Algo Trading (Part 2: Backtest Candlestick Patterns)
呢篇文延續返上次點樣啱啱入手嘅朋友去玩algo trade，呢度會用Googlesheet/excel做例子，之後嘅文會慢慢加Python元素入去。上篇文提到Trading Ideas可以用Candlestick Pattern，所以呢度會用呢啲pattern做下demo，講吓點樣入手砌一啲策略出嚟。 Background Info 呢度加少少背景，本身Candlestick Pattern係源自日本，每條candlestick係由Open, High, Low, Close組成，根據唔同嘅timeframe去resample，用一支bar組合果個timeframe入面發生過嘅成交數據。綠色係升 (close > open)，紅色係跌 (close < open)。呢啲pattern背後嘅原理係每支bar或者組合反映緊市場交易嘅心理，但係係咪金科玉律，就要試過先知。所以如果有人話因為出咗某個Pattern樂觀或者悲觀，不妨問一問佢以前嘅數據係點樣，如果唔係只係講故仔。 我呢度揀咗4個candlestick patterns，純粹揀嚟做一個demo。 Bullish/Bearish Harami 呢個Pattern基本上就係講緊reversal，第二支bar反方向同埋冇咁有力延續升勢或者跌晒，如果係Bullish Harami就係 bar1 = red; bar2 = green; bar1_open >= bar2_close; bar1_close <= bar2_open; Bearish Harami反之亦然 Bullish/Bearish Engulfing 呢個同上面同一樣原理，不過通常會俾人覺得更加強嘅Reversal pattern，，如果係Bullish Engulfing就係 bar1 = red; bar2 = green; bar1_open < bar2_close; bar1_close > bar2_open; Bearish Engulfing反之亦然 Backtest流程： 呢度用咗Binance由2021/1/1到2025/1/19嘅永續合約KLine數據做demo, 用咗BTCUSDT同ETHUSDT daily 計收市價percentage change，然...