Name
基于波动率的有限交易量元素策略Volatility-Finite-Volume-Elements-Strategy
Author
ChaoZhang
Strategy Description
该策略是基于有限交易量(FVE)指标的改进。FVE是一个纯交易量指标,不考虑价格变化,只关注资金流入和流出。该策略在FVE的基础上,根据波动率对交易量进行分色,从而判断市场情绪和资金流向。
该策略通过计算日内波动率Intra和日间波动率Inter,结合对应的标准差Vintra和Vinter,得到波动率阈值CutOff。然后计算价格中值、前一中值和交易量的差额MF,判断资金流入(正值)或流出(负值)。如果MF超过CutOff则表示交易量和波动率同向,市场存在明显热情,颜色设为绿色;如果MF低于负的CutOff则表示交易量和波动率同向,市场存在明显悲观,颜色设为红色;否则颜色为蓝色。最后判断颜色设置多空方向。
该策略结合了交易量和波动率两个指标,可以更准确判断市场情绪。相比单一指标,具有判断的稳定性和可靠性优势。另外,该策略判断标准专门针对波动率设计,能很好适应不同行情的变化。
该策略依赖交易量和波动率指标,当两者出现分歧时会影响判断。此外,参数设定对结果影响较大,不同品种和参数组合效果差异大,需要针对性优化。
可以考虑结合其他指标辅助判断,例如MACD、 OBV等,避免交易量和波动率带来的噪点。此外,可以设计自适应参数机制,根据不同行情动态调整参数,提高稳定性。或者可以针对具体品种进行回测优化,找到最佳参数组合。
该策略整合交易量和波动率指标的优势,判断市场热情高低。相比单一指标,具有更高的判断准确性和稳定性。但参数设定和品种差异对结果影响显著,仍需进一步优化调整,才能适应多种交易环境。总体来说,该策略理论基础合理,具有很大的改进潜力。
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This strategy is an improvement based on the Finite Volume Elements (FVE) indicator. FVE is a pure volume indicator that does not consider price changes, but only focuses on fund inflows and outflows. This strategy colors trading volume based on volatility on the basis of FVE to judge market sentiment and fund flows.
The strategy calculates intraday volatility Intra and interday volatility Inter, combined with their standard deviations Vintra and Vinter, to obtain the volatility threshold CutOff. Then it calculates the difference MF between median price, previous median price and volume to judge fund inflow (positive) or outflow (negative). If MF exceeds CutOff, it means trading volume and volatility are in the same direction and there is obvious enthusiasm in the market, the color is set to green; if MF is below negative CutOff, it means trading volume and volatility are in the same direction and there is obvious pessimism in the market, the color is set to red; otherwise the color is blue. Finally, determine the long/short direction based on color.
The strategy combines trading volume and volatility indicators to judge market sentiment more accurately. Compared with single indicators, it has the advantages of stability and reliability in judgment. In addition, the judgment criteria of this strategy are specially designed for volatility and can adapt well to changes in different market conditions.
The strategy relies on trading volume and volatility indicators. Discrepancies between the two will affect judgment. In addition, parameter settings have a greater impact on results, with large differences in results from different varieties and parameter combinations, requiring targeted optimization.
Consider combining other indicators to assist in judgment, such as MACD, OBV, etc., to avoid noise from trading volume and volatility. It is also possible to design an adaptive parameter mechanism to dynamically adjust parameters according to different market conditions to improve stability. Or we can backtest and optimize parameters to find the best parameter portfolio for specific varieties.
The strategy integrates the advantages of trading volume and volatility indicators to judge the level of market enthusiasm. Compared with single indicators, it has higher judgment accuracy and stability. However, parameter settings and variety differences have significant effects on the results, and further optimization and adjustment are still needed to adapt to various trading environments. Overall, the strategy has a reasonable theoretical basis and great potential for improvement.
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Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_1 | 22 | Samples |
| v_input_2 | 50 | AvgLength |
| v_input_3 | 70 | AlertPct |
| v_input_4 | 0.1 | Cintra |
| v_input_5 | 0.1 | Cinter |
| v_input_6 | false | Trade reverse |
Source (PineScript)
/*backtest
start: 2022-12-12 00:00:00
end: 2023-12-18 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 22/08/2017
// The FVE is a pure volume indicator. Unlike most of the other indicators
// (except OBV), price change doesn?t come into the equation for the FVE
// (price is not multiplied by volume), but is only used to determine whether
// money is flowing in or out of the stock. This is contrary to the current trend
// in the design of modern money flow indicators. The author decided against a
// price-volume indicator for the following reasons:
// - A pure volume indicator has more power to contradict.
// - The number of buyers or sellers (which is assessed by volume) will be the same,
// regardless of the price fluctuation.
// - Price-volume indicators tend to spike excessively at breakouts or breakdowns.
// This study is an addition to FVE indicator. Indicator plots different-coloured volume
// bars depending on volatility.
//
// You can change long to short in the Input Settings
// Please, use it only for learning or paper trading. Do not for real trading.
////////////////////////////////////////////////////////////
strategy(title="Volatility Finite Volume Elements Strategy", shorttitle="FVI")
Samples = input(22, minval=1)
AvgLength = input(50, minval=1)
AlertPct = input(70, minval=1)
Cintra = input(0.1, step = 0.1)
Cinter = input(0.1, step = 0.1)
reverse = input(false, title="Trade reverse")
xVolume = volume
xClose = close
xhl2 = hl2
xhlc3 = hlc3
xMA = sma(xVolume, AvgLength)
xIntra = log(high) - log(low)
xInter = log(xhlc3) - log(xhlc3[1])
xStDevIntra = stdev(xIntra, Samples)
xStDevInter = stdev(xInter, Samples)
TP = xhlc3
TP1 = xhlc3[1]
Intra = xIntra
Vintra = xStDevIntra
Inter = xInter
Vinter = xStDevInter
CutOff = Cintra * Vintra + Cinter * Vinter
MF = xClose - xhl2 + TP - TP1
clr = iff(MF > CutOff * xClose, green,
iff(MF < -1 * CutOff * xClose, red, blue))
pos = iff(MF > CutOff * xClose, 1,
iff(MF < -1 * CutOff * xClose, -1, nz(pos[1], 0)))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1, 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
plot(xVolume, color=clr, title="VBF")
plot(xMA, color=blue, title="VBF EMA")
Detail
https://www.fmz.com/strategy/435887
Last Modified
2023-12-19 15:23:59