Stratégie de trading SuperTrend multi-filtres

Date de création: 2023-09-15 16:19:57 Dernière modification: 2023-09-15 16:19:57

Copier: 1 Nombre de clics: 1211

ChaoZhang

Suivre

1617

Abonnés

Cette stratégie est appelée stratégie de négociation SuperTrend à filtres multiples. Cette stratégie est basée sur Supertrend, en ajoutant plusieurs indicateurs comme filtres et en contrôlant strictement l’entrée.

Comment fonctionne cette stratégie ?

Calculer l’indicateur Supertrend pour générer des signaux d’achat et de vente
Si le filtre MACD est activé, un signal d’achat est généré uniquement lorsque le MACD traverse le signal rapide et le signal lent; un signal de vente est généré uniquement lorsque le MACD traverse le signal rapide et le signal lent.
Si le filtre EMA est activé, un signal d’achat est généré uniquement lorsque le prix atteint l’EMA de 200 jours; un signal de vente est généré uniquement lorsque le prix atteint l’EMA de 200 jours.
Si le filtre Stochastic RSI est activé, un signal d’achat est généré uniquement lorsque le Stochastic RSI traverse la zone de survente en dessous de la zone de survente; un signal de vente est généré uniquement lorsque le Stochastic RSI traverse la zone de survente en haut de la zone de survente.
Si le filtre MFI est activé, un signal d’achat est généré uniquement lorsque le MFI est traversé par son EMA; un signal de vente est généré uniquement lorsque le MFI est traversé par son EMA.
Si le filtre CCI est activé, un signal d’achat est généré uniquement lorsque le prix dépasse la ligne de référence CCI en haut; un signal de vente est généré uniquement lorsque le prix dépasse la ligne de référence CCI en bas.
Le stop-loss est calculé à l’aide de l’ATR ou de la bande Brin.

Les avantages de cette stratégie:

Les filtres multiples augmentent la fiabilité du signal et évitent les faux signaux.
Une stratégie stricte de stop-loss aide à contrôler les risques.
Les paramètres de l’indicateur et le commutateur peuvent être personnalisés, avec une grande flexibilité.

Le risque de cette stratégie:

Les conditions de filtrage trop élevées peuvent faire rater une partie des opportunités de trading.
Une mauvaise configuration des paramètres de l’indicateur peut entraîner une défaillance du filtre.
Un arrêt de perte mal réglé peut entraîner une augmentation des pertes.

En résumé, la stratégie de trading SuperTrend à filtres multiples prend en compte le suivi des tendances et l’analyse des indicateurs, améliore la qualité du signal grâce à la confirmation multiple. La mise en place d’un mécanisme de stop-loss raisonnable joue un rôle clé dans la réduction du risque de trading.

Code source de la stratégie

/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-14 00:00:00
period: 1h
basePeriod: 15m
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/
// © mathlabel

//@version=5
strategy("My strategy", overlay=true, margin_long=100, margin_short=100)



atrPeriod = input(10, "ATR Length")
factor = input.float(3.0, "Factor", step = 0.01)
stopLossFactor = input(2.0, "Stop Loss Factor")
takeProfitFactor = input(1.5, "Take Profit Factor")
stochlenght= input(14,'stochlenght')
oversold_level = input(title = 'Oversold', defval = 20)
overbought_level = input(title = 'Overbought', defval = 80)
use_atr_exits=input.bool(false)
use_bollinger_exits=input.bool(false)
use_cci_filter=input.bool(false)


longLossPerc = input.float(title='Long Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01

shortLossPerc = input.float(title='Short Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01

longprofitPerc = input.float(title='Long profit (%)', minval=0.0, step=0.1, defval=1) * 0.01

shortprofitPerc = input.float(title='Short profit (%)', minval=0.0, step=0.1, defval=1) * 0.01



// Calculate ATR
atr = ta.atr(atrPeriod)
plotsuper=input.bool(false)
[supertrend, direction] = ta.supertrend(factor, atrPeriod)


upTrend = plot(plotsuper? (direction < 0 ? supertrend : na) : na, "Up Trend", color = color.green, style=plot.style_linebr)
downTrend = plot(plotsuper ? (direction < 0? na : supertrend):na, "Down Trend", color = color.red, style=plot.style_linebr)



long_supertrend_filter= (direction < 0 ? supertrend : na)
short_supertrend_filter= (direction < 0? na : supertrend)



//--trama--
lengths = input(99,title='Trama lenght')
src =(close)

ama = 0.
hh = math.max(math.sign(ta.change(ta.highest(lengths))), 0)
ll = math.max(math.sign(ta.change(ta.lowest(lengths)) * -1), 0)
tc = math.pow(ta.sma(hh or ll ? 1 : 0, lengths), 2)
ama := nz(ama[1] + tc * (src - ama[1]), src)

plottrama=input.bool(false, title="Show Lux TRAMA")
plot(plottrama?ama : na, 'Plot', color.new(#ff1100, 0), 2)

use_LUX_trama_filter=input.bool(false)
long_LUX_trama_filter= (close > ama)
short_LUX_trama_filter= (close < ama)

// highest high
highest = ta.highest(high, stochlenght)
// lowest low
lowest = ta.lowest(low, stochlenght)

// stochastic oscillator
stochastic_K = ((close - lowest) / (highest - lowest)) * 100
stochastic_D = ta.sma(stochastic_K, 3)

use_stochastic_filter = input.bool(false)
long_stoch_filter = stochastic_K > oversold_level and stochastic_K[1] < oversold_level
short_stoch_filter = stochastic_K < overbought_level and stochastic_K[1] > overbought_level

//Define a ATR band upline and bottome line.

upline = open + (atr* takeProfitFactor)
bottomline = open -(atr*stopLossFactor)

plot(use_atr_exits ? upline : na, color=color.white)
plot(use_atr_exits ? bottomline:na, color=color.white)

// Calculate stop loss and take profit levels
stopLoss = stopLossFactor * atr
takeProfit = takeProfitFactor * atr

//input macd
ma_fast=ta.sma(close,input(14,title='ma fast for macd filter'))
ma_slow=ta.sma(close,input(28, title='ma slowfor macd filter'))
use_macd_filter=input.bool(false)

[macdLine, signalLine, histLine]= ta.macd(close,12,26,9)
long_macd_filter= (macdLine > signalLine) and ta.crossover(ma_fast,ma_slow)
short_macd_filter= (macdLine < signalLine) and ta.crossunder(ma_fast,ma_slow)
// ema 200
ema1= ta.ema(close,1)
ema2= ta.ema(close,200)
use_ema200_filter= input.bool(false)
long_ema_filter = (close > ema2)
short_ema_filter= (close < ema2)
plotAverage = input.bool(true, title="Plot EMA200")
plot(plotAverage ? ta.ema(close, 200) : na, title="Exponential Average")
// mfi
signalLength = input(title="mfi Signal Length", defval=9)
length1 = input(title="mfi Length", defval=14)
src1 = hlc3
mf = ta.mfi(src1, length1)
signal = ta.ema(mf, signalLength)



use_mfi_filter=input.bool(false)
long_mfi_filter= ta.crossover(mf,signal) ?mf:na 
short_mfi_filter= ta.crossunder(mf,signal)? mf : na

//cci
cci_l = input(50, title='CCI Period Length')
atr_l = input(5, title=' CCI ATR Length')
level = 0
sd_length = 20



cci = ta.cci(src, cci_l)
atr2 = ta.atr(atr_l)

var st = 0.

if cci >= level
    st := low - atr
    st

if cci <= level
    st := high + atr
    st


var tu = 0.
var td = 0.
var optimal_line = 0.

if cci >= level and cci[1] < level
    tu := td[1]
    tu

if cci <= level and cci[1] > level
    td := tu[1]
    td

if cci > level
    tu := low - atr2
    if tu < tu[1] and cci[1] >= level
        tu := tu[1]
        tu

if cci < level
    td := high + atr2
    if td > td[1] and cci[1] <= level
        td := td[1]
        td

optimal_line := math.max(tu, td)

// Creating a Price Channel, 

avg_st8 = ta.ema(st, 8)
avg_st13 = ta.ema(st, 13)
avg_st21 = ta.ema(st, 21)
avg_st34 = ta.ema(st, 21)
avg_st55 = ta.ema(st, 55)
avg_st89 = ta.ema(st, 89)
avg_st144 = ta.ema(st, 144)
avg_st233 = ta.ema(st, 233)

average_weighting = (optimal_line + avg_st8 + avg_st13 + avg_st21 + avg_st34 + avg_st55 + avg_st89 + avg_st144 + avg_st233) / 9

basis = ta.sma(average_weighting, sd_length)
devs = ta.stdev(average_weighting, sd_length)
upperS = basis + devs
lowerS = basis - devs
plot(use_cci_filter ? basis: na, 'Basis', color=color.new(#872323, 0))
p3 = plot(use_cci_filter ? upperS : na, 'UpperS', color=color.new(color.teal, 0))
p4 = plot(use_cci_filter ? lowerS: na ,'LowerS', color=color.new(color.teal, 0))

long_cci_filter= ta.crossover(close,upperS) 
short_cci_filter= ta.crossunder(close,lowerS) 



var isLong = false
var isShort = false
long = (not use_LUX_trama_filter or long_LUX_trama_filter) and ( long_supertrend_filter) and (not use_ema200_filter or long_ema_filter) and (not isLong) and  (not use_stochastic_filter or long_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or long_mfi_filter) and (not use_cci_filter or long_cci_filter)
short= (not use_LUX_trama_filter or short_LUX_trama_filter) and ( short_supertrend_filter) and (not use_ema200_filter or short_ema_filter) and (not isShort)  and ( not use_stochastic_filter or short_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or short_mfi_filter) and (not use_cci_filter or short_cci_filter)


if long
    isLong := true
    isShort := false

if short
    isLong := false
    isShort := true

plotshape(long, title='Buy', text='Buy', style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), textcolor=color.new(color.white, 0), size=size.tiny)
plotshape(short, title='Sell', text='Sell', style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), textcolor=color.new(color.white, 0), size=size.tiny)


//bollinger
lengthss = input(20, title='bollinger lenght')

mult = input.float(2.0, minval=0.001, maxval=50, title="bollinger StdDev")
basiss = ta.sma(src, lengthss)
dev = mult * ta.stdev(src, lengthss)
upper = basiss + dev
lower = basiss - dev
offset = input.int(0, "bollinger Offset", minval = -500, maxval = 500)
plot(use_bollinger_exits ? basiss : na, "Basis", color=#FF6D00, offset = offset)
p1 = plot(use_bollinger_exits ? upper : na, "Upper", color=#2962FF, offset = offset)
p2 = plot(use_bollinger_exits ? lower: na, "Lower", color=#2962FF, offset = offset)

long_bollinger_exits= close > upper
short_bollinger_exits=close < lower
long_atr_exits = close > upline 
short_atr_exits = close < bottomline
takelong = (not use_atr_exits or long_atr_exits) and (not use_bollinger_exits or long_bollinger_exits)
takeshort = (not use_atr_exits or short_atr_exits) and (not use_bollinger_exits or short_bollinger_exits)

plotshape(use_atr_exits? takelong : na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)
plotshape(use_atr_exits ? takeshort : na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)
plotshape(use_bollinger_exits ? takelong: na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)
plotshape(use_bollinger_exits ? takeshort: na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)




alertcondition(long,'long','buy')
alertcondition(short,'short','short')
alertcondition(takeshort,'trail short close','short trailing take profit')
alertcondition(takelong ,'trail long close','long trailing take profit')


use_trailing_stop_loss=input.bool(title = 'use trailing stop loss (atr or bollinger)?', defval = true)

// Determine stop loss price
longStopPrice = strategy.position_avg_price * (1 - longLossPerc)
shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)
// Determine take profit price
longprofitPrice = strategy.position_avg_price * (1 + longprofitPerc)
shortprofitPrice = strategy.position_avg_price * (1 - shortprofitPerc)

// Plot stop loss values for confirmation
plot(series=strategy.position_size > 0 ? longStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Long Stop Loss')
plot(series=strategy.position_size < 0 ? shortStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Short Stop Loss')
plot(series=strategy.position_size > 0 ? longprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Long profit')
plot(series=strategy.position_size < 0 ? shortprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Short profit')




longCondition = long
if (longCondition)
    strategy.entry("Long Entry", strategy.long)

shortCondition = short
if (shortCondition)
    strategy.entry("Short Entry", strategy.short,stop = shortStopPrice)
if use_trailing_stop_loss
    if takelong or close < longStopPrice
        strategy.close("Long Entry")
    if takeshort or close > shortStopPrice
        strategy.close("Short Entry")
else
    if close < longStopPrice or close > longprofitPrice
        strategy.close("Long Entry")
    if close < shortprofitPrice or close > shortStopPrice
        strategy.close("Short Entry")

Forums

PINE Language FAQ Summary MyLanguage Web3 About Us

Product

Robot Strategy Node Platforms Tickets

API

Syntax guide User guide Trading api Blockchain Indicator