Black Friday최대 80% 싸게

지표 및 전략

FluxVector Liquidity Universal Trendline FluxVector Liquidity Trendline FFTL Summary in one paragraph FFTL is a single adaptive trendline for stocks ETFs FX crypto and indices on one minute to daily. It fires only when price action pressure and volatility curvature align. It is original because it fuses a directional liquidity pulse from candle geometry and normalized volume with realized volatility curvature and an impact efficiency term to modulate a Kalman like state without ATR VWAP or moving averages. Add it to a clean chart and use the colored line plus alerts. Shapes can move while a bar is open and settle on close. For conservative alerts select on bar close. Scope and intent • Markets. Major FX pairs index futures large cap equities liquid crypto top ETFs • Timeframes. One minute to daily • Default demo used in the publication. SPY on 30min • Purpose. Reduce false flips and chop by gating the line reaction to noise and by using a one bar projection • Limits. This is a strategy. Orders are simulated on standard candles only Originality and usefulness • Unique fusion. Directional Liquidity Pulse plus Volatility Curvature plus Impact Efficiency drives an adaptive gain for a one dimensional state • Failure mode addressed. One or two shock candles that break ordinary trendlines and saw chop in flat regimes • Testability. All windows and gains are inputs • Portable yardstick. Returns use natural log units and range is bar high minus low • Protected scripts. Not used. Method disclosed plainly here Method overview in plain language Base measures • Return basis. Natural log of close over prior close. Average absolute return over a window is a unit of motion Components • Directional Liquidity Pulse DLP. Measures signed participation from body and wick imbalance scaled by normalized volume and variance stabilized • Volatility Curvature. Second difference of realized volatility from returns highlights expansion or compression • Impact Efficiency. Price change per unit range and volume boosts gain during efficient moves • Energy score. Z scores of the above form a single energy that controls the state gain • One bar projection. Current slope extended by one bar for anticipatory checks Fusion rule Weighted sum inside the energy score then logistic mapping to a gain between k min and k max. The state updates toward price plus a small flow push. Signal rule • Long suggestion and order when close is below trend and the one bar projection is above the trend • Short suggestion and flip when close is above trend and the one bar projection is below the trend • WAIT is implicit when neither condition holds • In position states end on the opposite condition What you will see on the chart • Colored trendline teal for rising red for falling gray for flat • Optional projection line one bar ahead • Optional background can be enabled in code • Alerts on price cross and on slope flips Inputs with guidance Setup • Price source. Close by default Logic • Flow window. Typical range 20 to 80. Higher smooths the pulse and reduces flips • Vol window. Typical range 30 to 120. Higher calms curvature • Energy window. Typical range 20 to 80. Higher slows regime changes • Min gain and Max gain. Raise max to react faster. Raise min to keep momentum in chop UI • Show 1 bar projection. Colors for up down flat Properties visible in this publication • Initial capital 25000 • Base currency USD • Commission percent 0.03 • Slippage 5 • Default order size method percent of equity value 3% • Pyramiding 0 • Process orders on close off • Calc on every tick off • Recalculate after order is filled off Realism and responsible publication • No performance claims • Intrabar reminder. Shapes can move while a bar forms and settle on close • Strategy uses standard candles only Honest limitations and failure modes • Sudden gaps and thin liquidity can still produce fast flips • Very quiet regimes reduce contrast. Use larger windows and lower max gain • Session time uses the exchange time of the chart if you enable any windows later • Past results never guarantee future outcomes Open source reuse and credits • None
Pine Script™ 전략
exlux의
VWAP & Band Cross Strategy v6VWAP & Band Cross Strategy v6: Script Summary This Pine Script implements a highly flexible, multi-layered trading strategy centered around the Volume Weighted Average Price (VWAP) and its associated Standard Deviation Bands. The strategy is designed to test various entry/exit models based on how the price interacts with the central VWAP line and the upper/lower volatility bands, with extensive risk management and confirmation filters. 1. Core Mechanics (VWAP & Bands) VWAP Calculation: Calculates the VWAP based on a user-defined source (default is the close price). Standard Deviation Bands: Creates upper and lower bands by calculating the standard deviation of the price (over 20 periods by default) and multiplying it by a user-defined Multiplier (default is 2.0). These bands dynamically expand and contract with volatility. Plotting: The script clearly plots the VWAP (purple), the Upper Band (green), and the Lower Band (red), with a colored fill between the bands. 2. Entry Triggers The core entry logic is based on a single, user-selected cross event between the price and the VWAP/Bands. The user can choose from six predefined entry types: Entry Type Category Entry Trigger (Long) Entry Trigger (Short) Mean Reversion Price crosses over the Lower Band. Price crosses under the Upper Band. Trend Following Price crosses over the Upper Band (Breakout). Price crosses under the Lower Band (Breakout). VWAP Cross Price crosses over the VWAP. Price crosses under the VWAP. 3. Filters and Confirmation Trades are only executed if they pass a series of optional filters, making the strategy highly customizable: Technical Confirmation (Optional): Users can enable and configure up to three additional indicators that must align with the trade direction: RSI: Price must be Oversold (for Long) or Overbought (for Short). SMMA: Price must be above the SMMA (for Long) or below (for Short). MACD: MACD line must cross the Signal line and the Histogram must be positive/negative. Time and Day Filters: Trades are restricted to a defined Entry Start/End Hour/Minute window, and only execute on user-selected Trading Days of the week. Trade Direction: Can be toggled to execute Long Only, Short Only, or Both. 4. Advanced Risk Management (Daily Limits) The strategy incorporates robust daily limits that reset at a configured Daily Reset Hour/Minute: Daily Profit/Loss Limits: If the running total of Realized PnL (closed trades) + Unrealized PnL (open position) exceeds a user-defined Daily Take Profit (in Ticks) or falls below the Daily Stop Loss (in Ticks), the strategy locks out new trades and immediately closes any open position. Max Daily Trades: Prevents the strategy from entering more than a specified number of trades per day. 5. Exit Logic The strategy exit is also highly configurable via the Exit Type setting: Fixed Ticks / ATR / Capped ATR: If one of these is selected, the script calculates a static Stop Loss and Take Profit level upon entry, using either fixed tick values or dynamic values based on the Average True Range (ATR), which are then executed using Pine Script's strategy.exit function. Cross Exits (VWAP/Bands): If selected, the position is closed when the price crosses the VWAP or a specific band in the opposite direction. End-of-Day Close: An unconditional exit that closes all open positions at a user-defined Close All Hour/Minute, regardless of profit/loss or limit status, preventing positions from being held overnight.
Pine Script™ 전략
mcward302의
Zero Lag Trend Signals (MTF) [Quant Trading] V7Overview The Zero Lag Trend Signals (MTF) V7 is a comprehensive trend-following strategy that combines Zero Lag Exponential Moving Average (ZLEMA) with volatility-based bands to identify high-probability trade entries and exits. This strategy is designed to reduce lag inherent in traditional moving averages while incorporating dynamic risk management through ATR-based stops and multiple exit mechanisms. This is a longer term horizon strategy that takes limited trades. It is not a high frequency trading and therefore will also have limited data and not > 100 trades. How It Works Core Signal Generation: The strategy uses a Zero Lag EMA (ZLEMA) calculated by applying an EMA to price data that has been adjusted for lag: Calculate lag period: floor((length - 1) / 2) Apply lag correction: src + (src - src ) Calculate ZLEMA: EMA of lag-corrected price Volatility bands are created using the highest ATR over a lookback period multiplied by a band multiplier. These bands are added to and subtracted from the ZLEMA line to create upper and lower boundaries. Trend Detection: The strategy maintains a trend variable that switches between bullish (1) and bearish (-1): Long Signal: Triggers when price crosses above ZLEMA + volatility band Short Signal: Triggers when price crosses below ZLEMA - volatility band Optional ZLEMA Trend Confirmation: When enabled, this filter requires ZLEMA to show directional momentum before entry: Bullish Confirmation: ZLEMA must increase for 4 consecutive bars Bearish Confirmation: ZLEMA must decrease for 4 consecutive bars This additional filter helps avoid false signals in choppy or ranging markets. Risk Management Features: The strategy includes multiple stop-loss and take-profit mechanisms: Volatility-Based Stops: Default stop-loss is placed at ZLEMA ± volatility band ATR-Based Stops: Dynamic stop-loss calculated as entry price ± (ATR × multiplier) ATR Trailing Stop: Ratcheting stop-loss that follows price but never moves against position Risk-Reward Profit Target: Take-profit level set as a multiple of stop distance Break-Even Stop: Moves stop to entry price after reaching specified R:R ratio Trend-Based Exit: Closes position when price crosses EMA in opposite direction Performance Tracking: The strategy includes optional features for monitoring and analyzing trades: Floating Statistics Table: Displays key metrics including win rate, GOA (Gain on Account), net P&L, and max drawdown Trade Log Labels: Shows entry/exit prices, P&L, bars held, and exit reason for each closed trade CSV Export Fields: Outputs trade data for external analysis Default Strategy Settings Commission & Slippage: Commission: 0.1% per trade Slippage: 3 ticks Initial Capital: $1,000 Position Size: 100% of equity per trade Main Calculation Parameters: Length: 70 (range: 70-7000) - Controls ZLEMA calculation period Band Multiplier: 1.2 - Adjusts width of volatility bands Entry Conditions (All Disabled by Default): Use ZLEMA Trend Confirmation: OFF - Requires ZLEMA directional momentum Re-Enter on Long Trend: OFF - Allows multiple entries during sustained trends Short Trades: Allow Short Trades: OFF - Strategy is long-only by default Performance Settings (All Disabled by Default): Use Profit Target: OFF Profit Target Risk-Reward Ratio: 2.0 (when enabled) Dynamic TP/SL (All Disabled by Default): Use ATR-Based Stop-Loss & Take-Profit: OFF ATR Length: 14 Stop-Loss ATR Multiplier: 1.5 Profit Target ATR Multiplier: 2.5 Use ATR Trailing Stop: OFF Trailing Stop ATR Multiplier: 1.5 Use Break-Even Stop-Loss: OFF Move SL to Break-Even After RR: 1.5 Use Trend-Based Take Profit: OFF EMA Exit Length: 9 Trade Data Display (All Disabled by Default): Show Floating Stats Table: OFF Show Trade Log Labels: OFF Enable CSV Export: OFF Trade Label Vertical Offset: 0.5 Backtesting Date Range: Start Date: January 1, 2018 End Date: December 31, 2069 Important Usage Notes Default Configuration: The strategy operates in its most basic form with default settings - using only ZLEMA crossovers with volatility bands and volatility-based stop-losses. All advanced features must be manually enabled. Stop-Loss Priority: If multiple stop-loss methods are enabled simultaneously, the strategy will use whichever condition is hit first. ATR-based stops override volatility-based stops when enabled. Long-Only by Default: Short trading is disabled by default. Enable "Allow Short Trades" to trade both directions. Performance Monitoring: Enable the floating stats table and trade log labels to visualize strategy performance during backtesting. Exit Mechanisms: The strategy can exit trades through multiple methods: stop-loss hit, take-profit reached, trend reversal, or trailing stop activation. The trade log identifies which exit method was used. Re-Entry Logic: When "Re-Enter on Long Trend" is enabled with ZLEMA trend confirmation, the strategy can take multiple long positions during extended uptrends as long as all entry conditions remain valid. Capital Efficiency: Default setting uses 100% of equity per trade. Adjust "default_qty_value" to manage position sizing based on risk tolerance. Realistic Backtesting: Strategy includes commission (0.1%) and slippage (3 ticks) to provide realistic performance expectations. These values should be adjusted based on your broker and market conditions. Recommended Use Cases Trending Markets: Best suited for markets with clear directional moves where trend-following strategies excel Medium to Long-Term Trading: The default length of 70 makes this strategy more appropriate for swing trading rather than scalping Risk-Conscious Traders: Multiple stop-loss options allow traders to customize risk management to their comfort level Backtesting & Optimization: Comprehensive performance tracking features make this strategy ideal for testing different parameter combinations Limitations & Considerations Like all trend-following strategies, performance may suffer in choppy or ranging markets Default 100% position sizing means full capital exposure per trade - consider reducing for conservative risk management Higher length values (70+) reduce signal frequency but may improve signal quality Multiple simultaneous risk management features may create conflicting exit signals Past performance shown in backtests does not guarantee future results Customization Tips For more aggressive trading: Reduce length parameter (minimum 70) Decrease band multiplier for tighter bands Enable short trades Use lower profit target R:R ratios For more conservative trading: Increase length parameter Enable ZLEMA trend confirmation Use wider ATR stop-loss multipliers Enable break-even stop-loss Reduce position size from 100% default For optimal choppy market performance: Enable ZLEMA trend confirmation Increase band multiplier Use tighter profit targets Avoid re-entry on trend continuation Visual Elements The strategy plots several elements on the chart: ZLEMA line (color-coded by trend direction) Upper and lower volatility bands Long entry markers (green triangles) Short entry markers (red triangles, when enabled) Stop-loss levels (when positions are open) Take-profit levels (when enabled and positions are open) Trailing stop lines (when enabled and positions are open) Optional ZLEMA trend markers (triangles at highs/lows) Optional trade log labels showing complete trade information Exit Reason Codes (for CSV Export) When CSV export is enabled, exit reasons are coded as: 0 = Manual/Other 1 = Trailing Stop-Loss 2 = Profit Target 3 = ATR Stop-Loss 4 = Trend Change Conclusion Zero Lag Trend Signals V7 provides a robust framework for trend-following with extensive customization options. The strategy balances simplicity in its core logic with sophisticated risk management features, making it suitable for both beginner and advanced traders. By reducing moving average lag while incorporating volatility-based signals, it aims to capture trends earlier while managing risk through multiple configurable exit mechanisms. The modular design allows traders to start with basic trend-following and progressively add complexity through ZLEMA confirmation, multiple stop-loss methods, and advanced exit strategies. Comprehensive performance tracking and export capabilities make this strategy an excellent tool for systematic testing and optimization. Note: This strategy is provided for educational and backtesting purposes. All trading involves risk. Past performance does not guarantee future results. Always test thoroughly with paper trading before risking real capital, and adjust position sizing and risk parameters according to your risk tolerance and account size. ================================================================================ TAGS: ================================================================================ trend following, ZLEMA, zero lag, volatility bands, ATR stops, risk management, swing trading, momentum, trend confirmation, backtesting ================================================================================ CATEGORY: ================================================================================ Strategies ================================================================================ CHART SETUP RECOMMENDATIONS: ================================================================================ For optimal visualization when publishing: Use a clean chart with no other indicators overlaid Select a timeframe that shows multiple trade signals (4H or Daily recommended) Choose a trending asset (crypto, forex major pairs, or trending stocks work well) Show at least 6-12 months of data to demonstrate strategy across different market conditions Enable the floating stats table to display key performance metrics Ensure all indicator lines (ZLEMA, bands, stops) are clearly visible Use the default chart type (candlesticks) - avoid Heikin Ashi, Renko, etc. Make sure symbol information and timeframe are clearly visible ================================================================================ COMPLIANCE NOTES: ================================================================================ ✅ Open-source publication with complete code visibility ✅ English-only title and description ✅ Detailed explanation of methodology and calculations ✅ Realistic commission (0.1%) and slippage (3 ticks) included ✅ All default parameters clearly documented ✅ Performance limitations and risks disclosed ✅ No unrealistic claims about performance ✅ No guaranteed results promised ✅ Appropriate for public library (original trend-following implementation with ZLEMA) ✅ Educational disclaimers included ✅ All features explained in detail ================================================================================
Pine Script™ 전략
Quant_Trading_Pro의
Hull Suite Strategy with Time FilterThis script is a Hull Moving Average–based trend system designed to visualize market direction and filter signals during specific trading hours. It features: Dual HMA bands for smoother trend detection Color changes based on slope to highlight momentum Optional time filter for signal control within session hours Compact buy/sell signal markers You can adjust HMA lengths, time filters, and visual options from the settings panel. This script is intended for educational and analytical purposes only — not financial advice.
Pine Script™ 전략
sunnymet2000의
HV Spike Strategy (HVP + OR Breakout + Reversal + TP/SL Modes)Here is a script that I tried to make it simple, although it has several parameters, I will try to explain, here we go: Logic: Open Range Breakout: otherwise knows as First Candle Rule, usually used for the first candle in the opening of a market session, in my strategy there is an option to use it even for Crypto that operate 24/7, how to do that? Simply by detecting Volatility from the HVP (Historical Volatility Percentile). Then the ORB logic kicks in and the first candle with high volatility gives the ranges for the trades. The proper HVP Activation Threshold has to be selected for each currency pair/index/crypto in order to have maximum profit. Enter a trade: when the price goes 100% above/below the First Candle Rule Range. That way it is filtering fake breakouts. Also if the price reverses back into the range the strategy takes the opposite trade. Exit a trade: SL/TP By percentage or ATR, selection in the input menu. My intention is to avoid using lagging indicators or guessing of Price Action, purely Bull/Bear indication by the first candle. I hope you find this helpful! Wishing all successful Trades!
Pine Script™ 전략
kostastrovas의
Cybertrading-Insidebar hunter pro robotThe Cybertrading-Inside Pro strategy is an advanced version of Cyber-Inside. It automates ATR-based inside-bar trading with optional pullback entries, full risk/reward visualization, time filtering, pending-order handling, and fixed chart watermark branding (“CollegePips / CyberTrading”). ⚙️ Technical Overview 1. Core Structure Uses ATR(14) to measure volatility and classify candle ranges. Candles are labeled as Spinning, Standard, Long, or Huge based on their range vs. ATR. Only valid candles (Standard or Long) qualify to confirm a setup. 2. Inside-Bar Logic The setup requires the current candle’s high/low to be fully contained inside the previous candle (an inside bar). A wick-break must occur — the wick slightly breaks the previous inside bar’s range while the body remains inside. This pattern forms a Pierce-Only signal. Direction: Wick down → potential Long entry Wick up → potential Short entry 3. Timing and Entry Conditions With the time filter enabled, trades trigger only between defined hours (e.g., 07–22). If Enable Pullback is on, the entry is placed using a limit order offset by pullbackATR × ATR from the signal candle. If the pullback entry isn’t triggered within pullbackMaxBars, the pending order is canceled automatically. You can also enable display-only entries without execution (Enable Entry Without Pullback). 4. Risk & Target Management Stop loss is placed beyond the second-previous candle’s high/low ± stopBuffer × ATR. Take-profit is based on the chosen risk/reward multiple (RR) or the previous candle’s high/low. Position size auto-adjusts to keep total risk equal to riskPercent of equity. 5. Visual Components Dynamic chart objects include: Red box: risk zone (entry → stop) Green/blue box: reward zone (entry → target) Dotted diagonal line: risk-to-reward path Arrows: actual fill points 6. Order Management System Each signal creates a unique order ID (pendingId) and exit ID (planExitId). On a valid fill (newLong / newShort), real stop, target, and position size are applied. If an order isn’t filled within the timeout window, it’s canceled and reset automatically. 7. Advantages ✅ Smart inside-bar pattern recognition ✅ Automated risk control and dynamic sizing ✅ Clear visual feedback for analysis ✅ Fully backtest-ready for research or education
Pine Script™ 전략
collegepips의
CyberTrading-Inside Hunt RobotThis Pine Script strategy, titled "Cyber-Inside", is a fully automated entry and risk management system built around inside bar pierce patterns and ATR-based dynamic stops/targets. It identifies specific candle formations, calculates position sizing based on risk percentage, and visually displays risk/reward zones and trade labels on the chart. Detailed Explanation 1. Core Logic The script searches for inside bars — candles whose high and low are contained within the previous bar — that appear after a valid “normal” or “long” range candle. Then it waits for a wick pierce (a candle that breaks the previous inside bar's range slightly but closes inside). That wick pierce acts as a potential reversal or continuation signal: wickDown → possible long entry wickUp → possible short entry 2. ATR-based Classification Each candle is compared to the ATR(24): Spinning (small) → below 0.8 × ATR Standard → between 0.8× and 1.2× ATR Long → between 1.2× and 2.5× ATR Huge → above 2.5× ATR Only certain candle types (standard or long) in the previous bars qualify for pattern validation. 3. Entry Conditions A trade signal occurs when: The current bar forms a wick pierce of a prior inside bar pattern. No active position exists (strategy.position_size == 0). Then: For longs, entry at close, stop at previous low minus ATR buffer. For shorts, entry at close, stop at previous high plus ATR buffer. 4. Risk Management The stop distance defines the risk per trade, and the position size is adjusted dynamically so that only the chosen riskPercent (e.g., 1%) of equity is at risk. If useRR is enabled, a take-profit target is placed using the defined risk/reward multiple (rr, e.g. 1:3). If disabled, the target defaults to the previous candle’s high or low. 5. Visualization The strategy visually marks: Entry points (triangles) Red box = risk zone (entry → stop) Green box = reward zone (entry → target) Optional diagonal and horizontal lines for clarity Labels updated after trade closes with PnL values (profit or loss) 6. Application This system helps traders: Automate inside-bar breakout or reversal entries Maintain strict risk-based position sizing Visually assess trade zones and risk/reward areas Backtest and evaluate performance consistency on various timeframes and assets
Pine Script™ 전략
collegepips의
BankNifty Etharia Aggresive Buyer / SellerOverview Professional intraday trading strategy for BankNifty Futures that identifies high-probability setups by combining multiple technical indicators. Works in BOTH directions - LONG and SHORT. Best Timeframe: 5-Minute Chart Key Features: ✅ Multi-Confluence Entry System - All indicators must align for signal ✅ Bidirectional Trading - Captures both uptrends and downtrends ✅ Advanced Risk Management - Daily loss limits, consecutive loss protection ✅ Smart Exit System - Partial profit taking + trailing stops ✅ Session-Based Trading - Avoids opening and closing volatility Entry Logic: LONG Signals: Price above Kernel Regression (trend confirmation) Price above VWAP with positive slope (momentum) Cumulative Volume Delta bullish (buying pressure) Volume spike or increasing volume (strength confirmation) Strong bullish candle with 60%+ body ratio RSI filter to avoid overbought entries SHORT Signals: Price below Kernel Regression (downtrend confirmation) Price below VWAP with negative slope (bearish momentum) CVD bearish (selling pressure dominates) High volume confirmation Strong bearish candle pattern RSI filter to avoid oversold entries Exit Management: 🎯 Target 1: 1.5 R:R (50% position exit) 🎯 Target 2: 2.5 R:R (full exit) 🛡️ Stop Loss Options: ATR-based, Swing-based, or Fixed 🟡 Trailing Stop: Activates after 1.2 R:R, trails at 0.8 R:R ⏰ Time-Based Exit: Closes all positions 5 mins before session end Risk Controls: Maximum trades per day (default: 5) Consecutive loss limit (default: 2) Daily loss limit: 2.5% of capital Daily profit target: 5% (stops trading when reached) Position sizing based on account risk percentage Recommended Settings: Asset: BankNifty Futures (NSE:BANKNIFTY1!) Timeframe: 5-minute Initial Capital: ₹1,00,000 Risk per trade: 1% Commission: 0.05% Slippage: 5 points Performance Expectations: Win Rate: 55-65% Profit Factor: 1.5-2.0 Average Trades/Day: 3-8 Risk:Reward: 1:1.8 average Customizable Parameters: Trading direction (Long Only / Short Only / Both) Indicator lengths and thresholds Stop loss type and targets Risk management limits Trading session hours Best For: Intraday traders seeking systematic, rule-based entries with strong confluence, proper risk management, and the ability to profit from both bullish and bearish market conditions.
Pine Script™ 전략
Diamondhands1212의
RSI + BB strategyBollinger Bands 20/2.5 + RSI 20-day 25/75 Long = Enter a long position when the price breaks below the Bollinger Band, the candlestick closes, and the RSI is below 25. Short = Enter a short position when the price breaks above the Bollinger Band, the candlestick closes, and the RSI is above 75. Take profit = Default setting: Take profit when profit is +4%. For safety, sell half of the position when profit is +2% to break even. Lower average: -5% loss. If the RSI is 20/80, use the lower average. Sell the remaining amount when the price returns to its original price. Based on 5-minute and 15-minute charts Otherwise, signals will be difficult to obtain. For charts longer than 1 hour, adjust RSI and BB appropriately.
Pine Script™ 전략
volders50의
[Aegis]DCA grid Strategy for Crypto### **Crypto Market Long-Only Strategy (DCA with Risk Mitigation)** This strategy is a Long-only approach, often using a Dollar-Cost Averaging (DCA) method for staggered entries. It is designed to mitigate the risk of being unable to exit a position for a prolonged period, which typically occurs when a series of initial DCA entries result in a losing trade. The strategy has the following characteristics: #### **1. Markets** * Trade in highly liquid Perpetual Futures markets for cryptocurrencies. #### **2. Position Sizing** The initial entry quantity is determined by setting the **Initial Entry Ratio** in the input values. * If the **Subsequent Entry Multiplier** is 1, the maximum position size upon final entry is determined by: $$\text{Initial Entry Quantity} \times \text{Number of Entries}$$ * If the **Subsequent Entry Multiplier** is $x$, the maximum position size is determined by the following cumulative sum: $$\text{1st Entry Quantity} + (\text{1st Entry Quantity} \times x) + (\text{2nd Entry Quantity} \times x) + \dots + ((\text{n-1)th Entry Quantity} \times x)$$ #### **3. Entries** * The **1st Entry** is determined by the **Entry Sensitivity**. The first entry is automatically calculated based on an oversold condition; setting a higher sensitivity value will trigger the 1st entry in a more significant oversold situation. * Entries from the **2nd Entry onwards** are made sequentially based on the generated **Grid Spacing**. * The **Grid Spacing** is calculated as an equal interval: $$\text{Grid Spacing} = \frac{\text{Final Entry Distance}}{(\text{Number of Entries} - 1)}$$ #### **4. Exits** This strategy **does not distinguish between Stop-Loss and Take-Profit**. All entered quantities are liquidated simultaneously upon mean reversion. This transaction may result in either a loss or a profit. Generally: * If the price recovery is rapid, the trade finishes with a profit. * If the price recovery is slow, the trade finishes with a loss. Therefore, the **'resilience' or 'recovery speed'** of the underlying asset significantly influences the long-term performance of the strategy. 크립토 시장에 특화된 Long only전략입니다. DCA 방식의 분할 매수 전략이 대체로 이익 거래가 아닌 경우, 장기간 탈출하지 못할 리스크를 보완한 전략입니다. 이 전략은 다음과 같은 특징을 가지고 있습니다. ##### 1. 시장 (Markets) • 유동성이 풍부한 코인 무기한 선물 시장에서 거래한다. ##### 2. 포지션 크기 (Position Sizing) 인풋 값에 최초진입비율을 설정함으로써 1차 진입의 수량이 결정됩니다. - 추가 진입배수가 1일 때, 최대 진입 시 포지션 크기는 "1차 진입수량 * 진입횟수"에 의해 결정됩니다. - 추가 진입배수가 x일때, 1차진입물량 + (1차진입 물량 * x) + (2차진입 물량 * x) ..... + (n-1)차 진입물량 * x 의 방식으로 최대 진입 시 포지션 크기가 결정 됩니다 ##### 3. 진입 (Entries) - 1차 진입은 진입 둔감도에 의해 결정됩니다. 1차 진입은 과매도 상황을 자동적으로 계산하여 결정되며, 둔감도를 높은 값으로 설정하면 더 큰 과매도 상황에서 1차 진입이 결정됩니다. - 2차 이후의 진입은 생성된 그리드 간격에 의해 순차적으로 진입하게 됩니다. - 그리드 간격은 최종 진입 간격 / (진입 횟수 - 1) 으로 등간격으로 이루어집니다. ##### 4. 청산 (Exits) 이 전략은 손절과 익절을 구분하지 않습니다. 평균 회귀를 하는 경우 진입한 모든 물량을 일시에 청산하며, 이 거래는 손실 거래일 수도, 이익 거래일 수도 있습니다. 일반적으로, 가격 회복이 빠르게 되는 경우 이익 거래로 마무리되고, 가격 회복이 느린 경우 손실 거래로 마무리되기 때문에, 장기적으로 종목의 '회복탄력성'이 전략의 성과에 영향을 줄 수 있습니다.
Pine Script™ 전략
sleepsystrade의
[Aegis]Original Turtle System for CryptoAs Richard Dennis once said, "Even if I published all the Turtle rules in the newspaper right now, no one would be able to 'execute' them," and 40 years later, even in modern financial markets (like the crypto market) where all the conditions have been disclosed, this strategy continues to deliver amazing performance. The following outlines the original Turtle rules as disclosed by Curtis Faith in his book *Way of the Turtle*, and a TradingView algorithm that translates these rules for application in the crypto market. --- ### **The Original Turtle Trading Rules** #### **1. Markets** * Trade in liquid futures markets. #### **2. Position Sizing** The volatility measure, **N**, is used as the basis for all calculations. **True Range (TR) Calculation:** Select the largest of the following three values: * Current High - Current Low * $|\text{Current High} - \text{Previous Close}|$ (Absolute Value) * $|\text{Current Low} - \text{Previous Close}|$ (Absolute Value) **N (Average True Range, ATR) Calculation:** $$N = \frac{(19 \times \text{PDN} + \text{TR})}{20}$$ * **PDN:** Previous Day's N value * **TR:** Current True Range This is similar to a 20-day Exponential Moving Average, and is sometimes calculated using a Simple Moving Average. **Unit Size Calculation:** $$\text{Unit Size (Number of Contracts)} = \frac{1\% \text{ of Account Equity}}{(\text{N} \times \text{Dollars per Point})}$$ * **Dollars per Point (Tick Value):** The value of a 1-point change in price. #### **3. Entries** * **Entry:** Buy when the 55-day high is broken to the upside, and sell when the 55-day low is broken to the downside. #### **5. Stops** * The stop-loss for every unit is set at a price **2N** unfavorable from the entry price. * For each additional unit added, the stop price for the **entire position** is adjusted favorably by **1/2 N**. * In other words, the stop price of the last unit entered becomes the stop price for the entire position. #### **6. Exits** The exit rule for profitable positions (before a stop is hit) is as follows: * **Long Positions:** Exit when the 20-day low is broken to the downside. * **Short Positions:** Exit when the 20-day high is broken to the upside. *Note: This exit rule is followed only if the price has moved up by a value greater than or equal to the N value multiplied by the criterion for changing the take-profit line (the original Korean text mentions a condition based on N, which is commonly interpreted as requiring a profit before applying the channel exit).* 리처드 데니스가 앞서 "내가 지금 당장 터틀의 모든 규칙을 신문에 공표한다고 해도 아무도 '실행'하지 못할 것"라고 말했듯 40년이 흘러 모든 조건이 공개된 현대 금융시장(크립토 시장)에서도 여전히 이 전략은 놀라운 퍼포먼스를 기록하고 있습니다. 아래는 커티스 페이스가 자신의 저서 '터틀의 방식'에 공개한 오리지널 터틀 규칙과 이를 알고리즘으로 변환하여 크립토마켓에 적용한 트레이딩뷰 알고리즘 입니다. ##### 1. 시장 (Markets) • 유동성이 풍부한 선물 시장에서 거래한다. ##### 2. 포지션 크기 (Position Sizing) 변동성 측정 단위인 N을 모든 계산의 기초로 사용한다. **True Range (TR) 계산:** 다음 세 가지 값 중 가장 큰 값을 선택한다. - • 현재 고가 - 현재 저가 - • |현재 고가 - 전일 종가| (절대값) - • |현재 저가 - 전일 종가| (절대값) **N (Average True Range, ATR) 계산:** N = (19 × PDN + TR) / 20 - • PDN: 이전 날의 N 값 - • TR: 현재 True Range 이는 20일 지수이동평균과 유사하며, 단순이동평균으로 계산하기도 한다. **1 유닛(Unit)의 크기 계산:** 유닛 크기 (계약 수) = 계좌 자산의 1% / (N × 틱 가치) • 틱 가치(Dollars per Point): 1포인트 변동 시의 가치 ##### 3. 진입 (Entries) - • 진입: 55일 고가를 상향 돌파하면 매수, 55일 저가를 하향 돌파하면 매도한다. ##### 5. 손절 (Stops) - • 모든 유닛에 대한 손절 기준은 진입 가격으로부터 2N 만큼 불리한 가격에 설정한다. - • 유닛이 추가될 때마다 전체 포지션의 손절 가격을 1/2 N 만큼 유리한 방향으로 상향 조정한다. - • 즉, 마지막으로 진입한 유닛의 손절 가격이 전체 포지션의 손절 가격이 된다. ##### 6. 청산 (Exits) 손절에 도달하기 전 수익 중인 포지션의 청산 규칙은 다음과 같다. - • 매수 포지션: 20일 저가를 하향 돌파할 때 청산한다. - • 매도 포지션: 20일 고가를 상향 돌파할 때 청산한다. 단, N값에 익절선 변경 기준을 곱한 값 이상으로 가격이 상승할 경우, 위 규칙을 따른다.
Pine Script™ 전략
sleepsystrade의