ChaoZhang
概述
本策略是一个基于多因子回归与动态价格带的量化交易系统。核心逻辑是通过多因子回归模型预测价格走势,结合BTC主导地位、交易量、滞后价格等多个市场因子,构建上下价格带用于信号生成。策略集成了异常值过滤、动态仓位管理、移动止损等多个风险管理模块,是一个全面且稳健的交易系统。
策略原理
策略主要包含以下核心组件: 1. 回归预测模块:使用多因子线性回归模型预测价格。因子包括BTC主导地位、交易量、价格滞后项、交互项等。通过计算各因子的beta系数来衡量其对价格的影响程度。 2. 动态价格带:基于预测价格和残差标准差构建上下价格带,用于识别超买超卖。 3. 信号生成:当价格突破下轨且RSI超卖时产生做多信号;突破上轨且RSI超买时产生做空信号。 4. 风险管理:包含异常值过滤(Z分数法)、止损止盈、ATR移动止损等多重保护机制。 5. 动态仓位:基于ATR和预设风险比例动态调整开仓规模。
策略优势
- 多因子整合:综合考虑多个市场因子,提供全面的市场视角。
- 自适应性强:价格带会根据市场波动动态调整,适应不同市场环境。
- 完善的风险控制:多层次的风险管理确保资金安全。
- 灵活可配置:大量参数可调,易于根据不同市场特点优化。
- 信号可靠性高:多重过滤机制提高信号质量。
策略风险
- 模型风险:回归模型依赖历史数据,在市场剧烈变化时可能失效。
- 参数敏感性:众多参数需要精心调优,参数设置不当会影响策略表现。
- 计算复杂度:多因子计算较为复杂,可能影响实时性能。
- 市场环境依赖:在震荡市场中表现可能优于趋势市场。
策略优化方向
- 因子选择优化:可以引入更多市场因子,如市场情绪指标、链上数据等。
- 动态参数调整:开发自适应参数调整机制,提高策略适应性。
- 机器学习增强:引入机器学习方法优化预测模型。
- 信号过滤增强:开发更多信号过滤条件提高准确率。
- 组合策略整合:与其他策略组合使用提高稳定性。
总结
该策略是一个理论扎实、设计完善的量化交易系统。通过多因子回归模型预测价格,结合动态价格带生成交易信号,配备全面的风险管理机制。策略具有较强的适应性和可配置性,适合各种市场环境。通过持续优化和改进,该策略有望在实盘交易中取得稳定收益。
策略源码
/*backtest
start: 2024-12-17 00:00:00
end: 2025-01-16 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":49999}]
*/
//@version=5
strategy( title = "CorrAlgoX", overlay = true,pyramiding = 1, initial_capital = 10000, default_qty_type= strategy.percent_of_equity, default_qty_value=200)
//====================================================================
//=========================== GİRİŞLER ================================
//====================================================================
// --- (1) REGRESYON VE OUTLIER AYARLARI
int lengthReg = input.int(300, "Regression Window", minval=50)
bool useOutlierFilter = input.bool(false, "Z-skoru ile Outlier Filtrele")
// --- (2) FİYAT GECİKMELERİ
bool usePriceLag2 = input.bool(false, "2 Bar Gecikmeli Fiyatı Kullan")
// --- (3) STOP-LOSS & TAKE-PROFIT
float stopLossPerc = input.float(3.0, "Stop Loss (%)", step=0.1)
float takeProfitPerc = input.float(5.0, "Take Profit (%)", step=0.1)
// --- (4) REZİDÜEL STD BANTI
int lengthForStd = input.int(50, "StdDev Length (residual)", minval=2)
float stdevFactor = input.float(2.0, "Stdev Factor", step=0.1)
// --- (5) RSI FİLTRESİ
bool useRsiFilter = input.bool(true, "RSI Filtresi Kullan")
int rsiLen = input.int(14, "RSI Length", minval=1)
float rsiOB = input.float(70, "RSI Overbought", step=1)
float rsiOS = input.float(30, "RSI Oversold", step=1)
// --- (6) TRAILING STOP
bool useTrailingStop = input.bool(false, "ATR Tabanlı Trailing Stop")
int atrLen = input.int(14, "ATR Length", minval=1)
float trailMult = input.float(1.0, "ATR multiplier", step=0.1)
// --- (7) DİNAMİK POZİSYON BÜYÜKLÜĞÜ (ATR tabanlı)
bool useDynamicPos = input.bool(false, "Dinamik Pozisyon Büyüklüğü Kullan")
float capitalRiskedPerc = input.float(1.0, "Sermaye Risk Yüzdesi", step=0.1, tooltip="Her işlemde risk alınacak sermaye yüzdesi")
// --- (8) ETKİLEŞİM VE LOG(HACİM) KULLANIMI
bool useSynergyTerm = input.bool(true, "BTC.D * Hacim Etkileşim Terimi")
bool useLogVolume = input.bool(true, "Hacmi Logaritmik Kullan")
//====================================================================
//======================= VERİLERİ AL & HAZIRLA =======================
//====================================================================
// Mevcut enstrüman fiyatı
float realClose = close
// BTC Dominance (aynı TF)
float btcDom = request.security("SWAP", timeframe.period, close)
// Hacim
float vol = volume
// Gecikmeli fiyatlar
float priceLag1 = close[1]
float priceLag2 = close[2] // (isteğe bağlı)
//----------------- Outlier Filtrelemesi (Z-Skoru) ------------------//
float priceMean = ta.sma(realClose, lengthReg)
float priceStdev = ta.stdev(realClose, lengthReg)
float zScore = (priceStdev != 0) ? (realClose - priceMean) / priceStdev : 0
bool isOutlier = math.abs(zScore) > 3.0
float filteredClose = (useOutlierFilter and isOutlier) ? na : realClose
// Fiyatın stdev'i (filtrelenmiş)
float fCloseStdev = ta.stdev(filteredClose, lengthReg)
//====================================================================
//=============== ORTALAMA, STDEV, KORELASYON HESAPLARI ==============
//====================================================================
// BTC.D
float btcDomMean = ta.sma(btcDom, lengthReg)
float btcDomStdev = ta.stdev(btcDom, lengthReg)
float corrBtcDom = ta.correlation(btcDom, filteredClose, lengthReg)
// Hacim
float volMean = ta.sma(vol, lengthReg)
float volStdev = ta.stdev(vol, lengthReg)
float corrVol = ta.correlation(vol, filteredClose, lengthReg)
// Fiyat Lag1
float plag1Mean = ta.sma(priceLag1, lengthReg)
float plag1Stdev = ta.stdev(priceLag1, lengthReg)
float corrPLag1 = ta.correlation(priceLag1, filteredClose, lengthReg)
// Fiyat Lag2 (isteğe bağlı)
float plag2Mean = ta.sma(priceLag2, lengthReg)
float plag2Stdev = ta.stdev(priceLag2, lengthReg)
float corrPLag2 = ta.correlation(priceLag2, filteredClose, lengthReg)
// BTC.D * Hacim (synergyTerm)
float synergyTerm = btcDom * vol
float synergyMean = ta.sma(synergyTerm, lengthReg)
float synergyStdev = ta.stdev(synergyTerm, lengthReg)
float corrSynergy = ta.correlation(synergyTerm, filteredClose, lengthReg)
// Log(Hacim)
float logVolume = math.log(vol + 1.0)
float logVolMean = ta.sma(logVolume, lengthReg)
float logVolStdev = ta.stdev(logVolume, lengthReg)
float corrLogVol = ta.correlation(logVolume, filteredClose, lengthReg)
//====================================================================
//===================== FONKSIYON: BETA HESAPLAMA =====================
//====================================================================
// Pine Script'te fonksiyonlar şöyle tanımlanır (tip bildirmeyiz):
getBeta(corrVal, stdevX) =>
(stdevX != 0 and not na(corrVal) and fCloseStdev != 0)? corrVal * (fCloseStdev / stdevX) : 0.0
//====================================================================
//======================== BETA KATSAYILARI ===========================
//====================================================================
// BTC Dominance
float betaBtcDom = getBeta(corrBtcDom, btcDomStdev)
// Hacim
float betaVol = getBeta(corrVol, volStdev)
// Fiyat Lag1
float betaPLag1 = getBeta(corrPLag1, plag1Stdev)
// Fiyat Lag2
float betaPLag2 = getBeta(corrPLag2, plag2Stdev)
// synergy
float betaSynergy = getBeta(corrSynergy, synergyStdev)
// logVol
float betaLogVol = getBeta(corrLogVol, logVolStdev)
//====================================================================
//===================== TAHMİNİ FİYAT OLUŞTURMA ======================
//====================================================================
float alpha = priceMean
bool canCalc = not na(filteredClose) and not na(priceMean)
float predictedPrice = na
if canCalc
// Farklar
float dBtcDom = (btcDom - btcDomMean)
float dVol = (vol - volMean)
float dPLag1 = (priceLag1 - plag1Mean)
float dPLag2 = (priceLag2 - plag2Mean)
float dSynergy = (synergyTerm - synergyMean)
float dLogVol = (logVolume - logVolMean)
float sumBeta = 0.0
sumBeta += betaBtcDom * dBtcDom
sumBeta += betaVol * dVol
sumBeta += betaPLag1 * dPLag1
if usePriceLag2
sumBeta += betaPLag2 * dPLag2
if useSynergyTerm
sumBeta += betaSynergy * dSynergy
if useLogVolume
sumBeta += betaLogVol * dLogVol
predictedPrice := alpha + sumBeta
//====================================================================
//======================= REZİDÜEL & BANT ============================
//====================================================================
float residual = filteredClose - predictedPrice
float residStdev = ta.stdev(residual, lengthForStd)
float upperBand = predictedPrice + stdevFactor * residStdev
float lowerBand = predictedPrice - stdevFactor * residStdev
//====================================================================
//========================= SİNYAL ÜRETİMİ ===========================
//====================================================================
bool longSignal = (realClose < lowerBand)
bool shortSignal = (realClose > upperBand)
//------------------ RSI Filtresi (opsiyonel) -----------------------//
float rsiVal = ta.rsi(realClose, rsiLen)
bool rsiOversold = (rsiVal < rsiOS)
bool rsiOverbought = (rsiVal > rsiOB)
if useRsiFilter
longSignal := longSignal and rsiOversold
shortSignal := shortSignal and rsiOverbought
//====================================================================
//=============== DİNAMİK POZİSYON & GİRİŞ/ÇIKIŞ EMİRLERİ ============
//====================================================================
float myAtr = ta.atr(atrLen)
float positionSize = na
if useDynamicPos
float capitalRisked = strategy.equity * (capitalRiskedPerc / 100.0)
float riskPerUnit = (stopLossPerc/100.0) * myAtr
positionSize := (riskPerUnit != 0.0) ? (capitalRisked / riskPerUnit) : na
// Long
if longSignal
if useDynamicPos and not na(positionSize)
strategy.entry("Long", strategy.long, qty=positionSize)
else
strategy.entry("Long", strategy.long)
// Short
if shortSignal
if useDynamicPos and not na(positionSize)
strategy.entry("Short", strategy.short, qty=positionSize)
else
strategy.entry("Short", strategy.short)
// Stop-Loss & Take-Profit
if strategy.position_size > 0
strategy.exit( "Long Exit", "Long",stop = strategy.position_avg_price * (1 - stopLossPerc/100), limit = strategy.position_avg_price * (1 + takeProfitPerc/100))
if strategy.position_size < 0
strategy.exit("Short Exit", "Short", stop = strategy.position_avg_price * (1 + stopLossPerc/100),limit = strategy.position_avg_price * (1 - takeProfitPerc/100))
//------------------ TRAILING STOP (opsiyonel) ----------------------//
if useTrailingStop
if strategy.position_size > 0
strategy.exit( "Long Exit TS", "Long", trail_points = myAtr * trailMult, trail_offset = myAtr * trailMult )
if strategy.position_size < 0
strategy.exit( "Short Exit TS", "Short", trail_points = myAtr * trailMult, trail_offset = myAtr * trailMult)
//====================================================================
//======================== GRAFİK ÇİZİMLER ===========================
//====================================================================
plot(realClose, color=color.white, linewidth=1, title="Fiyat")
plot(predictedPrice, color=color.yellow, linewidth=2, title="PredictedPrice")
plot(upperBand, color=color.red, linewidth=1, title="Üst Band")
plot(lowerBand, color=color.lime, linewidth=1, title="Alt Band")
plotshape( useOutlierFilter and isOutlier, style=shape.circle, color=color.red, size=size.tiny, location=location.abovebar, title="Outlier", text="Outlier")
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