Volume and Volatility Ratio Indicator-WODI — Strategy by W0DI
By W0DI
Performance Metrics
- Author: W0DI
- Symbol: BINANCE:BTCUSDT
- Timeframe: 1 hour
- Net P&L: −1,519.43 USDT (−15.19%)
- Win Rate: 40.3%
- Profit Factor: 0.861
- Max Drawdown: 2,817.54 USDT (25.66%)
- Total Trades: 159
- Sharpe Ratio: −0.19
Description
策略名称交易量与波动率比例策略-WODI一、用户自定义参数vol_length：交易量均线长度，计算基础交易量活跃度。index_short_length / index_long_length：指数短期与长期均线长度，用于捕捉中短期与中长期趋势。index_magnification：敏感度放大倍数，调整指数均线的灵敏度。index_threshold_magnification：阈值放大因子，用于动态过滤噪音。lookback_bars：形态检测回溯K线根数，用于捕捉反转模式。fib_tp_ratio / fib_sl_ratio：斐波那契止盈与止损比率，分别对应黄金分割（0.618/0.382 等）级别。enable_reversal：反转信号开关，开启后将原有做空信号反向为做多信号，用于单边趋势加仓。二、核心计算逻辑交易量百分比使用 ta.sma 计算 vol_ma，并得到 vol_percent = volume / vol_ma * 100。价格波动率volatility = (high – low) / close * 100。构建复合指数volatility_index = vol_percent * volatility，并分别计算其短期与长期均线（乘以 index_magnification）。动态阈值index_threshold = index_long_ma * index_threshold_magnification，过滤常规波动。三、信号生成与策略执行做多/做空信号当短期指数均线自下而上突破长期均线，且 volatility_index 突破 index_threshold 时，发出做多信号。当短期指数均线自上而下跌破长期均线，且 volatility_index 跌破 index_threshold 时，发出做空信号。反转信号模式（可选）若 enable_reversal = true，则所有做空信号反向为做多，用于在强趋势行情中加仓。止盈止损管理进场后自动设置斐波那契止盈位（基于入场价 × fib_tp_ratio）和止损位（入场价 × fib_sl_ratio）。支持多级止盈：可依次以 0.382、0.618 等黄金分割比率分批平仓。四、图表展示策略信号标记：图上用箭头标明每次做多/做空（或反转加仓）信号。斐波那契区间：在K线图中显示止盈/止损水平线。复合指数与阈值线：与原版相同，在独立窗口绘制短、长期指数均线、指数曲线及阈值。量能柱状：高于均线时染色，反转模式时额外高亮。Strategy NameVolume and Volatility Ratio Strategy – WODI 1. User-Defined Parametersvol_length: Length for volume SMA.index_short_length / index_long_length: Short and long MA lengths for the composite index.index_magnification: Sensitivity multiplier for index MAs.index_threshold_magnification: Threshold multiplier to filter noise.lookback_bars: Number of bars to look back for pattern detection.fib_tp_ratio / fib_sl_ratio: Fibonacci take-profit and stop-loss ratios (e.g. 0.618, 0.382).enable_reversal: Toggle for reversal mode; flips short signals to long for trend-following add-on entries.2. Core CalculationVolume Percentage:vol_ma = ta.sma(volume, vol_length)vol_percent = volume / vol_ma * 100Volatility:volatility = (high – low) / close * 100Composite Index:volatility_index = vol_percent * volatilityShort/long MAs applied and scaled by index_magnification.Dynamic Threshold:index_threshold = index_long_ma * index_threshold_magnification.3. Signal Generation & ExecutionLong/Short Entries:Long when short MA crosses above long MA and volatility_index > index_threshold.Short when short MA crosses below long MA and volatility_index < index_threshold.Reversal Mode (optional):If enable_reversal is on, invert all short entries to long to scale into trending moves.Fibonacci Take-Profit & Stop-Loss:Automatically set TP/SL levels at entry price × respective Fibonacci ratios.Supports multi-stage exits at 0.382, 0.618, etc.4. VisualizationSignal Arrows: Marks every long/short or reversal-add signal on the chart.Fibonacci Zones: Plots TP/SL lines on the price panel.Index & Threshold: Same as v1.0, with MAs, index curve, and threshold in a separate sub-window.Volume Bars: Colored when above vol_ma; extra highlight if a reversal-add signal triggers