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Adaptive ATR Trailing Stop Loss Strategy

Cryptocurrency
Created: 2023-09-13 15:48:32
Last modified: 3 years ago
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This strategy is named "Adaptive ATR Trailing Stop Loss Strategy". It uses the ATR indicator to set stop loss levels, and switches from a tight stop to a loose stop after entry to follow trends while controlling risk.

The specific logic is:

  1. Calculate the range of highest and lowest prices over a certain period as entry signal. Entries are triggered when prices break out of the range.

  2. After entry, a tighter ATR stop is initially used, fixed at 1.5 times the ATR value, to limit post-entry loss.

  3. During trade holding, the stop is switched to a looser 4 times ATR. The stop keeps trailing prices but allows more space for trends to extend.

  4. The stop level always tracks the lowest price (long trade) or highest price (short trade) and adjusts with price fluctuations, achieving a trailing stop effect.

  5. When price drops below stop level (long) or rises above it (short), the stop loss is triggered.

The advantage of this strategy is using an adaptive stop loss mechanism to ensure risk control while avoiding premature stop outs. But ATR parameters and multiples need optimization, and stops should be used with trend analysis.

In conclusion, dynamic trailing stops are important means to improve profitability. Flexible stop loss application can better maintain trend profits and control risks.

Source
Pine
/*backtest
start: 2023-08-13 00:00:00
end: 2023-09-12 00:00:00
period: 1h
basePeriod: 15m
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/
//@version=4
//@author=Takazudo
Strategy parameters
Strategy parameters
Entry strategy
Entry band bar count
ATR SL
Trailing stop ATR Length
Trailing stop ATR Multiple on tight
Trailing stop ATR Multiple on slack
Backtesting range
From Year
From Month
From Day
To Year
To Month
To Day
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