Especulación del Golfo: Seguir la tendencia basándose en la estrategia SAR

El autor:¿ Qué pasa?, Fecha: 2023-11-23 16:26:17
Las etiquetas:

Resumen general

La estrategia del Golfo de la Especulación es una estrategia de trading cuantitativa que rastrea tendencias. Utiliza la curva parabólica SAR como la principal señal de trading, con filtros adicionales EMA, Squeeze Momentum y Volatility Oscillator para identificar puntos de reversión de tendencia con parámetros SAR, y lograr un seguimiento de tendencias de bajo riesgo.

Estrategia lógica

La estrategia utiliza el SAR parabólico como el indicador principal de señal de trading. SAR puede determinar con eficacia los puntos de inversión de tendencia del precio. Cuando el signo SAR cambia, significa que la tendencia se ha invertido. Esta estrategia generalmente genera señales de compra o venta cuando el SAR se vuelve.

Además, la estrategia también proporciona una opción de ruptura SAR, generando señales cuando el precio rompe el último valor SAR antes de que SAR cambie completamente.

Para filtrar las señales falsas, la estrategia también introduce la EMA, el Momentum de compresión y el Oscilador de volatilidad como tres filtros auxiliares, que pueden utilizarse solos o en combinación para confirmar la fiabilidad de las tendencias de precios y las señales de negociación.

Por último, la estrategia proporciona tres tipos de métodos de stop loss: stop loss fijo, take profit fijo y ratio de riesgo-recompensación.

Análisis de ventajas

El SAR puede determinar con precisión las inversiones de tendencia de los precios y capturar oportunamente nuevas tendencias de precios, adecuado para el seguimiento de tendencias a medio y largo plazo.
Los filtros múltiples reducen la probabilidad de errores y mejoran la fiabilidad de la señal.
Configuración simple y flexible, parámetros personalizables para adaptarse a diferentes instrumentos de negociación.
Proporciona múltiples tipos de tomar ganancias y detener pérdidas para equilibrar el riesgo y la recompensa.
Puede conectarse directamente a los robots de trading para el trading automatizado.

Análisis de riesgos

En los mercados sin tendencias, puede haber un aumento de las ocurrencias de señales falsas y operaciones ineficaces.
Los parámetros SAR incorrectos también afectan a la precisión de los juicios de la señal.
Como una tendencia que sigue la estrategia, las fluctuaciones significativas en el mercado pueden llegar fácilmente a la línea de stop loss.

Para abordar los riesgos anteriores, ajuste adecuadamente los parámetros SAR o los parámetros de filtro para reducir la probabilidad de operaciones inválidas.

Direcciones de optimización

Optimización de parámetros SAR. Optimice los parámetros de incremento y paso de SAR a través de datos históricos de pruebas de retroceso para obtener una estrategia comercial más estable y eficiente.
Introduzca indicadores de juicio de tendencia. Agregue indicadores de juicio de tendencia auxiliares como MACD y DMI para mejorar las capacidades de juicio de tendencia.
Optimizar la relación riesgo-rendimiento Ajustar el porcentaje de pérdida fija y la relación riesgo-rendimiento para asumir mayores riesgos para mayores rendimientos.
Soporte para más instrumentos. Actualmente solo se admite criptomonedas, puede ampliarse para soportar instrumentos de negociación de Forex, materias primas y valores.

Conclusión

La estrategia del Golfo de la Especulación es una tendencia muy práctica después de la estrategia cuantitativa. Tiene señales sensibles, juicios confiables y puede lograr retornos constantes a largo plazo a través de la gestión de pérdidas de parada. Con el parámetro adecuado y la optimización de reglas, la eficiencia de la estrategia puede mejorarse aún más. Esta es una estrategia cuantitativa eficiente que vale la pena usar a largo plazo.

/*backtest
start: 2023-10-23 00:00:00
end: 2023-11-22 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//VERSION =================================================================================================================
//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// This strategy is intended to study.
// It can also be used to signal a bot to open a deal by providing the Bot ID, email token and trading pair in the strategy settings screen.
// As currently written, this strategy uses a SAR PARABOLIC to send signal, and EMA, Squeeze Momentum, Volatility Oscilator as filter.
// There are two enter point, when SAR Flips, or Breakout Point - the last SAR Value before it Flips.
// There are tree options for exit: SAR Flips, Fixed Stop Loss ande Fixed Take Profit in % and Risk Reward tha can be set, 0.5/1, 1/1, 1/2 etc.
//Autor M4TR1X_BR

//▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
//STRATEGY ================================================================================================================

strategy(title = 'BT-SAR Ema, Squeeze, Voltatility',
         shorttitle = 'SAR ESV',
         overlay = true)


//▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// INPUTS =================================================================================================================

// TIME INPUTS
usefromDate = input.bool(defval = true, title = 'Start date', inline = '0', group = "Time Filters")
initialDate = input(defval = timestamp('01 Jan 2022 00:00 UTC'), title = '', inline = "0",group = 'Time Filters',tooltip="This start date is in the time zone of the exchange ")
usetoDate = input.bool(defval = true, title = 'End date', inline = '1', group = "Time Filters")
finalDate = input(defval = timestamp('31 Dec 2029 23:59 UTC'), title = '', inline = "1",group = 'Time Filters',tooltip="This end date is in the time zone of the exchange")

// TIME LOGIC 
inTradeWindow = true


// SAR PARABOLIC INPUTS ==================================================================================================
string sargroup=  "SAR PARABOLIC ========================================="
start = input.float(defval=0.02,title='Start',inline='',group = sargroup)
increment = input.float(defval=0.02,title='Increment',inline='',group = sargroup)
maximum = input.float(defval=0.2,title='Maximo',inline='',group = sargroup)

// SAR PARABOLIC LOGIC 
out = ta.sar(start, increment, maximum)


// SAR FLIP OR BREAKOUT OPTIONS
string bkgroup ='SAR TRADE SIGNAL ====================================== '
sarTradeSignal =input.string(defval='SAR Flip',title='SAR Trade Signal', options= ['SAR Flip','SAR Breakout'],group=bkgroup, tooltip='SAR Flip: Once the parabolic SAR flips it will send a signal, SAR Breakout: Will wait the price cross last Sar Value before it flips.')
nBars = input.int(defval=4,title='Bars',group=bkgroup, tooltip ='Define the number of bars for a entry when the price cross breakout point')

float sarBreakoutPoint= ta.valuewhen((close[1] < out[1])  and (close > out),out[1],0)   //Get Sar Breakout Point
bool check = (close[1] < out[1])  and (close > out)                                     //Verify when sar flips
bool BreakoutPrice = sarTradeSignal=='SAR Breakout'? (ta.barssince(check) < nBars) and ((open < sarBreakoutPoint) and (close > sarBreakoutPoint)): (ta.barssince(check) < nBars) and (close > out)
barcolor (check? color.yellow:na,title="Signal Bar color" )


// MOVING AVERAGES INPUTS ================================================================================================
string magroup =  "Moving Average ========================================"
useEma = input.bool(defval = true, title = 'Moving Average Filter',inline='', group= magroup,tooltip='This will enable or disable Exponential Moving Average Filter on Strategy')
emaType=input.string (defval='Ema',title='Type',options=['Ema','Sma'],inline='', group= magroup)
emaSource = input.source(defval=close,title="  Source",inline="", group= magroup)
emaLength = input.int(defval=100,title="Length",minval=0,inline='', group= magroup)

// MOVING AVERAGE LOGIC
float ema = emaType=='Ema'? ta.ema(emaSource,emaLength): ta.sma(emaSource,emaLength)


// VOLATILITY OSCILLATOR =================================================================================================
string vogroup =  "VOLATILITY OSCILLATOR ================================="
useVltFilter=input.bool(defval=true,title="Volatility Oscillator Filter",inline='',group= vogroup,tooltip='This will enable or disable Volatility Oscillator filter on Strategy')
vltFilterLength = input.int(defval=100,title="Volatility Oscillator",inline='',group=vogroup)
vltFilterSpike = close - open
vltFilterX = ta.stdev(vltFilterSpike,vltFilterLength)
vltFilterY = ta.stdev(vltFilterSpike,vltFilterLength) * -1


// SQUEEZE MOMENTUM INPUTS ==============================================================================================
string sqzgroup = "SQUEEZE MOMENTUM =====================================" 
useSqzFilter=input.bool(defval=true,title="Squeeze Momentum Filter",inline='',group= sqzgroup, tooltip='This will enable or disable Squeeze Momentum filter on Strategy')
sqzFilterlength = input.int(defval=20, title='Bollinger Bands Length',inline='',group= sqzgroup)
sqzFiltermult = input.float(defval=2.0, title='Boliinger Bands Mult',inline='',group= sqzgroup)
keltnerLength = input.int(defval=20, title='Keltner Channel Length',inline='',group= sqzgroup)
keltnerMult = input.float(defval=1.5, title='Keltner Channel Mult',inline='',group= sqzgroup)
useTrueRange = input(true, title='Use TrueRange (KC)', inline='',group= sqzgroup)


// CALCULATE BOLLINGER BANDS
sqzFilterSrc = close
basis = ta.sma(sqzFilterSrc, sqzFilterlength)
dev = keltnerMult * ta.stdev(sqzFilterSrc, sqzFilterlength)
upperBB = basis + dev
lowerBB = basis - dev

// CALCULATE KELTNER CHANNEL 
sma = ta.sma(sqzFilterSrc, keltnerLength)
range_1 = useTrueRange ? ta.tr : high - low
rangema = ta.sma(range_1, keltnerLength)
upperKC = sma + rangema * keltnerMult
lowerKC = sma - rangema * keltnerMult


// CHECK IF BOLLINGER BANDS IS IN OR OUT OF KELTNER CHANNEL
sqzOn = lowerBB > lowerKC and upperBB < upperKC
sqzOff = lowerBB < lowerKC and upperBB > upperKC
noSqz = sqzOn == false and sqzOff == false

// SQUEEZE MOMENTUM LOGIC
val = ta.linreg(sqzFilterSrc - math.avg(math.avg(ta.highest(high, keltnerLength), ta.lowest(low, keltnerLength)),ta.sma(close, keltnerLength)), keltnerLength, 0)


// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// TAKE PROFIT STOP LOSS INPUTS =========================================================================================

string tkpgroup='Take Profit =================================================='
tpType = input.string(defval = 'SAR Flip', title='Take Profit and Stop Loss', options=['SAR Flip','Fixed % TP/SL', 'Risk Reward TP/SL'], group=tkpgroup )
longTakeProfitPerc = input.float(defval = 1.5, title = 'Fixed TP %', minval = 0.05, step = 0.5, group=tkpgroup, tooltip = 'The percentage increase to set the take profit price target.')/100

longLossPerc = input.float(defval=1.0, title="Fixed Long SL %", minval=0.1, step=0.5, group = tkpgroup, tooltip = 'The percentage increase to set the Long Stop Loss price target.') * 0.01
//shortLossPerc = input.float(defval=1.5, title="Fixed Short SL (%)", minval=0.1, step=0.5, group = tkpgroup, tooltip = 'The percentage increase to set the Short Stop Loss price target.') * 0.01

longTakeProfitRR = input.float(defval = 1, title = 'Risk Reward TP', minval = 0.25, step = 0.25, group=tkpgroup, tooltip = 'The Risk Reward parameter.')
var plotStopLossRR = input.bool(defval=false, title='Show RR Stop Loss', group=tkpgroup)
//enableStopLossRR = input.bool(defval = false, title = 'Enable Risk Reward TP',group=tkpgroup, tooltip = 'Enable Variable Stop Loss.')

string trpgroup='Traling Profit ==============================================='
enableTrailing = input.bool(defval = false, title = 'Enable Trailing',group=trpgroup, tooltip = 'Enable or disable the trailing for take profit.')
trailingTakeProfitDeviationPerc = input.float(defval = 0.1, title = 'Trailing Take Profit Deviation %', minval = 0.01, maxval = 100, step = 0.01, group=trpgroup, tooltip = 'The step to follow the price when the take profit limit is reached.') / 100


// BOT MESSAGES
string msgroup='Alert Message For Bot ========================================='
messageEntry = input.string("", title="Strategy Entry Message",group=msgroup)
messageExit  =input.string("",title="Strategy Exit Message",group=msgroup)
messageClose = input.string("", title="Strategy Close Message",group=msgroup)

// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// POSITIONS =============================================================================================================

//VERIFY IF THE BUY FILTERS ARE ON OR OFF 
bool emaFilterBuy = useEma? (close > ema):(close >= ema) or (close <= ema)                      
bool volatilityFilterBuy = useVltFilter? (vltFilterSpike > vltFilterX) : (vltFilterSpike >= 0) or (vltFilterSpike <= 0)                  
bool sqzFilterBuy = useSqzFilter? (val > val[1]): (val >= val[1] or val <=val[1])                                      
bool sarflip = (close > out)


//LONG / SHORT POSITIONS LOGIC
//Var 'check' will verify if the SAR flips and if the exit price occurs it will limit in bars number a new entry on the same signal.
bool limitEntryNumbers = (ta.barssince(check) < nBars) 
bool openLongPosition =   sarTradeSignal == 'SAR Flip'? (sarflip and emaFilterBuy and volatilityFilterBuy and sqzFilterBuy and limitEntryNumbers) :sarTradeSignal=='SAR Breakout'? (BreakoutPrice and emaFilterBuy and volatilityFilterBuy and sqzFilterBuy): na
bool openShortPosition = na
bool closeLongPosition= tpType=='SAR Flip'? (close < out):na
bool closeShortPosition=na


// CHEK OPEN POSITONS =====================================================================================================
// open signal when not already into a position
bool validOpenLongPosition = openLongPosition and strategy.opentrades.size(strategy.opentrades - 1) <= 0
bool longIsActive = validOpenLongPosition or strategy.opentrades.size(strategy.opentrades - 1) > 0


// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// TAKE PROFIT STOP LOSS CONFIG ==========================================================================================

// FIXED TAKE PROFIT IN %

float posSize = strategy.opentrades.entry_price(strategy.opentrades - 1) //Get the entry price

var float longTakeProfitPrice = na
longTakeProfitPrice := if (longIsActive)
    if (openLongPosition and not (strategy.opentrades.size(strategy.opentrades - 1) > 0))
        posSize * (1 + longTakeProfitPerc)
    else
        nz(longTakeProfitPrice[1], close * (1 + longTakeProfitPerc))
else
    na

longTrailingTakeProfitStepTicks = longTakeProfitPrice * trailingTakeProfitDeviationPerc / syminfo.mintick

// FIXED STOP LOSS IN %
longStopPrice  = strategy.position_avg_price * (1 - longLossPerc)
//shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)


// TAKE PROFIT BY RISK/REWARD
// Set stop loss
tta = not (strategy.opentrades.size(strategy.opentrades - 1) > 0)
float lastb = ta.valuewhen(check and tta,ta.lowest(low,5),0) - (10 * syminfo.mintick)

// TAKE PROFIT CALCULATION
float stopLossRisk = (posSize - lastb)
float takeProfitRR = posSize + (longTakeProfitRR * stopLossRisk)


// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// POSITION ORDERS =====================================================================================================

// LOGIC ===============================================================================================================
// getting into LONG position
if (openLongPosition) and (inTradeWindow)
    strategy.entry(id = 'Long Entry', direction = strategy.long, alert_message=messageEntry)

//submit exit orders for trailing take profit price 
if (longIsActive) and (inTradeWindow)
    strategy.exit(id = 'Long Take Profit', from_entry = 'Long Entry', limit = enableTrailing ? na : tpType=='Fixed % TP/SL'? longTakeProfitPrice: tpType == 'Risk Reward TP/SL'? takeProfitRR:na, trail_price = enableTrailing ? longTakeProfitPrice : na, trail_offset = enableTrailing ? longTrailingTakeProfitStepTicks : na, stop = tpType =='Fixed % TP/SL' ? longStopPrice: tpType == 'Risk Reward TP/SL'? lastb:na) //, alert_message='{  "action": "close_at_market_price",  "message_type": "bot",  "bot_id": 9330698,  "email_token": "392265bc-84eb-4a54-a99c-758383ff9449",  "delay_seconds": 0,"pair":"USDT_{{ticker}}" }')

if (closeLongPosition)
    strategy.close(id = 'Long Entry', alert_message='{  "action": "close_at_market_price",  "message_type": "bot",  "bot_id": 9330698,  "email_token": "392265bc-84eb-4a54-a99c-758383ff9449",  "delay_seconds": 0,"pair":"USDT_{{ticker}}" }')
                                                   

// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// PLOTS ===============================================================================================================

// TRADE WINDOW ========================================================================================================
bgcolor(color = inTradeWindow ? color.new(#089981,90):na, title = 'Time Window')


// SAR PARABOLIC
var sarColor = color.new(#00bcd4,0)
plot(out, "ParabolicSAR", color=sarColor, linewidth=1,style=plot.style_cross)


//BREAKOUT LINE
var plotBkPoint = input.bool(defval=false, title='Show Breakout Point', group=bkgroup)
plot(series = (sarTradeSignal=='SAR Breakout' and plotBkPoint == true)? sarBreakoutPoint:na, title = 'Breakout line', color =color.new(#ffeb3b,50) , linewidth = 1, style = plot.style_linebr, offset = 0)


// EMA/SMA 
var emafilterColor = color.new(color.white, 0)
plot(series=useEma? ema:na, title = 'EMA Filter', color = emafilterColor, linewidth = 2, style = plot.style_line)


// ENTRY PRICE
var posColor = color.new(#2962ff, 0)
plot(series = strategy.opentrades.entry_price(strategy.opentrades - 1), title = 'Position', color = posColor, linewidth = 1, style = plot.style_linebr,offset=0)


// FIXED TAKE PROFIT 
var takeProfitColor = color.new(#ba68c8, 0)
plot(series = tpType=='Fixed % TP/SL'? longTakeProfitPrice:na, title = 'Fixed TP', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 0)


// FIXED STOP LOSS
var stopLossColor = color.new(#ff0000, 0)
plot(series = tpType=='Fixed % TP/SL' ? longStopPrice:na, title = 'Fixed SL', color = stopLossColor, linewidth = 1, style = plot.style_linebr, offset = 0)


// RISK REWARD TAKE PROFIT
var takeProfitRRColor = color.new(#ba68c8, 0)
plot(series=tpType == 'Risk Reward TP/SL'? takeProfitRR:na,title='Risk Reward TP',color=takeProfitRRColor,linewidth=1,style=plot.style_linebr)

// STOP LOSS RISK REWARD
plot(series = (check and plotStopLossRR)? lastb:na, title = 'Last Bottom', color =color.new(#ff0000,0), linewidth = 2, style = plot.style_linebr, offset = 0)


// ======================================================================================================================

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