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      "permlink": "steemitboard-notify-watchbot-20200108t100036000z",
      "title": "",
      "body": "Congratulations @watchbot! You received a personal award!\n\n<table><tr><td>https://steemitimages.com/70x70/http://steemitboard.com/@watchbot/birthday2.png</td><td>Happy Birthday! - You are on the Steem blockchain for 2 years!</td></tr></table>\n\n<sub>_You can view [your badges on your Steem Board](https://steemitboard.com/@watchbot) and compare to others on the [Steem Ranking](https://steemitboard.com/ranking/index.php?name=watchbot)_</sub>\n\n\n###### [Vote for @Steemitboard as a witness](https://v2.steemconnect.com/sign/account-witness-vote?witness=steemitboard&approve=1) to get one more award and increased upvotes!",
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      "permlink": "steemitboard-notify-watchbot-20190108t104609000z",
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      "body": "Congratulations @watchbot! You received a personal award!\n\n<table><tr><td>https://steemitimages.com/70x70/http://steemitboard.com/@watchbot/birthday1.png</td><td>1 Year on Steemit</td></tr></table>\n\n<sub>_[Click here to view your Board](https://steemitboard.com/@watchbot)_</sub>\n\n\n**Do not miss the last post from @steemitboard:**\n<table><tr><td><a href=\"https://steemit.com/steem/@steemitboard/steemwhales-has-officially-moved-to-steemitboard-ranking\"><img src=\"https://steemitimages.com/64x128/https://cdn.steemitimages.com/DQmfRVpHQhLDhnjDtqck8GPv9NPvNKPfMsDaAFDE1D9Er2Z/header_ranking.png\"></a></td><td><a href=\"https://steemit.com/steem/@steemitboard/steemwhales-has-officially-moved-to-steemitboard-ranking\">SteemWhales has officially moved to SteemitBoard Ranking</a></td></tr><tr><td><a href=\"https://steemit.com/steemitboard/@steemitboard/steemitboard-witness-update-2019-01-07\"><img src=\"https://steemitimages.com/64x128/http://i.cubeupload.com/7CiQEO.png\"></a></td><td><a href=\"https://steemit.com/steemitboard/@steemitboard/steemitboard-witness-update-2019-01-07\">SteemitBoard - Witness Update</a></td></tr></table>\n\n> Support [SteemitBoard's project](https://steemit.com/@steemitboard)! **[Vote for its witness](https://v2.steemconnect.com/sign/account-witness-vote?witness=steemitboard&approve=1)** and **get one more award**!",
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      "permlink": "1bx48",
      "title": "[워치봇] 어떤 전략을 사용할 것인가?",
      "body": "@@ -60,38 +60,8 @@\n s://\n-steemitimages.com/0x0/https://\n t1.d\n@@ -149,35 +149,35 @@\n age/\n-K0KcWB-cpCLqU_aqy2h63AgNN38\n+Q0oXSzW_8tL_lyhBwPkuNKe2vVE\n .jpg\n",
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{
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      "parent_author": "",
      "parent_permlink": "kr",
      "author": "watchbot",
      "permlink": "1bx48",
      "title": "[워치봇] 어떤 전략을 사용할 것인가?",
      "body": "<html>\n<p>https://www.watchbot.co.kr/</p>\n<p><img src=\"https://steemitimages.com/0x0/https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/K0KcWB-cpCLqU_aqy2h63AgNN38.jpg\" width=\"900\" height=\"600\"/></p>\n<p><br></p>\n<p>이전 글에서 말씀드렸듯&nbsp;거래할 코인과 거래소를 결정했다면 전략을 선택하는 일만 남았습니다.</p>\n<p>워치봇에서는 공유된 전략을 사용할 수도 있고 본인이 직접 만들 수도 있습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/KXXdPmPGtxj8acWgUMiSg4qmm_g.jpg\" width=\"394\" height=\"455\"/></p>\n<p>유저 공유 전략은 유저가 공유한 전략이고,&nbsp;워치봇 큐레이션 전략은 제가 만든 전략입니다.</p>\n<p>누가 만든 전략이던 좋은걸 찾아서 쓰는 것이 우리의 목적입니다.</p>\n<p><br>\n구체적인 기준은 다음과 같습니다.</p>\n<p>1. 상승장에서는 웬만한 전략을 적용하더라도 수익이 날 것이기 때문에 하락장에서 의미 있는 결과를 낼 것</p>\n<p>2. 거래 횟수가 너무 적거나 너무 많지 않을 것</p>\n<p>3. 슬리피지/거래비용을 0.5% 이상 적용하더라도 견딜 것(평균 손익이 그 이상일 것)</p>\n<p>4. 몇 번의 대세 상승 수익에 의존하지 않되 그 몇 번의 수익은 어느 정도 확보하는 모습을 보일 것</p>\n<p><br>\n어떤 지표를 사용했느냐는 중요하지 않습니다.</p>\n<p>다만 5개 지표를 사용했다면 선택한 전략에 새로운 필터를 적용할 수 없다는 단점이 있을 것입니다.</p>\n<p><br>\n5분 봉은 3개월,</p>\n<p>15분 봉을 이용했다면 최근 6개월의 거래 내역을 확인할 수 있고,</p>\n<p>30분 봉 이상을 이용했다면 최근 1년의 거래 내역을 확인할 수 있습니다.</p>\n<p>암호화폐 시장에서 3개월은 짧고 6개월은&nbsp;충분히 긴 기간이기 때문에 &nbsp;15분 봉 이상을 사용하는 것이 좋습니다.</p>\n<p>물론 개인적으로 기간을 수정하면서 최대한 많은&nbsp;기간을 확인해 보는 것도 좋습니다.</p>\n<p><br>\n우선 코인을 EOS, 거래소는 Bithumb으로 정했다고 가정하겠습니다.</p>\n<p>Coinone에도 EOS가 있지만 거래량이 Bithumb의 1/10도 되지 않기 때문에 슬리피지가 더 발생할 것이고,</p>\n<p>Coinone에 EOS가 상장된 지 얼마 되지 않기 때문에 긴 기간을 이용하는 전략은 적용이 되지 않을 수 있습니다.</p>\n<p>물론 수수료는 Coinone이 더 저렴한 편이라 투자 금액이나 전략의 성격에 맞춰서 다른 거래소를 선택하면 됩니다.</p>\n<p><br>\nEOS는 4월 말부터 주구 장창 하락이었고&nbsp;그 이전은 상당한 상승이었습니다.&nbsp;</p>\n<p>따라서 4월 말 이후부터 어떻게 동작했는지를 확인해 보는 것이 좋습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/c_CCZUryNPSgDxpnimjMq97U_qc.jpg\" width=\"323\" height=\"316\"/></p>\n<p>위와 같이 적용해 보겠습니다.</p>\n<p>제일 상단에 있는 전략을 선택했습니다.</p>\n<p>전략 보기를 누르면 다음과 같은 화면이 나옵니다.<br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/ib0VdFGBMBnUEMXk8ETK2YZANow.jpg\" width=\"850\" height=\"789\"/></p>\n<p>RSI를 추세로 쓰고 이평을 역추세로 쓴 전략입니다.</p>\n<p>이 전략을 test 봇에 적용하고 시뮬레이션 결과를 확인해 보았습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/TpGx702FcjLaxsZIwclojsqn3GY.jpg\" width=\"319\" height=\"612\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/0yP6-MjPfrI5p52fcgz4yU3W9Dc.jpg\" width=\"555\" height=\"222\"/></p>\n<p>하락장이었고 충분한 거래 수수료(슬리피지에 적용하셔도 무방합니다)를 적용했음에도 좋은 결과를 보입니다.</p>\n<p>좋은 결과란 우선 초기 가격이&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/S6vp-sECQ1eG0CBcs7oXMxNlq_s.jpg\" width=\"511\" height=\"96\"/></p>\n<p>2만 원 대였고 현재는 1.5만 원대로 25% 정도 하락했음에도 0 이상의 결과를 보이기 때문에 좋다고 평가할 수 있습니다.</p>\n<p>거래 횟수는 한 달이 좀 안 되는 기간 동안에 32회로 적지 않은 편입니다.</p>\n<p>개인적으로는 좀 많은 편이라 생각합니다만 아직 필터를 통해 이를 줄이지는 않겠습니다.</p>\n<p><br>\n하락장 이전에는 어떤 결과를 보였는지 확인해 보겠습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/_CVtdgcQmfQxANAfM1YzA7tT0XA.jpg\" width=\"319\" height=\"609\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/hyNuCC1AQgAVaZjEvzlq0Pb_6qs.jpg\" width=\"557\" height=\"222\"/></p>\n<p>2018년 1월 초에 EOS 가격이 1만 원 대였고 4월 말은 2만 원 초반대였으니 약 100% 정도 상승했고&nbsp;</p>\n<p>수익은 이의 두배 정도 되니 상승장에서도 Buy&amp;Hold에 비해 나은 결과를 보였다고 평가할 수 있습니다.</p>\n<p><br>\n마지막으로 올해 어떤 결과를 보였는지 검토하겠습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/gXR7-xb9tyn-PFeO-cyjg0FbQdk.jpg\" width=\"326\" height=\"620\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/cl6K7V_tAANkwEi6fuqf_maxUjw.jpg\" width=\"558\" height=\"224\"/></p>\n<p>최대 손실이 -13.88%이고 최대 이익은 60.94%입니다.&nbsp;</p>\n<p><br>\nSafety 에 -13% Stop-Loss를 적용합니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/YL2LxihNapQwVI5sS3dcyRjsKKs.jpg\" width=\"338\" height=\"407\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/noTeiYIJpeAZNhrFi2nb8HWigsM.jpg\" width=\"554\" height=\"223\"/></p>\n<p>전후 값을 넣어봤습니다만 -13% 정도가 총손익을 크게 해치지 않는 값입니다.</p>\n<p>손절을 넣는 이후는 이 전략이 완전히 망가지기 전에 전략을 멈추기 위함입니다.</p>\n<p><br>\n최대 이익은 60.94%로 너무 큽니다.</p>\n<p>한 번에 큰 수익을 냈다는 것은 이런 장이 오지 않으면 수익을 내기 어렵다는 의미이기도 하여</p>\n<p>적당한 익절을 넣어보았습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/UEIUE4ZueFCx2AFayQaJ4iMRD0w.jpg\" width=\"335\" height=\"400\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/lamQuTemZYFLAAIFc8sT-8LINrI.jpg\" width=\"555\" height=\"224\"/></p>\n<p>50%도 현실과는 동떨어진 수익률 일 것입니다만 올해 4번이나 터치했음을 확인할 수 있습니다.</p>\n<p>오히려 수익률은 좋아졌습니다.</p>\n<p>Trailing-Stop 은 Profit-Target 에 가깝게 설정해 둡니다.</p>\n<p>워치봇 시뮬레이션에서는 Trailing-Stop의 결과는 연산에 포함되지 않고&nbsp;</p>\n<p>50%에 가지 않고 수익의 되돌림을 방지하기 위함입니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/DujIGliHKbSL16bdEA2nHiBsC_U.jpg\" width=\"342\" height=\"374\"/></p>\n<p>여전히 거래가 많다고 보기 때문에 재진입 방지를 통해 거래를 줄여보았습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/0LG30t9i380Yd_oNDa9z1msI-u8.jpg\" width=\"556\" height=\"225\"/></p>\n<p>44회를 줄이고도 전체 손익에 큰 영향은 없습니다.</p>\n<p>재진입 방지를 통해 거래를 줄이는 것은 수익이 날 진입까지 제한하는 역효과를 낼 수도 있습니다.</p>\n<p>그러나 많은 진입으로 인한 수익 기댓값 보다 평균 거래 손익 증가로 인한 효과가 더 크다고 생각합니다.</p>\n<p><br>\n마지막으로 다른 코인에 적용해 봅니다.</p>\n<p>BTC 에 적용해 보니&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/v1BZPsdPuWQTwA5QAqehLekNxxI.jpg\" width=\"553\" height=\"222\"/><br>\n</p>\n<p>-68.12%입니다.</p>\n<p>다른 코인에 적용해 보아도 좋지 않은 결과를 보입니다.</p>\n<p>이대로 실전에 투입하기에는 두렵습니다.</p>\n<p>미래에 EOS가 BTC의 과거 데이터와 같이 움직일 가능성도 있습니다.</p>\n<p><br>\n'돌도 돌아 제자리'</p>\n<p><br>\n위 전략을 다른 코인에도 어느 정도 성과를 내는 전략으로 바꿀 수도 있습니다만 과감히 버리도록 하겠습니다.</p>\n<p><br>\n저도 간과했던 것은 처음부터 다른 코인에서 어떻게 동작하는가,</p>\n<p>최소한 존버보다는 나은 결과를 보이는 가를 확인하고 시작했어야 합니다.</p>\n<p>다른 코인뿐만 아니라 다른 주기에서도 어떤 모습을 보이는지 확인하는 것이 좋습니다.</p>\n<p>물론 특정 코인에만 특화되어서 좋은 결과를 낼 수 도 있습니다.</p>\n<p>그런 가능성이 보인다면 실전에 투입하지 않고 지켜 보시기 바랍니다.</p>\n<p>또는 이 전략이 많은 전략 중에 하나라면 설사 안좋은 결과를 보이더라도 견딜 수 있을 것입니다.</p>\n<p><br></p>\n<p><br>\n수익이 나는 전략 찾기는&nbsp;쉽고도 어렵습니다.<br>\n&nbsp;</p>\n<p>다음에는 개인적으로 쓸만하다 생각하는 전략을 공개하도록 하겠습니다.</p>\n<p><br></p>\n</html>",
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{
  "trx_id": "c4c3ea390b389decd01a9c6c3949c0ffb77af780",
  "block": 22730687,
  "trx_in_block": 79,
  "op_in_trx": 0,
  "virtual_op": 0,
  "timestamp": "2018-05-25T05:19:54",
  "op": [
    "comment",
    {
      "parent_author": "",
      "parent_permlink": "kr",
      "author": "watchbot",
      "permlink": "1bx48",
      "title": "[워치봇] 어떤 전략을 사용할 것인가?",
      "body": "<html>\n<p>https://www.watchbot.co.kr/</p>\n<p><img src=\"https://steemitimages.com/0x0/https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/K0KcWB-cpCLqU_aqy2h63AgNN38.jpg\" width=\"900\" height=\"600\"/></p>\n<p><br></p>\n<p>이전 글에서 말씀드렸듯&nbsp;거래할 코인과 거래소를 결정했다면 전략을 선택하는 일만 남았습니다.</p>\n<p>워치봇에서는 공유된 전략을 사용할 수도 있고 본인이 직접 만들 수도 있습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/KXXdPmPGtxj8acWgUMiSg4qmm_g.jpg\" width=\"394\" height=\"455\"/></p>\n<p>유저 공유 전략은 유저가 공유한 전략이고,&nbsp;워치봇 큐레이션 전략은 제가 만든 전략입니다.</p>\n<p>누가 만든 전략이던 좋은걸 찾아서 쓰는 것이 우리의 목적입니다.</p>\n<p><br>\n구체적인 기준은 다음과 같습니다.</p>\n<p>1. 상승장에서는 웬만한 전략을 적용하더라도 수익이 날 것이기 때문에 하락장에서 의미 있는 결과를 낼 것</p>\n<p>2. 거래 횟수가 너무 적거나 너무 많지 않을 것</p>\n<p>3. 슬리피지/거래비용을 0.5% 이상 적용하더라도 견딜 것(평균 손익이 그 이상일 것)</p>\n<p>4. 몇 번의 대세 상승 수익에 의존하지 않되 그 몇 번의 수익은 어느 정도 확보하는 모습을 보일 것</p>\n<p><br>\n어떤 지표를 사용했느냐는 중요하지 않습니다.</p>\n<p>다만 5개 지표를 사용했다면 선택한 전략에 새로운 필터를 적용할 수 없다는 단점이 있을 것입니다.</p>\n<p><br>\n5분 봉은 3개월,</p>\n<p>15분 봉을 이용했다면 최근 6개월의 거래 내역을 확인할 수 있고,</p>\n<p>30분 봉 이상을 이용했다면 최근 1년의 거래 내역을 확인할 수 있습니다.</p>\n<p>암호화폐 시장에서 3개월은 짧고 6개월은&nbsp;충분히 긴 기간이기 때문에 &nbsp;15분 봉 이상을 사용하는 것이 좋습니다.</p>\n<p>물론 개인적으로 기간을 수정하면서 최대한 많은&nbsp;기간을 확인해 보는 것도 좋습니다.</p>\n<p><br>\n우선 코인을 EOS, 거래소는 Bithumb으로 정했다고 가정하겠습니다.</p>\n<p>Coinone에도 EOS가 있지만 거래량이 Bithumb의 1/10도 되지 않기 때문에 슬리피지가 더 발생할 것이고,</p>\n<p>Coinone에 EOS가 상장된 지 얼마 되지 않기 때문에 긴 기간을 이용하는 전략은 적용이 되지 않을 수 있습니다.</p>\n<p>물론 수수료는 Coinone이 더 저렴한 편이라 투자 금액이나 전략의 성격에 맞춰서 다른 거래소를 선택하면 됩니다.</p>\n<p><br>\nEOS는 4월 말부터 주구 장창 하락이었고&nbsp;그 이전은 상당한 상승이었습니다.&nbsp;</p>\n<p>따라서 4월 말 이후부터 어떻게 동작했는지를 확인해 보는 것이 좋습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/c_CCZUryNPSgDxpnimjMq97U_qc.jpg\" width=\"323\" height=\"316\"/></p>\n<p>위와 같이 적용해 보겠습니다.</p>\n<p>제일 상단에 있는 전략을 선택했습니다.</p>\n<p>전략 보기를 누르면 다음과 같은 화면이 나옵니다.<br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/ib0VdFGBMBnUEMXk8ETK2YZANow.jpg\" width=\"850\" height=\"789\"/></p>\n<p>RSI를 추세로 쓰고 이평을 역추세로 쓴 전략입니다.</p>\n<p>이 전략을 test 봇에 적용하고 시뮬레이션 결과를 확인해 보았습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/TpGx702FcjLaxsZIwclojsqn3GY.jpg\" width=\"319\" height=\"612\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/0yP6-MjPfrI5p52fcgz4yU3W9Dc.jpg\" width=\"555\" height=\"222\"/></p>\n<p>하락장이었고 충분한 거래 수수료(슬리피지에 적용하셔도 무방합니다)를 적용했음에도 좋은 결과를 보입니다.</p>\n<p>좋은 결과란 우선 초기 가격이&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/S6vp-sECQ1eG0CBcs7oXMxNlq_s.jpg\" width=\"511\" height=\"96\"/></p>\n<p>2만 원 대였고 현재는 1.5만 원대로 25% 정도 하락했음에도 0 이상의 결과를 보이기 때문에 좋다고 평가할 수 있습니다.</p>\n<p>거래 횟수는 한 달이 좀 안 되는 기간 동안에 32회로 적지 않은 편입니다.</p>\n<p>개인적으로는 좀 많은 편이라 생각합니다만 아직 필터를 통해 이를 줄이지는 않겠습니다.</p>\n<p><br>\n하락장 이전에는 어떤 결과를 보였는지 확인해 보겠습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/_CVtdgcQmfQxANAfM1YzA7tT0XA.jpg\" width=\"319\" height=\"609\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/hyNuCC1AQgAVaZjEvzlq0Pb_6qs.jpg\" width=\"557\" height=\"222\"/></p>\n<p>2018년 1월 초에 EOS 가격이 1만 원 대였고 4월 말은 2만 원 초반대였으니 약 100% 정도 상승했고&nbsp;</p>\n<p>수익은 이의 두배 정도 되니 상승장에서도 Buy&amp;Hold에 비해 나은 결과를 보였다고 평가할 수 있습니다.</p>\n<p><br>\n마지막으로 올해 어떤 결과를 보였는지 검토하겠습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/gXR7-xb9tyn-PFeO-cyjg0FbQdk.jpg\" width=\"326\" height=\"620\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/cl6K7V_tAANkwEi6fuqf_maxUjw.jpg\" width=\"558\" height=\"224\"/></p>\n<p>최대 손실이 -13.88%이고 최대 이익은 60.94%입니다.&nbsp;</p>\n<p><br>\nSafety 에 -13% Stop-Loss를 적용합니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/YL2LxihNapQwVI5sS3dcyRjsKKs.jpg\" width=\"338\" height=\"407\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/noTeiYIJpeAZNhrFi2nb8HWigsM.jpg\" width=\"554\" height=\"223\"/></p>\n<p>전후 값을 넣어봤습니다만 -13% 정도가 총손익을 크게 해치지 않는 값입니다.</p>\n<p>손절을 넣는 이후는 이 전략이 완전히 망가지기 전에 전략을 멈추기 위함입니다.</p>\n<p><br>\n최대 이익은 60.94%로 너무 큽니다.</p>\n<p>한 번에 큰 수익을 냈다는 것은 이런 장이 오지 않으면 수익을 내기 어렵다는 의미이기도 하여</p>\n<p>적당한 익절을 넣어보았습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/UEIUE4ZueFCx2AFayQaJ4iMRD0w.jpg\" width=\"335\" height=\"400\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/lamQuTemZYFLAAIFc8sT-8LINrI.jpg\" width=\"555\" height=\"224\"/></p>\n<p>50%도 현실과는 동떨어진 수익률 일 것입니다만 올해 4번이나 터치했음을 확인할 수 있습니다.</p>\n<p>오히려 수익률은 좋아졌습니다.</p>\n<p>Trailing-Stop 은 Profit-Target 에 가깝게 설정해 둡니다.</p>\n<p>워치봇 시뮬레이션에서는 Trailing-Stop의 결과는 연산에 포함되지 않고&nbsp;</p>\n<p>50%에 가지 않고 수익의 되돌림을 방지하기 위함입니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/DujIGliHKbSL16bdEA2nHiBsC_U.jpg\" width=\"342\" height=\"374\"/></p>\n<p>여전히 거래가 많다고 보기 때문에 재진입 방지를 통해 거래를 줄여보았습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/0LG30t9i380Yd_oNDa9z1msI-u8.jpg\" width=\"556\" height=\"225\"/></p>\n<p>44회를 줄이고도 전체 손익에 큰 영향은 없습니다.</p>\n<p>재진입 방지를 통해 거래를 줄이는 것은 수익이 날 진입까지 제한하는 역효과를 낼 수도 있습니다.</p>\n<p>그러나 많은 진입으로 인한 수익 기댓값 보다 평균 거래 손익 증가로 인한 효과가 더 크다고 생각합니다.</p>\n<p><br>\n마지막으로 다른 코인에 적용해 봅니다.</p>\n<p>BTC 에 적용해 보니&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/v1BZPsdPuWQTwA5QAqehLekNxxI.jpg\" width=\"553\" height=\"222\"/><br>\n</p>\n<p>-68.12%입니다.</p>\n<p>다른 코인에 적용해 보아도 좋지 않은 결과를 보입니다.</p>\n<p>이대로 실전에 투입하기에는 두렵습니다.</p>\n<p>미래에 EOS가 BTC의 과거 데이터와 같이 움직일 가능성도 있습니다.</p>\n<p><br>\n'돌도 돌아 제자리'</p>\n<p><br>\n위 전략을 다른 코인에도 어느 정도 성과를 내는 전략으로 바꿀 수도 있습니다만 과감히 버리도록 하겠습니다.</p>\n<p><br>\n저도 간과했던 것은 처음부터 다른 코인에서 어떻게 동작하는가,</p>\n<p>최소한 존버보다는 나은 결과를 보이는 가를 확인하고 시작했어야 합니다.</p>\n<p>다른 코인뿐만 아니라 다른 주기에서도 어떤 모습을 보이는지 확인하는 것이 좋습니다.</p>\n<p>물론 특정 코인에만 특화되어서 좋은 결과를 낼 수 도 있습니다.</p>\n<p>그런 가능성이 보인다면 실전에 투입하지 않고 지켜 보시기 바랍니다.</p>\n<p>또는 이 전략이 많은 전략 중에 하나라면 설사 안좋은 결과를 보이더라도 견딜 수 있을 것입니다.</p>\n<p><br></p>\n<p><br>\n수익이 나는 전략 찾기는&nbsp;쉽고도 어렵습니다.<br>\n&nbsp;</p>\n<p>다음에는 개인적으로 쓸만하다 생각하는 전략을 공개하도록 하겠습니다.</p>\n<p><br></p>\n</html>",
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      "body": "뭔가.. 이미지가 안나오는것 같습니다.. 제 컴퓨터의 문제일까요 ㅠ",
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      "title": "[워치봇] 어떤 전략을 사용할 것인가?",
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{
  "trx_id": "c0805c3ddc004a8b479c514d7553ffbe65bf4066",
  "block": 22674347,
  "trx_in_block": 30,
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  "timestamp": "2018-05-23T06:03:57",
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    {
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      "parent_permlink": "kr",
      "author": "watchbot",
      "permlink": "1bx48",
      "title": "[워치봇] 어떤 전략을 사용할 것인가?",
      "body": "<html>\n<p>https://www.watchbot.co.kr/</p>\n<p><img src=\"https://steemitimages.com/0x0/https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/K0KcWB-cpCLqU_aqy2h63AgNN38.jpg\" width=\"900\" height=\"600\"/></p>\n<p><br></p>\n<p>이전 글에서 말씀드렸듯&nbsp;거래할 코인과 거래소를 결정했다면 전략을 선택하는 일만 남았습니다.</p>\n<p>워치봇에서는 공유된 전략을 사용할 수도 있고 본인이 직접 만들 수도 있습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/KXXdPmPGtxj8acWgUMiSg4qmm_g.jpg\" width=\"394\" height=\"455\"/></p>\n<p>유저 공유 전략은 유저가 공유한 전략이고,&nbsp;워치봇 큐레이션 전략은 제가 만든 전략입니다.</p>\n<p>누가 만든 전략이던 좋은걸 찾아서 쓰는 것이 우리의 목적입니다.</p>\n<p><br>\n구체적인 기준은 다음과 같습니다.</p>\n<p>1. 상승장에서는 웬만한 전략을 적용하더라도 수익이 날 것이기 때문에 하락장에서 의미 있는 결과를 낼 것</p>\n<p>2. 거래 횟수가 너무 적거나 너무 많지 않을 것</p>\n<p>3. 슬리피지/거래비용을 0.5% 이상 적용하더라도 견딜 것(평균 손익이 그 이상일 것)</p>\n<p>4. 몇 번의 대세 상승 수익에 의존하지 않되 그 몇 번의 수익은 어느 정도 확보하는 모습을 보일 것</p>\n<p><br>\n어떤 지표를 사용했느냐는 중요하지 않습니다.</p>\n<p>다만 5개 지표를 사용했다면 선택한 전략에 새로운 필터를 적용할 수 없다는 단점이 있을 것입니다.</p>\n<p><br>\n5분 봉은 3개월,</p>\n<p>15분 봉을 이용했다면 최근 6개월의 거래 내역을 확인할 수 있고,</p>\n<p>30분 봉 이상을 이용했다면 최근 1년의 거래 내역을 확인할 수 있습니다.</p>\n<p>암호화폐 시장에서 3개월은 짧고 6개월은&nbsp;충분히 긴 기간이기 때문에 &nbsp;15분 봉 이상을 사용하는 것이 좋습니다.</p>\n<p>물론 개인적으로 기간을 수정하면서 최대한 많은&nbsp;기간을 확인해 보는 것도 좋습니다.</p>\n<p><br>\n우선 코인을 EOS, 거래소는 Bithumb으로 정했다고 가정하겠습니다.</p>\n<p>Coinone에도 EOS가 있지만 거래량이 Bithumb의 1/10도 되지 않기 때문에 슬리피지가 더 발생할 것이고,</p>\n<p>Coinone에 EOS가 상장된 지 얼마 되지 않기 때문에 긴 기간을 이용하는 전략은 적용이 되지 않을 수 있습니다.</p>\n<p>물론 수수료는 Coinone이 더 저렴한 편이라 투자 금액이나 전략의 성격에 맞춰서 다른 거래소를 선택하면 됩니다.</p>\n<p><br>\nEOS는 4월 말부터 주구 장창 하락이었고&nbsp;그 이전은 상당한 상승이었습니다.&nbsp;</p>\n<p>따라서 4월 말 이후부터 어떻게 동작했는지를 확인해 보는 것이 좋습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/c_CCZUryNPSgDxpnimjMq97U_qc.jpg\" width=\"323\" height=\"316\"/></p>\n<p>위와 같이 적용해 보겠습니다.</p>\n<p>제일 상단에 있는 전략을 선택했습니다.</p>\n<p>전략 보기를 누르면 다음과 같은 화면이 나옵니다.<br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/ib0VdFGBMBnUEMXk8ETK2YZANow.jpg\" width=\"850\" height=\"789\"/></p>\n<p>RSI를 추세로 쓰고 이평을 역추세로 쓴 전략입니다.</p>\n<p>이 전략을 test 봇에 적용하고 시뮬레이션 결과를 확인해 보았습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/TpGx702FcjLaxsZIwclojsqn3GY.jpg\" width=\"319\" height=\"612\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/0yP6-MjPfrI5p52fcgz4yU3W9Dc.jpg\" width=\"555\" height=\"222\"/></p>\n<p>하락장이었고 충분한 거래 수수료(슬리피지에 적용하셔도 무방합니다)를 적용했음에도 좋은 결과를 보입니다.</p>\n<p>좋은 결과란 우선 초기 가격이&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/S6vp-sECQ1eG0CBcs7oXMxNlq_s.jpg\" width=\"511\" height=\"96\"/></p>\n<p>2만 원 대였고 현재는 1.5만 원대로 25% 정도 하락했음에도 0 이상의 결과를 보이기 때문에 좋다고 평가할 수 있습니다.</p>\n<p>거래 횟수는 한 달이 좀 안 되는 기간 동안에 32회로 적지 않은 편입니다.</p>\n<p>개인적으로는 좀 많은 편이라 생각합니다만 아직 필터를 통해 이를 줄이지는 않겠습니다.</p>\n<p><br>\n하락장 이전에는 어떤 결과를 보였는지 확인해 보겠습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/_CVtdgcQmfQxANAfM1YzA7tT0XA.jpg\" width=\"319\" height=\"609\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/hyNuCC1AQgAVaZjEvzlq0Pb_6qs.jpg\" width=\"557\" height=\"222\"/></p>\n<p>2018년 1월 초에 EOS 가격이 1만 원 대였고 4월 말은 2만 원 초반대였으니 약 100% 정도 상승했고&nbsp;</p>\n<p>수익은 이의 두배 정도 되니 상승장에서도 Buy&amp;Hold에 비해 나은 결과를 보였다고 평가할 수 있습니다.</p>\n<p><br>\n마지막으로 올해 어떤 결과를 보였는지 검토하겠습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/gXR7-xb9tyn-PFeO-cyjg0FbQdk.jpg\" width=\"326\" height=\"620\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/cl6K7V_tAANkwEi6fuqf_maxUjw.jpg\" width=\"558\" height=\"224\"/></p>\n<p>최대 손실이 -13.88%이고 최대 이익은 60.94%입니다.&nbsp;</p>\n<p><br>\nSafety 에 -13% Stop-Loss를 적용합니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/YL2LxihNapQwVI5sS3dcyRjsKKs.jpg\" width=\"338\" height=\"407\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/noTeiYIJpeAZNhrFi2nb8HWigsM.jpg\" width=\"554\" height=\"223\"/></p>\n<p>전후 값을 넣어봤습니다만 -13% 정도가 총손익을 크게 해치지 않는 값입니다.</p>\n<p>손절을 넣는 이후는 이 전략이 완전히 망가지기 전에 전략을 멈추기 위함입니다.</p>\n<p><br>\n최대 이익은 60.94%로 너무 큽니다.</p>\n<p>한 번에 큰 수익을 냈다는 것은 이런 장이 오지 않으면 수익을 내기 어렵다는 의미이기도 하여</p>\n<p>적당한 익절을 넣어보았습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/UEIUE4ZueFCx2AFayQaJ4iMRD0w.jpg\" width=\"335\" height=\"400\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/lamQuTemZYFLAAIFc8sT-8LINrI.jpg\" width=\"555\" height=\"224\"/></p>\n<p>50%도 현실과는 동떨어진 수익률 일 것입니다만 올해 4번이나 터치했음을 확인할 수 있습니다.</p>\n<p>오히려 수익률은 좋아졌습니다.</p>\n<p>Trailing-Stop 은 Profit-Target 에 가깝게 설정해 둡니다.</p>\n<p>워치봇 시뮬레이션에서는 Trailing-Stop의 결과는 연산에 포함되지 않고&nbsp;</p>\n<p>50%에 가지 않고 수익의 되돌림을 방지하기 위함입니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/DujIGliHKbSL16bdEA2nHiBsC_U.jpg\" width=\"342\" height=\"374\"/></p>\n<p>여전히 거래가 많다고 보기 때문에 재진입 방지를 통해 거래를 줄여보았습니다.</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/0LG30t9i380Yd_oNDa9z1msI-u8.jpg\" width=\"556\" height=\"225\"/></p>\n<p>44회를 줄이고도 전체 손익에 큰 영향은 없습니다.</p>\n<p>재진입 방지를 통해 거래를 줄이는 것은 수익이 날 진입까지 제한하는 역효과를 낼 수도 있습니다.</p>\n<p>그러나 많은 진입으로 인한 수익 기댓값 보다 평균 거래 손익을 증가시킴으로 인한&nbsp;</p>\n<p>기대 효과가 더 크다고 생각합니다.</p>\n<p><br>\n마지막으로 다른 코인에 적용해 봅니다.</p>\n<p>BTC 에 적용해 보니&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/v1BZPsdPuWQTwA5QAqehLekNxxI.jpg\" width=\"553\" height=\"222\"/><br>\n</p>\n<p>-68.12%입니다.</p>\n<p>다른 코인에 적용해 보아도 좋지 않은 결과를 보입니다.</p>\n<p>이대로 실전에 투입하기에는 두렵습니다.</p>\n<p>미래에 EOS가 BTC의 과거 데이터와 같이 움직일 가능성도 있습니다.</p>\n<p><br>\n'돌도 돌아 제자리'</p>\n<p><br>\n위 전략을 다른 코인에도 어느 정도 성과를 내는 전략으로 바꿀 수도 있습니다만 과감히 버리도록 하겠습니다.</p>\n<p><br>\n저도 간과했던 것은 처음부터 다른 코인에서 어떻게 동작하는가,</p>\n<p>최소한 존버보다는 나은 결과를 보이는 가를 확인하고 시작했어야 합니다.</p>\n<p>다른 코인뿐만 아니라 다른 주기에서도 어떤 모습을 보이는지 확인하는 것이 좋습니다.</p>\n<p>물론 특정 코인에만 특화되어서 좋은 결과를 낼 수 도 있습니다.</p>\n<p>그런 가능성이 보인다면 실전에 투입하지 않고 지켜 보시기 바랍니다.</p>\n<p>또는 이 전략이 많은 전략 중에 하나라면 설사 안좋은 결과를 보이더라도 견딜 수 있을 것입니다.</p>\n<p><br></p>\n<p><br>\n수익이 나는 전략 찾기는&nbsp;쉽고도 어렵습니다.<br>\n&nbsp;</p>\n</html>",
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      "title": "[워치봇] 어떤 코인을 거래할 것인가?",
      "body": "<html>\n<p>&nbsp;<a href=\"https://www.watchbot.co.kr/home\">https://www.watchbot.co.kr</a></p>\n<p><a href=\"https://www.watchbot.co.kr/\">&nbsp;</a><img src=\"https://steemitimages.com/0x0/https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/K0KcWB-cpCLqU_aqy2h63AgNN38.jpg\" width=\"900\" height=\"600\"/></p>\n<p><br></p>\n<p><strong>어떤 코인을 거래할 것인가?</strong>&nbsp;</p>\n<p><br>\n지금까지 몇 가지 지표들로 시뮬레이션하고 이를 분석하고 선별하는 과정에 대해서 적었습니다.&nbsp;</p>\n<p>중요하지만 너무도 재미없는 내용이라 금주부터는 워치봇의 실 사용에 대한 의견을 적어보고자 합니다. &nbsp;</p>\n<p>이는 제 의견이고 정답은 없음을 미리 말씀드리니 더 좋은 방법은 직접 찾아보시기 바랍니다.&nbsp;</p>\n<p>첫 번째 글과 연결되는 부분도 있어</p>\n<p><a href=\"https://steemit.com/kr/@watchbot/3g7yae\">https://steemit.com/kr/@watchbot/3g7yae</a>&nbsp;</p>\n<p>글을 다시 한번 참고하시면 좋겠습니다.&nbsp;</p>\n<p><br>\n본론으로 어떤 코인을 어떤 거래소에서 거래할 것인가에 대해서 말씀드리도록 하겠습니다.<br>\n개인적으로 좋아하는 코인이 있을 것이고 코인마다 특성이 다릅니다.&nbsp;코인의 특성은 호불호, 가격, 변동성, 거래량, 방향성, 거래소에 따른 거래 단위 등이 있을 것입니다.&nbsp;호불호는 내가 추구하는 코인입니다.&nbsp;<br>\n</p>\n<p>예를 들어 &nbsp;</p>\n<p>a. 비트 코인은 채굴 난이도가 증가하고 있고 인플레이션이 발생하고 있기 때문에 10년 후 가격은 지금보다 위다.&nbsp;</p>\n<p>b. 이오스가 짱이고 메인넷 출시하면 모든 코인을 잡아먹을 것이다.&nbsp;</p>\n<p>c. 무슨 코인인지 관심 없고 상장 코인 또는 잡코인으로 10배 노린다.&nbsp;d. ICO는 다 이더로 하게 될 것이기 때문에 4차 산업이 발전하면 할수록 비싸질 것이다.&nbsp;</p>\n<p><br>\n미래를 믿는 코인들은 떨어지더라도 두렵거나 초조하지 않습니다.&nbsp;</p>\n<p>전략이 좀 틀려도 한방이 있을 것이라고 믿기 때문에 기다릴 수 있습니다.&nbsp;</p>\n<p>목표하는 바에 따라 다른 전략을 적용해야 합니다.&nbsp;</p>\n<p><br>\n예를 들어&nbsp;</p>\n<p>a. 비트코인의 경우 변동성이 작은 대장주이기 때문에 거래가 빈번해서는 안되고 손절 기능은 없고 익절을 짧게 하고 싶습니다.&nbsp;</p>\n<p>b. 이오스가 메인넷 출시하면 지금보다 2배 간다고 가정하고 떨어질 때 더 사게 동작하도록 만들고 싶습니다.&nbsp;</p>\n<p>c. 잡코인은 펌핑이 있을 때 크게 먹어야 하기 때문에 익절의 범위를 매우 크게 합니다.&nbsp;</p>\n<p><br>\n과거 성과도 중요하지만 목적한 코인을 의도한 대로 거래되도록 하는 것이 틀리더라도 납득할 수 있을 것입니다.&nbsp;</p>\n<p>과거는 과거일 뿐 미래를 보장하지 않기 때문입니다.&nbsp;</p>\n<p><br>\n다음으로 가격입니다.&nbsp;</p>\n<p>가격 하나만 중요한 것은 아니고 어느 거래소에서 거래되는 것인가에 따라 달라집니다.&nbsp;</p>\n<p>한국 거래소의 경우 원화를 기준으로 할 경우 코인 자체의 가격이 매우 중요합니다.&nbsp;</p>\n<p>한 틱이 몇 퍼센트냐가 슬리피지에 영향을 미치게 됩니다.&nbsp;</p>\n<p>이오스의 경우 빗썸에서는 5원 단위, 코인원에서는 10원 단위였습니다.&nbsp;</p>\n<p>(지금은 빗썸도 10원 단위로 바뀌었습니다.)<br>\n</p>\n<p>가장 안 좋은 예가 트론입니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/n-1KF8rq32eORGEVjTROBo_ayp4.png\" width=\"216\" height=\"127\"/></p>\n<p>1 틱에 10원인데 %로 변환하면 1.129%나 됩니다.&nbsp;</p>\n<p>워치봇은 시장가로 주문 체결을 하는데 왕복으로는 2.26% 나 손해 보게 될 가능성이 있습니다.&nbsp;</p>\n<p>많은 금액을 거래한다면 이보다도 많은 슬리피지가 발생할 것이고 복리로 영향을 미칠 것이기 때문에 어마어마한 차이를 발생시킬 것입니다.&nbsp;<br>\n</p>\n<p>거래하기 좋은 예는 비트코인입니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/IJGrbIUUPm81gKzfGSNaFrpO1VU.png\" width=\"234\" height=\"122\"/></p>\n<p>1 틱에 0.0096% 밖에 되지 않습니다.&nbsp;</p>\n<p>거래량 또한 많아서 시장가 주문에 다른 호가를 잡아먹을 가능성도 적습니다.&nbsp;</p>\n<p>대신에 변동성이 적어서 화끈한 수익을 기대할 수는 없을 것입니다.&nbsp;</p>\n<p>한국에서 거래되는 코인을 예로 들었습니다만 바이낸스에서 거래하더라도 가격이 싼 코인들은 높은 슬리피지에 노출되어 있다는 것을 감안해야 합니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/fWKZ7J2u6hcFTgTN-7Nd_0tkaFI.png\" width=\"290\" height=\"129\"/></p>\n<p>이런 슬리피지를 견디고 수익을 내려면 예상 가능 슬리피지에 비해 변동성이 배로 크면 됩니다.&nbsp;</p>\n<p>하루에 50% 움직이는데 1%는 아무것도 아니듯 말입니다.&nbsp;</p>\n<p>같은 코인이라도 거래소마다 틱 단위에 차이가 있을 수 있기 때문에 거래소를 결정하는 것도 매우 중요한 일입니다.&nbsp;</p>\n<p><br>\n요약하자면 틱 단위가 가격에 비해 작고, 거래량이 많고, 수수료가 싸고, 변동성이 큰 코인을 자동 거래해야 합니다.&nbsp;<br>\n이 기준에 의하면 워치봇으로 돌릴 만한 코인은 그리 많지 않습니다. &nbsp;<br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/uoDGePBz3CWoKHVD42LPigYYm-c.png\" width=\"980\" height=\"888\"/></p>\n<p><br></p>\n<p>빗썸을 기준으로 거래금액 상위 10개, 시가총액 상위 10개 중 공통된 코인은&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/CW_O4UiILuHFk6lDrcuSXv6AebQ.png\" width=\"602\" height=\"215\"/></p>\n<p>비트코인, 이더리움, 리플, 비트캐시, 이오스, 트론인데 이중 트론은 매우 신경 써서 전략을 만들어야 할 것입니다.</p>\n<p>&nbsp;<br>\n잡코인(가격이 싸거나 거래량이 적은)의 경우는 제외하거나 특별한 전략을 만들어야 합니다.&nbsp;</p>\n<p>특별한 전략이라 함은 거래 횟수가 적어야 하고, 승률이 높으며, 추세형 보다는 역추세 형이어야 가능성이 있습니다.&nbsp;</p>\n<p>우선 잡코인의 특성상 순간적으로 큰 펌핑이 있을 것이지만 대부분의 장에서는 횡보하거나 하락할 것이기 때문에 봇을 돌리면 펌핑 오기 전에 슬리피지로 녹아날 것입니다.&nbsp;</p>\n<p>따라서 거래 횟수가 적고 한번 들어가면 크게 먹고 견디며 체결 슬리피지를 줄이기 위해 역추세 형이어야 좋습니다.&nbsp;</p>\n<p>추세형이라면 큰 변동성에 추격 매수 진입해서 먹고, 오랫동안 쉬는 형태로 구성해야 할 것입니다.&nbsp;</p>\n<p>(예를 들어 5% 이상 상승하면 매수, 2% 먹고 청산)&nbsp;</p>\n<p>문제는 거래 횟수가 많아야 통계적 의미를 가질 수 있는데 거래 횟수가 적은 전략은 그렇지 않을 수 있어 통계적 의미까지 확보할 수는 없습니다.&nbsp;</p>\n<p>따라서 목적하는 바 대로 만들어야 한다는 것입니다.&nbsp;</p>\n<p>물론 거래 횟수가 많다고 좋은 전략은 아닙니다.&nbsp;</p>\n<p>현실적으로 신규 코인 데이터는 짧고 워치봇은 복리로 투자되기 때문에 거래 횟수가 많고 승률이 높으면 비현실적인 수익률이 나오게 보이고 착각하기 쉽습니다.&nbsp;</p>\n<p><br>\n다음에는 어떤 전략을 사용할 것인가에 대해서 적어보도록 하겠습니다.&nbsp;&nbsp;</p>\n</html>",
      "json_metadata": "{\"tags\":[\"kr\",\"kr-newbie\",\"kr-writing\",\"krwhale\",\"watchbot\"],\"image\":[\"https://steemitimages.com/0x0/https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/K0KcWB-cpCLqU_aqy2h63AgNN38.jpg\",\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/n-1KF8rq32eORGEVjTROBo_ayp4.png\",\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/IJGrbIUUPm81gKzfGSNaFrpO1VU.png\",\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/fWKZ7J2u6hcFTgTN-7Nd_0tkaFI.png\",\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/uoDGePBz3CWoKHVD42LPigYYm-c.png\",\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/CW_O4UiILuHFk6lDrcuSXv6AebQ.png\"],\"links\":[\"https://www.watchbot.co.kr/home\",\"https://www.watchbot.co.kr/\",\"https://steemit.com/kr/@watchbot/3g7yae\"],\"app\":\"steemit/0.1\",\"format\":\"html\"}"
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}

{
  "trx_id": "0000000000000000000000000000000000000000",
  "block": 22304939,
  "trx_in_block": 4294967295,
  "op_in_trx": 0,
  "virtual_op": 4,
  "timestamp": "2018-05-10T10:10:54",
  "op": [
    "author_reward",
    {
      "author": "watchbot",
      "permlink": "bollingerband",
      "sbd_payout": "0.017 SBD",
      "steem_payout": "0.000 STEEM",
      "vesting_payout": "12.213203 VESTS"
    }
  ]
}

{
  "trx_id": "ca2a6af6606a753b8516be3acb34035d1aca7e0b",
  "block": 22105609,
  "trx_in_block": 4,
  "op_in_trx": 0,
  "virtual_op": 0,
  "timestamp": "2018-05-03T12:01:27",
  "op": [
    "vote",
    {
      "voter": "watchbot",
      "author": "jbheal001",
      "permlink": "5ai7ye",
      "weight": 10000
    }
  ]
}

{
  "trx_id": "f466e50b387bf59097684f978365b4a3067817b7",
  "block": 22105578,
  "trx_in_block": 80,
  "op_in_trx": 0,
  "virtual_op": 0,
  "timestamp": "2018-05-03T11:59:54",
  "op": [
    "comment",
    {
      "parent_author": "",
      "parent_permlink": "kr",
      "author": "watchbot",
      "permlink": "bollingerband",
      "title": "[암호화폐 트레이딩] Watchbot's BollingerBand",
      "body": "<html>\n<p><strong>https://www.watchbot.co.kr</strong></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/K0KcWB-cpCLqU_aqy2h63AgNN38.jpg\" width=\"900\" height=\"600\"/></p>\n<p><br></p>\n<p><strong>&nbsp;[BollingerBand]</strong></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/o66hs09FqoFXmOzasTp9OjGmHBY.png\" width=\"289\" height=\"153\"/></p>\n<p><br></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/JMgBWswl1qAAge2sPd9HEtpnfj4.png\" width=\"329\" height=\"344\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aZ88eXmGlMKTkrk9f9kL5rJpYUk.png\" width=\"316\" height=\"341\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/feyg8J_svPz26PIkUPI6E6A54hY.png\" width=\"318\" height=\"298\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/-IR-NZ6PE5GSN8SaYcTVQ5XMhMM.png\" width=\"317\" height=\"240\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/uOnqDbR0LKjJCsJmNGE0WN4jkI8.jpg\" width=\"1280\" height=\"894\"/></p>\n<p><br></p>\n<p>워치봇에서 제공하는 BollingerBand는 percentB 개념으로 BollingerBand를 %로 변환한 값입니다.&nbsp;</p>\n<p>따라서 이를 Multichart에 적용하기 위해 기존 지표를 변형해서 적용했습니다.&nbsp;</p>\n<p><br>\nvar: percentB(<strong>0</strong>);&nbsp;</p>\n<p>if (BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2))&gt;<strong>0</strong>&nbsp;then begin&nbsp;</p>\n<p>percentB=((c-BollingerBand(c,a1,-a2))/(BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2)))*<strong>100</strong>;&nbsp;</p>\n<p>end else percentB=<strong>0</strong>;&nbsp;</p>\n<p>if percentB&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;&nbsp;if percentB&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;&nbsp;</p>\n<p><br>\n변수가 네 개라 모든 경우의 수를 세밀하게 최적화 하기에는 시간이 많이 걸리기 때문에 러프하게 검토해 보았습니다.&nbsp;</p>\n<p>밴드를 벗어날 때 해당 방향으로 진입하는 추세형 프레임입니다.&nbsp;</p>\n<p>세밀한 조정은 워치봇에서 직접 해 보시기 바랍니다.&nbsp;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/rVFujen_77rGxiOhNbxfNXoLaYc.png\" width=\"601\" height=\"439\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/QZvjbHoQWnNFGWrCs50hekkozoU.png\" width=\"807\" height=\"511\"/></p>\n<p>다른 지표들과는 다르게 의미 있는 결과가 많이 보여서 샘플링할 값도 여러 개 선택해 보았습니다.&nbsp;</p>\n<p><br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/OLaXXntOwIPL0PUUXQZ7G_GPa5g.png\" width=\"601\" height=\"139\"/></p>\n<p>워치봇 지표 값으로 보면&nbsp; &nbsp;</p>\n<p><br>\n<strong>[BTC]&nbsp;</strong></p>\n<p>매수(20, 1, 180) &gt;, 매도(20, 1, -120) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 10972608, \"<strong>earningsRate</strong>\"<strong>:</strong> 9.9726, \"<strong>totalFee</strong>\"<strong>:</strong> 3667890, \"<strong>tradeCount</strong>\"<strong>:</strong> 142, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1125528, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1255, \"<strong>totalFee</strong>\"<strong>:</strong> 264580, \"<strong>tradeCount</strong>\"<strong>:</strong> 90, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(40, 1, 200) &gt;, 매도(40, 1, -100) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 4518548, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.5185, \"<strong>totalFee</strong>\"<strong>:</strong> 2366188, \"<strong>tradeCount</strong>\"<strong>:</strong> 196, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1080369, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0804, \"<strong>totalFee</strong>\"<strong>:</strong> 217577, \"<strong>tradeCount</strong>\"<strong>:</strong> 38, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(60, 1, 140) &gt;, 매도(60, 1, -60) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 7021680, \"<strong>earningsRate</strong>\"<strong>:</strong> 6.0217, \"<strong>totalFee</strong>\"<strong>:</strong> 5792489, \"<strong>tradeCount</strong>\"<strong>:</strong> 306, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 16:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 971672, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0283, \"<strong>totalFee</strong>\"<strong>:</strong> 377877, \"<strong>tradeCount</strong>\"<strong>:</strong> 68, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(60, 1, 140) &gt;, 매도(60, 1, -20) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 4087595, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.0876, \"<strong>totalFee</strong>\"<strong>:</strong> 4878607, \"<strong>tradeCount</strong>\"<strong>:</strong> 412, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 16:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 897991, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.102, \"<strong>totalFee</strong>\"<strong>:</strong> 473034, \"<strong>tradeCount</strong>\"<strong>:</strong> 90, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(80, 1, 140) &gt;, 매도(80, 1, -60) <strong>&lt;</strong> \"<strong>lastBalance</strong>\"<strong>:</strong> 8512746, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.5127, \"<strong>totalFee</strong>\"<strong>:</strong> 4578146, \"<strong>tradeCount</strong>\"<strong>:</strong> 242, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1313026, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.313, \"<strong>totalFee</strong>\"<strong>:</strong> 319055, \"<strong>tradeCount</strong>\"<strong>:</strong> 46, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(80, 1, 80) &gt;, 매도(80, 1, -60) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 7330771, \"<strong>earningsRate</strong>\"<strong>:</strong> 6.3308, \"<strong>totalFee</strong>\"<strong>:</strong> 5294672, \"<strong>tradeCount</strong>\"<strong>:</strong> 300, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 939505, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0605, \"<strong>totalFee</strong>\"<strong>:</strong> 361915, \"<strong>tradeCount</strong>\"<strong>:</strong> 68, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(80, 1, 100) &gt;, 매도(80, 1, -40) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 5306313, \"<strong>earningsRate</strong>\"<strong>:</strong> 4.3063, \"<strong>totalFee</strong>\"<strong>:</strong> 5140271, \"<strong>tradeCount</strong>\"<strong>:</strong> 374, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 826672, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1733, \"<strong>totalFee</strong>\"<strong>:</strong> 401744, \"<strong>tradeCount</strong>\"<strong>:</strong> 84, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(100, 1, 120) &gt;, 매도(100, 1, -40) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 8911304, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.9113, \"<strong>totalFee</strong>\"<strong>:</strong> 5045493, \"<strong>tradeCount</strong>\"<strong>:</strong> 250, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1203724, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2037, \"<strong>totalFee</strong>\"<strong>:</strong> 343310, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>매수(100, 1, 120) &gt;, 매도(100, 1, -20) &lt;</strong> \"<strong>lastBalance</strong>\"<strong>:</strong> 8758714, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.7587, \"<strong>totalFee</strong>\"<strong>:</strong> 5354951, \"<strong>tradeCount</strong>\"<strong>:</strong> 292, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1311629, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3116, \"<strong>totalFee</strong>\"<strong>:</strong> 380917, \"<strong>tradeCount</strong>\"<strong>:</strong> 56, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>매수(100, 1, 120) &gt;, 매도(100, 1, 0) &lt;</strong> \"<strong>lastBalance</strong>\"<strong>:</strong> 6290177, \"<strong>earningsRate</strong>\"<strong>:</strong> 5.2902, \"<strong>totalFee</strong>\"<strong>:</strong> 4548252, \"<strong>tradeCount</strong>\"<strong>:</strong> 330, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1277026, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.277, \"<strong>totalFee</strong>\"<strong>:</strong> 401212, \"<strong>tradeCount</strong>\"<strong>:</strong> 62, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n거래 횟수가 충분히 많으면서 최근까지 수익이 적당히 나는 결과는 다음과 같습니다. &nbsp;</p>\n<p><br>\n<strong>매수(80, 1, 140) &gt;, 매도(80, 1, -60) &lt;</strong>&nbsp;</p>\n<p><strong>매수(100, 1, 120) &gt;, 매도(100, 1, -20) &lt;</strong>&nbsp;</p>\n<p><strong>매수(100, 1, 120) &gt;, 매도(100, 1, 0) &lt;</strong>&nbsp;</p>\n<p><br>\n위 세 개의 결과 중 &nbsp;</p>\n<p><strong>매수(100, 1, 120) &gt;, 매도(100, 1, -20) &lt;</strong>&nbsp;</p>\n<p>만 이용해서</p>\n<blockquote><br>\n1. 다른 코인에서의 결과</blockquote>\n<blockquote>2. 세밀한 조정&nbsp;</blockquote>\n<blockquote>3. 손절/익절&nbsp;</blockquote>\n<p><br></p>\n<p>을 해보도록 하겠습니다.&nbsp;</p>\n<p><br>\n<strong>1. 다른 코인에서의 결과&nbsp;</strong></p>\n<p><strong>[ETH]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 46128272, \"<strong>earningsRate</strong>\"<strong>:</strong> 45.1283, \"<strong>totalFee</strong>\"<strong>:</strong> 37800446, \"<strong>tradeCount</strong>\"<strong>:</strong> 291, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1080950, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0809, \"<strong>totalFee</strong>\"<strong>:</strong> 412061, \"<strong>tradeCount</strong>\"<strong>:</strong> 59, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><strong>[ETC]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 3187087, \"<strong>earningsRate</strong>\"<strong>:</strong> 2.1871, \"<strong>totalFee</strong>\"<strong>:</strong> 3436316, \"<strong>tradeCount</strong>\"<strong>:</strong> 340, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 11:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1084781, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0848, \"<strong>totalFee</strong>\"<strong>:</strong> 428244, \"<strong>tradeCount</strong>\"<strong>:</strong> 64, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 12:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><strong>[XRP]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 5680155, \"<strong>earningsRate</strong>\"<strong>:</strong> 4.6802, \"<strong>totalFee</strong>\"<strong>:</strong> 3285364, \"<strong>tradeCount</strong>\"<strong>:</strong> 226, \"<strong>from</strong>\"<strong>:</strong> \"2017-05-12 22:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1082262, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0823, \"<strong>totalFee</strong>\"<strong>:</strong> 403314, \"<strong>tradeCount</strong>\"<strong>:</strong> 60, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 08:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><strong>[LTC]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 725767, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2742, \"<strong>totalFee</strong>\"<strong>:</strong> 366911, \"<strong>tradeCount</strong>\"<strong>:</strong> 76, \"<strong>from</strong>\"<strong>:</strong> \"2017-12-18 19:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1000767, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0008, \"<strong>totalFee</strong>\"<strong>:</strong> 442448, \"<strong>tradeCount</strong>\"<strong>:</strong> 66, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>[BCH]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 4744167, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.7442, \"<strong>totalFee</strong>\"<strong>:</strong> 2394884, \"<strong>tradeCount</strong>\"<strong>:</strong> 154, \"<strong>from</strong>\"<strong>:</strong> \"2017-08-11 19:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 897674, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1023, \"<strong>totalFee</strong>\"<strong>:</strong> 249780, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 13:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p><br>\n<strong>2. 세밀한 조정 &nbsp;&nbsp;&nbsp;</strong></p>\n<p>if (BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB=((c-BollingerBand(c,a1,-a2))/(BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2)))*<strong>100</strong>;</p>\n<p><strong>end</strong>&nbsp;else percentB=<strong>0</strong>;</p>\n<p>if percentB&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/QhzkeTZ9dBN4T_g-Gdm9zfzemaQ.png\" width=\"602\" height=\"300\"/></p>\n<p>위 결과는 2015년부터 시뮬레이션한 결과입니다.&nbsp;</p>\n<p>슬리피지를 20000원 적용했기 때문에 100만 원도 하지 않던 시절에는 승률이 당연히 떨어지게 보일 것이고 따라서 승률이 낮게 표시될 것입니다.&nbsp;</p>\n<p>위 결과에서 네 가지를 선택했습니다.&nbsp;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aTYuUcVtgn1ATzs4MXKZCYoNNFY.png\" width=\"602\" height=\"66\"/></p>\n<p>매수 (102, 1, 120) &gt;, 매도 (102, 1, -38)&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1339591, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3396, \"<strong>totalFee</strong>\"<strong>:</strong> 338180, \"<strong>tradeCount</strong>\"<strong>:</strong> 48, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p>매수 (100, 1, 122) &gt;, 매도 (100, 1, -36)&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1239322, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2393, \"<strong>totalFee</strong>\"<strong>:</strong> 345773, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p>매수 (104, 1, 140) &gt;, 매도 (104, 1, -36)&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1227280, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2273, \"<strong>totalFee</strong>\"<strong>:</strong> 284376, \"<strong>tradeCount</strong>\"<strong>:</strong> 44, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p>매수 (106, 1, 138) &gt;, 매도 (106, 1, -36)&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1196951, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.197, \"<strong>totalFee</strong>\"<strong>:</strong> 277629, \"<strong>tradeCount</strong>\"<strong>:</strong> 44, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n위 결과에서 매수와 매도를 비대칭 적으로 최적화해 봅니다. &nbsp;&nbsp;&nbsp;</p>\n<p>var: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p><br>\nif (BollingerBand(c,a1,<strong>1</strong>)-BollingerBand(c,a1,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,a1,-<strong>1</strong>))/(BollingerBand(c,a1,<strong>1</strong>)-BollingerBand(c,a1,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br>\nif (BollingerBand(c,a2,<strong>1</strong>)-BollingerBand(c,a2,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,a2,-<strong>1</strong>))/(BollingerBand(c,a2,<strong>1</strong>)-BollingerBand(c,a2,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_S=<strong>0</strong>;</p>\n<p><br>\nif percentB_B&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB_S&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/2vKnSQ79KNxcOLS-A8KNMDJJCxg.png\" width=\"602\" height=\"439\"/></p>\n<p><br></p>\n<p>워치봇 테스트 선별은 다음과 같습니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/u2oV5FRuMuvdRYXl4zd5UA5sfdI.png\" width=\"602\" height=\"196\"/></p>\n<p><br></p>\n<p><strong>[BTC]&nbsp;</strong></p>\n<p>매수 (110, 1, 100) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1328466, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3285, \"<strong>totalFee</strong>\"<strong>:</strong> 359830, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 12:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;</p>\n<p><br>\n매수 (50, 1, 150) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1277254, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2773, \"<strong>totalFee</strong>\"<strong>:</strong> 413796, \"<strong>tradeCount</strong>\"<strong>:</strong> 59, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;</p>\n<p><br>\n매수 (100, 1, 110) &gt;, 매도 (80, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 552609, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.4474, \"<strong>totalFee</strong>\"<strong>:</strong> 456775, \"<strong>tradeCount</strong>\"<strong>:</strong> 113, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;</p>\n<p>&nbsp;<br>\n매수 (40, 1, 170) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1344313, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3443, \"<strong>totalFee</strong>\"<strong>:</strong> 351819, \"<strong>tradeCount</strong>\"<strong>:</strong> 53, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (50, 1, 150) &gt;, 매도 (90, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1445550, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.4456, \"<strong>totalFee</strong>\"<strong>:</strong> 466287, \"<strong>tradeCount</strong>\"<strong>:</strong> 61, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (60, 1, 140) &gt;, 매도 (90, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1353406, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3534, \"<strong>totalFee</strong>\"<strong>:</strong> 414545, \"<strong>tradeCount</strong>\"<strong>:</strong> 62, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (100, 1, 110) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1219234, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2192, \"<strong>totalFee</strong>\"<strong>:</strong> 349912, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (100, 1, 110) &gt;, 매도 (90, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1440543, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.4405, \"<strong>totalFee</strong>\"<strong>:</strong> 384347, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (50, 1, 150) &gt;, 매도 (80, 1, -50) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1199847, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1998, \"<strong>totalFee</strong>\"<strong>:</strong> 410525, \"<strong>tradeCount</strong>\"<strong>:</strong> 61, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (110, 1, 100) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1342046, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.342, \"<strong>totalFee</strong>\"<strong>:</strong> 361944, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 12:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (50, 1, 150) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1254005, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.254, \"<strong>totalFee</strong>\"<strong>:</strong> 431401, \"<strong>tradeCount</strong>\"<strong>:</strong> 61, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (100, 1, 110) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1231697, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2317, \"<strong>totalFee</strong>\"<strong>:</strong> 352279, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (50, 1, 170) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1296708, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2967, \"<strong>totalFee</strong>\"<strong>:</strong> 354198, \"<strong>tradeCount</strong>\"<strong>:</strong> 51, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 11:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (50, 1, 170) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1315076, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3151, \"<strong>totalFee</strong>\"<strong>:</strong> 357134, \"<strong>tradeCount</strong>\"<strong>:</strong> 51, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 11:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",</p>\n<p><br>\n매수 (50, 1, 180) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1430024, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.43, \"<strong>totalFee</strong>\"<strong>:</strong> 294588, \"<strong>tradeCount</strong>\"<strong>:</strong> 43, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/9wO4r_boP5Fczr_bE-pEdt6ytDI.png\" width=\"602\" height=\"214\"/></p>\n<p>2018년 BTC 복리 수익률과 기타 통계 값과 어떤 상관관계가 있는지 알아보기 위해 정렬해 보았습니다.&nbsp;</p>\n<p>승률과 약한 양의 상관관계를 보이는 것 같습니다만 명확하지는 않습니다.&nbsp;</p>\n<p>승률이 높고 수익률도 높은 구간에서 세밀하게 최적화해 보겠습니다.&nbsp;<br>\n</p>\n<p>매수 (46, 1, 180) &gt;, 매도 (86, 1, -36) &lt;&nbsp;</p>\n<p><br></p>\n<p>[BTC]&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 9043588, \"<strong>earningsRate</strong>\"<strong>:</strong> 8.0436, \"<strong>totalFee</strong>\"<strong>:</strong> 3925348, \"<strong>tradeCount</strong>\"<strong>:</strong> 253, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1536463, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5365, \"<strong>totalFee</strong>\"<strong>:</strong> 309775, \"<strong>tradeCount</strong>\"<strong>:</strong> 43, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>[ETH]&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 46932052, \"<strong>earningsRate</strong>\"<strong>:</strong> 45.9321, \"<strong>totalFee</strong>\"<strong>:</strong> 27554019, \"<strong>tradeCount</strong>\"<strong>:</strong> 253, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 11:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1196108, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1961, \"<strong>totalFee</strong>\"<strong>:</strong> 340961, \"<strong>tradeCount</strong>\"<strong>:</strong> 49, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>[LTC]&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 746685, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2533, \"<strong>totalFee</strong>\"<strong>:</strong> 342716, \"<strong>tradeCount</strong>\"<strong>:</strong> 73, \"<strong>from</strong>\"<strong>:</strong> \"2017-12-18 20:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 873615, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1264, \"<strong>totalFee</strong>\"<strong>:</strong> 356800, \"<strong>tradeCount</strong>\"<strong>:</strong> 65, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 10:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p>위 결과에 STDEV 도 함께 최적화해보겠습니다. &nbsp;&nbsp;&nbsp;<br>\n</p>\n<p>var: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p>if (BollingerBand(c,<strong>46</strong>,a1)-BollingerBand(c,<strong>46</strong>,-a1))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,<strong>46</strong>,-a1))/(BollingerBand(c,<strong>46</strong>,a1)-BollingerBand(c,<strong>46</strong>,-a1)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>86</strong>,a2)-BollingerBand(c,<strong>86</strong>,-a2))&gt;<strong>0</strong>&nbsp;then&nbsp;<strong>begin</strong>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,<strong>86</strong>,-a2))/(BollingerBand(c,<strong>86</strong>,a2)-BollingerBand(c,<strong>86</strong>,-a2)))*<strong>100</strong>;</p>\n<p><strong>end</strong>&nbsp;else percentB_S=<strong>0</strong>;</p>\n<p><br></p>\n<p>if percentB_B&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB_S&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aXTUWl9edG5iVFkzK974GRiUFqo.png\" width=\"602\" height=\"306\"/></p>\n<p><br></p>\n<p>매수 (46, 1, 180) &gt;, 매도 (86, 1.5, -37) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 10393194, \"<strong>earningsRate</strong>\"<strong>:</strong> 9.3932, \"<strong>totalFee</strong>\"<strong>:</strong> 3490018, \"<strong>tradeCount</strong>\"<strong>:</strong> 187, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1592170, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5922, \"<strong>totalFee</strong>\"<strong>:</strong> 259707, \"<strong>tradeCount</strong>\"<strong>:</strong> 35, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aF303nUryfXzDu0gwauNMw_3isc.png\" width=\"321\" height=\"481\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/p9ZVqjo7Q-68nggHlrU9fSjSD20.png\" width=\"335\" height=\"535\"/></p>\n<p><br></p>\n<p><strong>3. 손절/익절&nbsp;</strong></p>\n<p>위 결과에 손절과 익절을 적용해 보겠습니다. &nbsp;&nbsp;</p>\n<p><br></p>\n<p>&nbsp;var: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))/(BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))/(BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_S=<strong>0</strong>;</p>\n<p><br></p>\n<p>if percentB_B&gt;<strong>180</strong>&nbsp;then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB_S&lt;-<strong>37</strong>&nbsp;then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br></p>\n<p>setprofittarget(c*<strong>0.01</strong>*a1);<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/X3uw0Ooc0onVh1blL5-Av4PnH-4.png\" width=\"602\" height=\"377\"/></p>\n<p><br></p>\n<p>위 결과에서 고르면 됩니다.&nbsp;</p>\n<p>개인적으로는 16, 16.5, 14.5, 15, 13.5 와 같이 상대적으로 낮으면서도 수익을 해치지 않는 값이 좋습니다.&nbsp;</p>\n<p>13.5%, 16% 를 선택해 보았습니다.&nbsp;</p>\n<p><br></p>\n<p>매수 (46, 1, 180) &gt;, 매도 (86, 1.5, -37) &lt; 익절 13.5%&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 6900478, \"<strong>earningsRate</strong>\"<strong>:</strong> 5.9005, \"<strong>totalFee</strong>\"<strong>:</strong> 3692950, \"<strong>tradeCount</strong>\"<strong>:</strong> 267, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1596539, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5965, \"<strong>totalFee</strong>\"<strong>:</strong> 347672, \"<strong>tradeCount</strong>\"<strong>:</strong> 47, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n&nbsp;<br>\n매수 (46, 1, 180) &gt;, 매도 (86, 1.5, -37) &lt; 익절 16%&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 8732563, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.7326, \"<strong>totalFee</strong>\"<strong>:</strong> 4446629, \"<strong>tradeCount</strong>\"<strong>:</strong> 259, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n\"<strong>lastBalance</strong>\"<strong>:</strong> 1534270, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5343, \"<strong>totalFee</strong>\"<strong>:</strong> 349664, \"<strong>tradeCount</strong>\"<strong>:</strong> 47, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;</p>\n<p><br>\n전체 수익은 줄이고, 최근 수익은 유지됩니다.&nbsp;</p>\n<p>손절을 추가해 보겠습니다.&nbsp;</p>\n<p>손절은 익절에도 영향을 줄 수 있기 때문에 같이 확인해 보겠습니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/7RN-B49SXwksQRES1dC2_tWRyXE.png\" width=\"602\" height=\"349\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/Om_DE6naGHpcMGR3Voc3NsezH88.png\" width=\"577\" height=\"441\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/Fe3QEyvFxPyhetDrSmEYATxy0OQ.png\" width=\"330\" height=\"367\"/></p>\n<p>Trailing-Stop을 걸어보겠습니다.&nbsp;<br>\nTrailing-Stop 착각을 일으키게 할 수 있는 매우 위험한 기능입니다.&nbsp;</p>\n<p>Multichart에도 setpercenttrailing 이란 기능이 있지만 종가 기준으로 바꿔서 테스트해보겠습니다. &nbsp;&nbsp;&nbsp;</p>\n<p><br>\nvar: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p>if (BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))/(BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))/(BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_S=<strong>0</strong>;</p>\n<p><br>\nif percentB_B&gt;<strong>180</strong>&nbsp;then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;if percentB_S&lt;-<strong>37</strong>&nbsp;then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\nsetprofittarget(c*<strong>0.01</strong>*<strong>16.4</strong>);</p>\n<p>setstoploss(c*<strong>0.01</strong>*<strong>14.4</strong>);</p>\n<p><br>\nif maxpositionprofit&gt;c*<strong>0.01</strong>*a1 and positionprofit&lt;c*<strong>0.01</strong>*(a1-a2) then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/3CwfCxISA21Be3QWSTin33hWI7Y.png\" width=\"602\" height=\"210\"/></p>\n<p><br></p>\n<p>setprofittarget(c*<strong>0.01</strong>*<strong>16.4</strong>);</p>\n<p>setstoploss(c*<strong>0.01</strong>*<strong>14.4</strong>);</p>\n<p>if maxpositionprofit&gt;c*<strong>0.01</strong>*<strong>15.3</strong>&nbsp;and positionprofit&lt;c*<strong>0.01</strong>*(<strong>15.3</strong>-<strong>4.1</strong>) then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/3u3F0ujWPgCOmVT2umGxgurpOsI.png\" width=\"342\" height=\"301\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/cLwGR9cIflUOXcixWJlN6QGaIq8.png\" width=\"339\" height=\"298\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/s5q0HiDUSL97dmyYbNXn1MjrveQ.png\" width=\"345\" height=\"365\"/></p>\n<p><br></p>\n<p>위 결과가 최종입니다.&nbsp;<br>\n보통 위와 같은 과정으로 점점 최적화하게 되는데 정답은 아닙니다.&nbsp;</p>\n<p>너무 최적화하다 보면 과거 수익률에 취하게 됩니다.&nbsp;</p>\n<p>수익률은 적절히 본인이 원하는 수준인 것이 좋습니다.&nbsp;</p>\n<p><br>\n<strong>4. 역추세형 &nbsp;&nbsp;</strong></p>\n<p>var: percentB(<strong>0</strong>);</p>\n<p>if (BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB=((c-BollingerBand(c,a1,-a2))/(BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2)))*<strong>100</strong>;</p>\n<p>end else percentB=<strong>0</strong>;</p>\n<p>if percentB&lt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB&gt;a3+a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p>과거에 수익이 나는 결과는 확인했습니다만 최근에는 20% 이상 손실이 발생하기 때문에 생략하도록 하겠습니다.&nbsp;</p>\n<p><br></p>\n</html>",
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      "permlink": "bollingerband",
      "title": "[암호화폐 트레이딩] Watchbot's BollingerBand",
      "body": "@@ -16261,32 +16261,44 @@\n :00%22, %3C/p%3E%0A\n+%3Cp%3E%3Cbr%3E%3C/p%3E%0A\n %3Cp%3E%EB%A7%A4%EC%88%98 (100, 1, 1\n@@ -16321,32 +16321,40 @@\n 0, 1, -36) \n+%3C/p%3E%0A%3Cp%3E\n %22%3Cstrong%3ElastBal\n@@ -16683,32 +16683,44 @@\n :00%22, %3C/p%3E%0A\n+%3Cp%3E%3Cbr%3E%3C/p%3E%0A\n %3Cp%3E%EB%A7%A4%EC%88%98 (104, 1, 1\n@@ -16743,32 +16743,40 @@\n 4, 1, -36) \n+%3C/p%3E%0A%3Cp%3E\n %22%3Cstrong%3ElastBal\n@@ -17109,24 +17109,36 @@\n , %3C/p%3E%0A\n+%3Cp%3E%3Cbr%3E%3C/p%3E%0A\n %3Cp%3E%EB%A7%A4%EC%88%98 (106, \n@@ -17169,24 +17169,32 @@\n , -36) \n+%3C/p%3E%0A%3Cp%3E\n %22%3Cstrong%3Elas\n@@ -19557,32 +19557,40 @@\n %22,   %3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (50, 1, 1\n@@ -19983,32 +19983,40 @@\n %22,   %3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (100, 1, \n@@ -20403,32 +20403,40 @@\n 0 10:00%22,  \n+%3C/p%3E%0A%3Cp%3E\n  %3Cbr%3E%0A%EB%A7%A4%EC%88%98 (4\n@@ -20822,32 +20822,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (50, 1, 1\n@@ -21234,32 +21234,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (60, 1, 1\n@@ -21646,32 +21646,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (100, 1, \n@@ -22060,32 +22060,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (100, 1, \n@@ -22473,32 +22473,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (50, 1, 1\n@@ -22885,32 +22885,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (110, 1, \n@@ -23297,32 +23297,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (50, 1, 1\n@@ -23708,32 +23708,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (100, 1, \n@@ -24121,32 +24121,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (50, 1, 1\n@@ -24534,32 +24534,40 @@\n 8-04-10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (50, 1, 1\n@@ -24950,24 +24950,32 @@\n -10 10:00%22,%3C\n+/p%3E%0A%3Cp%3E%3C\n br%3E%0A%EB%A7%A4%EC%88%98 (50, \n@@ -25779,24 +25779,36 @@\n ; %3C/p%3E%0A\n+%3Cp%3E%3Cbr%3E%3C/p%3E%0A\n %3Cp%3E%5BBTC%5D&nbs\n@@ -29793,32 +29793,44 @@\n 10 10:00%22, \n-\n \n+%3C/p%3E%0A%3Cp%3E%3Cbr%3E\n %3C/p%3E%0A%3Cp%3E%22%3Cstrong\n",
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{
  "trx_id": "efbb29a1e57906d099300515da9b68f91fd7868f",
  "block": 22105434,
  "trx_in_block": 15,
  "op_in_trx": 0,
  "virtual_op": 0,
  "timestamp": "2018-05-03T11:52:42",
  "op": [
    "vote",
    {
      "voter": "watchbot",
      "author": "watchbot",
      "permlink": "bollingerband",
      "weight": 10000
    }
  ]
}

{
  "trx_id": "c6286331e414f4021b37548cd2e256fffd094e71",
  "block": 22105348,
  "trx_in_block": 20,
  "op_in_trx": 0,
  "virtual_op": 0,
  "timestamp": "2018-05-03T11:48:24",
  "op": [
    "comment",
    {
      "parent_author": "",
      "parent_permlink": "kr",
      "author": "watchbot",
      "permlink": "bollingerband",
      "title": "[암호화폐 트레이딩] Watchbot's BollingerBand",
      "body": "<html>\n<p><strong>https://www.watchbot.co.kr</strong></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/K0KcWB-cpCLqU_aqy2h63AgNN38.jpg\" width=\"900\" height=\"600\"/></p>\n<p><br></p>\n<p><strong>&nbsp;[BollingerBand]</strong></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/o66hs09FqoFXmOzasTp9OjGmHBY.png\" width=\"289\" height=\"153\"/></p>\n<p><br></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/JMgBWswl1qAAge2sPd9HEtpnfj4.png\" width=\"329\" height=\"344\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aZ88eXmGlMKTkrk9f9kL5rJpYUk.png\" width=\"316\" height=\"341\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/feyg8J_svPz26PIkUPI6E6A54hY.png\" width=\"318\" height=\"298\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/-IR-NZ6PE5GSN8SaYcTVQ5XMhMM.png\" width=\"317\" height=\"240\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/uOnqDbR0LKjJCsJmNGE0WN4jkI8.jpg\" width=\"1280\" height=\"894\"/></p>\n<p><br></p>\n<p>워치봇에서 제공하는 BollingerBand는 percentB 개념으로 BollingerBand를 %로 변환한 값입니다.&nbsp;</p>\n<p>따라서 이를 Multichart에 적용하기 위해 기존 지표를 변형해서 적용했습니다.&nbsp;</p>\n<p><br>\nvar: percentB(<strong>0</strong>);&nbsp;</p>\n<p>if (BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2))&gt;<strong>0</strong>&nbsp;then begin&nbsp;</p>\n<p>percentB=((c-BollingerBand(c,a1,-a2))/(BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2)))*<strong>100</strong>;&nbsp;</p>\n<p>end else percentB=<strong>0</strong>;&nbsp;</p>\n<p>if percentB&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;&nbsp;if percentB&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;&nbsp;</p>\n<p><br>\n변수가 네 개라 모든 경우의 수를 세밀하게 최적화 하기에는 시간이 많이 걸리기 때문에 러프하게 검토해 보았습니다.&nbsp;</p>\n<p>밴드를 벗어날 때 해당 방향으로 진입하는 추세형 프레임입니다.&nbsp;</p>\n<p>세밀한 조정은 워치봇에서 직접 해 보시기 바랍니다.&nbsp;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/rVFujen_77rGxiOhNbxfNXoLaYc.png\" width=\"601\" height=\"439\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/QZvjbHoQWnNFGWrCs50hekkozoU.png\" width=\"807\" height=\"511\"/></p>\n<p>다른 지표들과는 다르게 의미 있는 결과가 많이 보여서 샘플링할 값도 여러 개 선택해 보았습니다.&nbsp;</p>\n<p><br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/OLaXXntOwIPL0PUUXQZ7G_GPa5g.png\" width=\"601\" height=\"139\"/></p>\n<p>워치봇 지표 값으로 보면&nbsp; &nbsp;</p>\n<p><br>\n<strong>[BTC]&nbsp;</strong></p>\n<p>매수(20, 1, 180) &gt;, 매도(20, 1, -120) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 10972608, \"<strong>earningsRate</strong>\"<strong>:</strong> 9.9726, \"<strong>totalFee</strong>\"<strong>:</strong> 3667890, \"<strong>tradeCount</strong>\"<strong>:</strong> 142, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1125528, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1255, \"<strong>totalFee</strong>\"<strong>:</strong> 264580, \"<strong>tradeCount</strong>\"<strong>:</strong> 90, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(40, 1, 200) &gt;, 매도(40, 1, -100) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 4518548, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.5185, \"<strong>totalFee</strong>\"<strong>:</strong> 2366188, \"<strong>tradeCount</strong>\"<strong>:</strong> 196, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1080369, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0804, \"<strong>totalFee</strong>\"<strong>:</strong> 217577, \"<strong>tradeCount</strong>\"<strong>:</strong> 38, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(60, 1, 140) &gt;, 매도(60, 1, -60) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 7021680, \"<strong>earningsRate</strong>\"<strong>:</strong> 6.0217, \"<strong>totalFee</strong>\"<strong>:</strong> 5792489, \"<strong>tradeCount</strong>\"<strong>:</strong> 306, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 16:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 971672, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0283, \"<strong>totalFee</strong>\"<strong>:</strong> 377877, \"<strong>tradeCount</strong>\"<strong>:</strong> 68, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(60, 1, 140) &gt;, 매도(60, 1, -20) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 4087595, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.0876, \"<strong>totalFee</strong>\"<strong>:</strong> 4878607, \"<strong>tradeCount</strong>\"<strong>:</strong> 412, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 16:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 897991, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.102, \"<strong>totalFee</strong>\"<strong>:</strong> 473034, \"<strong>tradeCount</strong>\"<strong>:</strong> 90, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(80, 1, 140) &gt;, 매도(80, 1, -60) <strong>&lt;</strong> \"<strong>lastBalance</strong>\"<strong>:</strong> 8512746, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.5127, \"<strong>totalFee</strong>\"<strong>:</strong> 4578146, \"<strong>tradeCount</strong>\"<strong>:</strong> 242, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1313026, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.313, \"<strong>totalFee</strong>\"<strong>:</strong> 319055, \"<strong>tradeCount</strong>\"<strong>:</strong> 46, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(80, 1, 80) &gt;, 매도(80, 1, -60) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 7330771, \"<strong>earningsRate</strong>\"<strong>:</strong> 6.3308, \"<strong>totalFee</strong>\"<strong>:</strong> 5294672, \"<strong>tradeCount</strong>\"<strong>:</strong> 300, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 939505, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0605, \"<strong>totalFee</strong>\"<strong>:</strong> 361915, \"<strong>tradeCount</strong>\"<strong>:</strong> 68, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(80, 1, 100) &gt;, 매도(80, 1, -40) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 5306313, \"<strong>earningsRate</strong>\"<strong>:</strong> 4.3063, \"<strong>totalFee</strong>\"<strong>:</strong> 5140271, \"<strong>tradeCount</strong>\"<strong>:</strong> 374, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 826672, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1733, \"<strong>totalFee</strong>\"<strong>:</strong> 401744, \"<strong>tradeCount</strong>\"<strong>:</strong> 84, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(100, 1, 120) &gt;, 매도(100, 1, -40) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 8911304, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.9113, \"<strong>totalFee</strong>\"<strong>:</strong> 5045493, \"<strong>tradeCount</strong>\"<strong>:</strong> 250, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1203724, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2037, \"<strong>totalFee</strong>\"<strong>:</strong> 343310, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>매수(100, 1, 120) &gt;, 매도(100, 1, -20) &lt;</strong> \"<strong>lastBalance</strong>\"<strong>:</strong> 8758714, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.7587, \"<strong>totalFee</strong>\"<strong>:</strong> 5354951, \"<strong>tradeCount</strong>\"<strong>:</strong> 292, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1311629, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3116, \"<strong>totalFee</strong>\"<strong>:</strong> 380917, \"<strong>tradeCount</strong>\"<strong>:</strong> 56, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>매수(100, 1, 120) &gt;, 매도(100, 1, 0) &lt;</strong> \"<strong>lastBalance</strong>\"<strong>:</strong> 6290177, \"<strong>earningsRate</strong>\"<strong>:</strong> 5.2902, \"<strong>totalFee</strong>\"<strong>:</strong> 4548252, \"<strong>tradeCount</strong>\"<strong>:</strong> 330, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1277026, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.277, \"<strong>totalFee</strong>\"<strong>:</strong> 401212, \"<strong>tradeCount</strong>\"<strong>:</strong> 62, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n거래 횟수가 충분히 많으면서 최근까지 수익이 적당히 나는 결과는 다음과 같습니다. &nbsp;</p>\n<p><br>\n<strong>매수(80, 1, 140) &gt;, 매도(80, 1, -60) &lt;</strong>&nbsp;</p>\n<p><strong>매수(100, 1, 120) &gt;, 매도(100, 1, -20) &lt;</strong>&nbsp;</p>\n<p><strong>매수(100, 1, 120) &gt;, 매도(100, 1, 0) &lt;</strong>&nbsp;</p>\n<p><br>\n위 세 개의 결과 중 &nbsp;</p>\n<p><strong>매수(100, 1, 120) &gt;, 매도(100, 1, -20) &lt;</strong>&nbsp;</p>\n<p>만 이용해서</p>\n<blockquote><br>\n1. 다른 코인에서의 결과</blockquote>\n<blockquote>2. 세밀한 조정&nbsp;</blockquote>\n<blockquote>3. 손절/익절&nbsp;</blockquote>\n<p><br></p>\n<p>을 해보도록 하겠습니다.&nbsp;</p>\n<p><br>\n<strong>1. 다른 코인에서의 결과&nbsp;</strong></p>\n<p><strong>[ETH]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 46128272, \"<strong>earningsRate</strong>\"<strong>:</strong> 45.1283, \"<strong>totalFee</strong>\"<strong>:</strong> 37800446, \"<strong>tradeCount</strong>\"<strong>:</strong> 291, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1080950, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0809, \"<strong>totalFee</strong>\"<strong>:</strong> 412061, \"<strong>tradeCount</strong>\"<strong>:</strong> 59, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><strong>[ETC]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 3187087, \"<strong>earningsRate</strong>\"<strong>:</strong> 2.1871, \"<strong>totalFee</strong>\"<strong>:</strong> 3436316, \"<strong>tradeCount</strong>\"<strong>:</strong> 340, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 11:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1084781, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0848, \"<strong>totalFee</strong>\"<strong>:</strong> 428244, \"<strong>tradeCount</strong>\"<strong>:</strong> 64, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 12:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><strong>[XRP]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 5680155, \"<strong>earningsRate</strong>\"<strong>:</strong> 4.6802, \"<strong>totalFee</strong>\"<strong>:</strong> 3285364, \"<strong>tradeCount</strong>\"<strong>:</strong> 226, \"<strong>from</strong>\"<strong>:</strong> \"2017-05-12 22:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1082262, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0823, \"<strong>totalFee</strong>\"<strong>:</strong> 403314, \"<strong>tradeCount</strong>\"<strong>:</strong> 60, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 08:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><strong>[LTC]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 725767, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2742, \"<strong>totalFee</strong>\"<strong>:</strong> 366911, \"<strong>tradeCount</strong>\"<strong>:</strong> 76, \"<strong>from</strong>\"<strong>:</strong> \"2017-12-18 19:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1000767, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0008, \"<strong>totalFee</strong>\"<strong>:</strong> 442448, \"<strong>tradeCount</strong>\"<strong>:</strong> 66, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>[BCH]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 4744167, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.7442, \"<strong>totalFee</strong>\"<strong>:</strong> 2394884, \"<strong>tradeCount</strong>\"<strong>:</strong> 154, \"<strong>from</strong>\"<strong>:</strong> \"2017-08-11 19:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 897674, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1023, \"<strong>totalFee</strong>\"<strong>:</strong> 249780, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 13:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p><br>\n<strong>2. 세밀한 조정 &nbsp;&nbsp;&nbsp;</strong></p>\n<p>if (BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB=((c-BollingerBand(c,a1,-a2))/(BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2)))*<strong>100</strong>;</p>\n<p><strong>end</strong>&nbsp;else percentB=<strong>0</strong>;</p>\n<p>if percentB&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/QhzkeTZ9dBN4T_g-Gdm9zfzemaQ.png\" width=\"602\" height=\"300\"/></p>\n<p>위 결과는 2015년부터 시뮬레이션한 결과입니다.&nbsp;</p>\n<p>슬리피지를 20000원 적용했기 때문에 100만 원도 하지 않던 시절에는 승률이 당연히 떨어지게 보일 것이고 따라서 승률이 낮게 표시될 것입니다.&nbsp;</p>\n<p>위 결과에서 네 가지를 선택했습니다.&nbsp;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aTYuUcVtgn1ATzs4MXKZCYoNNFY.png\" width=\"602\" height=\"66\"/></p>\n<p>매수 (102, 1, 120) &gt;, 매도 (102, 1, -38)&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1339591, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3396, \"<strong>totalFee</strong>\"<strong>:</strong> 338180, \"<strong>tradeCount</strong>\"<strong>:</strong> 48, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>매수 (100, 1, 122) &gt;, 매도 (100, 1, -36)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 1239322, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2393, \"<strong>totalFee</strong>\"<strong>:</strong> 345773, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>매수 (104, 1, 140) &gt;, 매도 (104, 1, -36)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 1227280, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2273, \"<strong>totalFee</strong>\"<strong>:</strong> 284376, \"<strong>tradeCount</strong>\"<strong>:</strong> 44, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>매수 (106, 1, 138) &gt;, 매도 (106, 1, -36)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 1196951, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.197, \"<strong>totalFee</strong>\"<strong>:</strong> 277629, \"<strong>tradeCount</strong>\"<strong>:</strong> 44, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n위 결과에서 매수와 매도를 비대칭 적으로 최적화해 봅니다. &nbsp;&nbsp;&nbsp;</p>\n<p>var: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p><br>\nif (BollingerBand(c,a1,<strong>1</strong>)-BollingerBand(c,a1,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,a1,-<strong>1</strong>))/(BollingerBand(c,a1,<strong>1</strong>)-BollingerBand(c,a1,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br>\nif (BollingerBand(c,a2,<strong>1</strong>)-BollingerBand(c,a2,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,a2,-<strong>1</strong>))/(BollingerBand(c,a2,<strong>1</strong>)-BollingerBand(c,a2,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_S=<strong>0</strong>;</p>\n<p><br>\nif percentB_B&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB_S&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/2vKnSQ79KNxcOLS-A8KNMDJJCxg.png\" width=\"602\" height=\"439\"/></p>\n<p><br></p>\n<p>워치봇 테스트 선별은 다음과 같습니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/u2oV5FRuMuvdRYXl4zd5UA5sfdI.png\" width=\"602\" height=\"196\"/></p>\n<p><br></p>\n<p><strong>[BTC]&nbsp;</strong></p>\n<p>매수 (110, 1, 100) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1328466, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3285, \"<strong>totalFee</strong>\"<strong>:</strong> 359830, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 12:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n매수 (50, 1, 150) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1277254, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2773, \"<strong>totalFee</strong>\"<strong>:</strong> 413796, \"<strong>tradeCount</strong>\"<strong>:</strong> 59, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n매수 (100, 1, 110) &gt;, 매도 (80, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 552609, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.4474, \"<strong>totalFee</strong>\"<strong>:</strong> 456775, \"<strong>tradeCount</strong>\"<strong>:</strong> 113, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n매수 (40, 1, 170) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1344313, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3443, \"<strong>totalFee</strong>\"<strong>:</strong> 351819, \"<strong>tradeCount</strong>\"<strong>:</strong> 53, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 150) &gt;, 매도 (90, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1445550, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.4456, \"<strong>totalFee</strong>\"<strong>:</strong> 466287, \"<strong>tradeCount</strong>\"<strong>:</strong> 61, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (60, 1, 140) &gt;, 매도 (90, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1353406, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3534, \"<strong>totalFee</strong>\"<strong>:</strong> 414545, \"<strong>tradeCount</strong>\"<strong>:</strong> 62, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (100, 1, 110) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1219234, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2192, \"<strong>totalFee</strong>\"<strong>:</strong> 349912, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (100, 1, 110) &gt;, 매도 (90, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1440543, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.4405, \"<strong>totalFee</strong>\"<strong>:</strong> 384347, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 150) &gt;, 매도 (80, 1, -50) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1199847, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1998, \"<strong>totalFee</strong>\"<strong>:</strong> 410525, \"<strong>tradeCount</strong>\"<strong>:</strong> 61, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (110, 1, 100) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1342046, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.342, \"<strong>totalFee</strong>\"<strong>:</strong> 361944, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 12:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 150) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1254005, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.254, \"<strong>totalFee</strong>\"<strong>:</strong> 431401, \"<strong>tradeCount</strong>\"<strong>:</strong> 61, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (100, 1, 110) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1231697, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2317, \"<strong>totalFee</strong>\"<strong>:</strong> 352279, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 170) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1296708, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2967, \"<strong>totalFee</strong>\"<strong>:</strong> 354198, \"<strong>tradeCount</strong>\"<strong>:</strong> 51, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 11:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 170) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1315076, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3151, \"<strong>totalFee</strong>\"<strong>:</strong> 357134, \"<strong>tradeCount</strong>\"<strong>:</strong> 51, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 11:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 180) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1430024, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.43, \"<strong>totalFee</strong>\"<strong>:</strong> 294588, \"<strong>tradeCount</strong>\"<strong>:</strong> 43, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/9wO4r_boP5Fczr_bE-pEdt6ytDI.png\" width=\"602\" height=\"214\"/></p>\n<p>2018년 BTC 복리 수익률과 기타 통계 값과 어떤 상관관계가 있는지 알아보기 위해 정렬해 보았습니다.&nbsp;</p>\n<p>승률과 약한 양의 상관관계를 보이는 것 같습니다만 명확하지는 않습니다.&nbsp;</p>\n<p>승률이 높고 수익률도 높은 구간에서 세밀하게 최적화해 보겠습니다.&nbsp;<br>\n</p>\n<p>매수 (46, 1, 180) &gt;, 매도 (86, 1, -36) &lt;&nbsp;</p>\n<p>[BTC]&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 9043588, \"<strong>earningsRate</strong>\"<strong>:</strong> 8.0436, \"<strong>totalFee</strong>\"<strong>:</strong> 3925348, \"<strong>tradeCount</strong>\"<strong>:</strong> 253, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1536463, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5365, \"<strong>totalFee</strong>\"<strong>:</strong> 309775, \"<strong>tradeCount</strong>\"<strong>:</strong> 43, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>[ETH]&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 46932052, \"<strong>earningsRate</strong>\"<strong>:</strong> 45.9321, \"<strong>totalFee</strong>\"<strong>:</strong> 27554019, \"<strong>tradeCount</strong>\"<strong>:</strong> 253, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 11:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1196108, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1961, \"<strong>totalFee</strong>\"<strong>:</strong> 340961, \"<strong>tradeCount</strong>\"<strong>:</strong> 49, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>[LTC]&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 746685, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2533, \"<strong>totalFee</strong>\"<strong>:</strong> 342716, \"<strong>tradeCount</strong>\"<strong>:</strong> 73, \"<strong>from</strong>\"<strong>:</strong> \"2017-12-18 20:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 873615, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1264, \"<strong>totalFee</strong>\"<strong>:</strong> 356800, \"<strong>tradeCount</strong>\"<strong>:</strong> 65, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 10:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p>위 결과에 STDEV 도 함께 최적화해보겠습니다. &nbsp;&nbsp;&nbsp;<br>\n</p>\n<p>var: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p>if (BollingerBand(c,<strong>46</strong>,a1)-BollingerBand(c,<strong>46</strong>,-a1))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,<strong>46</strong>,-a1))/(BollingerBand(c,<strong>46</strong>,a1)-BollingerBand(c,<strong>46</strong>,-a1)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>86</strong>,a2)-BollingerBand(c,<strong>86</strong>,-a2))&gt;<strong>0</strong>&nbsp;then&nbsp;<strong>begin</strong>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,<strong>86</strong>,-a2))/(BollingerBand(c,<strong>86</strong>,a2)-BollingerBand(c,<strong>86</strong>,-a2)))*<strong>100</strong>;</p>\n<p><strong>end</strong>&nbsp;else percentB_S=<strong>0</strong>;</p>\n<p><br></p>\n<p>if percentB_B&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB_S&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aXTUWl9edG5iVFkzK974GRiUFqo.png\" width=\"602\" height=\"306\"/></p>\n<p><br></p>\n<p>매수 (46, 1, 180) &gt;, 매도 (86, 1.5, -37) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 10393194, \"<strong>earningsRate</strong>\"<strong>:</strong> 9.3932, \"<strong>totalFee</strong>\"<strong>:</strong> 3490018, \"<strong>tradeCount</strong>\"<strong>:</strong> 187, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1592170, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5922, \"<strong>totalFee</strong>\"<strong>:</strong> 259707, \"<strong>tradeCount</strong>\"<strong>:</strong> 35, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aF303nUryfXzDu0gwauNMw_3isc.png\" width=\"321\" height=\"481\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/p9ZVqjo7Q-68nggHlrU9fSjSD20.png\" width=\"335\" height=\"535\"/></p>\n<p><br></p>\n<p><strong>3. 손절/익절&nbsp;</strong></p>\n<p>위 결과에 손절과 익절을 적용해 보겠습니다. &nbsp;&nbsp;</p>\n<p><br></p>\n<p>&nbsp;var: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))/(BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))/(BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_S=<strong>0</strong>;</p>\n<p><br></p>\n<p>if percentB_B&gt;<strong>180</strong>&nbsp;then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB_S&lt;-<strong>37</strong>&nbsp;then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br></p>\n<p>setprofittarget(c*<strong>0.01</strong>*a1);<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/X3uw0Ooc0onVh1blL5-Av4PnH-4.png\" width=\"602\" height=\"377\"/></p>\n<p><br></p>\n<p>위 결과에서 고르면 됩니다.&nbsp;</p>\n<p>개인적으로는 16, 16.5, 14.5, 15, 13.5 와 같이 상대적으로 낮으면서도 수익을 해치지 않는 값이 좋습니다.&nbsp;</p>\n<p>13.5%, 16% 를 선택해 보았습니다.&nbsp;</p>\n<p><br></p>\n<p>매수 (46, 1, 180) &gt;, 매도 (86, 1.5, -37) &lt; 익절 13.5%&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 6900478, \"<strong>earningsRate</strong>\"<strong>:</strong> 5.9005, \"<strong>totalFee</strong>\"<strong>:</strong> 3692950, \"<strong>tradeCount</strong>\"<strong>:</strong> 267, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1596539, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5965, \"<strong>totalFee</strong>\"<strong>:</strong> 347672, \"<strong>tradeCount</strong>\"<strong>:</strong> 47, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n&nbsp;<br>\n매수 (46, 1, 180) &gt;, 매도 (86, 1.5, -37) &lt; 익절 16%&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 8732563, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.7326, \"<strong>totalFee</strong>\"<strong>:</strong> 4446629, \"<strong>tradeCount</strong>\"<strong>:</strong> 259, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n\"<strong>lastBalance</strong>\"<strong>:</strong> 1534270, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5343, \"<strong>totalFee</strong>\"<strong>:</strong> 349664, \"<strong>tradeCount</strong>\"<strong>:</strong> 47, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;</p>\n<p><br>\n전체 수익은 줄이고, 최근 수익은 유지됩니다.&nbsp;</p>\n<p>손절을 추가해 보겠습니다.&nbsp;</p>\n<p>손절은 익절에도 영향을 줄 수 있기 때문에 같이 확인해 보겠습니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/7RN-B49SXwksQRES1dC2_tWRyXE.png\" width=\"602\" height=\"349\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/Om_DE6naGHpcMGR3Voc3NsezH88.png\" width=\"577\" height=\"441\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/Fe3QEyvFxPyhetDrSmEYATxy0OQ.png\" width=\"330\" height=\"367\"/></p>\n<p>Trailing-Stop을 걸어보겠습니다.&nbsp;<br>\nTrailing-Stop 착각을 일으키게 할 수 있는 매우 위험한 기능입니다.&nbsp;</p>\n<p>Multichart에도 setpercenttrailing 이란 기능이 있지만 종가 기준으로 바꿔서 테스트해보겠습니다. &nbsp;&nbsp;&nbsp;</p>\n<p><br>\nvar: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p>if (BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))/(BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))/(BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_S=<strong>0</strong>;</p>\n<p><br>\nif percentB_B&gt;<strong>180</strong>&nbsp;then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;if percentB_S&lt;-<strong>37</strong>&nbsp;then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\nsetprofittarget(c*<strong>0.01</strong>*<strong>16.4</strong>);</p>\n<p>setstoploss(c*<strong>0.01</strong>*<strong>14.4</strong>);</p>\n<p><br>\nif maxpositionprofit&gt;c*<strong>0.01</strong>*a1 and positionprofit&lt;c*<strong>0.01</strong>*(a1-a2) then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/3CwfCxISA21Be3QWSTin33hWI7Y.png\" width=\"602\" height=\"210\"/></p>\n<p><br></p>\n<p>setprofittarget(c*<strong>0.01</strong>*<strong>16.4</strong>);</p>\n<p>setstoploss(c*<strong>0.01</strong>*<strong>14.4</strong>);</p>\n<p>if maxpositionprofit&gt;c*<strong>0.01</strong>*<strong>15.3</strong>&nbsp;and positionprofit&lt;c*<strong>0.01</strong>*(<strong>15.3</strong>-<strong>4.1</strong>) then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/3u3F0ujWPgCOmVT2umGxgurpOsI.png\" width=\"342\" height=\"301\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/cLwGR9cIflUOXcixWJlN6QGaIq8.png\" width=\"339\" height=\"298\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/s5q0HiDUSL97dmyYbNXn1MjrveQ.png\" width=\"345\" height=\"365\"/></p>\n<p><br></p>\n<p>위 결과가 최종입니다.&nbsp;<br>\n보통 위와 같은 과정으로 점점 최적화하게 되는데 정답은 아닙니다.&nbsp;</p>\n<p>너무 최적화하다 보면 과거 수익률에 취하게 됩니다.&nbsp;</p>\n<p>수익률은 적절히 본인이 원하는 수준인 것이 좋습니다.&nbsp;</p>\n<p><br>\n<strong>4. 역추세형 &nbsp;&nbsp;</strong></p>\n<p>var: percentB(<strong>0</strong>);</p>\n<p>if (BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB=((c-BollingerBand(c,a1,-a2))/(BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2)))*<strong>100</strong>;</p>\n<p>end else percentB=<strong>0</strong>;</p>\n<p>if percentB&lt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB&gt;a3+a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p>과거에 수익이 나는 결과는 확인했습니다만 최근에는 20% 이상 손실이 발생하기 때문에 생략하도록 하겠습니다.&nbsp;</p>\n<p><br></p>\n</html>",
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      "body": "@@ -3,16 +3,36 @@\n tml%3E%0A%3Cp%3E\n+%3Cstrong%3Ehttps://www.\n watchbot\n@@ -39,16 +39,25 @@\n .co.kr%3C/\n+strong%3E%3C/\n p%3E%0A%3Cp%3E%3Ci\n",
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      "permlink": "bollingerband",
      "title": "[암호화폐 트레이딩] BollingerBand",
      "body": "<html>\n<p>watchbot.co.kr</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/K0KcWB-cpCLqU_aqy2h63AgNN38.jpg\" width=\"900\" height=\"600\"/></p>\n<p><br></p>\n<p><strong>&nbsp;[BollingerBand]</strong></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/o66hs09FqoFXmOzasTp9OjGmHBY.png\" width=\"289\" height=\"153\"/></p>\n<p><br></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/JMgBWswl1qAAge2sPd9HEtpnfj4.png\" width=\"329\" height=\"344\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aZ88eXmGlMKTkrk9f9kL5rJpYUk.png\" width=\"316\" height=\"341\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/feyg8J_svPz26PIkUPI6E6A54hY.png\" width=\"318\" height=\"298\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/-IR-NZ6PE5GSN8SaYcTVQ5XMhMM.png\" width=\"317\" height=\"240\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/uOnqDbR0LKjJCsJmNGE0WN4jkI8.jpg\" width=\"1280\" height=\"894\"/></p>\n<p><br></p>\n<p>워치봇에서 제공하는 BollingerBand는 percentB 개념으로 BollingerBand를 %로 변환한 값입니다.&nbsp;</p>\n<p>따라서 이를 Multichart에 적용하기 위해 기존 지표를 변형해서 적용했습니다.&nbsp;</p>\n<p><br>\nvar: percentB(<strong>0</strong>);&nbsp;</p>\n<p>if (BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2))&gt;<strong>0</strong>&nbsp;then begin percentB=((c-BollingerBand(c,a1,-a2))/(BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2)))*<strong>100</strong>;&nbsp;</p>\n<p>end else percentB=<strong>0</strong>;&nbsp;</p>\n<p>if percentB&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;&nbsp;if percentB&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;&nbsp;</p>\n<p><br>\n변수가 네 개라 모든 경우의 수를 세밀하게 최적화 하기에는 시간이 많이 걸리기 때문에 러프하게 검토해 보았습니다.&nbsp;</p>\n<p>밴드를 벗어날 때 해당 방향으로 진입하는 추세형 프레임입니다.&nbsp;</p>\n<p>세밀한 조정은 워치봇에서 직접 해 보시기 바랍니다.&nbsp;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/rVFujen_77rGxiOhNbxfNXoLaYc.png\" width=\"601\" height=\"439\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/QZvjbHoQWnNFGWrCs50hekkozoU.png\" width=\"807\" height=\"511\"/></p>\n<p>다른 지표들과는 다르게 의미 있는 결과가 많이 보여서 샘플링할 값도 여러 개 선택해 보았습니다.&nbsp;</p>\n<p><br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/OLaXXntOwIPL0PUUXQZ7G_GPa5g.png\" width=\"601\" height=\"139\"/></p>\n<p>워치봇 지표 값으로 보면&nbsp; &nbsp;</p>\n<p><br>\n<strong>[BTC]&nbsp;</strong></p>\n<p>매수(20, 1, 180) &gt;, 매도(20, 1, -120) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 10972608, \"<strong>earningsRate</strong>\"<strong>:</strong> 9.9726, \"<strong>totalFee</strong>\"<strong>:</strong> 3667890, \"<strong>tradeCount</strong>\"<strong>:</strong> 142, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1125528, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1255, \"<strong>totalFee</strong>\"<strong>:</strong> 264580, \"<strong>tradeCount</strong>\"<strong>:</strong> 90, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(40, 1, 200) &gt;, 매도(40, 1, -100) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 4518548, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.5185, \"<strong>totalFee</strong>\"<strong>:</strong> 2366188, \"<strong>tradeCount</strong>\"<strong>:</strong> 196, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1080369, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0804, \"<strong>totalFee</strong>\"<strong>:</strong> 217577, \"<strong>tradeCount</strong>\"<strong>:</strong> 38, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(60, 1, 140) &gt;, 매도(60, 1, -60) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 7021680, \"<strong>earningsRate</strong>\"<strong>:</strong> 6.0217, \"<strong>totalFee</strong>\"<strong>:</strong> 5792489, \"<strong>tradeCount</strong>\"<strong>:</strong> 306, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 16:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 971672, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0283, \"<strong>totalFee</strong>\"<strong>:</strong> 377877, \"<strong>tradeCount</strong>\"<strong>:</strong> 68, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(60, 1, 140) &gt;, 매도(60, 1, -20) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 4087595, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.0876, \"<strong>totalFee</strong>\"<strong>:</strong> 4878607, \"<strong>tradeCount</strong>\"<strong>:</strong> 412, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 16:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 897991, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.102, \"<strong>totalFee</strong>\"<strong>:</strong> 473034, \"<strong>tradeCount</strong>\"<strong>:</strong> 90, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(80, 1, 140) &gt;, 매도(80, 1, -60) <strong>&lt;</strong> \"<strong>lastBalance</strong>\"<strong>:</strong> 8512746, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.5127, \"<strong>totalFee</strong>\"<strong>:</strong> 4578146, \"<strong>tradeCount</strong>\"<strong>:</strong> 242, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1313026, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.313, \"<strong>totalFee</strong>\"<strong>:</strong> 319055, \"<strong>tradeCount</strong>\"<strong>:</strong> 46, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(80, 1, 80) &gt;, 매도(80, 1, -60) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 7330771, \"<strong>earningsRate</strong>\"<strong>:</strong> 6.3308, \"<strong>totalFee</strong>\"<strong>:</strong> 5294672, \"<strong>tradeCount</strong>\"<strong>:</strong> 300, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 939505, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0605, \"<strong>totalFee</strong>\"<strong>:</strong> 361915, \"<strong>tradeCount</strong>\"<strong>:</strong> 68, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(80, 1, 100) &gt;, 매도(80, 1, -40) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 5306313, \"<strong>earningsRate</strong>\"<strong>:</strong> 4.3063, \"<strong>totalFee</strong>\"<strong>:</strong> 5140271, \"<strong>tradeCount</strong>\"<strong>:</strong> 374, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 826672, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1733, \"<strong>totalFee</strong>\"<strong>:</strong> 401744, \"<strong>tradeCount</strong>\"<strong>:</strong> 84, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수(100, 1, 120) &gt;, 매도(100, 1, -40) &lt;&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 8911304, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.9113, \"<strong>totalFee</strong>\"<strong>:</strong> 5045493, \"<strong>tradeCount</strong>\"<strong>:</strong> 250, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1203724, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2037, \"<strong>totalFee</strong>\"<strong>:</strong> 343310, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>매수(100, 1, 120) &gt;, 매도(100, 1, -20) &lt;</strong> \"<strong>lastBalance</strong>\"<strong>:</strong> 8758714, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.7587, \"<strong>totalFee</strong>\"<strong>:</strong> 5354951, \"<strong>tradeCount</strong>\"<strong>:</strong> 292, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1311629, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3116, \"<strong>totalFee</strong>\"<strong>:</strong> 380917, \"<strong>tradeCount</strong>\"<strong>:</strong> 56, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>매수(100, 1, 120) &gt;, 매도(100, 1, 0) &lt;</strong> \"<strong>lastBalance</strong>\"<strong>:</strong> 6290177, \"<strong>earningsRate</strong>\"<strong>:</strong> 5.2902, \"<strong>totalFee</strong>\"<strong>:</strong> 4548252, \"<strong>tradeCount</strong>\"<strong>:</strong> 330, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1277026, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.277, \"<strong>totalFee</strong>\"<strong>:</strong> 401212, \"<strong>tradeCount</strong>\"<strong>:</strong> 62, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n거래 횟수가 충분히 많으면서 최근까지 수익이 적당히 나는 결과는 다음과 같습니다. &nbsp;</p>\n<p><br>\n<strong>매수(80, 1, 140) &gt;, 매도(80, 1, -60) &lt;</strong>&nbsp;</p>\n<p><strong>매수(100, 1, 120) &gt;, 매도(100, 1, -20) &lt;</strong>&nbsp;</p>\n<p><strong>매수(100, 1, 120) &gt;, 매도(100, 1, 0) &lt;</strong>&nbsp;</p>\n<p><br>\n위 세 개의 결과 중 &nbsp;</p>\n<p><strong>매수(100, 1, 120) &gt;, 매도(100, 1, -20) &lt;</strong>&nbsp;</p>\n<p>만 이용해서</p>\n<blockquote><br>\n1. 다른 코인에서의 결과</blockquote>\n<blockquote>2. 세밀한 조정&nbsp;</blockquote>\n<blockquote>3. 손절/익절&nbsp;</blockquote>\n<p><br></p>\n<p>을 해보도록 하겠습니다.&nbsp;</p>\n<p><br>\n<strong>1. 다른 코인에서의 결과&nbsp;</strong></p>\n<p><strong>[ETH]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 46128272, \"<strong>earningsRate</strong>\"<strong>:</strong> 45.1283, \"<strong>totalFee</strong>\"<strong>:</strong> 37800446, \"<strong>tradeCount</strong>\"<strong>:</strong> 291, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1080950, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0809, \"<strong>totalFee</strong>\"<strong>:</strong> 412061, \"<strong>tradeCount</strong>\"<strong>:</strong> 59, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><strong>[ETC]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 3187087, \"<strong>earningsRate</strong>\"<strong>:</strong> 2.1871, \"<strong>totalFee</strong>\"<strong>:</strong> 3436316, \"<strong>tradeCount</strong>\"<strong>:</strong> 340, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 11:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1084781, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0848, \"<strong>totalFee</strong>\"<strong>:</strong> 428244, \"<strong>tradeCount</strong>\"<strong>:</strong> 64, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 12:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><strong>[XRP]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 5680155, \"<strong>earningsRate</strong>\"<strong>:</strong> 4.6802, \"<strong>totalFee</strong>\"<strong>:</strong> 3285364, \"<strong>tradeCount</strong>\"<strong>:</strong> 226, \"<strong>from</strong>\"<strong>:</strong> \"2017-05-12 22:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1082262, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0823, \"<strong>totalFee</strong>\"<strong>:</strong> 403314, \"<strong>tradeCount</strong>\"<strong>:</strong> 60, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 08:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><strong>[LTC]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 725767, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2742, \"<strong>totalFee</strong>\"<strong>:</strong> 366911, \"<strong>tradeCount</strong>\"<strong>:</strong> 76, \"<strong>from</strong>\"<strong>:</strong> \"2017-12-18 19:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1000767, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0008, \"<strong>totalFee</strong>\"<strong>:</strong> 442448, \"<strong>tradeCount</strong>\"<strong>:</strong> 66, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>[BCH]&nbsp;</strong></p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 4744167, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.7442, \"<strong>totalFee</strong>\"<strong>:</strong> 2394884, \"<strong>tradeCount</strong>\"<strong>:</strong> 154, \"<strong>from</strong>\"<strong>:</strong> \"2017-08-11 19:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 897674, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1023, \"<strong>totalFee</strong>\"<strong>:</strong> 249780, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 13:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p><br>\n<strong>2. 세밀한 조정 &nbsp;&nbsp;&nbsp;</strong></p>\n<p>if (BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB=((c-BollingerBand(c,a1,-a2))/(BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2)))*<strong>100</strong>;</p>\n<p><strong>end</strong>&nbsp;else percentB=<strong>0</strong>;</p>\n<p>if percentB&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/QhzkeTZ9dBN4T_g-Gdm9zfzemaQ.png\" width=\"602\" height=\"300\"/></p>\n<p>위 결과는 2015년부터 시뮬레이션한 결과입니다.&nbsp;</p>\n<p>슬리피지를 20000원 적용했기 때문에 100만 원도 하지 않던 시절에는 승률이 당연히 떨어지게 보일 것이고 따라서 승률이 낮게 표시될 것입니다.&nbsp;</p>\n<p>위 결과에서 네 가지를 선택했습니다.&nbsp;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aTYuUcVtgn1ATzs4MXKZCYoNNFY.png\" width=\"602\" height=\"66\"/></p>\n<p>매수 (102, 1, 120) &gt;, 매도 (102, 1, -38)&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1339591, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3396, \"<strong>totalFee</strong>\"<strong>:</strong> 338180, \"<strong>tradeCount</strong>\"<strong>:</strong> 48, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>매수 (100, 1, 122) &gt;, 매도 (100, 1, -36)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 1239322, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2393, \"<strong>totalFee</strong>\"<strong>:</strong> 345773, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>매수 (104, 1, 140) &gt;, 매도 (104, 1, -36)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 1227280, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2273, \"<strong>totalFee</strong>\"<strong>:</strong> 284376, \"<strong>tradeCount</strong>\"<strong>:</strong> 44, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>매수 (106, 1, 138) &gt;, 매도 (106, 1, -36)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 1196951, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.197, \"<strong>totalFee</strong>\"<strong>:</strong> 277629, \"<strong>tradeCount</strong>\"<strong>:</strong> 44, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n위 결과에서 매수와 매도를 비대칭 적으로 최적화해 봅니다. &nbsp;&nbsp;&nbsp;</p>\n<p>var: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p><br>\nif (BollingerBand(c,a1,<strong>1</strong>)-BollingerBand(c,a1,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,a1,-<strong>1</strong>))/(BollingerBand(c,a1,<strong>1</strong>)-BollingerBand(c,a1,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br>\nif (BollingerBand(c,a2,<strong>1</strong>)-BollingerBand(c,a2,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,a2,-<strong>1</strong>))/(BollingerBand(c,a2,<strong>1</strong>)-BollingerBand(c,a2,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_S=<strong>0</strong>;</p>\n<p><br>\nif percentB_B&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB_S&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/2vKnSQ79KNxcOLS-A8KNMDJJCxg.png\" width=\"602\" height=\"439\"/></p>\n<p><br></p>\n<p>워치봇 테스트 선별은 다음과 같습니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/u2oV5FRuMuvdRYXl4zd5UA5sfdI.png\" width=\"602\" height=\"196\"/></p>\n<p><br></p>\n<p><strong>[BTC]&nbsp;</strong></p>\n<p>매수 (110, 1, 100) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1328466, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3285, \"<strong>totalFee</strong>\"<strong>:</strong> 359830, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 12:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n매수 (50, 1, 150) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1277254, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2773, \"<strong>totalFee</strong>\"<strong>:</strong> 413796, \"<strong>tradeCount</strong>\"<strong>:</strong> 59, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n매수 (100, 1, 110) &gt;, 매도 (80, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 552609, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.4474, \"<strong>totalFee</strong>\"<strong>:</strong> 456775, \"<strong>tradeCount</strong>\"<strong>:</strong> 113, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n매수 (40, 1, 170) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1344313, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3443, \"<strong>totalFee</strong>\"<strong>:</strong> 351819, \"<strong>tradeCount</strong>\"<strong>:</strong> 53, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 22:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 150) &gt;, 매도 (90, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1445550, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.4456, \"<strong>totalFee</strong>\"<strong>:</strong> 466287, \"<strong>tradeCount</strong>\"<strong>:</strong> 61, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (60, 1, 140) &gt;, 매도 (90, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1353406, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3534, \"<strong>totalFee</strong>\"<strong>:</strong> 414545, \"<strong>tradeCount</strong>\"<strong>:</strong> 62, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (100, 1, 110) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1219234, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2192, \"<strong>totalFee</strong>\"<strong>:</strong> 349912, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (100, 1, 110) &gt;, 매도 (90, 1, -30) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1440543, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.4405, \"<strong>totalFee</strong>\"<strong>:</strong> 384347, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 150) &gt;, 매도 (80, 1, -50) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1199847, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1998, \"<strong>totalFee</strong>\"<strong>:</strong> 410525, \"<strong>tradeCount</strong>\"<strong>:</strong> 61, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (110, 1, 100) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1342046, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.342, \"<strong>totalFee</strong>\"<strong>:</strong> 361944, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 12:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 150) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1254005, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.254, \"<strong>totalFee</strong>\"<strong>:</strong> 431401, \"<strong>tradeCount</strong>\"<strong>:</strong> 61, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (100, 1, 110) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1231697, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2317, \"<strong>totalFee</strong>\"<strong>:</strong> 352279, \"<strong>tradeCount</strong>\"<strong>:</strong> 54, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 170) &gt;, 매도 (100, 1, -40) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1296708, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2967, \"<strong>totalFee</strong>\"<strong>:</strong> 354198, \"<strong>tradeCount</strong>\"<strong>:</strong> 51, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 11:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 170) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1315076, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3151, \"<strong>totalFee</strong>\"<strong>:</strong> 357134, \"<strong>tradeCount</strong>\"<strong>:</strong> 51, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 11:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n매수 (50, 1, 180) &gt;, 매도 (70, 1, -60) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1430024, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.43, \"<strong>totalFee</strong>\"<strong>:</strong> 294588, \"<strong>tradeCount</strong>\"<strong>:</strong> 43, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/9wO4r_boP5Fczr_bE-pEdt6ytDI.png\" width=\"602\" height=\"214\"/></p>\n<p>2018년 BTC 복리 수익률과 기타 통계 값과 어떤 상관관계가 있는지 알아보기 위해 정렬해 보았습니다.&nbsp;</p>\n<p>승률과 약한 양의 상관관계를 보이는 것 같습니다만 명확하지는 않습니다.&nbsp;</p>\n<p>승률이 높고 수익률도 높은 구간에서 세밀하게 최적화해 보겠습니다.&nbsp;<br>\n</p>\n<p>매수 (46, 1, 180) &gt;, 매도 (86, 1, -36) &lt;&nbsp;</p>\n<p>[BTC]&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 9043588, \"<strong>earningsRate</strong>\"<strong>:</strong> 8.0436, \"<strong>totalFee</strong>\"<strong>:</strong> 3925348, \"<strong>tradeCount</strong>\"<strong>:</strong> 253, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1536463, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5365, \"<strong>totalFee</strong>\"<strong>:</strong> 309775, \"<strong>tradeCount</strong>\"<strong>:</strong> 43, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>[ETH]&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 46932052, \"<strong>earningsRate</strong>\"<strong>:</strong> 45.9321, \"<strong>totalFee</strong>\"<strong>:</strong> 27554019, \"<strong>tradeCount</strong>\"<strong>:</strong> 253, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 11:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1196108, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1961, \"<strong>totalFee</strong>\"<strong>:</strong> 340961, \"<strong>tradeCount</strong>\"<strong>:</strong> 49, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 10:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>[LTC]&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 746685, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2533, \"<strong>totalFee</strong>\"<strong>:</strong> 342716, \"<strong>tradeCount</strong>\"<strong>:</strong> 73, \"<strong>from</strong>\"<strong>:</strong> \"2017-12-18 20:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 873615, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1264, \"<strong>totalFee</strong>\"<strong>:</strong> 356800, \"<strong>tradeCount</strong>\"<strong>:</strong> 65, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 10:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br></p>\n<p>위 결과에 STDEV 도 함께 최적화해보겠습니다. &nbsp;&nbsp;&nbsp;<br>\n</p>\n<p>var: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p>if (BollingerBand(c,<strong>46</strong>,a1)-BollingerBand(c,<strong>46</strong>,-a1))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,<strong>46</strong>,-a1))/(BollingerBand(c,<strong>46</strong>,a1)-BollingerBand(c,<strong>46</strong>,-a1)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>86</strong>,a2)-BollingerBand(c,<strong>86</strong>,-a2))&gt;<strong>0</strong>&nbsp;then&nbsp;<strong>begin</strong>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,<strong>86</strong>,-a2))/(BollingerBand(c,<strong>86</strong>,a2)-BollingerBand(c,<strong>86</strong>,-a2)))*<strong>100</strong>;</p>\n<p><strong>end</strong>&nbsp;else percentB_S=<strong>0</strong>;</p>\n<p><br></p>\n<p>if percentB_B&gt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB_S&lt;-a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aXTUWl9edG5iVFkzK974GRiUFqo.png\" width=\"602\" height=\"306\"/></p>\n<p><br></p>\n<p>매수 (46, 1, 180) &gt;, 매도 (86, 1.5, -37) &lt;&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 10393194, \"<strong>earningsRate</strong>\"<strong>:</strong> 9.3932, \"<strong>totalFee</strong>\"<strong>:</strong> 3490018, \"<strong>tradeCount</strong>\"<strong>:</strong> 187, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 1592170, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5922, \"<strong>totalFee</strong>\"<strong>:</strong> 259707, \"<strong>tradeCount</strong>\"<strong>:</strong> 35, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/aF303nUryfXzDu0gwauNMw_3isc.png\" width=\"321\" height=\"481\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/p9ZVqjo7Q-68nggHlrU9fSjSD20.png\" width=\"335\" height=\"535\"/></p>\n<p><br></p>\n<p><strong>3. 손절/익절&nbsp;</strong></p>\n<p>위 결과에 손절과 익절을 적용해 보겠습니다. &nbsp;&nbsp;</p>\n<p><br></p>\n<p>&nbsp;var: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))/(BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))/(BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_S=<strong>0</strong>;</p>\n<p><br></p>\n<p>if percentB_B&gt;<strong>180</strong>&nbsp;then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB_S&lt;-<strong>37</strong>&nbsp;then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br></p>\n<p>setprofittarget(c*<strong>0.01</strong>*a1);<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/X3uw0Ooc0onVh1blL5-Av4PnH-4.png\" width=\"602\" height=\"377\"/></p>\n<p><br></p>\n<p>위 결과에서 고르면 됩니다.&nbsp;</p>\n<p>개인적으로는 16, 16.5, 14.5, 15, 13.5 와 같이 상대적으로 낮으면서도 수익을 해치지 않는 값이 좋습니다.&nbsp;</p>\n<p>13.5%, 16% 를 선택해 보았습니다.&nbsp;</p>\n<p><br></p>\n<p>매수 (46, 1, 180) &gt;, 매도 (86, 1.5, -37) &lt; 익절 13.5%&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 6900478, \"<strong>earningsRate</strong>\"<strong>:</strong> 5.9005, \"<strong>totalFee</strong>\"<strong>:</strong> 3692950, \"<strong>tradeCount</strong>\"<strong>:</strong> 267, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1596539, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5965, \"<strong>totalFee</strong>\"<strong>:</strong> 347672, \"<strong>tradeCount</strong>\"<strong>:</strong> 47, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n&nbsp;<br>\n매수 (46, 1, 180) &gt;, 매도 (86, 1.5, -37) &lt; 익절 16%&nbsp;</p>\n<p>\"<strong>lastBalance</strong>\"<strong>:</strong> 8732563, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.7326, \"<strong>totalFee</strong>\"<strong>:</strong> 4446629, \"<strong>tradeCount</strong>\"<strong>:</strong> 259, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 19:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;<br>\n\"<strong>lastBalance</strong>\"<strong>:</strong> 1534270, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5343, \"<strong>totalFee</strong>\"<strong>:</strong> 349664, \"<strong>tradeCount</strong>\"<strong>:</strong> 47, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 03:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", &nbsp;&nbsp;</p>\n<p><br>\n전체 수익은 줄이고, 최근 수익은 유지됩니다.&nbsp;</p>\n<p>손절을 추가해 보겠습니다.&nbsp;</p>\n<p>손절은 익절에도 영향을 줄 수 있기 때문에 같이 확인해 보겠습니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/7RN-B49SXwksQRES1dC2_tWRyXE.png\" width=\"602\" height=\"349\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/Om_DE6naGHpcMGR3Voc3NsezH88.png\" width=\"577\" height=\"441\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/Fe3QEyvFxPyhetDrSmEYATxy0OQ.png\" width=\"330\" height=\"367\"/></p>\n<p>Trailing-Stop을 걸어보겠습니다.&nbsp;<br>\nTrailing-Stop 착각을 일으키게 할 수 있는 매우 위험한 기능입니다.&nbsp;</p>\n<p>Multichart에도 setpercenttrailing 이란 기능이 있지만 종가 기준으로 바꿔서 테스트해보겠습니다. &nbsp;&nbsp;&nbsp;</p>\n<p><br>\nvar: percentB_B(<strong>0</strong>), percentB_S(<strong>0</strong>);</p>\n<p>if (BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_B=((c-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>))/(BollingerBand(c,<strong>46</strong>,<strong>1</strong>)-BollingerBand(c,<strong>46</strong>,-<strong>1</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_B=<strong>0</strong>;</p>\n<p><br></p>\n<p>if (BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB_S=((c-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>))/(BollingerBand(c,<strong>86</strong>,<strong>1.5</strong>)-BollingerBand(c,<strong>86</strong>,-<strong>1.5</strong>)))*<strong>100</strong>;</p>\n<p>end else percentB_S=<strong>0</strong>;</p>\n<p><br>\nif percentB_B&gt;<strong>180</strong>&nbsp;then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;if percentB_S&lt;-<strong>37</strong>&nbsp;then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\nsetprofittarget(c*<strong>0.01</strong>*<strong>16.4</strong>);</p>\n<p>setstoploss(c*<strong>0.01</strong>*<strong>14.4</strong>);</p>\n<p><br>\nif maxpositionprofit&gt;c*<strong>0.01</strong>*a1 and positionprofit&lt;c*<strong>0.01</strong>*(a1-a2) then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/3CwfCxISA21Be3QWSTin33hWI7Y.png\" width=\"602\" height=\"210\"/></p>\n<p><br></p>\n<p>setprofittarget(c*<strong>0.01</strong>*<strong>16.4</strong>);</p>\n<p>setstoploss(c*<strong>0.01</strong>*<strong>14.4</strong>);</p>\n<p>if maxpositionprofit&gt;c*<strong>0.01</strong>*<strong>15.3</strong>&nbsp;and positionprofit&lt;c*<strong>0.01</strong>*(<strong>15.3</strong>-<strong>4.1</strong>) then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/3u3F0ujWPgCOmVT2umGxgurpOsI.png\" width=\"342\" height=\"301\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/cLwGR9cIflUOXcixWJlN6QGaIq8.png\" width=\"339\" height=\"298\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/s5q0HiDUSL97dmyYbNXn1MjrveQ.png\" width=\"345\" height=\"365\"/></p>\n<p><br></p>\n<p>위 결과가 최종입니다.&nbsp;<br>\n보통 위와 같은 과정으로 점점 최적화하게 되는데 정답은 아닙니다.&nbsp;</p>\n<p>너무 최적화하다 보면 과거 수익률에 취하게 됩니다.&nbsp;</p>\n<p>수익률은 적절히 본인이 원하는 수준인 것이 좋습니다.&nbsp;</p>\n<p><br>\n<strong>4. 역추세형 &nbsp;&nbsp;</strong></p>\n<p>var: percentB(<strong>0</strong>);</p>\n<p>if (BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2))&gt;<strong>0</strong>&nbsp;then begin&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</p>\n<p>percentB=((c-BollingerBand(c,a1,-a2))/(BollingerBand(c,a1,a2)-BollingerBand(c,a1,-a2)))*<strong>100</strong>;</p>\n<p>end else percentB=<strong>0</strong>;</p>\n<p>if percentB&lt;a3 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if percentB&gt;a3+a4 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;<br>\n</p>\n<p>과거에 수익이 나는 결과는 확인했습니다만 최근에는 20% 이상 손실이 발생하기 때문에 생략하도록 하겠습니다.&nbsp;</p>\n<p><br></p>\n</html>",
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      "author": "linu4u",
      "permlink": "re-watchbot-rsi-20180424t063705421z",
      "title": "",
      "body": "참 좋은글 같습니다만.. \n워치봇에서 적용된 화면들이나 입력화면등으로 표현을 해주시면 더 좋을것 같습니다.\n실제 워치봇에 적용하는 방법, 이나 예시 등이 저같은 초보들에겐 확 와닿는것 같아요 ^^\n잘봤어요 ^^",
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  "virtual_op": 0,
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  "op": [
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{
  "trx_id": "380e8d55ec6a1f927906a7e3bd07c8b92063fd4d",
  "block": 21811331,
  "trx_in_block": 9,
  "op_in_trx": 0,
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  "timestamp": "2018-04-23T06:12:27",
  "op": [
    "comment",
    {
      "parent_author": "",
      "parent_permlink": "kr",
      "author": "watchbot",
      "permlink": "cci-adx",
      "title": "[암호화폐 트레이딩] CCI / ADX",
      "body": "<html>\n<p>&nbsp;https://watchbot.co.kr&nbsp;</p>\n<p><img src=\"https://steemitimages.com/0x0/https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/GAHWdeW96zx38MXfAEqWUcZdRXg.jpg\" width=\"900\" height=\"600\"/></p>\n<p>&nbsp;<strong>[CCI]</strong><br>\n단순 CCI를 이용한 전략을 구성해 보도록 하겠습니다.&nbsp;</p>\n<p><br>\nif cci(a1)&gt;a2 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if cci(a1)&lt;-a2 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\n과매수 구간 추격 매수, 과매도 구간 추격 매도인 추세형 전략입니다.&nbsp;지표에 대해서 설명하지 않는 이유는 지표에 대한 이해보다 해당 지표가 시장에서 통하느냐 통하지 않느냐가 더 중요하기&nbsp;때문입니다.&nbsp;또한 러프하게 최적화하는 이유는 세밀한 조정은 트레이더가 원하는 값으로 정하시길 원하기 때문이고 미세하게 조정한다고 해서 시장이 미세 조정에 따라 기가 막히게 움직여 주지 않을 것이기 때문입니다.&nbsp;<br>\n<img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/ch_BoiQ9zWeHTpmbVz63wqd5zW8.png\" width=\"602\" height=\"438\"/></p>\n<p>Net Profit으로 정렬했을 때 위와 같은 결과가 나왔습니다.&nbsp;지표 하나로 지표와 시장의 궁합을 맞춰 볼 때는 하위 결과도 확인하는데 슬리피지를 감안하지 않고 반대로 거래했을 때 수익이 날 수 있는지를 보기 위함입니다.&nbsp;역추세로 거래했을 때는 별로 좋은 결과를 보이지 않았기 때문에 생략하도록 하겠습니다.&nbsp;</p>\n<p>위 결과에서 6개의 샘플을 검토해 보도록 하겠습니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/Bh5ub6hAO-8V4UvehYwUtJyVEuI.png\" width=\"602\" height=\"92\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/buPrpELz80DH45ypCKliR13q-hc.png\" width=\"669\" height=\"516\"/></p>\n<p>최상위 결과는 위와 같습니다.&nbsp;워치봇에서는 어떤 결과를 보이는지 확인해 보겠습니다.&nbsp;대칭형 구조이니 매도 변수는 마이너스를 추가하시면 됩니다.&nbsp;</p>\n<p><br>\n[BTC] 15 min<br>\n(100, 100) (100, -100)\"<strong>lastBalance</strong>\"<strong>:</strong> 11538985, \"<strong>earningsRate</strong>\"<strong>:</strong> 10.539, \"<strong>totalFee</strong>\"<strong>:</strong> 6263035, \"<strong>tradeCount</strong>\"<strong>:</strong> 307, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-03-29 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1310984, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.311, \"<strong>totalFee</strong>\"<strong>:</strong> 384095, \"<strong>tradeCount</strong>\"<strong>:</strong> 58, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(95, 130) (95, -130)\"<strong>lastBalance</strong>\"<strong>:</strong> 9138980, \"<strong>earningsRate</strong>\"<strong>:</strong> 8.139, \"<strong>totalFee</strong>\"<strong>:</strong> 5045647, \"<strong>tradeCount</strong>\"<strong>:</strong> 260, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 03:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1264658, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2647, \"<strong>totalFee</strong>\"<strong>:</strong> 332677, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(105, 90) (105, -90)\"<strong>lastBalance</strong>\"<strong>:</strong> 7585422, \"<strong>earningsRate</strong>\"<strong>:</strong> 6.5854, \"<strong>totalFee</strong>\"<strong>:</strong> 5118461, \"<strong>tradeCount</strong>\"<strong>:</strong> 328, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 02:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1344279, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.3443, \"<strong>totalFee</strong>\"<strong>:</strong> 404399, \"<strong>tradeCount</strong>\"<strong>:</strong> 60, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(95, 140) (95, -140)\"<strong>lastBalance</strong>\"<strong>:</strong> 8229180, \"<strong>earningsRate</strong>\"<strong>:</strong> 7.2292, \"<strong>totalFee</strong>\"<strong>:</strong> 4335261, \"<strong>tradeCount</strong>\"<strong>:</strong> 244, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 03:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1261221, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2612, \"<strong>totalFee</strong>\"<strong>:</strong> 316946, \"<strong>tradeCount</strong>\"<strong>:</strong> 48, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(115, 70) (115, -70)\"<strong>lastBalance</strong>\"<strong>:</strong> 5506704, \"<strong>earningsRate</strong>\"<strong>:</strong> 4.5067, \"<strong>totalFee</strong>\"<strong>:</strong> 4060629, \"<strong>tradeCount</strong>\"<strong>:</strong> 364, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 02:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1373001, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.373, \"<strong>totalFee</strong>\"<strong>:</strong> 395884, \"<strong>tradeCount</strong>\"<strong>:</strong> 60, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(50, 150) (50, -150)\"<strong>lastBalance</strong>\"<strong>:</strong> 2552492, \"<strong>earningsRate</strong>\"<strong>:</strong> 1.5525, \"<strong>totalFee</strong>\"<strong>:</strong> 3632825, \"<strong>tradeCount</strong>\"<strong>:</strong> 432, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 02:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 839908, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1601, \"<strong>totalFee</strong>\"<strong>:</strong> 464653, \"<strong>tradeCount</strong>\"<strong>:</strong> 88, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(110, 60) (110, -60)\"<strong>lastBalance</strong>\"<strong>:</strong> 5240967, \"<strong>earningsRate</strong>\"<strong>:</strong> 4.241, \"<strong>totalFee</strong>\"<strong>:</strong> 4884510, \"<strong>tradeCount</strong>\"<strong>:</strong> 414, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 02:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1276363, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2764, \"<strong>totalFee</strong>\"<strong>:</strong> 480621, \"<strong>tradeCount</strong>\"<strong>:</strong> 74, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n</p>\n<p><strong>[ETH]</strong> (100, 100) (100, -100)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 11538985, \"<strong>earningsRate</strong>\"<strong>:</strong> 10.539, \"<strong>totalFee</strong>\"<strong>:</strong> 6263035, \"<strong>tradeCount</strong>\"<strong>:</strong> 307, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-03-29 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1310984, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.311, \"<strong>totalFee</strong>\"<strong>:</strong> 384095, \"<strong>tradeCount</strong>\"<strong>:</strong> 58, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(95, 130)(95, -130)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 9138980, \"<strong>earningsRate</strong>\"<strong>:</strong> 8.139, \"<strong>totalFee</strong>\"<strong>:</strong> 5045647, \"<strong>tradeCount</strong>\"<strong>:</strong> 260, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 03:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1264658, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2647, \"<strong>totalFee</strong>\"<strong>:</strong> 332677, \"<strong>tradeCount</strong>\"<strong>:</strong> 52, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(105, 90)(105, -90)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 30769475, \"<strong>earningsRate</strong>\"<strong>:</strong> 29.7695, \"<strong>totalFee</strong>\"<strong>:</strong> 42348736, \"<strong>tradeCount</strong>\"<strong>:</strong> 346, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 789604, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2104, \"<strong>totalFee</strong>\"<strong>:</strong> 444763, \"<strong>tradeCount</strong>\"<strong>:</strong> 76, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(95, 140)(95, -140)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 43496114, \"<strong>earningsRate</strong>\"<strong>:</strong> 42.4961, \"<strong>totalFee</strong>\"<strong>:</strong> 36092699, \"<strong>tradeCount</strong>\"<strong>:</strong> 251, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 901248, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0988, \"<strong>totalFee</strong>\"<strong>:</strong> 324840, \"<strong>tradeCount</strong>\"<strong>:</strong> 53, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(115, 70)(115, -70)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 21366004, \"<strong>earningsRate</strong>\"<strong>:</strong> 20.366, \"<strong>totalFee</strong>\"<strong>:</strong> 34398478, \"<strong>tradeCount</strong>\"<strong>:</strong> 398, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 09:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 810876, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1891, \"<strong>totalFee</strong>\"<strong>:</strong> 460010, \"<strong>tradeCount</strong>\"<strong>:</strong> 78, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(50, 150)(50, -150)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 24734331, \"<strong>earningsRate</strong>\"<strong>:</strong> 23.7343, \"<strong>totalFee</strong>\"<strong>:</strong> 38508447, \"<strong>tradeCount</strong>\"<strong>:</strong> 402, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 09:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 867479, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.1325, \"<strong>totalFee</strong>\"<strong>:</strong> 614315, \"<strong>tradeCount</strong>\"<strong>:</strong> 90, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n(110, 60)(110, -60)&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 18359392, \"<strong>earningsRate</strong>\"<strong>:</strong> 17.3594, \"<strong>totalFee</strong>\"<strong>:</strong> 30328643, \"<strong>tradeCount</strong>\"<strong>:</strong> 456, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 09:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1016125, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0161, \"<strong>totalFee</strong>\"<strong>:</strong> 556620, \"<strong>tradeCount</strong>\"<strong>:</strong> 80, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 01:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 00:00\", <br>\n<br>\n<br>\n<br>\n<br>\n<br>\n<strong>[ADX]&nbsp;</strong></p>\n<p><br>\n단순 ADX를 이용한 전략을 구성해 보도록 하겠습니다. &nbsp;&nbsp;&nbsp;</p>\n<p><br>\nif adx(a1)&gt;a2 then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if adx(a1)&lt;a2-a3 then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\n추세 구간 매수, 비추세 구간 매도인 추세형 전략입니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/oCxEIpo1cJzVfwqP9ZbJQuVgW_Q.png\" width=\"601\" height=\"376\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/jtaUXOnN9250yfrCqf9V7DaI58Q.png\" width=\"656\" height=\"521\"/></p>\n<p>과거에는 주로 상승장이었고 추세장이었기 때문에 수익이 났지만 하락장 추세에서는 진입하면 손실이 발생하는 모습입니다.&nbsp;따라서 위 결과에 단기적 상승을 확인할 수 있는 가격 필터를 넣어 보겠습니다.&nbsp;</p>\n<p><br>\nif adx(a1)&gt;a2 and c&gt;average(c,a4) then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if adx(a1)&lt;a2-a3 and c&lt;average(c,a4) then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\nADX 에 Price Comparison을 추가했습니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/E47IRI875TSl46k7RA0mQ73BzYY.png\" width=\"602\" height=\"338\"/></p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/X3ZOButCL_aHbxnj35PIGMfPmBo.png\" width=\"800\" height=\"517\"/></p>\n<p>거래 횟수 40 이상 인 결과만 추려서 보면 위와 같습니다.&nbsp;<br>\nADX Period는 10~20, SMA는 70~300 사이에서 의미 있는 결과를 보입니다.&nbsp;위 결과 중 6개를 샘플링해보겠습니다.&nbsp;</p>\n<p><img src=\"https://t1.daumcdn.net/thumb/R1280x0/?fname=http://t1.daumcdn.net/brunch/service/user/5sTs/image/3MdCpsqaCE8ChvhryWZkSe0dwWU.png\" width=\"602\" height=\"84\"/></p>\n<p><br></p>\n<p><strong>[BTC]</strong>&nbsp;15 min<br>\n매수 ADX(20, 30) up &amp; PC(C[0], SMA(170) up / 매도 ADX(20,10) down &amp; PC(C[0], SMA(170) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 13788078, \"<strong>earningsRate</strong>\"<strong>:</strong> 12.7881, \"<strong>totalFee</strong>\"<strong>:</strong> 2293529, \"<strong>tradeCount</strong>\"<strong>:</strong> 99, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 21:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1761440, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.7614, \"<strong>totalFee</strong>\"<strong>:</strong> 166742, \"<strong>tradeCount</strong>\"<strong>:</strong> 19, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 05:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(20, 20) up &amp; PC(C[0], SMA(150) up / 매도 ADX(20,10) down &amp; PC(C[0], SMA(150) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 9748869, \"<strong>earningsRate</strong>\"<strong>:</strong> 8.7489, \"<strong>totalFee</strong>\"<strong>:</strong> 3252313, \"<strong>tradeCount</strong>\"<strong>:</strong> 143, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 937563, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0624, \"<strong>totalFee</strong>\"<strong>:</strong> 176969, \"<strong>tradeCount</strong>\"<strong>:</strong> 33, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 16:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(20, 30) up &amp; PC(C[0], SMA(270) up / 매도 ADX(20,10) down &amp; PC(C[0], SMA(270) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 9067336, \"<strong>earningsRate</strong>\"<strong>:</strong> 8.0673, \"<strong>totalFee</strong>\"<strong>:</strong> 1780656, \"<strong>tradeCount</strong>\"<strong>:</strong> 89, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 21:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1073770, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.0738, \"<strong>totalFee</strong>\"<strong>:</strong> 86511, \"<strong>tradeCount</strong>\"<strong>:</strong> 15, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 05:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(10, 50) up &amp; PC(C[0], SMA(180) up / 매도 ADX(10,20) down &amp; PC(C[0], SMA(180) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 4883731, \"<strong>earningsRate</strong>\"<strong>:</strong> 3.8837, \"<strong>totalFee</strong>\"<strong>:</strong> 1619961, \"<strong>tradeCount</strong>\"<strong>:</strong> 169, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 21:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1229373, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2294, \"<strong>totalFee</strong>\"<strong>:</strong> 181778, \"<strong>tradeCount</strong>\"<strong>:</strong> 29, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 05:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(10, 50) up &amp; PC(C[0], SMA(230) up / 매도 ADX(10,20) down &amp; PC(C[0], SMA(230) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 6250420, \"<strong>earningsRate</strong>\"<strong>:</strong> 5.2504, \"<strong>totalFee</strong>\"<strong>:</strong> 1734526, \"<strong>tradeCount</strong>\"<strong>:</strong> 147, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 21:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1223970, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.224, \"<strong>totalFee</strong>\"<strong>:</strong> 144151, \"<strong>tradeCount</strong>\"<strong>:</strong> 23, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 05:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(10, 40) up &amp; PC(C[0], SMA(140) up / 매도 ADX(10,20) down &amp; PC(C[0], SMA(140) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 3522846, \"<strong>earningsRate</strong>\"<strong>:</strong> 2.5228, \"<strong>totalFee</strong>\"<strong>:</strong> 2667059, \"<strong>tradeCount</strong>\"<strong>:</strong> 283, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 960191, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0398, \"<strong>totalFee</strong>\"<strong>:</strong> 278299, \"<strong>tradeCount</strong>\"<strong>:</strong> 55, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 04:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>[ETH]</strong> <br>\n매수 ADX(20, 30) up &amp; PC(C[0], SMA(170) up / 매도 ADX(20,10) down &amp; PC(C[0], SMA(170) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 47083309, \"<strong>earningsRate</strong>\"<strong>:</strong> 46.0833, \"<strong>totalFee</strong>\"<strong>:</strong> 13250366, \"<strong>tradeCount</strong>\"<strong>:</strong> 111, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 987851, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0121, \"<strong>totalFee</strong>\"<strong>:</strong> 112198, \"<strong>tradeCount</strong>\"<strong>:</strong> 19, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 15:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(20, 20) up &amp; PC(C[0], SMA(150) up / 매도 ADX(20,10) down &amp; PC(C[0], SMA(150) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 21875517, \"<strong>earningsRate</strong>\"<strong>:</strong> 20.8755, \"<strong>totalFee</strong>\"<strong>:</strong> 20033032, \"<strong>tradeCount</strong>\"<strong>:</strong> 163, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 401084, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.5989, \"<strong>totalFee</strong>\"<strong>:</strong> 157465, \"<strong>tradeCount</strong>\"<strong>:</strong> 37, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 13:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(20, 30) up &amp; PC(C[0], SMA(270) up / 매도 ADX(20,10) down &amp; PC(C[0], SMA(270) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 42541024, \"<strong>earningsRate</strong>\"<strong>:</strong> 41.541, \"<strong>totalFee</strong>\"<strong>:</strong> 14653679, \"<strong>tradeCount</strong>\"<strong>:</strong> 101, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 748083, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2519, \"<strong>totalFee</strong>\"<strong>:</strong> 103158, \"<strong>tradeCount</strong>\"<strong>:</strong> 21, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 15:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(10, 50) up &amp; PC(C[0], SMA(180) up / 매도 ADX(10,20) down &amp; PC(C[0], SMA(180) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 42490711, \"<strong>earningsRate</strong>\"<strong>:</strong> 41.4907, \"<strong>totalFee</strong>\"<strong>:</strong> 21367091, \"<strong>tradeCount</strong>\"<strong>:</strong> 170, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 926529, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0735, \"<strong>totalFee</strong>\"<strong>:</strong> 231829, \"<strong>tradeCount</strong>\"<strong>:</strong> 34, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(10, 50) up &amp; PC(C[0], SMA(230) up / 매도 ADX(10,20) down &amp; PC(C[0], SMA(230) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 50905385, \"<strong>earningsRate</strong>\"<strong>:</strong> 49.9054, \"<strong>totalFee</strong>\"<strong>:</strong> 21029527, \"<strong>tradeCount</strong>\"<strong>:</strong> 144, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 985151, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0148, \"<strong>totalFee</strong>\"<strong>:</strong> 191973, \"<strong>tradeCount</strong>\"<strong>:</strong> 28, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 14:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n매수 ADX(10, 40) up &amp; PC(C[0], SMA(140) up / 매도 ADX(10,20) down &amp; PC(C[0], SMA(140) down&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 51619380, \"<strong>earningsRate</strong>\"<strong>:</strong> 50.6194, \"<strong>totalFee</strong>\"<strong>:</strong> 54434759, \"<strong>tradeCount</strong>\"<strong>:</strong> 298, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 736732, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2633, \"<strong>totalFee</strong>\"<strong>:</strong> 374701, \"<strong>tradeCount</strong>\"<strong>:</strong> 62, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 13:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n위 결과에 적절한 익절이나 손절이 의미가 있을지 확인해 보도록 하겠습니다.&nbsp;확인하고자 하는 이유는 거래 빈도가 적어서 적절히 쉬어 갈 수 있는지를 알아보고자 함입니다.&nbsp;경우의 수를 줄이기 위해 Price Comparison 의 SMA Long Period를 170으로 고정하고 다음 조건에 익절을 추가해 보겠습니다. &nbsp;&nbsp;</p>\n<p>&nbsp;<br>\nif adx(a1)&gt;a2 and c&gt;average(c,<strong>170</strong>) then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if adx(a1)&lt;a2-a3 and c&lt;average(c,<strong>170</strong>) then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\nsetprofittarget(c*<strong>0.01</strong>*a4);<br>\n</p>\n<p><strong>[BTC] 15 min</strong><br>\n[매수 ADX(20, 30) up &amp; PC(C[0], SMA(170) up / 매도 ADX(20,10) down &amp; PC(C[0], SMA(170) down)]&nbsp;</p>\n<p>익절 15%&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 9165105, \"<strong>earningsRate</strong>\"<strong>:</strong> 8.1651, \"<strong>totalFee</strong>\"<strong>:</strong> 2785115, \"<strong>tradeCount</strong>\"<strong>:</strong> 161, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 21:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1598659, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5987, \"<strong>totalFee</strong>\"<strong>:</strong> 192436, \"<strong>tradeCount</strong>\"<strong>:</strong> 25, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 05:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p>익절 5%&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 2622671, \"<strong>earningsRate</strong>\"<strong>:</strong> 1.6227, \"<strong>totalFee</strong>\"<strong>:</strong> 2378336, \"<strong>tradeCount</strong>\"<strong>:</strong> 303, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 21:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1234764, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.2348, \"<strong>totalFee</strong>\"<strong>:</strong> 254549, \"<strong>tradeCount</strong>\"<strong>:</strong> 41, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 05:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n거래 횟수는 많이 증가하지만 수익이 많이 하락합니다. &nbsp;&nbsp;&nbsp;</p>\n<p><br></p>\n<p>if adx(a1)&gt;a2 and c&gt;average(c,<strong>170</strong>) then buy&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p>if adx(a1)&lt;a2-a3 and c&lt;average(c,<strong>170</strong>) then sell&nbsp;<strong>1</strong>&nbsp;contracts next bar at market;</p>\n<p><br>\nsetstoploss(c*<strong>0.01</strong>*a4);</p>\n<p><br>\n익절은 제외하고 손절을 추가해 보도록 하겠습니다.&nbsp;<br>\n</p>\n<p>손절 17%&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 17549221, \"<strong>earningsRate</strong>\"<strong>:</strong> 16.5492, \"<strong>totalFee</strong>\"<strong>:</strong> 3097776, \"<strong>tradeCount</strong>\"<strong>:</strong> 105, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 21:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1761440, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.7614, \"<strong>totalFee</strong>\"<strong>:</strong> 166742, \"<strong>tradeCount</strong>\"<strong>:</strong> 19, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 05:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n손절 9%&nbsp;\"<strong>lastBalance</strong>\"<strong>:</strong> 18790418, \"<strong>earningsRate</strong>\"<strong>:</strong> 17.7904, \"<strong>totalFee</strong>\"<strong>:</strong> 3360749, \"<strong>tradeCount</strong>\"<strong>:</strong> 111, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 21:45\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1737878, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.7379, \"<strong>totalFee</strong>\"<strong>:</strong> 166503, \"<strong>tradeCount</strong>\"<strong>:</strong> 19, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-03 05:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n손절에 많이 걸리지는 않아 전체 전략에 큰 영향은 없으나 안전장치로는 손절 9~17% 가 적절해 보입니다.&nbsp;다른 코인들도 확인해 보도록 하겠습니다.&nbsp;</p>\n<p><br>\n[매수 ADX(20, 30) up &amp; PC(C[0], SMA(170) up / 매도 ADX(20,10) down &amp; PC(C[0], SMA(170) down)]&nbsp;손절 9%&nbsp;</p>\n<p><br>\n<strong>[ETH]&nbsp;</strong>\"<strong>lastBalance</strong>\"<strong>:</strong> 31688409, \"<strong>earningsRate</strong>\"<strong>:</strong> 30.6884, \"<strong>totalFee</strong>\"<strong>:</strong> 11455724, \"<strong>tradeCount</strong>\"<strong>:</strong> 139, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 10:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 1187285, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.1873, \"<strong>totalFee</strong>\"<strong>:</strong> 177743, \"<strong>tradeCount</strong>\"<strong>:</strong> 25, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 15:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>[ETC]&nbsp;</strong>\"<strong>lastBalance</strong>\"<strong>:</strong> 2373121, \"<strong>earningsRate</strong>\"<strong>:</strong> 1.3731, \"<strong>totalFee</strong>\"<strong>:</strong> 2111385, \"<strong>tradeCount</strong>\"<strong>:</strong> 165, \"<strong>from</strong>\"<strong>:</strong> \"2017-01-01 12:00\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 768416, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.2316, \"<strong>totalFee</strong>\"<strong>:</strong> 140959, \"<strong>tradeCount</strong>\"<strong>:</strong> 31, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 13:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>[LTC]&nbsp;</strong>\"<strong>lastBalance</strong>\"<strong>:</strong> 901422, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0986, \"<strong>totalFee</strong>\"<strong>:</strong> 149271, \"<strong>tradeCount</strong>\"<strong>:</strong> 31, \"<strong>from</strong>\"<strong>:</strong> \"2017-12-19 07:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 982448, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.0176, \"<strong>totalFee</strong>\"<strong>:</strong> 133549, \"<strong>tradeCount</strong>\"<strong>:</strong> 25, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-02 12:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>[BCH]&nbsp;</strong>\"<strong>lastBalance</strong>\"<strong>:</strong> 1599083, \"<strong>earningsRate</strong>\"<strong>:</strong> 0.5991, \"<strong>totalFee</strong>\"<strong>:</strong> 1235889, \"<strong>tradeCount</strong>\"<strong>:</strong> 135, \"<strong>from</strong>\"<strong>:</strong> \"2017-08-11 20:30\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\", \"<strong>lastBalance</strong>\"<strong>:</strong> 669707, \"<strong>earningsRate</strong>\"<strong>:</strong> -0.3303, \"<strong>totalFee</strong>\"<strong>:</strong> 142543, \"<strong>tradeCount</strong>\"<strong>:</strong> 33, \"<strong>from</strong>\"<strong>:</strong> \"2018-01-01 15:15\", \"<strong>to</strong>\"<strong>:</strong> \"2018-04-10 10:00\",&nbsp;</p>\n<p><br>\n<strong>Test Spec</strong> Tool : Multichart 8.0</p>\n<p>Exchange : Coinone</p>\n<p>Timeframe : 15 min</p>\n<p>Slippage&amp;Commission : 20000</p>\n<p>Initial Capital : 1000000</p>\n<p>Period : 2017.01.01~2018.03.16</p>\n<p>Value : BTC/KRW&nbsp;</p>\n</html>",
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