Cette stratégie s'appelle
Plus précisément, la logique de négociation est la suivante:
Calculer les prix d'ouverture, de hausse, de baisse et de fermeture avec des moyennes mobiles pour tracer des bougies de tendance.
Appliquer la technique de supertrend sur les bougies de tendance pour dériver des arrêts longs et courts.
Lorsque les prix dépassent le stop long, des signaux d'achat sont générés.
Incorporer des prix annuels élevés/faibles de délais plus longs afin d'éviter des signaux invalides excessifs sur les marchés à fourchette.
Lorsque la super tendance s'inverse, les positions sont fermées avec stop loss.
L'avantage de cette stratégie est l'intégration de plusieurs indicateurs techniques améliore la précision. Mais les paramètres pour les moyennes mobiles et la supertrend besoin d'optimisation. Stop loss est également indispensable.
En général, l'intégration d'indicateurs et de modèles compense partiellement les limites des indices individuels, mais aucune stratégie ne peut être parfaite.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-04-14 00:00:00
period: 1d
basePeriod: 1h
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/
// © HeWhoMustNotBeNamed
//@version=4
strategy("MA Candles Supertrend Strategy", shorttitle="MACSTS", overlay=true, initial_capital = 20000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01)
MAType = input(title="Moving Average Type", defval="rma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
LoopbackBars = input(20, step=10)
AtrMAType = input(title="Moving Average Type", defval="rma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
AtrLength = input(30, step=10)
AtrMult = input(1)
adoptiveWicks = false // does not work
wicks = input(true)
dThreshold = input(0.2, step=0.1, maxval=1)
rThreshold = input(0.7, step=0.1, maxval=1)
tradeDirection = input(title="Trade Direction", defval=strategy.direction.long, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "End Time", type = input.time)
inDateRange = true
strategy.risk.allow_entry_in(tradeDirection)
f_getMovingAverage(source, MAType, length)=>
ma = sma(source, length)
if(MAType == "ema")
ma := ema(source,length)
if(MAType == "hma")
ma := hma(source,length)
if(MAType == "rma")
ma := rma(source,length)
if(MAType == "vwma")
ma := vwma(source,length)
if(MAType == "wma")
ma := wma(source,length)
ma
f_secureSecurity(_symbol, _res, _src, _offset) => security(_symbol, _res, _src[_offset], lookahead = barmerge.lookahead_on)
f_getYearlyHighLowCondition()=>
yhighrange = f_secureSecurity(syminfo.tickerid, '12M', high, 1)
ylowrange = f_secureSecurity(syminfo.tickerid, '12M', low, 1)
yearlyHighCondition = close > yhighrange*(1-dThreshold) or close > ylowrange*(1+rThreshold)
yearlyLowCondition = close < ylowrange*(1+dThreshold) or close < yhighrange*(1-rThreshold)
[yearlyHighCondition, yearlyLowCondition]
f_getSupertrend(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, AtrMult, wicks)=>
truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
averagetruerange = f_getMovingAverage(truerange, AtrMAType, AtrLength)
atr = averagetruerange * AtrMult
longWicks = (adoptiveWicks and (close < oClose)) or wicks
shortWicks = (adoptiveWicks and (close > oClose)) or wicks
longStop = oClose - atr
longStopPrev = nz(longStop[1], longStop)
longStop := (longWicks ? oLow[1] : oClose[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop = oClose + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (shortWicks ? oHigh[1] : oClose[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (longWicks ? oHigh : oClose) > shortStopPrev ? 1 : dir == 1 and (shortWicks[1]? oLow : oClose) < longStopPrev ? -1 : dir
[dir, longStop, shortStop]
oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
oClose = f_getMovingAverage(close, MAType, LoopbackBars)
oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
oLow = f_getMovingAverage(low, MAType, LoopbackBars)
colorByPreviousClose = false
candleColor = colorByPreviousClose ?
(oClose[1] < oClose ? color.green : oClose[1] > oClose ? color.red : color.silver) :
(oOpen < oClose ? color.green : oOpen > oClose ? color.red : color.silver)
plotcandle(oOpen, oHigh, oLow, oClose, 'Oscilator Candles', color = candleColor)
[yearlyHighCondition, yearlyLowCondition] = f_getYearlyHighLowCondition()
[dir, longStop, shortStop] = f_getSupertrend(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, AtrMult, wicks)
trailingStop = dir == 1? longStop : shortStop
trendColor = dir == 1? color.green: color.red
plot(trailingStop, title="TrailingStop", color=trendColor, linewidth=2, style=plot.style_linebr)
longCondition = close > shortStop and dir == 1 and yearlyHighCondition
shortCondition = close < longStop and dir == -1 and yearlyLowCondition
exitLongCondition = dir == -1
exitShortCondition = dir == 1
strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Long", strategy.long, when=longCondition, oca_name="oca_buy")
strategy.close("Long", when=exitLongCondition)
strategy.entry("Short", strategy.short, when=shortCondition, oca_name="oca_sell")
strategy.close("Short", when=exitShortCondition)