Stratégie de négociation croisée à double moyenne mobile

Auteur:ChaoZhang est là., Date: 2023-11-21 à 12h26
Les étiquettes:

Résumé

Cette stratégie détermine les entrées et les sorties en fonction des signaux de croisement des moyennes mobiles simples doubles (SMA). Plus précisément, la SMA à court terme a une période de 14, tandis que la SMA à long terme a une période de 28. Un signal long est déclenché lorsque la SMA à court terme traverse la SMA à long terme. Inversement, un signal court est déclenché lorsque la SMA à court terme traverse en dessous de la SMA à long terme.

La logique de la stratégie

Inputs
- Paramètres de l'indicateur: définir les périodes pour la SMA rapide et lente
- Prendre des bénéfices et arrêter les pertes: configurer des pourcentages pour prendre des bénéfices et arrêter les pertes
- Gestion de l'argent: fixer le capital initial, les commissions, etc.
Variables

Des variables intermédiaires sont définies pour stocker des valeurs pour le prix de prise de profit, le prix de stop loss, la taille de la position, etc. Cela évite les calculs répétitifs.
Génération du signal

Le croisement SMA est utilisé pour déterminer les signaux longs et courts.
Règles d'entrée

Lorsqu'un signal d'entrée est déclenché, toute position existante dans la direction opposée est aplatie d'abord avant qu'un nouvel ordre ne soit placé basé sur la logique de la stratégie.
Règles de sortie

Les règles de prise de profit et de stop loss sont configurées pour les sorties de position.
Gestion de l'argent

La taille des positions est utilisée pour gérer le risque par transaction.

Les avantages

Une logique simple, facile à comprendre.
Les prélèvements contrôlables
Paramètres à optimiser

Risques et atténuation

Signaux de croisement SMA en retard

Considérez des périodes de SMA plus courtes ou complétez-les par des indicateurs supplémentaires
Risque accru d'arrêt des pertes sur les marchés de gamme

Augmenter le pourcentage de stop-loss ou utiliser des trailing stops
Des paramètres sous-optimaux peuvent amplifier les pertes

Rigoureusement backtest et optimiser les paramètres

Des possibilités d'amélioration

Compléter par des indicateurs supplémentaires

Par exemple, MACD, KD, etc. pour réduire le décalage du signal
Optimiser les périodes SMA

Tester plus de combinaisons de périodes courtes et longues de SMA
Expérience avec d'autres stratégies de prise de profit/arrêt de perte

Par exemple, valeur fixe en dollars, arrêt de trail, etc.

Conclusion

La stratégie a une logique claire et simple, des résultats de backtest prometteurs et est facile à utiliser - adaptée aux traders novices.

/*backtest
start: 2023-10-21 00:00:00
end: 2023-11-20 00:00:00
period: 4h
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/
// © BigJasTrades https://linktr.ee/bigjastrades 

// READ THIS BEFORE USE:
// This code is provided as an example strategy for educational purposes only.  It comes with NO warranty or claims of performance.
// It should be used as a basis for your own learning and development and to create your own strategies.
// It is NOT provided to enable you to profitably trade. 
// If you use this code or any part of it you agree that you have thoroughly tested it and determined that it is suitable for your own purposes prior to use.
// If you use this code or any part of it you agree that you accept all risk and you are responsibile for the results.

//@version=5
strategy(title = "Strategy Template", shorttitle = "ST v1.0", overlay = true, pyramiding = 1, initial_capital = 1000, commission_type = strategy.commission.percent, commission_value = 0.1, max_labels_count = 500)

//INPUTS
//indicator values
shortSMAlength              = input.int(defval = 14, title = "Short SMA Length", tooltip = "Set the length of the short simple moving average here.", minval = 1, step = 1, group = "Indicator Settings")
longSMAlength               = input.int(defval = 28, title = "Long SMA Length", tooltip = "Set the length of the long simple moving average here.", minval = 1, step = 1, group = "Indicator Settings")
//compounding
compoundingSelected         = input.bool(defval = true, title = "Compounding", tooltip = "Select this option if you want to compound your net profits.", group = "Compounding")
//take profit and stop loss
takeProfitSelected          = input.bool(defval = true, title = "Use Take Profit", tooltip = "Select this to enable take profits.", group = "Take Profit and Stop Loss")
takeProfitPercent           = input.float(defval = 1.0, title = "Take Profit %", tooltip = "Set the value of take profits here.", minval = 0.1, step = 0.1, group = "Take Profit and Stop Loss")
stopLossSelected            = input.bool(defval = true, title = "Use Stop Loss", tooltip = "Select this to enable stop losses.", group = "Take Profit and Stop Loss")
stopLossPercent             = input.float(defval = 1.0, title = "Take Profit %", tooltip = "Set the value of stop losses here.", minval = 0.1, step = 0.1, group = "Take Profit and Stop Loss")
//trading window
startDate                   = input(defval = timestamp("1 Jan 2023 00:00:00"), title = "Start Date", tooltip = "Use this to set the date and time when Viva will start placing trades.  Set this to a time just after the last candle when activating auto trading.", group = "TRADING WINDOW")
endDate                     = input(defval = timestamp("1 Jan 2030 00:00:00"), title = "End Date", tooltip = "Use this to set the date and time when Viva will stop placing trades.", group = "TRADING WINDOW")

//VARIABLES
var float tradingCapital    = na //trading capital is used to calculate position size based on the intitial capital and, if compounding is selected, also the net profit
var float positionSize      = na //position size is used to set the quantity of the asset you want to buy.  It is based on the initial capital and the net profit if compounding is selected.
var float takeProfitPrice   = na //this is used for take profit targets if selected
var float stopLossPrice     = na //this is used for stop loss if selected

inTradeWindow               = true
strategy.initial_capital = 50000
//COMPOUNDING
if compoundingSelected // set the tradingCapital available to the strategy based on wither Compounding has been selected or not.  This will be used to determine the position size.
    tradingCapital := strategy.initial_capital + strategy.netprofit
else
    tradingCapital := strategy.initial_capital

//ENTRY CONDITIONS
//replace these with your own conditions
longCondition = ta.crossover(source1 = ta.sma(source = close, length = shortSMAlength), source2 =  ta.sma(source = close, length =longSMAlength))
shortCondition = ta.crossunder(source1 = ta.sma(source = close, length = shortSMAlength), source2 = ta.sma(source = close, length = longSMAlength))

//EXIT CONDITIONS
//Exit conditions are based on stop loss, take profit and the opposite entry condition being present.  Stop Loss and Take Profit are contained in the strategy.exit code below and are based on the value assigned in the Inputs.


//ENTRY ORDERS
//Enter Long
if longCondition and inTradeWindow
    //close any prior short positions
    if strategy.position_size < 0 //if in a short position
        strategy.close_all(comment = "Buy to Close")
    //set position size
    positionSize := tradingCapital / close
    //enter long position
    strategy.entry(id = "Buy to Open", direction =  strategy.long, qty = positionSize)

//Enter Short
if shortCondition and inTradeWindow
    //close any prior long positions
    if strategy.position_size > 0 //if in a long position
        strategy.close_all(comment = "Sell to Close")
    //set position size
    positionSize := tradingCapital / close
    //enter short position
    strategy.entry(id = "Sell to Open", direction =  strategy.short, qty = positionSize)

//IN-ORDER MANAGEMENT
//placeholder - none used in this template


//EXIT ORDERS
//Stop Loss and Take Profit for Long Positions
if strategy.opentrades > 0 and strategy.position_size > 0 and (takeProfitSelected or stopLossSelected)   //if there is an open position and it is a long position and either a take profit or sto ploss is selected.
    if takeProfitSelected
        takeProfitPrice := strategy.position_avg_price * (1 + (takeProfitPercent / 100))
    else
        takeProfitPrice := na
    if stopLossSelected
        stopLossPrice := strategy.position_avg_price * (1 - (stopLossPercent / 100))
    else
        stopLossPrice := na
    strategy.exit(id = "Exit", from_entry = "Buy to Open", qty_percent = 100, profit = takeProfitPrice, loss = stopLossPrice, comment_profit = "Take Profit", comment_loss = "Stop Loss")

//Stop Loss and Take Profit for Short Positions
if strategy.opentrades > 0 and strategy.position_size < 0 and (takeProfitSelected or stopLossSelected)   //if there is an open position and it is a short position and either a take profit or sto ploss is selected.
    if takeProfitSelected
        takeProfitPrice := strategy.position_avg_price * (1 - (takeProfitPercent / 100))
    else
        takeProfitPrice := na
    if stopLossSelected
        stopLossPrice := strategy.position_avg_price * (1 + (stopLossPercent / 100))
    else
        stopLossPrice := na
    strategy.exit(id = "Exit", from_entry = "Buy to Open", qty_percent = 100, profit = takeProfitPrice, loss = stopLossPrice, comment_profit = "Take Profit", comment_loss = "Stop Loss")


//VISUALISATIONS
plot(series = ta.sma(source = close, length = shortSMAlength), title = "Short SMA", color = color.new(color = color.red, transp = 50), linewidth = 2)
plot(series = ta.sma(source = close, length = longSMAlength), title = "Long SMA", color = color.new(color = color.blue, transp = 50), linewidth = 2)

bgcolor(color = longCondition ? color.new(color = color.green, transp = 95) : na, title = "Long")
bgcolor(color = shortCondition ? color.new(color = color.red, transp = 95) : na, title = "Short")

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