[LunaOwl] 超級趨勢2 (SuperTrend2) — Strategy by LunaOwl
By LunaOwl
Performance Metrics
- Author: LunaOwl
- Symbol: BINANCE:ETHUSD
- Timeframe: 4 hours
- Net P&L: +131,797.07 USD (+1,167.06%)
- Win Rate: 48.9%
- Profit Factor: 1.399
- Max Drawdown: 69,318.68 USD (49.55%)
- Total Trades: 94
- Sharpe Ratio: 0.528
Description
Feb 13, 2020It is very similar to the previous version. I changed the function from study to a strategy, and added the Average true range to RMA again. I don't know the academic suitability, but using this strategy to trade the Altcoins market may have a good effect.refer to Binance for 0.1% of fees, starting from Q4 2017.跟以前的版本變化不大，我將腳本函數從"study"更改為"strategy"，然後將平均真實範圍再次用遞迴平均線均化數值。不知道學術上的適不適合這麼做...但是，直到目前交易小幣現貨市場，效果還算不錯，用用看。交易手續費參考幣安小幣，0.1%，從2017年第四季開始測。Updated:--1. use RMA to reduce ATR noise.--2. for the highly volatile Altcions market, strategy should focus on reducing noise.--3. the Street commonly used alpha filtering for Random Walk.--4. compared to other MAs, the performance is not outstanding, but the advantage is stability.--5. I choose the 4H time frame to test the Altcoins (ex: ETH).稍做更新：--1.平均真實區間利用了遞迴均線減少雜訊--2.針對高波動率的小幣市場，中期順勢策略應該以減少雜訊為重點--3.研究國外交易策略後，它們常用平滑因子過濾隨機走勢--4.績效上和其它平均法比較並沒有突出，但優點是參數變動穩定性--5.我選擇四小時線回測小幣市場，並且選擇經歷過牛熊市的以太坊The purpose of publishing Chinese Scripts is to make Pine close to more Chinese user.發布中文腳本的目的，是希望可以讓 Pine 親近更多中文圈的使用者。Feb 14, 2020Release Notes回測版本的 mult 原設定的值是2.618，可以自己拿來調整參數，建議 4 小時線以上，低於 1 小時交易費用太高都不合成本。Jun 8, 2020Release Notes進行回測日期範圍與整潔度的調整。