Esta estrategia se llama
La lógica específica es:
Calcular el rango de los precios más altos y más bajos durante un determinado período como señal de entrada.
Después de la entrada, se utiliza inicialmente una parada ATR más apretada, fijada en 1,5 veces el valor ATR, para limitar las pérdidas posteriores a la entrada.
Durante el mantenimiento del comercio, el stop se cambia a un looser 4 veces ATR. El stop mantiene los precios a la zaga, pero permite más espacio para que las tendencias se extiendan.
El nivel de parada siempre sigue el precio más bajo (transacción larga) o el precio más alto (transacción corta) y se ajusta a las fluctuaciones de precios, logrando un efecto de parada posterior.
Cuando el precio cae por debajo del nivel de stop (largo) o se eleva por encima de él (corto), se activa el stop loss.
La ventaja de esta estrategia es el uso de un mecanismo de stop loss adaptativo para garantizar el control del riesgo y evitar los stop out prematuros.
En conclusión, las paradas dinámicas son medios importantes para mejorar la rentabilidad. La aplicación flexible del stop loss puede mantener mejor las ganancias de tendencia y controlar los riesgos.
/*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("ATR trailing SL tight to slack [Takazudo]",
overlay=true,
default_qty_type=strategy.fixed,
initial_capital=0,
currency=currency.USD)
posSize = strategy.position_size
hasNoPos = posSize == 0
hasLongPos = posSize > 0
hasShortPos = posSize < 0
//============================================================================
// consts, inputs
//============================================================================
// colors
var COLOR_SL_LINE = color.new(#e0f64d, 20)
var COLOR_SL_LINE_THIN = color.new(#e0f64d, 90)
var COLOR_ENTRY_BAND = color.new(#43A6F5, 30)
var COLOR_TRANSPARENT = color.new(#000000, 100)
// Entry strategy
_g1 = 'Entry strategy'
var config_entryBandBars = input(defval = 100, title = "Entry band bar count", minval=1, group=_g1)
_g2 = 'ATR SL'
var config_slAtr_length = input(24, title = "Trailing stop ATR Length", group=_g2)
var config_slAtr_multi1 = input(1.5, title = "Trailing stop ATR Multiple on tight", type=input.float, step=0.1, group=_g2)
var config_slAtr_multi2 = input(4, title = "Trailing stop ATR Multiple on slack", type=input.float, step=0.1, group=_g2)
_g3 = 'Backtesting range'
var config_fromYear = input(defval = 2016, title = "From Year", minval = 1970, group=_g3)
var config_fromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12, group=_g3)
var config_fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31, group=_g3)
var config_toYear = input(defval = 2021, title = "To Year", minval = 1970, group=_g3)
var config_toMonth = input(defval = 4, title = "To Month", minval = 1, maxval = 12, group=_g3)
var config_toDay = input(defval = 5, title = "To Day", minval = 1, maxval = 31, group=_g3)
//============================================================================
// Range Edge calculation
//============================================================================
f_calcEntryBand_high() =>
_highest = max(open[3], close[3])
for i = 4 to (config_entryBandBars - 1)
_highest := max(_highest, open[i], close[i])
_highest
f_calcEntryBand_low() =>
_lowest = min(open[3], close[3])
for i = 4 to (config_entryBandBars - 1)
_lowest := min(_lowest, open[i], close[i])
_lowest
entryBand_high = f_calcEntryBand_high()
entryBand_low = f_calcEntryBand_low()
entryBand_height = entryBand_high - entryBand_low
plot(entryBand_high, color=COLOR_ENTRY_BAND, linewidth=1)
plot(entryBand_low, color=COLOR_ENTRY_BAND, linewidth=1)
rangeBreakDetected_long = entryBand_high < close
rangeBreakDetected_short = entryBand_low > close
shouldMakeEntryLong = (strategy.position_size == 0) and rangeBreakDetected_long
shouldMakeEntryShort = (strategy.position_size == 0) and rangeBreakDetected_short
//============================================================================
// ATR based stuff
//============================================================================
sl_atrHeight_tight = atr(config_slAtr_length) * config_slAtr_multi1
sl_atrHeight_slack = atr(config_slAtr_length) * config_slAtr_multi2
sl_tight_bull = min(open, close) - sl_atrHeight_tight
sl_tight_bear = max(open, close) + sl_atrHeight_tight
sl_slack_bull = min(open, close) - sl_atrHeight_slack
sl_slack_bear = max(open, close) + sl_atrHeight_slack
plot(sl_tight_bull, color=COLOR_SL_LINE_THIN, transp=0, linewidth=1)
plot(sl_tight_bear, color=COLOR_SL_LINE_THIN, transp=0, linewidth=1)
plot(sl_slack_bull, color=COLOR_SL_LINE_THIN, transp=0, linewidth=1)
plot(sl_slack_bear, color=COLOR_SL_LINE_THIN, transp=0, linewidth=1)
//============================================================================
// Sl
//============================================================================
var trailingSl_long = hl2
var trailingSl_short = hl2
trailingSl_long := if hasLongPos
max(trailingSl_long, sl_slack_bull)
else
sl_tight_bull
trailingSl_short := if hasShortPos
min(trailingSl_short, sl_slack_bear)
else
sl_tight_bear
color_sl_long = hasLongPos ? COLOR_SL_LINE : COLOR_TRANSPARENT
color_sl_short = hasShortPos ? COLOR_SL_LINE : COLOR_TRANSPARENT
plot(trailingSl_long, color=color_sl_long, transp=0, linewidth=2)
plot(trailingSl_short, color=color_sl_short, transp=0, linewidth=2)
//============================================================================
// make entries
//============================================================================
// Calculate start/end date and time condition
startDate = timestamp(config_fromYear, config_fromMonth, config_fromDay, 00, 00)
finishDate = timestamp(config_toYear, config_toMonth, config_toDay, 00, 00)
if (true)
if shouldMakeEntryLong
strategy.entry(id="Long", long=true, stop=close)
if shouldMakeEntryShort
strategy.entry(id="Short", long=false, stop=close)
strategy.exit('Long-SL/TP', 'Long', stop=trailingSl_long)
strategy.exit('Short-SL/TP', 'Short', stop=trailingSl_short)