Estrategia de búsqueda de tendencias de múltiples plazos

El autor:¿ Qué pasa?, fecha: 2024-02-18 10:17:06
Las etiquetas:

Resumen general

La Estrategia del cazador de tendencias multitimeframe es una estrategia que utiliza múltiples indicadores para generar señales comerciales automatizadas.

Estrategia lógica

La lógica central de esta estrategia es juzgar la dirección de la tendencia simultáneamente en los marcos de tiempo más altos y más bajos. La estrategia primero calcula el promedio móvil clave, las líneas de Supertrend, la conversión de Ichimoku y las líneas base, etc. en el marco de tiempo más alto. Luego calcula las líneas de Supertrend en el marco de tiempo más bajo. Cuando las direcciones de Supertrend en ambos marcos de tiempo se alinean, se confirma la dirección general de la tendencia. Además, la estrategia también verifica si el precio rompe a través del promedio móvil o la nube de Ichimoku para validar aún más la confiabilidad de la tendencia.

Una vez que se cumplen ciertos criterios, la estrategia generará señales de compra o venta. Los usuarios pueden elegir solo comerciar con compras largas, cortas o ambas basándose en sus necesidades. Los usuarios también pueden optimizar parámetros como promedio móvil, Supertrend, Ichimoku, etc. para mejorar el rendimiento de la estrategia.

Análisis de ventajas

La mayor ventaja de esta estrategia es la combinación de múltiples marcos de tiempo e indicadores, lo que mejora en gran medida la precisión de la tendencia y detecta oportunamente las oportunidades de reversión.

Confirmar la tendencia con plazos altos/bajos, evitar el ruido del mercado
El promedio móvil como indicador a medio y largo plazo juzga la tendencia principal
Supertrend como indicador a corto plazo en el momento oportuno captura la inversión de tendencia
Nube de Ichimoku identifica niveles potenciales de soporte/resistencia

Análisis de riesgos

Los principales riesgos son la configuración inadecuada de parámetros que conducen a un exceso de negociación o a oportunidades perdidas.

Riesgo de parámetros: pruebas de retroceso y optimización para encontrar parámetros óptimos
Riesgo de error de señal: añadir más indicadores para verificar y evitar señales erróneas
El riesgo de utilización: ajustar el tamaño de las posiciones para limitar las pérdidas de una sola operación

Direcciones de optimización

Hay más margen para optimizar esta estrategia:

Añadir más indicadores como bandas de Bollinger, RSI para mejorar la precisión
Integrar modelos de aprendizaje automático para estrategias más inteligentes
Incorporar técnicas cuánticas como HFT, Early Bird para mejorar aún más el rendimiento
Optimizar la estrategia de posicionamiento para reducir el riesgo de retirada

Conclusión

En conclusión, la Estrategia del cazador de tendencias multitemporal aprovecha múltiples indicadores a través de marcos de tiempo para determinar la tendencia y capturar las reversiones a tiempo.

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © godzcopilot / blockybears

// Thanks to anthonyf50 for his MTF Ichimoku https://www.tradingview.com/script/Pw9cBFma/
// Thanks to KivancOzbilgic for his SuperTrend https://www.tradingview.com/script/r6dAP7yi/
// Thanks to ZenAndTheArtOfTrading / PineScriptMastery for their Higher Timeframe EMA https://www.tradingview.com/script/Vh3XG9sD-Higher-Timeframe-EMA/


//@version=5
strategy("TrendHunter [Blocky]", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=80, initial_capital=1000, pyramiding=0)

// ================
// Strategy Inputs
// ================

// Defines user inputs for configuring the strategy.

// Higher Time Frame Selection
HTF_TimeFrame = input.timeframe(title='Higher Time Frame', defval='60', group = '== Timeframe ==', tooltip = "Select Chart for standard functionality")

// Inputs for EMA
len     = input.int(title="EMA Length", defval=200, group ='== EMA ==')
col     = input.bool(title="Colour EMA", defval=true, group ='== EMA ==')

// SuperTrend
Periods = input(title='ATR Period', defval=10, group = '== Supertrend ==')
Multiplier = input.float(title='ATR Multiplier', step=0.1, defval=3.0, group = '== Supertrend ==')
Src = input.source(title='Source', defval=hl2, group = '== Supertrend ==')

// Ichimoku
conversionPeriods = input.int(9, minval=1, title='Conversion Line Periods', group = '== Ichimoku ==')
basePeriods = input.int(26, minval=1, title='Base Line Periods', group = '== Ichimoku ==')
laggingSpan2Periods = input.int(52, minval=1, title='Lagging Span 2 Periods', group = '== Ichimoku ==')
displacement = input.int(26, minval=1, title='Displacement', group = '== Ichimoku ==')

// Ichimoku Display Options
isActiveConversion = input(false, 'Conversion Line', group = '== Ichimoku ==', inline = 'lines1')
isActiveBase = input(false, 'Base Line', group = '== Ichimoku ==', inline = 'lines1')
isActiveLagging = input(false, 'Lagging Span', group = '== Ichimoku ==', inline = 'lines2')
isActiveCloud = input(true, 'Cloud', group = '== Ichimoku ==', inline = 'lines2')


// ================
// Strategy Options
// ================

bTable = input.bool(true, title='Trade Table', group='== Strategy Options ==', tooltip = "Show table that shows current selected options and trade trade entry parameters")

bLong = input.bool(true, title='Enter Longs', group='== Strategy Options ==', inline = 'LongShort')
bShort = input.bool(true, title='Enter Shorts', group='== Strategy Options ==', inline = 'LongShort', tooltip = "Filter long / short trade signals")

bPriceCloud = input.bool(true, title='Price outside cloud', group='== Strategy Options ==', inline='PriceCloud')
bPriceCloudBody = input.bool(false, title='Full Body', group='== Strategy Options ==', inline='PriceCloud', tooltip = 'Only trade when price action outside the cloud.\nLongs when price action above the cloud.\nShort when price action below the cloud')

bPriceEMA = input.bool(false, title='Price above/below EMA', group='== Strategy Options ==', inline='PriceEMA')
bPriceEMABody = input.bool(false, title='Full Body', group='== Strategy Options ==', inline='PriceEMA', tooltip = 'Longs when price action above the EMA.\nShort when price action below the EMA')

bSuper = input.bool(true, title='Supertrend transistions', group='== Strategy Options ==', tooltip = "Trade in direction of the supertrend transitions")
bLTF = input.bool(false, title='LTF/HTF Supertrend alignment', group='== Strategy Options ==', tooltip = "Utilise a dual supertrends, chart and defined higher time frame")

bEMACloud1 = input.bool(true, title='EMA Outside Cloud', group='== Strategy Options ==', tooltip = "EMA must be outside the ichimoku cloud")
bEMACloud2 = input.bool(false, title='EMA above/below Cloud', group='== Strategy Options ==', tooltip = "Longs when EMA above the cloud.\nShort when EMA below the cloud")

bExitHTFTrail = input.bool(true, title='Super Trend Exits:  HTF', group='== Strategy Options ==', inline = 'Exits')
bExitLTFTrail = input.bool(true, title='LTF', group='== Strategy Options ==', inline = 'Exits', tooltip = 'Exit trades when price crosses the supertrend line\nIf neither selected trade closes when opposite trade opens\nIf using LTF closes turn on HTF/LTF alignment')

// ===========================
// EMA Functions and Plotting
// ===========================

// Calculate EMA
ema = ta.ema(close, len)
emaSmooth = request.security(syminfo.tickerid, HTF_TimeFrame, ema[barstate.isrealtime ? 1 : 0], gaps=barmerge.gaps_on)[barstate.isrealtime ? 0 : 1]


// Draw EMA
plot(emaSmooth, color=col ? (close > emaSmooth ? color.rgb(76, 163, 175) : color.rgb(6, 23, 173)) : color.black, linewidth=2, title="HTF EMA")


// ==================================
// Supertrend Functions and Plotting
// ==================================

// Function to calculate SuperTrend
calcSuperTrend(src, atrPeriods, multiplier) =>
    atr = ta.atr(atrPeriods)
    up = src - multiplier * atr
    up1 = nz(up[1], up)
    up := close[1] > up1 ? math.max(up, up1) : up
    dn = src + multiplier * atr
    dn1 = nz(dn[1], dn)
    dn := close[1] < dn1 ? math.min(dn, dn1) : dn
    trend = 1
    trend := nz(trend[1], trend)
    trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend
    [up, dn, trend]

// Calculate SuperTrend for the current time frame
[up, dn, trend] = calcSuperTrend(Src, Periods, Multiplier)

// Plotting for the current time frame
plot(trend == 1 ? up : dn, title='LTF Supertrend', color=trend == 1 ?color.green : color.red, linewidth=1, style = plot.style_stepline)

// Fetching the higher time frame data
[HTF_up, HTF_dn, HTF_trend] = request.security(syminfo.tickerid, HTF_TimeFrame, calcSuperTrend(hl2, Periods, Multiplier), lookahead=barmerge.lookahead_on)

// Plotting for the higher time frame
plot(HTF_trend == 1 ? HTF_up : HTF_dn, title='HTF Up Trend', color= HTF_trend == 1 ? color.green : color.red, linewidth=4)


// ===============================
// Ichimoku Functions and Plotting
// ===============================

// Function to convert timeframe to hours
f_convertTimeframeToHours(tf) =>
    val = 0.0
    if tf == "1S" or tf == "S"
        val := 1.0 / 3600.0
    else if str.contains(tf, "S")
        val := str.tonumber(str.replace(tf, "S", "")) / 3600.0
    else if tf == "1D" or tf == "D"
        val := 24.0
    else if str.contains(tf, "D")
        val := str.tonumber(str.replace(tf, "D", "")) * 24.0
    else if tf == "1W" or tf == "W"
        val := 24.0 * 7.0
    else if str.contains(tf, "W")
        val := str.tonumber(str.replace(tf, "W", "")) * 24.0 * 7.0
    else if tf == "1M" or tf == "M"
        val := 24.0 * 30.0  // Approximation for a month
    else if str.contains(tf, "M")
        val := str.tonumber(str.replace(tf, "M", "")) * 24.0 * 30.0  // Approximation for months
    else
        // Default to minutes
        val := str.tonumber(tf) / 60.0
    val

// Time
timeOffset = time - time[1]


// Returns the displacement based on the chart / HTF resolution
f_getDisplacement(_res) =>
    _res == '' ? displacement : math.round(f_convertTimeframeToHours(_res) / f_convertTimeframeToHours(timeframe.period) * displacement)
    //f_avgDilationOf(_res) * displacement

// Returns average value between lowest and highest
f_avgLH(_len) =>
    math.avg(ta.lowest(_len), ta.highest(_len))

// Returns f_donchian data 
f_donchian(_tf, _src) =>
    request.security(syminfo.tickerid, _tf, _src, barmerge.gaps_off, barmerge.lookahead_on)

// Returns ichimoku data
f_ichimokuData(_tf) =>
    _isShow = _tf == '' or f_convertTimeframeToHours(_tf) >= f_convertTimeframeToHours(timeframe.period)
    _displacement = _isShow ? f_getDisplacement(_tf) : na
    _Conversion = _isShow ? f_donchian(_tf, f_avgLH(conversionPeriods)) : na
    _Base = _isShow ? f_donchian(_tf, f_avgLH(basePeriods)) : na
    _Lagging = _isShow ? f_donchian(_tf, close) : na
    _SSA = _isShow ? math.avg(_Conversion, _Base) : na
    _SSB = _isShow ? f_donchian(_tf, f_avgLH(laggingSpan2Periods)) : na
    _middleCloud = _isShow ? _SSA[0] > _SSB[0] ? _SSA[0] - math.abs(_SSA[0] - _SSB[0]) / 2 : _SSA[0] + math.abs(_SSA[0] - _SSB[0]) / 2 : na
    [_displacement, _Conversion, _Base, _Lagging, _SSA, _SSB, _middleCloud]

// Plotting ichimoku data

[Displacement, Conversion, Base, Lagging, SSA, SSB, fisrtMiddleCloud] = f_ichimokuData(HTF_TimeFrame)

// ————— Conversion
plot(isActiveConversion ? Conversion : na, color=color.new(color.blue, 0), title=' Conversion', linewidth=1)
// ————— Base
plot(isActiveBase ? Base : na, color=color.new(color.fuchsia, 0), title=' Base', linewidth=2)
// ————— Lagging
plot(isActiveLagging ? Lagging : na, offset=-Displacement, color=color.new(color.green, 0), title=' Lagging')

// ————— SSA + SSB
ssa = plot(isActiveCloud ? SSA : na, offset=Displacement, color=color.new(color.green, 0), title=' SSA', linewidth=1)
ssb = plot(isActiveCloud ? SSB : na, offset=Displacement, color=color.new(color.red, 0), title=' SSB', linewidth=1)
fill(ssa, ssb, color=color.new(SSA > SSB ? color.green : color.red , 80), title=' Cloud')


// ===============================
// Strategy Entries
// ===============================

// Checks whether price is inside the Ichimoku cloud
f_PriceCloud(dir) =>
    _enter = false
    if bPriceCloud
        if bLong and dir == 1
            if bPriceCloudBody
                _enter := close > math.max(SSA[Displacement], SSB[Displacement]) and open > math.max(SSA[Displacement], SSB[Displacement])
            else
                _enter := close > math.max(SSA[Displacement], SSB[Displacement])
        if bShort and dir == 2
            if bPriceCloudBody
                _enter := close < math.min(SSA[Displacement], SSB[Displacement]) and open < math.min(SSA[Displacement], SSB[Displacement])
            else
                _enter := close < math.min(SSA[Displacement], SSB[Displacement])
    else
        _enter := na
    _enter

// Checks whether price is above / below the ema
f_PriceEMA(dir) =>
    _enter = false
    if bPriceEMA
        if bLong and dir == 1
            if bPriceEMABody
                _enter := close > emaSmooth and open > emaSmooth
            else
                _enter := close > emaSmooth
        if bShort and dir == 2
            if bPriceEMABody
                _enter := close < emaSmooth and open < emaSmooth
            else
                _enter := close < emaSmooth
    else
        _enter := na
    _enter

// Checks HTF supertrend direction
f_Super(dir) =>
    _enter = false
    if bSuper
        if bLong and dir == 1
            _enter := HTF_trend == 1
        if bShort and dir == 2
            _enter := HTF_trend == -1
    else
        _enter := na

    _enter

// Checks LTF supertrend direction
f_LTF(dir) =>
    _enter = false
    if bLTF
        if bLong and dir == 1
            _enter := trend == 1 and HTF_trend == 1
        if bShort and dir == 2
            _enter := trend == -1 and HTF_trend == -1
    else
        _enter := na
    _enter

// Checks whether ema is inside the Ichimoku cloud
f_EMACloud1(dir) =>
    _enter = false
    if bEMACloud1
        if bLong and dir == 1
            _enter := (emaSmooth > math.max(SSA[Displacement], SSB[Displacement])) or (emaSmooth < math.min(SSA[Displacement], SSB[Displacement]))
        if bShort and dir == 2
            _enter := (emaSmooth > math.max(SSA[Displacement], SSB[Displacement])) or (emaSmooth < math.min(SSA[Displacement], SSB[Displacement]))
    else
        _enter := na
    _enter

// Checks whether ema is above/below Ichimoku cloud
f_EMACloud2(dir) =>
    _enter = false
    if bEMACloud2
        if bLong and dir == 1
            _enter := emaSmooth > math.max(SSA[Displacement], SSB[Displacement])
        if bShort and dir == 2
            _enter := emaSmooth < math.min(SSA[Displacement], SSB[Displacement])
    else
        _enter := na
    _enter

// Check if a value is 'na' or true.
f_NATrue(val) =>
    _enter = false
    if na(val)
        _enter := true
    if val
        _enter := true
    _enter   
    

// Consolidates entry conditions.
f_checkCondition(dir) =>
    _enter = false
    if na(f_PriceCloud(dir)) and na(f_PriceEMA(dir)) and na(f_Super(dir)) and na(f_LTF(dir)) and na(f_EMACloud1(dir)) and na(f_EMACloud2(dir))
        _enter := false
    else if f_NATrue(f_PriceCloud(dir)) and f_NATrue(f_PriceEMA(dir)) and f_NATrue(f_Super(dir)) and f_NATrue(f_LTF(dir)) and f_NATrue(f_EMACloud1(dir)) and f_NATrue(f_EMACloud2(dir))
        _enter := true
    _enter

        
// Execute long trade entries
longCondition = bLong and f_checkCondition(1)
if (longCondition)
    strategy.entry("Long", strategy.long)

// Execute short trade entries
shortCondition = bShort and f_checkCondition(2)
if (shortCondition)
    strategy.entry("Short", strategy.short)

// Excute trade exits
exitLong = (bExitHTFTrail and (close < HTF_up or HTF_trend == -1)) or (bExitLTFTrail and (close < up or trend == -1)) 
exitShort = (bExitHTFTrail and (close > HTF_dn or HTF_trend == 1)) or (bExitLTFTrail and (close > dn or trend == 1)) 

if exitLong
    strategy.close("Long")

if exitShort
    strategy.close("Short")

// Creates a table shoing all the user options and their current status for entering a trade
if bTable
    // Create a table
    tbl = table.new(position = position.bottom_right, columns = 4, rows = 9, bgcolor=color.new(color.white, 50), border_width = 1)

    table.cell(tbl, 1, 0, "Selected")
    table.cell(tbl, 2, 0, "Long", bgcolor=na(bLong) ? color.gray : bShort ? color.rgb(4, 112, 8) : color.rgb(100, 7, 7))
    table.cell(tbl, 3, 0, "Short", bgcolor=na(bShort) ? color.gray : bShort ? color.rgb(4, 112, 8) : color.rgb(100, 7, 7))

    table.cell(tbl, 0, 1, "Entry")
    table.cell(tbl, 2, 1, str.tostring(longCondition), bgcolor=longCondition ? color.green : color.red)
    table.cell(tbl, 3, 1, str.tostring(shortCondition), bgcolor=shortCondition ? color.green : color.red)


    table.cell(tbl, 0, 3, "Price Cloud")
    table.cell(tbl, 1, 3, str.tostring(bPriceCloud), bgcolor=na(bPriceCloud) ? color.gray : bPriceCloud ? color.green : color.red)
    table.cell(tbl, 2, 3, str.tostring(f_PriceCloud(1)), bgcolor=na(f_PriceCloud(1)) ? color.gray : f_PriceCloud(1) ? color.green : color.red)
    table.cell(tbl, 3, 3, str.tostring(f_PriceCloud(2)), bgcolor=na(f_PriceCloud(2)) ? color.gray : f_PriceCloud(2) ? color.green : color.red)

    table.cell(tbl, 0, 4, "Price EMA")
    table.cell(tbl, 1, 4, str.tostring(bPriceEMA), bgcolor=na(bPriceEMA) ? color.gray : bPriceEMA ? color.green : color.red)
    table.cell(tbl, 2, 4, str.tostring(f_PriceEMA(1)), bgcolor=na(f_PriceEMA(1)) ? color.gray : f_PriceEMA(1) ? color.green : color.red)
    table.cell(tbl, 3, 4, str.tostring(f_PriceEMA(2)), bgcolor=na(f_PriceEMA(2)) ? color.gray : f_PriceEMA(2) ? color.green : color.red)

    table.cell(tbl, 0, 5, "SuperTrend")
    table.cell(tbl, 1, 5, str.tostring(bSuper), bgcolor=na(bSuper) ? color.gray : bSuper ? color.green : color.red)
    table.cell(tbl, 2, 5, str.tostring(f_Super(1)), bgcolor=na(f_Super(1)) ? color.gray : f_Super(1) ? color.green : color.red)
    table.cell(tbl, 3, 5, str.tostring(f_Super(2)), bgcolor=na(f_Super(2)) ? color.gray : f_Super(2) ? color.green : color.red)

    table.cell(tbl, 0, 6, "HTF/LTF")
    table.cell(tbl, 1, 6, str.tostring(bLTF), bgcolor=na(bLTF) ? color.gray : bLTF ? color.green : color.red)
    table.cell(tbl, 2, 6, str.tostring(f_LTF(1)), bgcolor=na(f_LTF(1)) ? color.gray : f_LTF(1) ? color.green : color.red)
    table.cell(tbl, 3, 6, str.tostring(f_LTF(2)), bgcolor=na(f_LTF(2)) ? color.gray : f_LTF(2) ? color.green : color.red)

    table.cell(tbl, 0, 7, "EMA Outside Cloud")
    table.cell(tbl, 1, 7, str.tostring(bEMACloud1), bgcolor=na(bEMACloud1) ? color.gray : bEMACloud1 ? color.green : color.red)
    table.cell(tbl, 2, 7, str.tostring(f_EMACloud1(1)), bgcolor=na(f_EMACloud1(1)) ? color.gray : f_EMACloud1(1) ? color.green : color.red)
    table.cell(tbl, 3, 7, str.tostring(f_EMACloud1(2)), bgcolor=na(f_EMACloud1(2)) ? color.gray : f_EMACloud1(2) ? color.green : color.red)

    table.cell(tbl, 0, 8, "EMA Above/Below Cloud")
    table.cell(tbl, 1, 8, str.tostring(bEMACloud2), bgcolor=na(bEMACloud2) ? color.gray : bEMACloud2 ? color.green : color.red)
    table.cell(tbl, 2, 8, str.tostring(f_EMACloud2(1)), bgcolor=na(f_EMACloud2(1)) ? color.gray : f_EMACloud2(1) ? color.green : color.red)
    table.cell(tbl, 3, 8, str.tostring(f_EMACloud2(2)), bgcolor=na(f_EMACloud2(2)) ? color.gray : f_EMACloud2(2) ? color.green : color.red)

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