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震盪指標

2-Period RSI strategy (with filter)2-period RSI strategy backtest described in several books of the trader Larry Connors . This strategy uses a 2 periods RSI , one slow arithmetic moving average and one fast arithmetic moving average. Entry signal: - RSI 2 value below oversold level (Larry Connors usually sets oversold to be below 5, but other authors prefer to work below 10 due to the higher number of signals). - Closing above the slow average (200 periods). - Entry at closing of candle or opening of next candle. Exit signal: - Occurs when the candlestick closes above the fast average (the most common fast average is 5 periods, but some traders also suggest the 10 period average). Entry Filter (modification made by me): - Applied an RSI2 arithmetic moving average to smooth out oscillations. - Entered only when RSI2 is below oversold level and RSI2 moving average is below 30. * NOTE: In the stocks that I evaluate daily the averages of 4 and 6 periods work very well as a filter. Comments: This strategy works very well in Daily charts but can be applied in other chart times as well. As this is a strategy to catch market fluctuations, it presents different results with different stocks. I have been applying this strategy to the stocks of the Brazilian market (BOVESPA) and have enjoyed the result. Every day I evaluate the stocks that are generating entry signals and choose which one to trade based on the stocks with the highest Profit Value. The RSI 2 averaging filter probably will reduce profit of the backtests because reduces the number of signals, but the Profit Value will usually increase. For me this was a good thing because without the filter, this strategy usually shows more signals than I have capital to allocate. Before entering a trade I look at which fast average the paper has the highest Profit Value and then I use this average as my output signal for that trade (this change has greatly improved the result of the outputs). This strategy does not use Stop Loss because normally Stop Loss decreases effectiveness (profit). In any case, the option to apply a percentage Stop Loss if desired is added in the script. As the strategy does not use stop, extra caution with risk management is advisable. I advise not to allocate more than 20% of the trade capital in the same operation. I'm still studying ways to improve this strategy, but so far this is the best setup I've found. Suggestions are always welcome and we can test to see if they improve the backtest result. Good luck and good trades. ================================================ Backtest das estratégia do IFR de 2 períodos descrita em varios livros do trader Larry Connors . Esta estratégia usa um IFR de 2 períodos, uma média movel aritmética lenta e uma média movel aritmética rápida. Sinal de entrada: - Valor do IFR 2 abaixo do nível de sobrevenda (Larry Connors usualmente define sobrevenda sendo abaixo de 5, mas outros autores preferem trabalhar abaixo de 10 devido ao maior número de sinais). - Fechamento acima da média lenta (200 períodos). - Realizado a compra no fechamento do candle ou na abertura do candle seguinte. Sinal de saída: - Ocorre quando o candle fecha acima da média rápida (a média rápida mais comum é a de 5 períodos, mas alguns traders sugerem também a média de 10 períodos). Filtro para entrada (modificação feita por mim): - Aplicado uma média móvel aritmética do IFR2 para suavisar as oscilações. - Realizado a entrada apenas quando o IFR2 está abaixo do nível de sobrevenda e a média móvel do IFR2 está abaixo de 30. *OBS: nos ativos que avalio diariamente as médias de 4 e 6 períodos funcionam muito bem como filtro. Comentários: Esta estratégia funciona muito bem no tempo gráfico Diário mas pode ser aplicada tambem em outros tempos gráficos. Como trata-se de uma estratégia para pegar oscilações do mercado, ela apresenta diferentes resultados com diferentes ativos. Eu venho aplicando esta estratégia nos ativos do mercado brasileiro (BOVESPA) e tenho gostado do resultado. Diariamente eu avalio os papeis que estão gerando entrada e escolho qual irei realizar o trade baseado nos papeis que apresentam maior Profit Value. O filtro da média do IFR 2 reduz o lucro nos backtests pois reduz também a quantidade de sinais, mas em compensação o Profit Value irá normalmente aumentar. Para mim isto foi algo positivo pois, sem o filtro, normalmente esta estratégia apresenta mais sinais do que possuo capital para alocar. Antes de entrar em um trade eu olho em qual média rápida o papel apresenta maior Profit Value e então eu utilizo está média como meu sinal de saída para aquele trade (esta mudança tem melhorado bastante o resultado das saídas). Está estratégia não utiliza Stop Loss pois normalmente o Stop Loss diminui a eficácia (lucro). De qualquer maneira, foi acrescentado no script a opção de aplicar um Stop Loss percentual caso seja desejado. Como a estratégia não utiliza stop é aconselhável um cuidado redobrado com o gerenciamento de risco. Eu aconselho não alocar mais de 20% do capital de trade em uma mesma operação. Ainda estou estudando formas de melhorar esta estratégia, mas até o momento está é a melhor configuração que encontrei. Sugestões são sempre bem vindas e podemos testar para verificar se melhoram o resultado do backtest. Boa sorte e bons trades.
Pine Script™策略
由Tomazetti提供
12
Combo Backtest 123 Reversal & Chande Forecast Oscillator This is combo strategies for get a cumulative signal. First strategy This System was created from the Book "How I Tripled My Money In The Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. The strategy buys at market, if close price is higher than the previous close during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. The strategy sells at market, if close price is lower than the previous close price during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. Second strategy The Chande Forecast Oscillator developed by Tushar Chande The Forecast Oscillator plots the percentage difference between the closing price and the n-period linear regression forecasted price. The oscillator is above zero when the forecast price is greater than the closing price and less than zero if it is below. WARNING: - For purpose educate only - This script to change bars colors.
Pine Script™策略
由HPotter提供
2
Combo Backtest 123 Reversal & Chaikin Volatility This is combo strategies for get a cumulative signal. First strategy This System was created from the Book "How I Tripled My Money In The Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. The strategy buys at market, if close price is higher than the previous close during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. The strategy sells at market, if close price is lower than the previous close price during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. Second strategy Chaikin's Volatility indicator compares the spread between a security's high and low prices. It quantifies volatility as a widening of the range between the high and the low price. You can use in the xPrice1 and xPrice2 any series: Open, High, Low, Close, HL2, HLC3, OHLC4 and ect... WARNING: - For purpose educate only - This script to change bars colors.
Pine Script™策略
由HPotter提供
5
Bilateral Stochastic Oscillator StrategyIntroduction Strategy based on the bilateral stochastic oscillator, this oscillator aim to detect trends and possible reversal points of the current trend. The oscillator is composed of 1 bull line in blue and 1 bear line in red as well as a signal line in orange, the strategy have many options such as two different strategy framework and a martingale mode. If you require more information about the indicator go check it into my uploaded indicators. Strategy Frameworks There are two frameworks available that can be selected from the strategy settings window. Both have the same closing conditions, the "Bull/Bear Cross" entry conditions are : Buy : when the bull line cross over the bear line Sell : when the bear line cross over the bull line The "Signal Cross" entry conditions are : Buy : when the bull line cross over the signal line Sell : when the bear line cross over the signal line Both have the same close conditions that is : close when bull/bear cross under the signal line. Introduction To Martingale The martingale money management system consist to double the order size after a loosing trade and can be described as a 2^x where x is the current number of loosing trades since the last win trade, when we win a trade the order size return to the default order size. Therefore our order size function is based on exponential growth. This system enable the trader to win back his previous losses plus a potential profit, martingales must always be used with stops and sometimes take profits in order to get control in a strategy. It must always be taken into account that in a series of losses the balance can exponentially decay thus ending to 0 in a matter of trades, this is why it is not recommended to use such system. The strategy allow you to select a martingale multiplier that can be inferior to 2 thus limiting risks, a multiplied of 1 disable the martingale. Results Those are the some statistics of the strategy applied to some forex majors by using the default settings in a time frames of 15 minutes. //------------------------------------------------------- EURUSD - Order Size 1000 - Spread 0.0002 Profit : $ 21.08 Trades : 19 PP : 57.89 % Profit Factor : 3.228 Max Drawdown : -$ 3.81 Average Trade : $ 1.11 //------------------------------------------------------- GBPUSD - Order Size 1000 - Spread 0.0002 Profit : $ 2.31 Trades : 20 PP : 55 % Profit Factor : 0.938 Max Drawdown : -$ 20.29 Average Trade : $ 0.12 //------------------------------------------------------- EURAUD - Order Size 1000 - Spread 0.0002 Profit : -$ 9.22 Trades : 20 PP : 40 % Profit Factor : 0.698 Max Drawdown : -$ 23.44 Average Trade : $ 0.46 //------------------------------------------------------- EURCHF - Order Size 1000 - Spread 0.0002 Profit : $ 1.58 Trades : 24 PP : 54.17 % Profit Factor : 1.103 Max Drawdown : -$ 7.23 Average Trade : $ 0.07 //------------------------------------------------------- Conclusions Based on the results the strategy does not posses the sufficient performance in order to apply a martingale or any other growth systems as order size. Parameters might be subject to drastic changes depending on the market/time-frame in order to return long-term positive results. I let you draw your conclusions.
Pine Script™策略
由alexgrover提供
3
Strategy JMA(7,50,RSI) crossing RSI(14,close)Hello, i would like to submit a script dealing with Jurik Moving Average Crossing RSI . Also to avoid false positive, i made a test with long/short positions and entry/closing prices but unfortunately it's not working. I may be too noob to Pine. If you have some ideas to refactor / improve / make this section works: // ======= DEBUGGGGGGGG ============ long_price = 0.0 short_price = 0.0 if(startTime and endTime) if(goLong()) long_price := close strategy.entry("Buy", strategy.long, when = goLong()) strategy.close("Buy", when = killLong() and close > long_price) // Shorting if using goShort() => killLong() killShort() => goLong() if(startTime and endTime) if(goShort()) short_price := close strategy.entry("Sell", strategy.short, when = goShort() and close < short_price) strategy.close("Sell", when = killShort()) // ========================= Thanks,
Pine Script™策略
由cryptrololo提供
7
Combo Backtest 123 Reversal & Center Of Gravity This is combo strategies for get a cumulative signal. First strategy This System was created from the Book "How I Tripled My Money In The Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. The strategy buys at market, if close price is higher than the previous close during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. The strategy sells at market, if close price is lower than the previous close price during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. Second strategy The indicator is based on moving averages. On the basis of these, the "center" of the price is calculated, and price channels are also constructed, which act as corridors for the asset quotations. WARNING: - For purpose educate only - This script to change bars colors.
Pine Script™策略
由HPotter提供
2
Combo Strategy 123 Reversal & CCI This is combo strategies for get a cumulative signal. First strategy This System was created from the Book "How I Tripled My Money In The Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. The strategy buys at market, if close price is higher than the previous close during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. The strategy sells at market, if close price is lower than the previous close price during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. Second strategy The Commodity Channel Index (CCI) is best used with markets that display cyclical or seasonal characteristics, and is formulated to detect the beginning and ending of these cycles by incorporating a moving average together with a divisor that reflects both possible and actual trading ranges. The final index measures the deviation from normal, which indicates major changes in market trend. To put it simply, the Commodity Channel Index (CCI) value shows how the instrument is trading relative to its mean (average) price. When the CCI value is high, it means that the prices are high compared to the average price; when the CCI value is down, it means that the prices are low compared to the average price. The CCI value usually does not fall outside the -300 to 300 range and, in fact, is usually in the -100 to 100 range. WARNING: - For purpose educate only - This script to change bars colors.
Pine Script™策略
由HPotter提供
Double 7's StrategyStrategy described in the book "Short Term Trading Strategies that Work", written by Larry Connors and Cesar Alvarez. It is the simplest strategy I know and has only 3 rules: - Price must be above the arithmetic moving average of 200 periods. - Buy when the price closes below the closing of the last 7 days. - Sale when the price closes above the closing of the last 7 days. Simple as it may seem, this strategy works very well in some stocks and/or graphical times (in some stocks it overcomes many RSI 2 strategies). It was developed for the daily chart and does not usually work well on weekly or monthly charts, but can be used for day trades if the back-test proves to be favorable. If you want, you can change the input and output rules by setting other values ​​for the input or output period and thus find more positive results for specific stocks. There is no stop loss because in tests the stop loss usually reduces the gains of the strategy. Good luck and good trades. ================================ Estrategia descrita no livro "Short Term Trading Strategies that Work", escrito por Larry Connors e Cesar Alvarez. É a estratégia mais simples que eu conheço e tem apenas 3 regras: - Preço deve estar acima da média móvel aritmética de 200 períodos. - Compre quando o preço fechar abaixo do fechamento dos ultimos 7 dias. - Venda quando o preço fechar acima do fechamento dos ultimos 7 dias. Por mais simples que pareça, esta estratégia funciona muito bem em alguns papeis e/ou tempos gráficos (em alguns papeis a mesma supera muitas estratégias pelo IFR2). A mesma foi desenvolvida para o gráfico diário e normalmente não funciona muito bem em gráficos semanais ou mensais, mas pode ser utilizado no intraday caso o backtest se mostre favorável. Caso você queira, é possível alterar a regra de entrada e saída definindo outros valores para o período de entrada ou saída e assim encontrar resultados mais positivos para cada papel. Não existe stop loss pois nos testes normalmente o stop loss reduz os ganhos da estratégia. Boa sorte e bons trades.
Pine Script™策略
由Tomazetti提供
8