ianzeng123
Overview
This is a long-short trend tracking strategy based on Average True Range (ATR) and Exponential Moving Average (EMA). The strategy achieves precise market trend capture and risk management through dynamic stop-loss and trend determination.
Strategy Principle
The core principles include: 1. Calculate dynamic stop-loss points using ATR 2. Determine price trend direction with EMA 3. Confirm trading signals through price and stop-loss point relationship 4. Optional Heikin Ashi candle optimization
Key Calculation Logic: - Dynamic Stop-Loss = Current Price ± (ATR * Sensitivity Coefficient) - Trend Determined by EMA and Stop-Loss Point Crossover - Trading Signals Generated When Price Breaks Stop-Loss and EMA Crosses
Strategy Advantages
- Dynamic Risk Management: ATR adaptive stop-loss calculation
- Precise Trend Tracking: EMA quickly responds to price changes
- High Flexibility: Customizable ATR period and sensitivity
- Optional Heikin Ashi Candles for Signal Refinement
- Low-Frequency Trading, Reduced Transaction Costs
- Multi-Market and Multi-Variety Adaptability
Strategy Risks
- Potential Frequent False Signals in Volatile Markets
- Improper Parameter Settings May Cause Over-Trading
- Does Not Consider Fundamental Factors
- Potential Divergence Between Backtesting and Live Trading
Risk Control Recommendations: - Optimize Parameters - Combine with Confirmation Indicators - Implement Stop-Loss and Position Management - Continuous Monitoring and Dynamic Adjustment
Strategy Optimization Directions
- Introduce Machine Learning for Parameter Optimization
- Add Multi-Timeframe Verification
- Combine with Additional Technical Indicators
- Develop Adaptive Parameter Selection Mechanism
- Enhance Risk Adjustment Module
Optimization Goals: Improve Strategy Stability, Reduce Drawdown, Enhance Profit Efficiency
Summary
A dynamic trend tracking strategy based on ATR and EMA, achieving stable market participation through flexible stop-loss mechanisms and trend judgment. The strategy demonstrates good adaptability and risk management characteristics, requiring continuous optimization and validation.
/*backtest
start: 2025-01-01 00:00:00
end: 2025-04-02 00:00:00
period: 3h
basePeriod: 3h
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/
//@version=6
strategy("ducanhmaster v1", overlay=true, commission_type=strategy.commission.percent, commission_value=0.1, slippage=3, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
// Inputs
a = input.int(1, title="Key Value. 'This changes the sensitivity'")
c = input.int(10, title="ATR Period")
h = input.bool(false, title="Signals from Heikin Ashi Candles")
xATR = ta.atr(c)
nLoss = a * xATR
// Compute Heikin Ashi values
heikinAshiOpen = (open + close) / 2
heikinAshiClose = (open + high + low + close) / 4
heikinAshiHigh = math.max(high, math.max(heikinAshiOpen, heikinAshiClose))
heikinAshiLow = math.min(low, math.min(heikinAshiOpen, heikinAshiClose))
src = h ? heikinAshiClose : close
// Declare xATRTrailingStop as a float variable and initialize it with 'na'
var float xATRTrailingStop = na
if (src > nz(xATRTrailingStop[1], 0) and src[1] > nz(xATRTrailingStop[1], 0))
xATRTrailingStop := math.max(nz(xATRTrailingStop[1]), src - nLoss)
else if (src < nz(xATRTrailingStop[1], 0) and src[1] < nz(xATRTrailingStop[1], 0))
xATRTrailingStop := math.min(nz(xATRTrailingStop[1]), src + nLoss)
else
xATRTrailingStop := src > nz(xATRTrailingStop[1], 0) ? src - nLoss : src + nLoss
// Declare 'pos' as an integer variable instead of leaving it undefined
var int pos = na
if (src[1] < nz(xATRTrailingStop[1], 0) and src > nz(xATRTrailingStop[1], 0))
pos := 1
else if (src[1] > nz(xATRTrailingStop[1], 0) and src < nz(xATRTrailingStop[1], 0))
pos := -1
else
pos := nz(pos[1], 0)
xcolor = pos == -1 ? color.red : pos == 1 ? color.green : color.blue
ema = ta.ema(src, 1)
above = ta.crossover(ema, xATRTrailingStop)
below = ta.crossover(xATRTrailingStop, ema)
buy = src > xATRTrailingStop and above
sell = src < xATRTrailingStop and below
barbuy = src > xATRTrailingStop
barsell = src < xATRTrailingStop
// Plot buy/sell signals on the chart
plotshape(buy, title="Buy", text='Buy', style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), textcolor=color.white, size=size.tiny)
plotshape(sell, title="Sell", text='Sell', style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), textcolor=color.white, size=size.tiny)
// Change bar color when buy/sell conditions are met
barcolor(barbuy ? color.green : na)
barcolor(barsell ? color.red : na)
// Enter a Long trade when a buy signal appears and exit when a sell signal appears
if (buy)
strategy.entry("long", strategy.long)
if (sell)
strategy.close("long")