Estrategia de seguimiento de tendencias basada en ATR y CCI

Fecha de creación: 2023-09-26 16:08:37 Última modificación: 2023-09-26 16:08:37

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Descripción general

La estrategia identifica tendencias de precios mediante la combinación de un indicador de fluctuación real promedio (ATR) y un indicador de canal de mercancías (CCI) y utiliza las zonas de sobreventa y sobrecompra como señales de entrada y salida. El ATR se utiliza para calcular el ascenso y descenso de los canales, mientras que el CCI se utiliza para determinar la dirección de la tendencia.

Principio de estrategia

Calcular el ATR, aquí se elige el ATR de 2 ciclos
Para calcular el valor de CCI, aquí se seleccionan 10 períodos
La dirección de la tendencia en función del CCI de la línea K actual
- CCI >= 0, Defines as Uptrend
- CCI < 0, Defines as Downtrend
Cálculo de la subida y bajada de la vía
- El precio más alto + ATR * Multiplier
- Baja línea = precio mínimo - ATR * Multiplier
Conservación y actualización de las vías ascendentes y descendentes en diferentes direcciones de tendencia
- Cuando CCI >= 0, se reasigna si la vía superior es < la vía superior de la línea K anterior; cuando CCI < 0, se reasigna si la vía inferior es > la vía inferior de la línea K anterior
- Esto evita que el canal se mueva al revés con el precio.
Entra en la vía superior o inferior como señal de entrada según el valor de CCI
Según el CCI, el cruce del eje 0 como señal de salida
Configuración de la parada de pérdidas de salida

Ventajas estratégicas

La estrategia combina el conocimiento de tendencias y la ruptura de canales para un seguimiento eficaz de las tendencias.

Utiliza el CCI para determinar la dirección de la tendencia de los precios, para determinar rápidamente la tendencia de la sobrecarga
El ATR tiene un bloqueo de pérdidas para controlar el riesgo
Cuando los precios se invierten, las vías ascendentes y descendentes pueden ajustar rápidamente su dirección para evitar quedarse atrapados en el canal de la tendencia original.
El cruce del eje 0 del CCI sirve como señal de salida para seguir la tendencia y evitar el daño de la reversión

Riesgo y optimización de la estrategia

La configuración de los parámetros de CCI y ATR necesita optimización, y el efecto puede variar considerablemente según el ciclo y los parámetros
Si bien se puede evitar el estancamiento mediante un ajuste de canales, es posible que se produzcan beneficios insuficientes o pérdidas si se produce un cambio drástico
La configuración del punto de parada debe ser optimizada, con un margen de pérdidas adecuadamente ampliado, para evitar una parada demasiado frecuente.
Se puede combinar con otros indicadores para filtrar la señal de entrada y optimizar las oportunidades de entrada
Se puede evitar el comercio inverso mediante la combinación con indicadores de tendencia de ciclo más alto

Resumir

La estrategia en general es una estrategia de seguimiento de tendencias simple y práctica. La ventaja es que la idea es clara, fácil de implementar y se puede aprovechar rápidamente las oportunidades de tendencia. Pero la configuración de los parámetros, el límite de pérdida, etc. requieren un ajuste optimizado según las condiciones del mercado.

Código Fuente de la Estrategia

/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Trend Trader Karan",overlay=true)
res = input(title="Resolution", type=input.resolution, defval="60",confirm = true)

ProfitPerc = input(title=" Take Profit (%)",type=input.float, minval=0.0, step=0.1, defval=1.4) * 0.01

stoploss = input(title=" Stop Loss (%)",type=input.float, minval=0.0, step=0.1, defval=0.7) * 0.01

CCI = input(10,title = "CCI")
ATR = input(2,title = "ATR")
Multiplier= 1
original = false
thisCCI = cci(close, CCI)
lastCCI = nz(thisCCI[1])


calcx()=> 
    bufferDn= high + Multiplier * wma(tr,ATR)
    bufferUp= low - Multiplier * wma(tr,ATR)
    if (thisCCI >= 0 and lastCCI < 0) 
        bufferUp := bufferDn[1]
    if (thisCCI <= 0 and lastCCI > 0) 
        bufferDn := bufferUp[1]

    if (thisCCI >= 0)
        if (bufferUp < bufferUp[1])
            bufferUp := bufferUp[1]
    else
        if (thisCCI <= 0)
            if (bufferDn > bufferDn[1])
                bufferDn := bufferDn[1]

   
    x = 0.0
    x := thisCCI >= 0 ?bufferUp:thisCCI <= 0 ?bufferDn:x[1]
    x

tempx = calcx()

calcswap() =>
    swap = 0.0
    swap := tempx>tempx[1]?1:tempx<tempx[1]?-1:swap[1]
    swap

tempswap = calcswap()

swap2=tempswap==1?color.green:color.red
swap3=thisCCI >=0 ?color.green :color.red
swap4=original?swap3:swap2

//display current timeframe's Trend



plot(tempx,color=swap4 == color.green ? color.green : swap4,transp=0,linewidth=4)


htfx = security(syminfo.tickerid,res,tempx[1],lookahead = barmerge.lookahead_on)
htfswap4 = security(syminfo.tickerid,res,swap4[1],lookahead = barmerge.lookahead_on)

plot(htfx,color=htfswap4,transp=0,linewidth=3)


//plotarrow( ? 1 : swap4[1] == color.yellow and swap4 == color.blue ? -1 :0 , title="Up Entry Arrow", colorup=color.green,colordown = color.blue, maxheight=10, minheight=10, transp=0)

plotshape( swap4[1] == color.red and swap4 == color.green ? 1 : na , style = shape.triangleup , color = color.blue , location = location.belowbar , size = size.tiny )
plotshape( swap4[1] == color.green and swap4 == color.red ? 1 : na , style = shape.triangledown , color = color.red , location = location.abovebar , size = size.tiny)




buy =  swap4[1] == color.red and swap4 == color.green and htfswap4 == color.green

sell =  swap4[1] == color.green and swap4 == color.red and htfswap4 == color.red


if(buy)
    strategy.entry("buy",true)
    
if(sell)
    strategy.entry("sell",false)
    
if(swap4[1] == color.red and swap4 == color.green)
    strategy.close("sell")
    
if(swap4[1] == color.green and swap4 == color.red )
    strategy.close("buy")
    
    
longExitPrice  = strategy.position_avg_price * (1 + ProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - ProfitPerc)

stop_buy = strategy.position_avg_price * (1 - stoploss)
stop_sell = strategy.position_avg_price * (1 + stoploss)
    
    
if (strategy.position_size > 0)
    strategy.exit(id="Target", limit=longExitPrice , stop = stop_buy)

if (strategy.position_size < 0)
    strategy.exit(id="Target", limit=shortExitPrice , stop = stop_sell)
    
    
///////////////study("EMA ", overlay=true)
plot(ema(close, 200), color=#FF7000, linewidth=2, title='200 Day EMA')
plot(ema(close, 20), color=#0088FA, linewidth=2, title='20 Day EMA')
plot(ema(close, 50), color=#FA00D0, linewidth=2, title='50 Day EMA')


//////////////////study("Trend Lines+++", overlay=true)
//
src = input(low)
len0 = input(100)

calcSlope(src, len0) =>
    if not barstate.islast
        [float(na), float(na), float(na)]
    else
        sumX = 0.0
        sumY = 0.0
        sumXSqr = 0.0
        sumXY = 0.0
        for i = 0 to len0 - 1
            val = src[i]
            per = i + 1.0
            sumX := sumX + per
            sumY := sumY + val
            sumXSqr := sumXSqr + per * per
            sumXY := sumXY + val * per
        slope = (len0 * sumXY - sumX * sumY) / (len0 * sumXSqr - sumX * sumX)
        average = sumY / len0
        intercept = average - slope * sumX / len0 + slope
        [slope, average, intercept]

[s, a, i] = calcSlope(src, len0)

startPrice = i + s * (len0 - 1)
endPrice = i
// var line baseLine = na
// if na(baseLine)
//     baseLine := line.new(bar_index - len0 + 1, startPrice, bar_index, endPrice, width=4, extend=extend.right)
// else
//     line.set_xy1(baseLine, bar_index - len0 + 1, startPrice)
//     line.set_xy2(baseLine, bar_index, endPrice)
//     na 
//

mx = input(100, "Range", minval=1)
mn = max(2, round(mx / 10) + 1)

LN(B, CLR) =>
    s1 = B == 1 ? highest(src, mx) : lowest(src, mx)
    s2 = B == 1 ? highest(src, mn) : lowest(src, mn)
    c1 = s1 == src
    c2 = s2 == src
    b1 = barssince(c1)
    b2 = barssince(c2)
    v1 = valuewhen(c1, s1, 0)
    v2 = valuewhen(c2, s2, 0)
    // line.new(bar_index - b1, v1, bar_index - b2, v2, extend=extend.both, color=CLR, width=2)

// L1 = LN(1, #ff0088), line.delete(L1[1])
// L2 = LN(0, #00ff88), line.delete(L2[1])
//
// Input variables
len=input(30,title="loockback length pivots")
wicks=input(true,title="Draw lines from wicks (checked) or real bodies (unchecked)?")
disp_select=input(true,title="Display only falling 'high' and rising 'low' trendlines?")
do_mono=input(false,title="checked = monochrome lines, unchecked = direction colored lines?")
limit_extension=input(0,title="Limit extensions of the lines? 0 = infinite, other values x 100 bars",minval=0)
do_alerts=input(true,title="show trendline breaks")
trendline_nr=input(5,title="number of past trendlines to check for breaks (max = 10)",minval=0,maxval=10)
select_breaks=input(true,title="only display 'long' breaks on trendlines connecting 'highs' and 'short' for 'lows'")
log_chart=input(false,title="USING A LOG CHART? MAKE SURE TO CHECK THIS BOX!!")


// Calculating the 'time value' of one bar
bar_time=time-time[1]

// Initialising color scheme
var color color_rising=do_mono?color.teal:color.lime
var color color_falling=do_mono?color.teal:color.fuchsia


/////// Function declarations ///////

// Declaration of trendline function
f_trendline(_input_function,_delay,_only_up,_extend) =>
    // Calculate line coordinates (Ax,Ay) - (Bx,By)
    var int Ax = 0
    var int Bx = 0
    var float By = 0.0
    var float slope = 0.0
    Ay = fixnan(_input_function)
    if change(Ay)!=0
        Ax := time[_delay]
        By:= Ay[1]
        Bx := Ax[1]
        slope:=log_chart?((log(Ay)-log(By))/(Ax-Bx)):((Ay-By)/(Ax-Bx))
    else
        Ax := Ax[1]
        Bx := Bx[1]
        By := By[1]
    // Draw trendlines
    var line trendline=na
    var int Axbis=0
    var float Aybis=0.0
    var bool _xtend=true
    extension_time = limit_extension*bar_time*100
    Axbis := Ax + extension_time
    Aybis := log_chart?(Ay*exp(extension_time*slope)):(Ay + extension_time*slope)
    if limit_extension!=0
        _xtend:=false
    if change(Ay)!=0
        line_color = slope*time<0?(_only_up?(disp_select?na:color_rising):color_rising):(_only_up?color_falling:(disp_select?na:color_falling))
        if not na(line_color)
            trendline = line.new(Bx,By,Axbis, Aybis, xloc.bar_time, extend=_xtend?extend.right:extend.none, color=line_color, style=line.style_dotted, width=1)

    [Bx,By,Axbis,Aybis,slope]

// Function to get trendline price for X bars ago ("0" = current value)
line_get_price(_start_time,_start_price,_slope,_lookback_period,_log_chart) =>
    var float current_price=0.0
    elapsed_time = (time-_start_time)
    current_price := _log_chart?(_start_price*exp((elapsed_time-(_lookback_period*bar_time))*_slope)):(_start_price + (elapsed_time-(_lookback_period*bar_time))*_slope)

// Function to check for trendline crosses
line_cross(_check_value,_start_time,_start_price,_slope,_log_chart) =>
    var float current_value=0.0
    var float previous_value=0.0
    // Get current and previous price for the trendline
    current_value := line_get_price(_start_time,_start_price,_slope,0,_log_chart)
    previous_value := line_get_price(_start_time,_start_price,_slope,1,_log_chart)
    // Return 1 for crossover, -1 for crossunder and 0 for no cross detected
    cross =
     _check_value[1]<previous_value and _check_value>current_value?1:
     _check_value[1]>previous_value and _check_value<current_value?-1:0


/////// Start of main script ///////

// Calculate pivot points    
high_point=pivothigh(wicks?high:(close>open?close:open),len,len/2)
low_point=pivotlow(wicks?low:(close>open?open:close),len,len/2)

// Call trendline function for high and low pivot points
[phx1,phy1,phx2,phy2,slope_high]=f_trendline(high_point,len/2,false,true)
[plx1,ply1,plx2,ply2,slope_low]=f_trendline(low_point,len/2,true,true)

// Initialition of pseudo array to keep track of last 10 high and 10 low trendline values
var int high_x0=0, var float high_y0=0.0, var float high_sl0=0.0
var int high_x1=0, var float high_y1=0.0, var float high_sl1=0.0 
var int high_x2=0, var float high_y2=0.0, var float high_sl2=0.0 
var int high_x3=0, var float high_y3=0.0, var float high_sl3=0.0 
var int high_x4=0, var float high_y4=0.0, var float high_sl4=0.0
var int high_x5=0, var float high_y5=0.0, var float high_sl5=0.0
var int high_x6=0, var float high_y6=0.0, var float high_sl6=0.0
var int high_x7=0, var float high_y7=0.0, var float high_sl7=0.0
var int high_x8=0, var float high_y8=0.0, var float high_sl8=0.0
var int high_x9=0, var float high_y9=0.0, var float high_sl9=0.0

var int low_x0=0,  var float low_y0=0.0,  var float low_sl0=0.0
var int low_x1=0,  var float low_y1=0.0,  var float low_sl1=0.0 
var int low_x2=0,  var float low_y2=0.0,  var float low_sl2=0.0 
var int low_x3=0,  var float low_y3=0.0,  var float low_sl3=0.0 
var int low_x4=0,  var float low_y4=0.0,  var float low_sl4=0.0
var int low_x5=0,  var float low_y5=0.0,  var float low_sl5=0.0
var int low_x6=0,  var float low_y6=0.0,  var float low_sl6=0.0
var int low_x7=0,  var float low_y7=0.0,  var float low_sl7=0.0
var int low_x8=0,  var float low_y8=0.0,  var float low_sl8=0.0
var int low_x9=0,  var float low_y9=0.0,  var float low_sl9=0.0

// If a new trendline is formed, shift all values in the array one place up and forget the last values
if change(fixnan(high_point))!=0
    high_x9:=high_x8, high_y9:=high_y8, high_sl9:=high_sl8
    high_x8:=high_x7, high_y8:=high_y7, high_sl8:=high_sl7
    high_x7:=high_x6, high_y7:=high_y6, high_sl7:=high_sl6
    high_x6:=high_x5, high_y6:=high_y5, high_sl6:=high_sl5
    high_x5:=high_x4, high_y5:=high_y4, high_sl5:=high_sl4
    high_x4:=high_x3, high_y4:=high_y3, high_sl4:=high_sl3
    high_x3:=high_x2, high_y3:=high_y2, high_sl3:=high_sl2
    high_x2:=high_x1, high_y2:=high_y1, high_sl2:=high_sl1
    high_x1:=high_x0, high_y1:=high_y0, high_sl1:=high_sl0
    high_x0:=phx1, high_y0:=phy1, high_sl0:=slope_high
if change(fixnan(low_point))!=0
    low_x9:=low_x8, low_y9:=low_y8, low_sl9:=low_sl8
    low_x8:=low_x7, low_y8:=low_y7, low_sl8:=low_sl7
    low_x7:=low_x6, low_y7:=low_y6, low_sl7:=low_sl6
    low_x6:=low_x5, low_y6:=low_y5, low_sl6:=low_sl5
    low_x5:=low_x4, low_y5:=low_y4, low_sl5:=low_sl4
    low_x4:=low_x3, low_y4:=low_y3, low_sl4:=low_sl3
    low_x3:=low_x2, low_y3:=low_y2, low_sl3:=low_sl2
    low_x2:=low_x1, low_y2:=low_y1, low_sl2:=low_sl1
    low_x1:=low_x0, low_y1:=low_y0, low_sl1:=low_sl0
    low_x0:=plx1, low_y0:=ply1, low_sl0:=slope_low
    
// Check Trendline crosses for last X nr. of trendlines
cross_high0=
 disp_select and high_sl0*time>0?0:
  line_cross(close,high_x0,high_y0,high_sl0,log_chart)
cross_low0=
 disp_select and low_sl0*time<0?0:
  line_cross(close,low_x0,low_y0,low_sl0,log_chart)

cross_high1=
 disp_select and high_sl1*time>0?0:
  line_cross(close,high_x1,high_y1,high_sl1,log_chart)
cross_low1=
 disp_select and low_sl1*time<0?0:
  line_cross(close,low_x1,low_y1,low_sl1,log_chart)

cross_high2=
 disp_select and high_sl2*time>0?0:
  line_cross(close,high_x2,high_y2,high_sl2,log_chart)
cross_low2=
 disp_select and low_sl2*time<0?0:
  line_cross(close,low_x2,low_y2,low_sl2,log_chart)

cross_high3=
 disp_select and high_sl3*time>0?0:
  line_cross(close,high_x3,high_y3,high_sl3,log_chart)
cross_low3=
 disp_select and low_sl3*time<0?0:
  line_cross(close,low_x3,low_y3,low_sl3,log_chart)

cross_high4=
 disp_select and high_sl4*time>0?0:
  line_cross(close,high_x4,high_y4,high_sl4,log_chart)
cross_low4=
 disp_select and low_sl4*time<0?0:
  line_cross(close,low_x4,low_y4,low_sl4,log_chart)

cross_high5=
 disp_select and high_sl5*time>0?0:
  line_cross(close,high_x5,high_y5,high_sl5,log_chart)
cross_low5=
 disp_select and low_sl5*time<0?0:
  line_cross(close,low_x5,low_y5,low_sl5,log_chart)

cross_high6=
 disp_select and high_sl6*time>0?0:
  line_cross(close,high_x6,high_y6,high_sl6,log_chart)
cross_low6=
 disp_select and low_sl6*time<0?0:
  line_cross(close,low_x6,low_y6,low_sl6,log_chart)

cross_high7=
 disp_select and high_sl7*time>0?0:
  line_cross(close,high_x7,high_y7,high_sl7,log_chart)
cross_low7=
 disp_select and low_sl7*time<0?0:
  line_cross(close,low_x7,low_y7,low_sl7,log_chart)

cross_high8=
 disp_select and high_sl8*time>0?0:
  line_cross(close,high_x8,high_y8,high_sl8,log_chart)
cross_low8=
 disp_select and low_sl8*time<0?0:
  line_cross(close,low_x8,low_y8,low_sl8,log_chart)

cross_high9=
 disp_select and high_sl9*time>0?0:
  line_cross(close,high_x9,high_y9,high_sl9,log_chart)
cross_low9=
 disp_select and low_sl9*time<0?0:
  line_cross(close,low_x9,low_y9,low_sl9,log_chart)
  
long_break=
 (trendline_nr>9?cross_high9==1 or (select_breaks?false:cross_low9==1):false) or
 (trendline_nr>8?cross_high8==1 or (select_breaks?false:cross_low8==1):false) or
 (trendline_nr>7?cross_high7==1 or (select_breaks?false:cross_low7==1):false) or
 (trendline_nr>6?cross_high6==1 or (select_breaks?false:cross_low6==1):false) or
 (trendline_nr>5?cross_high5==1 or (select_breaks?false:cross_low5==1):false) or
 (trendline_nr>4?cross_high4==1 or (select_breaks?false:cross_low4==1):false) or
 (trendline_nr>3?cross_high3==1 or (select_breaks?false:cross_low3==1):false) or
 (trendline_nr>2?cross_high2==1 or (select_breaks?false:cross_low2==1):false) or
 (trendline_nr>1?cross_high1==1 or (select_breaks?false:cross_low1==1):false) or
 cross_high0==1 or (select_breaks?false:cross_low0==1)

short_break=
 (trendline_nr>9?(select_breaks?false:cross_high9==-1) or cross_low9==-1:false) or
 (trendline_nr>8?(select_breaks?false:cross_high8==-1) or cross_low8==-1:false) or
 (trendline_nr>7?(select_breaks?false:cross_high7==-1) or cross_low7==-1:false) or
 (trendline_nr>6?(select_breaks?false:cross_high6==-1) or cross_low6==-1:false) or
 (trendline_nr>5?(select_breaks?false:cross_high5==-1) or cross_low5==-1:false) or
 (trendline_nr>4?(select_breaks?false:cross_high4==-1) or cross_low4==-1:false) or
 (trendline_nr>3?(select_breaks?false:cross_high3==-1) or cross_low3==-1:false) or
 (trendline_nr>2?(select_breaks?false:cross_high2==-1) or cross_low2==-1:false) or
 (trendline_nr>1?(select_breaks?false:cross_high1==-1) or cross_low1==-1:false) or
 (select_breaks?false:cross_high0==-1) or cross_low0==-1

// Plot and connect pivot points
color_high=slope_high*time<0?color_rising:(disp_select?na:color_falling)
color_low=slope_low*time>0?color_falling:(disp_select?na:color_rising)
plot(high_point,color=color_high,offset=-len/2)
plot(low_point,color=color_low,offset=-len/2)
//
// Function outputs 1 when it's the first bar of the D/W/M/Y
is_newbar(res) =>
    ch = 0
    if(res == 'Y')
        t  = year(time('D'))
        ch := change(t) != 0 ? 1 : 0
    else
        t = time(res)
        ch := change(t) != 0 ? 1 : 0
    ch

////////////
// INPUTS //
////////////

pp_period = input(title = "Period", type=input.string, defval="Day", options = ['Day', 'Week', 'Month', 'Year'])

pp_res = pp_period == 'Day' ? 'D' : pp_period == 'Week' ? 'W' : pp_period == 'Month' ? 'M' : 'Y' 

/////////////////////
// Get HLC from HT //

// Calc High
high_cur = 0.0
high_cur := is_newbar(pp_res) ? high : max(high_cur[1], high)

phigh = 0.0
phigh := is_newbar(pp_res) ? high_cur[1] : phigh[1]

// Calc Low
low_cur = 0.0
low_cur := is_newbar(pp_res) ? low : min(low_cur[1], low)

plow = 0.0
plow := is_newbar(pp_res) ? low_cur[1] : plow[1]

// Calc Close
pclose = 0.0
pclose := is_newbar(pp_res) ? close[1] : pclose[1]

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