Nachverfolgung der Stop-Loss-Strategie für den gleitenden Durchschnitt

Schriftsteller:ChaoZhang, Datum: 2024-02-01 10:59:06
Tags:

Übersicht

Dies ist eine Tracking-Stop-Loss-Handelsstrategie, die auf einem gleitenden Durchschnitt basiert. Sie verwendet zwei EMA-Linien mit verschiedenen Perioden, um goldene Kreuz- und tote Kreuzsignale für lange und kurze Trades zu generieren. In der Zwischenzeit verwendet die Strategie die Prozentsatz- oder Fixpunkte-Methode, um Stop-Loss- und Gewinnniveaus zu verfolgen. Dies ermöglicht es der Strategie, Gewinne zu erzielen, während Risiken effektiv kontrolliert werden.

Strategie Logik

Die Strategie verwendet schnelle und langsame EMA-Linien. Die schnelle EMA reagiert empfindlich, während sich die langsame EMA stabiler bewegt. Das goldene Kreuz entsteht, wenn sich die beiden Linien nach oben bewegen, um sich zu kreuzen, was Kaufsignale erzeugt. Das tote Kreuz tritt auf, wenn sie sich nach unten kreuzen und Verkaufssignale auslösen. Dies ist die zugrunde liegende Logik hinter gleitenden Durchschnittsstrategien.

Darüber hinaus verfolgt die Strategie das Stop-Loss- und Gewinnziel, sobald der Handel eingegeben wurde. Insbesondere werden sich die Stop-Loss- und Gewinnzielniveaus im Zuge der Preisschwankungen in eine günstige Richtung einstellen. Dies ermöglicht es, Gewinne zu sperren, während die Risiken begrenzt sind. Das Trailing-Tempo kann mit Hilfe von Prozent oder festen Punkten konfiguriert werden. Dies macht den Stop-Loss- und Take-Profit-Mechanismus flexibler und intelligenter.

Vorteile

Nutzt doppelte EMA-Crossovers, um Qualitätssignale und stabile Renditen zu generieren.
Das Trailing-Stop-Loss- und Profit-Taking-Verfahren schließt die Gewinne ein und kontrolliert die Risiken effektiv.
Unterstützt sowohl Prozentsatz- als auch Festpunkte für flexibles Nachziehen.
Performs gut auf lange Sicht mit Trailing-Mechanismus.

Risiken und Optimierung

Zu häufige Stop-Loss-Trigger können sich auf die Rentabilität in den verschiedenen Märkten auswirken.
EMA-Crossover-Signale haben einen Verzögerungseffekt und können einige Chancen verpassen.
Unzureichende Daten aus Backtests können zu einer Überanpassung führen.

Schlussfolgerung

Die Strategie integriert die Stärken von gleitenden Durchschnittssignal- und Trendverfolgungstechniken. Sie zeigt langfristig eine stabile und hervorragende Leistung und besitzt praktischen Wert für den Live-Handel. Weitere Verbesserungen können durch Parameter-Tuning und Kombinationsoptimierung erzielt werden.

/*backtest
start: 2023-01-31 00:00:00
end: 2024-01-31 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Sharad_Gaikwad
//@version=5

strategy("Traling.SL.Target", overlay=true, process_orders_on_close = true, max_labels_count = 500)
// << Parameters section {
_1 = input.bool(title = "━━━━━━━ ↓ Pivot parameters for trade ↓ ━━━━━━━", defval = false)
fast_len = input.int(title = 'Fast len', defval = 20)
slow_len = input.int(title = 'Slow len', defval = 50)
label_bg_color = input.color(title = 'BG color for ongoing trade SL/Target label', defval=color.white)
sl_target_method = input.string(title = 'Method to be used for SL/Target trailing', defval='% Based Target and SL', options = ['% Based Target and SL','Fix point Based Target and SL'])
_2 = input.bool(title = "━━━━━━━ ↓ % Based Target and SL ↓ ━━━━━━━", defval = true)
initial_profit_percent = input.float(title = 'Inital profit %', defval = 1) / 100
initial_sl_percent = input.float(title = 'Inital SL %', defval = 1) / 100
initiate_trailing_percent = input.float(title = 'Initiate trailing %', defval = 0.5, tooltip = 'Initiate trailing of target and SL after change in price in % after taking trade') / 100
trail_profit_percent = input.float(title = 'Trail profit by %', defval = 0.3) / 100
trail_sl_percent = input.float(title = 'Trail SL by %', defval = 0.3) / 100

_3 = input.bool(title = "━━━━━━━ ↓ Fix point Based Target and SL ↓ ━━━━━━━", defval = false)
initial_profit_points = input.float(title = 'Inital profit target points', defval = 100)
initial_sl_points = input.float(title = 'Inital SL points', defval = 50)
initiate_trailing_points = input.float(title = 'Initiate trailing points', defval = 60, tooltip = 'Initiate trailing of target and SL after change in price in points after taking trade')
trail_profit_points = input.float(title = 'Trail profit by points', defval = 25)
trail_sl_points = input.float(title = 'Trail SL by %', defval = 30)
// } Parameters section >>


// } << Common function {
tab = table.new(position=position.bottom_right, columns=7, rows=200,frame_color = color.yellow, frame_width = 1)
msg(int row, int col, string msg_str, clr=color.blue) =>
    table.cell(table_id=tab, column=col, row=row, text=msg_str, text_color=clr)

getVal(val) =>
    ret_val = na(val) ? 0 : val

t(val) => str.tostring(val, "0.00")

timeToString(int _t) =>
         str.tostring(dayofmonth(_t), '00') + '/' + 
         str.tostring(month(_t), '00') + '/' + 
         str.tostring(year(_t), '0000') + ' ' + 
         str.tostring(hour(_t), '00') + ':' + 
         str.tostring(minute(_t), '00') + ':' + 
         str.tostring(second(_t), '00')
    
// } Common functions>>


// Variable declarations {
percent_based = sl_target_method  == '% Based Target and SL' ? true : false
var initial_long_entry_price = float(na)
var initial_short_entry_price = float(na)
var long_target = float(na)
var long_sl = float(na)
var short_target = float(na)
var short_sl = float(na)
var long_entry_price = float(na)
var short_entry_price = float(na)
var initial_long_percent_target = float(na)
var initial_long_percent_sl = float(na)
var initial_long_point_target = float(na)
var initial_long_point_sl = float(na)
var initial_short_percent_target = float(na)
var initial_short_percent_sl = float(na)
var initial_short_point_target = float(na)
var initial_short_point_sl = float(na)
var is_long = bool(na)
var is_short = bool(na)
var trail_long_iteration = int(na)
var trail_short_iteration = int(na)

// }

// derive important variable values



// Strategy logic
fast_ema = ta.ema(close, fast_len)
slow_ema = ta.ema(close, slow_len)
plot(fast_ema, color = color.red)
plot(slow_ema, color = color.green)
go_long = ta.crossover(fast_ema, slow_ema) and strategy.position_size == 0
go_short = ta.crossunder(fast_ema, slow_ema) and strategy.position_size == 0

// barcolor(ph ? color.purple : na, offset = -lb)
// barcolor(pl ? color.yellow : na, offset = -lb)


// barcolor(ph ? color.white : na)
// barcolor(pl ? color.blue : na)

// //trailing logic for long
long_trailing_point = percent_based ? (close >= long_entry_price + (long_entry_price * initiate_trailing_percent)) :
     (close >= long_entry_price + initiate_trailing_points)

short_trailing_point = percent_based ? (close <= short_entry_price - (short_entry_price * initiate_trailing_percent)) :
     (close >= short_entry_price - initiate_trailing_points)

if(is_long and long_trailing_point)
    // initial_long_percent_target = initial_long_percent_target + (initial_long_percent_target * trail_profit_percent)
    // initial_long_percent_sl = initial_long_percent_sl - (initial_long_percent_sl * trail_sl_percent)

    // initial_long_point_target = initial_long_point_target + trail_profit_points
    // initial_long_point_sl = initial_long_point_sl - trail_sl_points
    trail_long_iteration :=  trail_long_iteration + 1
    long_target := percent_based ? (long_target + (long_target * trail_profit_percent)) : 
         (long_target + trail_profit_points)
         
    long_sl := percent_based ? (long_sl + (long_sl * trail_sl_percent)) :
         (long_sl + trail_sl_points)
    
    long_entry_price := percent_based ? (long_entry_price + (long_entry_price * initiate_trailing_percent)) :
         (long_entry_price + initiate_trailing_points)

if(is_short and short_trailing_point)
    // initial_short_percent_target = initial_short_percent_target - (initial_short_percent_target * trail_profit_percent)
    // initial_short_percent_sl = initial_short_percent_sl + (initial_short_percent_sl * trail_sl_percent)

    // initial_short_point_target = initial_short_point_target - trail_profit_points
    // initial_short_point_sl = initial_short_point_sl + trail_sl_points
    trail_short_iteration :=  trail_short_iteration + 1
    short_target := percent_based ? (short_target - (short_target * trail_profit_percent)) : 
         (short_target - trail_profit_points)
         
    short_sl := percent_based ? (short_sl - (short_sl * trail_sl_percent)) :
         (short_sl - trail_sl_points)
    
    short_entry_price := percent_based ? (short_entry_price - (short_entry_price * initiate_trailing_percent)) :
         (short_entry_price - initiate_trailing_points)
    
if(go_long)
    is_long := true
    is_short := false
    trail_long_iteration := 0
    trail_short_iteration := 0
    initial_long_entry_price := close
    long_entry_price := close
    
    initial_long_percent_target := close + (close * initial_profit_percent)
    initial_long_percent_sl := close - (close * initial_sl_percent)

    initial_long_point_target := close + initial_profit_points
    initial_long_point_sl := close - initial_sl_points
    
    long_target := percent_based ? initial_long_percent_target : initial_long_point_target
    long_sl := percent_based ? initial_long_percent_sl : initial_long_point_sl 
    
    strategy.entry(id = 'Long', direction = strategy.long)

if(go_short)
    is_long := false
    is_short := true
    trail_long_iteration := 0
    trail_short_iteration := 0
    initial_short_entry_price := close
    short_entry_price := close

    initial_short_percent_target := close - (close * initial_profit_percent)
    initial_short_percent_sl := close + (close * initial_sl_percent)

    initial_short_point_target := close - initial_profit_points
    initial_short_point_sl := close + initial_sl_points

    short_target := percent_based ? initial_short_percent_target : initial_short_point_target
    short_sl := percent_based ? initial_short_percent_sl : initial_short_point_sl 
    
    strategy.entry(id = 'Short', direction = strategy.short)

method = percent_based ? '% Based' : 'Fixed Points'
long_tooltip = 'Long @ ' + timeToString(time) + '\n' +
     'Method             : ' + method + '\n' +
     'Initial Trade Price: ' + t(initial_long_entry_price) + '\n' +
     'Inital Target      : ' + t(long_target) + '\n' + 
     'Inital SL          : ' + t(long_sl) 

short_tooltip = 'Short @ ' + timeToString(time) + '\n' +
     'Method             : ' + method + '\n' +
     'Initial Trade Price: ' + t(initial_short_entry_price) + '\n' +
     'Inital Target      : ' + t(short_target) + '\n' + 
     'Inital SL          : ' + t(short_sl)
     
     
label.new(go_long ? bar_index : na, go_long ? bar_index : na,
     style = label.style_diamond, yloc = yloc.belowbar, color = color.green, size=size.tiny, tooltip = long_tooltip)
     
label.new(go_short ? bar_index : na, go_short ? bar_index : na,
     style = label.style_diamond, yloc = yloc.abovebar, color = color.red, size=size.tiny, tooltip = short_tooltip)
 
trail_long_tooltip = 'Trail @ ' + timeToString(time) + '\n' +
     'Iteration no : ' + t(trail_long_iteration) + '\n' +
     'New Target   : ' + t(long_target) + '\n' +
     'New SL       : ' + t(long_sl)

trail_short_tooltip = 'Trail @ ' + timeToString(time) + '\n' +
     'Iteration no : ' + t(trail_short_iteration) + '\n' +
     'New Target   : ' + t(short_target) + '\n' +
     'New SL       : ' + t(short_sl) 

label.new(is_long and long_trailing_point and strategy.position_size > 0 ? bar_index : na, is_long and long_trailing_point and strategy.position_size > 0 ? bar_index : na,
      text = str.tostring(trail_long_iteration), style = label.style_circle, textcolor = color.white, yloc = yloc.belowbar, color = color.green, size=size.tiny, tooltip = trail_long_tooltip)
     
label.new(is_short and short_trailing_point and strategy.position_size < 0 ? bar_index : na, is_short and short_trailing_point and strategy.position_size < 0 ? bar_index : na,
     text = str.tostring(trail_short_iteration), style = label.style_circle, textcolor = color.white,  yloc = yloc.abovebar, color = color.red, size=size.tiny, tooltip = trail_short_tooltip)
     
strategy.close(id = 'Long', when = close <= long_sl, comment = 'SL')
strategy.close(id = 'Short', when = close >= short_sl, comment = 'SL')

strategy.close(id = 'Long', when = close >= long_target, comment = 'Target')
strategy.close(id = 'Short', when = close <= short_target, comment = 'Target')

// no_of_labels = 1
// label_q(_array, _val) =>
//     array.push(_array, _val)
//     _return = array.shift(_array)

// var target_label = float(na)
// var sl_label = float(na)
// if(strategy.position_size > 0)
//     target_label := long_target
//     sl_label := long_sl
// else if(strategy.position_size < 0)
//     target_label := short_target
//     sl_label := short_sl
// else
//     target_label := float(na)
//     sl_label := float(na)

// var label[] target_array = array.new_label(no_of_labels)
// label.delete(label_q(target_array, label.new(bar_index, target_label, "Target:"+t(target_label), style = label.style_label_down, color = label_bg_color, size=size.small, textcolor = color.green)))

// var label[] sl_array = array.new_label(no_of_labels)
// label.delete(label_q(sl_array, label.new(bar_index, sl_label, "SL:"+t(sl_label), style = label.style_label_up, color = label_bg_color, size=size.small, textcolor = color.red)))

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