多因子回归与动态价格带策略的量化交易系统

RSI ATR BETA SMA
创建日期: 2025-01-17 15:57:53 最后修改: 2025-01-17 15:57:53
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多因子回归与动态价格带策略的量化交易系统

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

  1. 多因子整合:综合考虑多个市场因子,提供全面的市场视角。
  2. 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。
  3. 完善的风险控制:多层次的风险管理确保资金安全。
  4. 灵活可配置:大量参数可调,易于根据不同市场特点优化。
  5. 信号可靠性高:多重过滤机制提高信号质量。

策略风险

  1. 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。
  2. 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。
  3. 计算复杂度:多因子计算较为复杂,可能影响实时性能。
  4. 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

  1. 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。
  2. 动态参数调整:开发自适应参数调整机制,提高策略适应性。
  3. 机器学习增强:引入机器学习方法优化预测模型。
  4. 信号过滤增强:开发更多信号过滤条件提高准确率。
  5. 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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