Esta estrategia se opera basándose en patrones de precios que forman los mismos niveles altos/bajos.
La lógica es:
Identificar la barra alta/baja actual o anterior igual a la alta/baja 2 barras antes
El patrón de doble fondo desencadena el largo en la breakout baja
El patrón doble de arriba desencadena corto en alta ruptura
Las pérdidas de detención se colocan cerca del nivel de ruptura, se obtienen ganancias basadas en el múltiplo ATR
Su objetivo es capitalizar la reanudación de la tendencia después de romper los mismos niveles altos/bajos.
El mismo alto/bajo fácil de identificar, señales claras de fuga
Las tendencias de las ganancias basadas en ATR siguen dinámicamente
Reglas simples, riesgo definido
Los mismos patrones alto/bajo menos frecuentes
Se detiene demasiado cerca, se arriesga a ser detenido
La configuración del parámetro ATR necesita atención
Esta estrategia captura las operaciones de tendencia desde las mismas breakouts alto/bajo, pero el ajuste stop/profit y la frecuencia más baja requieren consideración.
/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 10m
basePeriod: 1m
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/
// © cherepanovvsb
//@version=5
strategy("SHL", overlay=true, margin_long=100, margin_short=100,initial_capital=100,default_qty_type = strategy.cash,default_qty_value =40,commission_type = strategy.commission.percent,commission_value =0.04,currency="EUR", process_orders_on_close=true)
atr = input.int(title="ATR length for abnormal candles", defval=5)
plotshape(low == low[1], style=shape.triangleup, location=location.belowbar, color=color.blue, title="1 Setup")
plotshape(high==high[1], style=shape.triangledown, location=location.abovebar, color=color.blue, title="1 Setup")
plotshape(low == low[1] and low[1]==low[2], style=shape.triangleup, location=location.belowbar, color=color.red, title="Triple Setup")
plotshape(low==high[1] or low==high[2] or low==high[3] or low==high[4] or low==high[5] or low==high[6], style=shape.triangleup, location=location.belowbar, color=color.green, title="Mirror Setup")
plotshape(high==low[1] or high==low[2] or high==low[3] or high==low[4] or high==low[5] or high==low[6], style=shape.triangledown, location=location.abovebar, color=color.green, title="Mirror Setup")
barcolor(high-low>2*ta.atr(atr)? color.yellow:na)
ATRlenght = input.int(title="ATR length for take profit", defval=14, group="Strategy Settings")
rewardMultiplier= input.int(title="ATR multiplier", defval=5, group="Strategy Settings")
// Get ATR
atr1 = ta.atr(ATRlenght)
validlow = low[1] == low[2] and not na(atr1)
validhigh = high[1]==high[2] and not na(atr1)
validlong = validlow and strategy.position_size == 0 and low[1]<low
validshort = validhigh and strategy.position_size == 0 and high[1]>high
// Calculate Entrance, SL/TP
longStopPrice = low[1]-syminfo.mintick
longStopDistance = close - longStopPrice
longTargetPrice = close + (longStopDistance * rewardMultiplier)
shortStopPrice = high[1]+syminfo.mintick
shortStopDistance = shortStopPrice - close
shortTargetPrice = close - (shortStopDistance * rewardMultiplier)
var tradeStopPrice = 0.0
var tradeTargetPrice = 0.0
if validlong
tradeStopPrice := longStopPrice
tradeTargetPrice := longTargetPrice
if validshort
tradeStopPrice := shortStopPrice
tradeTargetPrice := shortTargetPrice
strategy.entry ("Long", strategy.long,1, when=validlong)
strategy.entry ("Short", strategy.short,1, when=validshort)
strategy.exit(id="Long Exit", from_entry="Long", limit=tradeTargetPrice, stop=tradeStopPrice, when=strategy.position_size > 0)
strategy.exit(id="Short Exit", from_entry="Short", limit=tradeTargetPrice, stop=tradeStopPrice, when=strategy.position_size < 0)
plot(strategy.position_size != 0 or validlong or validshort ? tradeStopPrice : na, title="Trade Stop Price", color=color.red, style=plot.style_linebr, transp=0)
plot(strategy.position_size != 0 or validlong or validshort ? tradeTargetPrice : na, title="Trade Target Price", color=color.green, style=plot.style_linebr, transp=0)