_ma_val : na, color=color.red, linewidth=2, title="Down Trend")
plot(volume_up ? fast_ma_val : na, color=color.green, linewidth=2, title="Volume Up")
plot(volume_down ? fast_ma_val : na, color=color.red, linewidth=2, title="Volume Down")
plot(accuracy, color=color.yellow, linewidth=1, title="Accuracy Line")
plot(ema1_val, color=color.purple, linewidth=1, title="EMA 1")
plot(fast_ma_9_val, color=color.orange, linewidth=1, title="Fast MA 9")
plot(ema7_val, color=color.blue, linewidth=1, title="EMA 7")
plot(short_sma_60_val, color=color.red, linewidth=1, title="Short SMA 60")
hline(0, color=color.gray, linestyle=hline.style_dotted, title="Zero Line")
// Buy/Sell Signals
buySignal = ta.crossunder(short_sma_60_val, accuracy)
sellSignal = ta.crossover(short_sma_60_val, accuracy)
// Exit Signals
exitLongSignal = ta.crossunder(fast_ma_9_val, ema7_val)
exitShortSignal = ta.crossover(fast_ma_9_val, ema7_val)
// Plot Buy/Sell Signals
plotshape(buySignal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="Buy")
plotshape(sellSignal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="Sell")
if exitLongSignal
strategy.close("Buy")
if exitShortSignal
strategy.close("Sell")
if buySignal
strategy.entry("Enter Long", strategy.long)
else if sellSignal
strategy.entry("Enter Short", strategy.short)