Lm06 the mystery of constructing the bottom and top trading strategy only by trading volume

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Hello everyone , I am a Le Chiffre.

Today I will bring you 2021 The last issue of the year “ Heterogeneity strategy ”LM06. This strategy uses only Yin and Yang K Trading volume of the building bottom and top momentum strategy , The depth of strategy logic is deeper than LM03 intuitive , Logical understanding is better than LM0405 A good understanding . Again , throughout 2021 We released SF、LM And algorithm series are mostly 5-30 Minute strategy , But we all know that , Daily strategy or medium long cycle strategy is in the process of adapting to the fluctuation cycle , It is more stable than short period . However, we are also blank about this block , stay 2021 The last issue of the year , Mr. Mu and I got together “ Inch strength ”, He sent a message S13 Daily line , What I share with you today is LM06 The hour line .

Strategy background

The strategic thinking comes from PVT indicators , Through visual research, it is shown that P It's less useful , and V It plays a greater role in the performance . therefore , On the basis of the original, I reconstructed the algorithm logic , As shown in the figure ：

Through the use of indicators to identify the increase in the price and trading volume of the underlying asset , And a reduction in price and volume ,

In a certain period of time , The index is summed to negative 、 Price and trading volume of the positive line , The result looks similar to the price trend table

, But the advantage is that it can filter out more noise .

The visualization is shown in the figure below ：

After calculating Yin and Yang K After summing the trading volume , We have adaptive averaging of this index , average

Logic is to eliminate the individual K On line noise , Trading volume is also noisy , In quantifying the increasing trend line , Some strategies with serious homogenization will lead to buying and selling on extreme values . As shown in the figure below ：

After average denoising , The watershed is added to make everyone look more intuitive . White is untreated

Of , Red and green are drawn by averaging and adding to the watershed .

Time factor

In policy construction , I find that in most cases, the price trend is consistent with the trading volume trend , But in the trading volume trend after the strategy algorithm processing , There is a lag 、 Such conditions as overcast decline lead to the occurrence of trading volume distortion . therefore , After adding the profit and loss stop module , It will still meet the space conditions of the entry volume after the exit , Here I use the time factor to filter and control . As shown in the figure below ： 

  The performance of

Combine

i

Lpg

Eb

Rb

PS：

Next Friday （2021 year 12 month 31 Japan ） On the evening of 7-9 Click on the plan to give live answers and explanations . Friends in the community have been forgotten ~~

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