Lm08 mesh series mesh inversion (fine)

Quantitative strategy development , High quality community , Trading ideas sharing and other related contents

 

This month we open 2022 Heterogeneous strategy Community Grid Series , A few days ago, I talked about... In the community and live broadcast , This year, LM One of the key points of series heterogeneity is grid , Same as last year's creation SF Like the super trend line series . In order to develop the strategy , Can form continuity and iteration .     

Now let's officially enter today's theme —— One of the grid series “ Mesh inversion ” Strategy . as everyone knows , The imagination in our mind is like this , As shown in the figure below ：

The above picture is basically the structure of fishing nets that everyone knows , There are two core points , Primary center , The second interval , There is also the number of nets . But the first two points are the core , The third is not the core . Because the third can be based on volatility 、 Forehead 、 Average daily amplitude 、 Interval and other comprehensive factors determine the number of networks .

Before the Spring Festival, I collected grid strategies from various sources and channels , In fact, to be honest , With so much information and sources , It didn't help me develop grid strategy . Maybe it's because of the uneven quality and ideas , You can't study all these materials , If that's the case , It is estimated that the strategy sharing will fail this month .

      

One 、 Strategy background

In the initial screening and reference of several strategies , Combine your own ideas , And consider the difference between futures and stocks SZHB After waiting for the situation of the underlying asset , Or on the basis of traditional grid thinking , Repositioned the expectations and objectives set by the strategy this time .

therefore , This time, the strategy is not to oscillate back and forth in the grid , But only do the reverse shock and reverse trend of specific market structure , Of course, the selection of varieties is not taken into account , Because to be honest, we haven't figured out how to better combine grid and variety selection filtering , Or in what way .     

  in summary , The grid in the first phase is actually different from the grid we know , The fundamental purpose of this issue of grid is to capture reverse shocks and reverse trends .

（1） for the first time , Japan ATR Volatility iteration

Let's look at the specific strategy logic , At the beginning of this strategy, I tried to use the daily line ATR Adaptive interval and network number based on wave amplitude . But visual qualitative and partial test findings ,ATR In addition to the number of nets, there are some theoretical advantages , The rest of the eggs , Of course, it may also be the logic of my current grid . As shown in the figure below ：

I won't show the specific visualization , The red box part is the second iteration logic at that time , But in fact, it did solve the interval problem at that time , Although not perfect or heterogeneous . But from the test results （ Ten debts ）, It's really natural and egg .

      

（2） The first 2 Time , Daily average amplitude iteration

       

With the first defeat , I will turn to the problem of interval and network number , Because there is a reverse relationship between my network number and the overall interval , I want to emphasize one point here ： The interval is the total interval, not the interval between grids . in other words , I either according to the day ATR Or the daily average amplitude , Under the premise of central determination , The maximum boundary of the daily grid is determined , In other words, the fishing net is a restricted fishing net .

      

Let's pay attention to the subgraph , The subgraph is the daily amplitude and the overall average daily amplitude . We can see , This variety is SR, The overall average daily amplitude is 35.97. In other words, the overall average amplitude in recent years is 36 Block or so . If you lay the net every day , The maximum boundary of the interval is 36 block . As for how many grids , I recommend the following logic algorithms ：  

Number of grids = （ Grid upper limit  –  Lower grid limit ）/  Volatility ;

（3） third time , Hop iteration .

In the first two times, the theory was perfect , Under the cruel ending of reality , I thought over the pain , I'm thinking about whether to engage in Grid . in fact , Previous strategy development , Basically, they will encounter difficulties in varying degrees , Only this time , Nothing but faith “ Technique ” Relevant information can be used for reference .

Last , Can only change one angle , Start with the reverse oscillation and reverse trend of the grid , Solve the grid pain points of this issue . Take the opening price of the day as the central axis to expand the fishing net , The width of the first layer of grid is N individual minpoint, The grid width of the second layer is N2 individual minpoint, The price of each layer of grid to open an empty order , Each layer of mesh is worn under one hand and many orders are opened . After the price passes through the two-tier grid, there is no need to add positions ; The price is above the opening price of the day, and each layer of grid is worn under it, with an empty order in one hand , The price is below the opening price of the current day. Each layer of grid is flat, one hand and many orders . A traditional grid design , Add positions at one time , No designed stop loss .     

Two 、 Policy visualization

Let's take a look at strategy visualization , See how to reverse the mesh and shake the mesh . As shown in the figure below ：

NR

CJ

ZN

T

SR

Finally, let's give you a dazzling , As shown in the figure above .

3、 ... and 、 Strategic performance

Combine

At present, the selected versions of the version are all varieties that are closed within a day and free of handling charges .

SR

NR

ZN

Four 、 summary

The above are the performance indicators of the combination , This version of grid is not developed according to the traditional grid idea , It's not that the grid can't be made into the traditional , But based on heterogeneity . In the future, I will continue the grid idea as the core , Develop various heterogeneous grid strategies . Like this strategy , Look forward to the following strategies to join us .

in addition , In the final summary , You have to be careful , The grid filters the parameters with qualified performance , Or interpret it according to the performance indicators , Don't follow the idea of trend strategy . First , Sharp is low , Can be in 0.5 The above is a qualified player . secondly , Don't expect too much of the average profit , On average, 2-3 Jumping profits is also a pass . Last , What to consider is …

Thinking questions ： Everyone feels , Strategies for grid thinking , Which performance indicators do you think are more important ？

Due to the differences of various platforms , Back test performance to TBQ The version shall prevail ！！！

This strategy is only used for learning and communication , The investor is personally responsible for the profit and loss of the firm offer ！！！