Stratégie de trading Super Trend Stop Trailing


Date de création: 2023-09-18 16:05:31 Dernière modification: 2023-09-18 16:05:31
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Aperçu

Cette stratégie utilise un indicateur de super-tendance pour déterminer la tendance des prix et est équipée d’un mécanisme de stop-loss pour les transactions de suivi de tendance. Il combine les différences de deux moyennes mobiles pour construire un indicateur de super-tendance, avec une hausse et une baisse de l’indicateur.

Principe de stratégie

Calculer la DEMA de la ligne rapide et de la ligne lente, déterminer la direction de la super tendance en fonction de l’écart entre les deux lignes. Dans la tendance haussière, la ligne rapide traverse la ligne lente en plus; dans la tendance baissière, la ligne lente est vide sous la ligne rapide. Après l’entrée, définissez une ligne de stop-loss, une fois que les pertes atteignent le seuil de stop-loss, les pertes sont arrêtées.

Analyse des avantages

  • Les tendances des prix sont simples et efficaces pour juger les tendances des prix
  • Les mécanismes de coupe de pertes contrôlent efficacement le risque d’une seule transaction
  • Différentes combinaisons de paramètres peuvent être utilisées selon les étapes
  • La capacité de retrait est plus forte.

Analyse des risques

  • La tendance des moyennes mobiles est en retard
  • Un arrêt de perte trop lâche peut augmenter les pertes
  • Fréquence élevée des transactions, frais de traitement élevés
  • Il n’est pas possible de déterminer le point de basculement.

Il est possible de réduire le cycle de la moyenne, d’optimiser le stop loss, de réduire le nombre de transactions, etc. pour contrôler le risque.

Direction d’optimisation

  • Tester différentes combinaisons de paramètres de ligne rapide et lente
  • Optimiser le paramètre de stop loss
  • Considérer une inversion de tendance en combinaison avec d’autres indicateurs
  • Paramètres de test de robustesse dans différentes variétés

Résumer

Cette stratégie utilise des indicateurs simples pour déterminer la direction de la tendance, le contrôle des risques de stop loss et convient aux transactions intra-journées. L’efficacité peut être encore améliorée par des ajustements de paramètres, etc.

Code source de la stratégie
/*backtest
start: 2023-09-10 00:00:00
end: 2023-09-13 00:00:00
period: 2m
basePeriod: 1m
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy(title = "[Prod] SuperTrend with Stoploss+TrendZones - 1H", default_qty_type=strategy.percent_of_equity, default_qty_value=100, shorttitle = "[Prod] SuperTrend with Stoploss+TrendZones - 1H", overlay = true, commission_type=strategy.commission.percent, commission_value=0.3)
//--cyberfunk 2018 
 
////////////////////////////////////////////////////////////
// This section of code was borrowed from "Trend Trader Strategy" to 
// help us det. if we are in an uptrend or downtrend.
////////////////////////////////////////////////////////////
Length = input(12, minval=1),   // 19 / 5 also works for lenth /multiplier... but 11 /4 seems slightly more optimal somehow
Multiplier = input(4, minval=1)
avgTR      = wma(atr(1), Length)
highestC   = highest(Length)
lowestC    = lowest(Length)
hiLimit = highestC[1]-(avgTR[1] * Multiplier)
loLimit = lowestC[1]+(avgTR[1] * Multiplier)
ret = na
pos =na
ret := iff(close > hiLimit and close > loLimit, hiLimit,iff(close < loLimit and close < hiLimit, loLimit, nz(ret[1], 0)))
pos :=	iff(close > ret, 1,iff(close < ret, -1, nz(pos[1], 0))) 
//barcolor(pos == -1 ? red: pos == 1 ? green : blue )
plot(ret, color= blue , title="Trend Trader Strategy")
uptrend = if close > ret  // this will be used later to determine which domain we are in (uptrend or downtrend)
    true
else
    false
/////////////////////////////////////////////////////////////////////
// This script has been optimized for the 1 hr candle window view.  
// An older Pine2 ancestor of this script suffered from repainting issues when 
// viewing in lower resolutions than the res/2 parameter.
// running this in Pine3 mode seems to fix those problems, see https://www.tradingview.com/wiki/Pine_Script:_Release_Notes#Pine_Version_3  and https://backtest-rookies.com/2017/11/29/tradingview-indicator-repainting/ for references on the problem. 
//
//  There does seem to be ocassional repainting that affects backtrading here though, somehow.. and i'm not sure how to fix it.  V3 SHOULD have made it impossible.  Any help appreciated.
//
// Also note that the length of the DEMA sampling shouldn't be longer than a 
// candle, which could happen if you made resolution > chartres^2.  For example,
// a chartres=5min and a res=30 setting would cause sampling = 6, which is longer
// than the length of a candle (5 min, b/c chartres=5 min)
/////////////////////////////////////////////////////////////////////


fastPeriod    = input(title="fastPeriod",defval=4, minval=1)
slowPeriod = input(title="slowPeriod",defval=31, minval=1) 
resInteger = input(title="resolution",defval=98)
// The parameters above that work well highly oscillating sideways markets,
// struggle with longer-term trends, particularly strong ones, where there's the
// potential for a lot of loss or strong gain. To make sure we don't get burned 
// by long term losses, a stoploss mechanism is implemented to compensate.
// *stoplossPercent* is the point at which it becomes useful to "panic sell".
// *letitRidePercent* is the point beyond which it's more profitable NOT to panic sell.
// Like the periods, these values will have to be tuned to a particuliar market behavior.
stoplossPercent    = input(title="stopLossPercentage",type=float,defval=2, minval=1, maxval=100)
letitRidePercent = input(title="letItRidePercentage",type=float,defval=3, minval=1, maxval=100)

//To try to recapture the value of the long term strong-uptrends, first we 
// detected when we are in strong uptrend mode, by using an indicator (uptrend?)
// Then, if we are in strong uptrend mode, we use a different
// set of variables for fast/slow periods that's better suited to that situation.

uptrendFastPeriod = input(title="Uptrend FastPeriod",defval=4, minval=1) 
uptrendSlowPeriod = input(title="Uptrend SlowPeriod",defval=16, minval=1) 
//uptrendResInteger = input(title="Uptrend resolution",defval=98)

// Now that we have everything setup, for each bar we calculate the difference of emas for the downtrend/uptrend situations
res = tostring(resInteger) 
sampling =  (resInteger / timeframe.period )
demaFastNormal = security(syminfo.tickerid, res, 2 * ema(close, fastPeriod) - ema(ema(close, fastPeriod), fastPeriod))
demaSlowNormal = security(syminfo.tickerid,res, 2 * ema(close, slowPeriod) - ema(ema(close, slowPeriod), slowPeriod)  )
demaFastUT = security(syminfo.tickerid, res, 2 * ema(close, uptrendFastPeriod) - ema(ema(close, uptrendFastPeriod), uptrendFastPeriod))
demaSlowUT = security(syminfo.tickerid,res, 2 * ema(close, uptrendSlowPeriod) - ema(ema(close, uptrendSlowPeriod), uptrendSlowPeriod)  )

// now, based on our uptrend indicator, we decide which of the two line pairs to
// use to determine the crossover signals that tell us to buy/sell.
demaFast = uptrend? demaFastUT:demaFastNormal
demaSlow =  uptrend? demaSlowUT:demaSlowNormal


//  Now, we calculate the crossover signals.
// **IMPORTANT TRADING NOTE** :  You should buy/sell on the CLOSE of the
// highlighted bar with the  signal, to adhere to back-tested results!
// (Technically, the open of the NEXT bar, but these are usually effectively the same.)  
// Note that if you check "calculate on every tick", you might be decieved until 
// you reload the page, this is NOT, however, a repaint issue, as after the bar 
// after the signal closes there is a consistent buy/sell indicator at the open 
// price of the bar after the the signal, which is basically as close to same as
// the close price of the signal (red/green highlighted) bar.

buy = crossover(demaSlow[sampling], demaFast[sampling])
stoploss = ( strategy.openprofit <-1*stoplossPercent/100*strategy.equity) and not ( strategy.openprofit < -1*letitRidePercent/100*strategy.equity )
sell = strategy.opentrades!=0 and (crossunder(demaSlow[sampling], demaFast[sampling]) or crossover(ret,close) ) and not stoploss // "and not stoploss" here helps us not over-color when both conditions are true.  The stoploss is more interesting than a regular sell condition


///////////////////////////////////////
// PLOTTING SECTION 
// This is a collected place for Plotting and coloring all the things 
// for easy toggling on/off.
///////////////////////////////////////

//plot(buyPrice, title="BuyPriceLine", color = purple )   // For a study, this replaces the strategy.openprofit way to guard against stoploss
plot(demaFast)   // These are the crossover lines that trigger the buy/sell
plot(demaSlow)




bgcolor( buy ? lime : na, transp=50)
bgcolor( stoploss ? orange : na, transp=10)
bgcolor( sell ? red : na, transp=50)
bgcolor( strategy.openprofit < -1*letitRidePercent/100*strategy.equity ? purple : na, transp= 50)

bgcolor( demaSlow[sampling]> demaFast[sampling]  ? lime : na, transp=96)
bgcolor( demaSlow [sampling]< demaFast[sampling]  ? red : na, transp=99)

// the below is for backtesting from different timeframes.  By default it is set to 1/1/2017 at 1:00 AM
startdate=timestamp(2017, 01, 01, 01, 00)   // year , month, day, hour, minute

strategy.entry("BUY", strategy.long, when = buy and (time>=startdate) )
strategy.close("BUY", when = sell or stoploss)