Ejemplo de dimensionamiento de la posición de la curva de renta variable

El autor:¿ Qué pasa?, Fecha: 2022-05-13 22:25:44
Las etiquetas:OCMLa SMA

Trading the equity curve como método de gestión de riesgos es el proceso de actuar sobre las señales comerciales dependiendo de si el rendimiento de un sistema indica que la estrategia está en una fase rentable o perdedora.

El objetivo de la gestión de la curva de renta variable es minimizar el riesgo en el comercio cuando la curva de renta variable está en una tendencia bajista. Esta estrategia tiene dos modos para determinar la tendencia bajista de la curva de renta variable: mediante la creación de dos promedios móviles simples de la curva de renta variable de una cartera - una a corto plazo y una a largo plazo - y actuando en sus cruces. Si la SMA rápida está por debajo de la SMA lenta, se detecta una tendencia bajista de la renta variable (smafastequity < smaslowequity). El segundo método consiste en utilizar los cruces del propio capital con el SMA de período más largo (equity < smasloweequity).

Cuando Trading with the Equity Curve" esté activado, el tamaño de la posición se reducirá en un porcentaje especificado si el capital está "bajo el agua" de acuerdo con una regla seleccionada.

Prueba posterior

/*backtest
start: 2022-04-12 00:00:00
end: 2022-05-11 23:59:00
period: 15m
basePeriod: 5m
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/
// © shardison
//@version=5

//EXPLANATION
//"Trading the equity curve" as a risk management method is the 
//process of acting on trade signals depending on whether a system’s performance
//is indicating the strategy is in a profitable or losing phase.
//The point of managing equity curve is to minimize risk in trading when the equity curve is  in a downtrend. 
//This strategy has two modes to determine the equity curve downtrend:
//By creating two simple moving averages of a portfolio's equity curve - a short-term
//and a longer-term one - and acting on their crossings. If the fast SMA is below
//the slow SMA, equity downtrend is detected (smafastequity < smaslowequity).
//The second method is by using the crossings of equity itself with the longer-period SMA (equity < smasloweequity).
//When "Reduce size by %" is active, the position size will be reduced by a specified percentage
//if the equity is "under water" according to a selected rule. If you're a risk seeker, select "Increase size by %"
//- for some robust systems, it could help overcome their small drawdowns quicker.

//strategy("Use Trading the Equity Curve Postion Sizing", shorttitle="TEC", default_qty_type = strategy.percent_of_equity, default_qty_value = 10, initial_capital = 100000)

//TRADING THE EQUITY CURVE INPUTS
useTEC           = input.bool(true, title="Use Trading the Equity Curve Position Sizing")
defulttraderule  = useTEC ? false: true
initialsize      = input.float(defval=10.0, title="Initial % Equity")
slowequitylength = input.int(25, title="Slow SMA Period")
fastequitylength = input.int(9, title="Fast SMA Period")
seedequity = 100000 * .10
if strategy.equity == 0
    seedequity
else
    strategy.equity
slowequityseed   = strategy.equity > seedequity ? strategy.equity : seedequity
fastequityseed   = strategy.equity > seedequity ? strategy.equity : seedequity
smaslowequity    = ta.sma(slowequityseed, slowequitylength)
smafastequity    = ta.sma(fastequityseed, fastequitylength)
equitycalc       = input.bool(true, title="Use Fast/Slow Avg", tooltip="Fast Equity Avg is below Slow---otherwise if unchecked uses Slow Equity Avg below Equity")
sizeadjstring    = input.string("Reduce size by (%)", title="Position Size Adjustment", options=["Reduce size by (%)","Increase size by (%)"])
sizeadjint       = input.int(50, title="Increase/Decrease % Equity by:")
equitydowntrendavgs = smafastequity < smaslowequity
slowequitylessequity = strategy.equity < smaslowequity

equitymethod = equitycalc ? equitydowntrendavgs : slowequitylessequity

if sizeadjstring == ("Reduce size by (%)")
    sizeadjdown = initialsize * (1 - (sizeadjint/100))
else
    sizeadjup = initialsize * (1 + (sizeadjint/100))
c = close
qty = 100000 * (initialsize / 100) / c
if useTEC and equitymethod
    if sizeadjstring == "Reduce size by (%)"
        qty := (strategy.equity * (initialsize / 100) * (1 - (sizeadjint/100))) / c
    else
        qty := (strategy.equity * (initialsize / 100) * (1 + (sizeadjint/100))) / c
    
//EXAMPLE TRADING STRATEGY INPUTS
CMO_Length = input.int(defval=9, minval=1, title='Chande Momentum Length')
CMO_Signal = input.int(defval=10, minval=1, title='Chande Momentum Signal')

chandeMO = ta.cmo(close, CMO_Length)
cmosignal = ta.sma(chandeMO, CMO_Signal)

SuperTrend_atrPeriod = input.int(10, "SuperTrend ATR Length")
SuperTrend_Factor = input.float(3.0, "SuperTrend Factor", step = 0.01)
Momentum_Length = input.int(12, "Momentum Length")
price = close

mom0 = ta.mom(price, Momentum_Length)
mom1 = ta.mom( mom0, 1)
[supertrend, direction] = ta.supertrend(SuperTrend_Factor, SuperTrend_atrPeriod)
stupind = (direction < 0 ? supertrend : na)
stdownind = (direction < 0? na : supertrend)

//TRADING CONDITIONS
longConditiondefault = ta.crossover(chandeMO, cmosignal) and (mom0 > 0 and mom1 > 0 and close > stupind) and defulttraderule
if (longConditiondefault)
    strategy.entry("DefLong", strategy.long)

shortConditiondefault = ta.crossunder(chandeMO, cmosignal) and (mom0 < 0 and mom1 < 0 and close < stdownind) and defulttraderule
if (shortConditiondefault)
    strategy.entry("DefShort", strategy.short)
    
longCondition = ta.crossover(chandeMO, cmosignal) and (mom0 > 0 and mom1 > 0 and close > stupind) and useTEC
if (longCondition)
    strategy.entry("AdjLong", strategy.long)

shortCondition = ta.crossunder(chandeMO, cmosignal) and (mom0 < 0 and mom1 < 0 and close < stdownind) and useTEC
if (shortCondition)
    strategy.entry("AdjShort", strategy.short)
plot(strategy.equity)
plot(smaslowequity, color=color.new(color.red, 0))
plot(smafastequity, color=color.new(color.green, 0))

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