Estrategia de doble avance
El autor:¿ Qué pasa?, Fecha: 2024-01-30 17:27:01Las etiquetas:
Resumen general
Esta es una estrategia de negociación de doble avance basada en la línea K. Generará señales de negociación cuando el precio de cierre de la línea K actual tenga un avance en relación con los precios más altos y más bajos de las dos líneas K anteriores.
Principio de la estrategia
La lógica básica de la estrategia es:
-
Define la señal de toro:
bull = close > open and close > math.max(close[2], open[2]) and low[1] < low[2] and high[1] < high[2]Es decir, el precio de cierre de la línea K actual es mayor que el precio de apertura y mayor que el precio más alto de las dos líneas K anteriores, mientras que el precio más bajo de la línea K actual es menor que el precio más bajo de la línea K anterior. -
Define la señal del oso:
bear = close < open and close < math.min(close[2], open[2]) and low[1] > low[2] and high[1] > high[2]Es decir, el precio de cierre de la línea K actual es menor que el precio de apertura, y menor que el precio más bajo de las dos líneas K anteriores, mientras que el precio más alto de la línea K actual es mayor que el precio más alto de la línea K anterior. -
Cuando se activa una señal alcista, vaya largo; cuando se activa una señal bajista, vaya corto.
-
Se puede establecer el stop loss y el take profit.
La estrategia utiliza las características de las rupturas duales para juzgar los cambios en las tendencias a través de las rupturas de las zonas de precios clave, generando así señales comerciales.
Análisis de ventajas
Esta es una estrategia de ruptura relativamente simple e intuitiva con las siguientes ventajas:
-
La lógica es clara y fácil de entender y de aplicar, con una baja barrera de entrada.
-
Los avances son señales comerciales comunes que tienden a formar tendencias fácilmente.
-
Ir tanto largo como corto permite el comercio bidireccional, aumentando las oportunidades de ganancia.
-
Los ajustes flexibles de stop loss y take profit ayudan a controlar el riesgo.
Análisis de riesgos
La estrategia también conlleva algunos riesgos:
-
El comercio bidireccional conlleva mayores riesgos y requiere una estrecha vigilancia.
-
Las fugas pueden ser vulnerables a las trampas, potencialmente formando señales falsas.
-
La configuración incorrecta de los parámetros puede conducir a un exceso de negociación.
-
Las configuraciones incorrectas de stop loss y take profit también pueden afectar el potencial de ganancia.
Los riesgos pueden reducirse optimizando los parámetros y filtrando adecuadamente los productos.
Direcciones de optimización
La estrategia se puede optimizar en los siguientes aspectos:
-
Optimizar los parámetros como el ciclo de ruptura, el rango de stop loss / take profit, etc.
-
Añadir condiciones de filtrado para evitar errores de arbitraje, movimientos laterales, etc.
-
Incorporar indicadores de tendencia para evitar los intervalos de consolidación.
-
Optimizar la gestión de capital, mejorar los algoritmos de posición.
-
Diferentes parámetros para diferentes productos, prueba y optimiza por separado.
Resumen de las actividades
Esta es una estrategia simple basada en el concepto de doble ruptura. Tiene la ventaja de una lógica clara y una implementación fácil, pero también conlleva ciertos riesgos de monitoreo. Se pueden esperar mejores resultados de la estrategia a través de la optimización de parámetros y condiciones.
/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
// # ========================================================================= #
// # | Strategy |
// # ========================================================================= #
SystemName = "Strategy Template Autoview"
TradeId = "S"
// These values are used both in the strategy() header and in the script's relevant inputs as default values so they match.
// Unless these values match in the script's Inputs and the TV backtesting Properties, results between them cannot be compared.
InitCapital = 1000000
InitPosition = 2
InitCommission = 0.075
InitPyramidMax = 1
CalcOnorderFills = false
ProcessOrdersOnClose = true // display the signals one candle earlier
CalcOnEveryTick = true // forward testing
//CloseEntriesRule = "ANY"
strategy(title=SystemName, shorttitle=SystemName,
overlay=true, pyramiding=InitPyramidMax, initial_capital=InitCapital, default_qty_type=strategy.fixed, process_orders_on_close=ProcessOrdersOnClose,
default_qty_value=InitPosition, commission_type=strategy.commission.percent, commission_value=InitCommission, calc_on_order_fills=CalcOnorderFills,
calc_on_every_tick=CalcOnEveryTick,
precision=6, max_lines_count=500, max_labels_count=500)
// # ========================================================================= #
// # ========================================================================= #
// # || Alerts ||
// # ========================================================================= #
// # ========================================================================= #
show_alerts_debug = input.bool(true, title = "Show Alerts Debug Label?", group = "Debug")
//i_alert_txt_entry_long = input.text_area(defval = "", title = "Long Entry Message", group = "Alerts")
//i_alert_txt_entry_short = input.text_area(defval = "", title = "Short Entry Message", group = "Alerts")
//i_alert_txt_exit_long = input.text_area(defval = "", title = "Long Exit Message", group = "Alerts")
//i_alert_txt_exit_short = input.text_area(defval = "", title = "Short Exit Message", group = "Alerts")
i_broker_mode = input.string("DEMO", title = "Use Demo or Live Broker", options=["DEMO", "LIVE"], group = "Automation")
i_broker_name = input.string("Tradovate", title = "Broker Name", options=["Tradovate", "AscendEX", "Binance", "Binance Futures", "Binance US", "Binance Delivery", "Kraken", "Deribit", "Poloniex", "Okcoin", "Bitfinex", "Oanda", "Kucoin", "Okex", "Bybit", "FTX", "Bitmex", "Alpaca", "Gemini"], group = "Automation")
i_enable_trades = input.bool(true, title = "Enable trades?", group = "Automation", tooltip = "If not enabled, disables live trades, but more importantly, it will output what Autoview is going to do when you go live.")
i_account_name = input.string("*", title = "Account Name", group = "Automation")
i_symbol_name = input.string("btcusd_perp", title = "Symbol Name", group = "Automation")
nb_contracts = input.int(2, title = "Nb Contracts", group = "Automation")
use_delay = input.bool(false, title = "Use Delay between orders", group = "Automation", inline = "delay")
i_delay_qty = input.int(1, title = "Delay in seconds", group = "Automation", inline = "delay")
i_use_borrow_repay = input.bool(false, title = "Use Borrow/Repay Mode?", group = "Binance Automation")
i_asset_borrow_repay = input.string("BTC", title = "Asset to Borrow/Repay", group = "Binance Automation")
i_qty_borrow_repay = input.float(1., title = "Quantity of assets to borrow?", group = "Binance Automation")
// # ========================================================================= #
// # ========================================================================= #
// # || Dates Range Filtering ||
// # ========================================================================= #
// # ========================================================================= #
DateFilter = input(false, "Date Range Filtering", group="Date")
// ————— Syntax coming from https://www.tradingview.com/blog/en/new-parameter-for-date-input-added-to-pine-21812/
i_startTime = input(defval = timestamp("01 Jan 2019 13:30 +0000"), title = "Start Time", group="Date")
i_endTime = input(defval = timestamp("30 Dec 2021 23:30 +0000"), title = "End Time", group="Date")
TradeDateIsAllowed() => true
// # ========================================================================= #
// # | Custom Exits |
// # ========================================================================= #
//use_custom_exit = input.bool(true, title = "Use Custom Exits?", group = "Custom Exits")
// # ========================================================================= #
// # | Stop Loss |
// # ========================================================================= #
use_sl = input.string("None", title = "Select Stop Loss Mode", options=["None", "Percent", "Price"], group = "Stop Loss")
sl_input_perc = input.float(3, minval = 0, title = "Stop Loss (%)", group = "Stop Loss (%)") * 0.01
sl_input_pips = input.float(30, minval = 0, title = "Stop Loss (USD)", group = "Stop Loss (USD)")
// # ========================================================================= #
// # | Take Profit |
// # ========================================================================= #
use_tp = input.string("None", title = "Select Take Profit Mode", options=["None", "Percent", "Price"], group = "Take Profit")
tp_input_perc = input.float(3, minval = 0, title = "Take Profit (%)", group = "Take Profit (%)") * 0.01
tp_input_pips = input.float(30, minval = 0, title = "Take Profit (USD)", group = "Take Profit (USD)")
// # ========================================================================= #
// # | Consolidated Entries |
// # ========================================================================= #
bull = close > open and close > math.max(close[2], open[2]) and low[1] < low[2] and high[1] < high[2] // low < low[1] and low[1] < low[2]
bear = close < open and close < math.min(close[2], open[2]) and low[1] > low[2] and high[1] > high[2] // low < low[1] and low[1] < low[2]
// # ========================================================================= #
// # | Entry Price |
// # ========================================================================= #
entry_long_price = ta.valuewhen(condition=bull and strategy.position_size[1] <= 0, source=close, occurrence=0)
entry_short_price = ta.valuewhen(condition=bear and strategy.position_size[1] >= 0, source=close, occurrence=0)
var float entry_price = 0.
if bull
entry_price := entry_long_price
if bear
entry_price := entry_short_price
// # ========================================================================= #
// # || Global Trend Variables ||
// # ========================================================================= #
T1_sinceUP = ta.barssince(bull)
T1_sinceDN = ta.barssince(bear)
T1_nUP = ta.crossunder(T1_sinceUP,T1_sinceDN)
T1_nDN = ta.crossover(T1_sinceUP,T1_sinceDN)
T1_sinceNUP = ta.barssince(T1_nUP)
T1_sinceNDN = ta.barssince(T1_nDN)
T1_BuyTrend = T1_sinceDN > T1_sinceUP
T1_SellTrend = T1_sinceDN < T1_sinceUP
T1_SellToBuy = T1_BuyTrend and T1_SellTrend[1]
T1_BuyToSell = T1_SellTrend and T1_BuyTrend[1]
T1_ChangeTrend = T1_BuyToSell or T1_SellToBuy
// # ========================================================================= #
// # | Stop Loss |
// # ========================================================================= #
var float final_SL_Long = 0.
var float final_SL_Short = 0.
if use_sl == "Percent"
final_SL_Long := entry_long_price * (1 - sl_input_perc)
final_SL_Short := entry_short_price * (1 + sl_input_perc)
else if use_sl == "Price"
final_SL_Long := entry_long_price - (sl_input_pips)
final_SL_Short := entry_short_price + (sl_input_pips)
plot(strategy.position_size > 0 and use_sl != "None" ? final_SL_Long : na, title = "SL Long", color = color.fuchsia, linewidth=2, style=plot.style_linebr)
plot(strategy.position_size < 0 and use_sl != "None" ? final_SL_Short : na, title = "SL Short", color = color.fuchsia, linewidth=2, style=plot.style_linebr)
// # ========================================================================= #
// # | Take Profit |
// # ========================================================================= #
var float final_TP_Long = 0.
var float final_TP_Short = 0.
if use_tp == "Percent"
final_TP_Long := entry_long_price * (1 + tp_input_perc)
final_TP_Short := entry_short_price * (1 - tp_input_perc)
else if use_tp == "Price"
final_TP_Long := entry_long_price + (tp_input_pips)
final_TP_Short := entry_short_price - (tp_input_pips)
plot(strategy.position_size > 0 and use_tp != "None" ? final_TP_Long : na, title = "TP Long", color = color.orange, linewidth=2, style=plot.style_linebr)
plot(strategy.position_size < 0 and use_tp != "None" ? final_TP_Short : na, title = "TP Short", color = color.orange, linewidth=2, style=plot.style_linebr)
// # ========================================================================= #
// # | AutoView Calls |
// # ========================================================================= #
float quantity = nb_contracts
string product_type_ticker = i_symbol_name
var string broker_mode = ""
if i_broker_mode == "DEMO"
broker_mode := switch i_broker_name
"Tradovate" => "tradovatesim"
"Ascendex" => "ascendex-sandbox"
"Binance Futures" => "binancefuturestestnet"
"Binance Delivery" => "binancedeliverytestnet"
"Oanda" => "oandapractice"
"Bitmex" => "bitmextestnet"
"Bybit" => "bybittestnet"
"Alpaca" => "alpacapaper"
"Kucoin" => "kucoinsandbox"
"Deribit" => "deribittestnet"
"Gemini" => "gemini-sandbox"
=> i_broker_name
else // "LIVE"
broker_mode := switch i_broker_name
"Tradovate" => "tradovate"
"Ascendex" => "ascendex"
"Binance Futures" => "binancefutures"
"Binance Delivery" => "binancedelivery"
"Binance" => "binance"
"Oanda" => "oanda"
"Kraken" => "kraken"
"Deribit" => "deribit"
"Bitfinex" => "bitfinex"
"Poloniex" => "poloniex"
"Bybit" => "bybit"
"Okcoin" => "okcoin"
"Kucoin" => "kucoin"
"FTX" => "ftx"
"Bitmex" => "bitmex"
"Alpaca" => "alpaca"
"Gemini" => "gemini"
=> i_broker_name
enable_trades = i_enable_trades ? "" : " d=1"
string delay_qty = use_delay ? " delay=" + str.tostring(i_delay_qty) : ""
i_alert_txt_entry_long = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=short c=position t=market" +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty
i_alert_txt_entry_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=long c=position t=market" +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty
var string temp_txt_SL_long = ""
var string temp_txt_SL_short = ""
var string temp_txt_TP_long = ""
var string temp_txt_TP_short = ""
if use_sl == "Percent"
temp_txt_SL_long := "sl=-" + str.tostring(sl_input_perc * 100) + "%"
temp_txt_SL_short := "sl=" + str.tostring(sl_input_perc * 100) + "%"
else if use_sl == "Price"
temp_txt_SL_long := "fsl=" + str.tostring(final_SL_Long)
temp_txt_SL_short := "fsl=" + str.tostring(final_SL_Short)
if use_tp == "Percent"
temp_txt_TP_long := "p=" + str.tostring(tp_input_perc * 100) + "%"
temp_txt_TP_short := "p=-" + str.tostring(tp_input_perc * 100) + "%"
else if use_tp == "Price"
temp_txt_TP_long := "fpx=" + str.tostring(final_TP_Long)
temp_txt_TP_short := "fpx=" + str.tostring(final_TP_Short)
i_alert_txt_exit_SL_long = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long c=position t=market " + temp_txt_SL_long + enable_trades
i_alert_txt_exit_SL_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short c=position t=market " + temp_txt_SL_short + enable_trades
i_alert_txt_exit_TP_long = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long c=position t=market " + temp_txt_TP_long + enable_trades
i_alert_txt_exit_TP_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short c=position t=market " + temp_txt_TP_short + enable_trades
string final_alert_txt_entry_long = i_alert_txt_entry_long
string final_alert_txt_entry_short = i_alert_txt_entry_short
if i_use_borrow_repay and i_broker_name == "Binance"
final_alert_txt_entry_long := "a=" + i_account_name + " e=" + broker_mode + "y=borrow w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=short c=position t=market" + delay_qty +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty +
"\n a=" + i_account_name + " e=" + broker_mode + "y=repay w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades
final_alert_txt_entry_short := "a=" + i_account_name + " e=" + broker_mode + "y=borrow w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=long c=position t=market" + delay_qty +
"\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty +
"\n a=" + i_account_name + " e=" + broker_mode + "y=repay w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades
//i_alert_txt_entry_long := final_alert_txt_entry_long
//i_alert_txt_entry_short := final_alert_txt_entry_short
if show_alerts_debug and barstate.islastconfirmedhistory
var label lblTest = na
label.delete(lblTest)
string label_txt = i_alert_txt_entry_long
if use_sl != "None"
label_txt := label_txt + "\n" + i_alert_txt_exit_SL_long
if use_tp != "None"
label_txt := label_txt + "\n" + i_alert_txt_exit_TP_long
t = time + (time - time[1]) * 25
lblTest := label.new(
x = t,
y = ta.highest(50),
text = label_txt,
xloc = xloc.bar_time,
yloc = yloc.price,
color = color.new(color = color.gray, transp = 0),
style = label.style_label_left,
textcolor = color.new(color = color.white, transp = 0),
size = size.large
)
// # ========================================================================= #
// # | Strategy Calls and Alerts |
// # ========================================================================= #
if bull and TradeDateIsAllowed()
strategy.entry(id = "Long", direction = strategy.long, comment = "Long", alert_message = i_alert_txt_entry_long, qty = nb_contracts)
alert(i_alert_txt_entry_long, alert.freq_once_per_bar)
else if bear and TradeDateIsAllowed()
strategy.entry(id = "Short", direction = strategy.short, comment = "Short", alert_message = i_alert_txt_entry_short, qty = nb_contracts)
alert(i_alert_txt_entry_short, alert.freq_once_per_bar)
//quantity := quantity * 2
strategy.exit(id = "Exit Long", from_entry = "Long", stop = (use_sl != "None") ? final_SL_Long : na, comment_loss = "Long Exit SL", alert_loss = (use_sl != "None") ? i_alert_txt_exit_SL_long : na, limit = (use_tp != "None") ? final_TP_Long : na, comment_profit = "Long Exit TP", alert_profit = (use_tp != "None") ? i_alert_txt_exit_TP_long : na)
strategy.exit(id = "Exit Short", from_entry = "Short", stop = (use_sl != "None") ? final_SL_Short : na, comment_loss = "Short Exit SL", alert_loss = (use_sl != "None") ? i_alert_txt_exit_SL_short : na, limit = (use_tp != "None") ? final_TP_Short : na, comment_profit = "Short Exit TP", alert_profit = (use_tp != "None") ? i_alert_txt_exit_TP_short : na)
if strategy.position_size > 0 and low < final_SL_Long and use_sl != "None"
alert(i_alert_txt_exit_SL_long, alert.freq_once_per_bar)
else if strategy.position_size < 0 and high > final_SL_Short and use_sl != "None"
alert(i_alert_txt_exit_SL_short, alert.freq_once_per_bar)
if strategy.position_size > 0 and high > final_TP_Long and use_tp != "None"
alert(i_alert_txt_exit_TP_long, alert.freq_once_per_bar)
else if strategy.position_size < 0 and low < final_TP_Short and use_tp != "None"
alert(i_alert_txt_exit_TP_short, alert.freq_once_per_bar)
// # ========================================================================= #
// # | Reset Variables |
// # ========================================================================= #
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