Stratégie de suivi de tendance basée sur les moyennes mobiles

Date de création: 2024-01-24 14:24:36 Dernière modification: 2024-01-24 14:24:36

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Stratégie de suivi de tendance basée sur les moyennes mobiles

Aperçu

La stratégie est une simple stratégie de suivi de tendance basée sur des moyennes mobiles. Elle permet de juger de la direction de la tendance actuelle et de la durée de la tendance en comparant les moyennes mobiles de différentes périodes.

Principe de stratégie

La stratégie utilise 4 moyennes mobiles de différentes périodes: les lignes de 5 jours, 10 jours, 15 jours et 25 jours. Ces 4 moyennes sont appelées MA1, MA2, MA3 et MA4. Parmi elles, MA1 est la plus courte et MA4 la plus longue.

Lorsque MA1>MA2>MA3>MA4 indique que le prix est dans une tendance à la hausse, faites plus; lorsque MA1

Les conditions d’ouverture d’une position en plus et en moins doivent également satisfaire au filtre de stop-loss ATR, c’est-à-dire que la valeur ATR est supérieure à la moyenne mobile simple à 40 cycles de l’ATR, ce qui évite que les fluctuations de prix émettent un faux signal après une heure.

Avantages stratégiques

Cette stratégie présente les avantages suivants:

Les idées sont simples, faciles à comprendre et à mettre en œuvre.
Les moyennes mobiles multicouches permettent de déterminer la direction de la tendance de manière fiable.
Le stop loss est un paramètre qui permet de contrôler efficacement la perte maximale d’une transaction.
Les filtres ATR empêchent les signaux erronés d’être émis après une heure de fluctuation des prix.

Analyse des risques

La stratégie présente également les risques suivants:

Il est facile de se tromper dans un marché très volatile.
Des paramètres incorrects (par exemple, la périodicité de la moyenne) peuvent entraîner une mauvaise efficacité de la stratégie.
Le prix de l’article est basé sur les informations les plus basiques et les plus importantes.

Pour réduire ces risques, il est possible d’optimiser les paramètres de manière appropriée ou d’ajouter d’autres conditions de filtre pour améliorer la stabilité de la stratégie.

Direction d’optimisation

La stratégie est optimisée pour:

Tester différentes combinaisons de paramètres de périodes de moyennes mobiles pour trouver le paramètre optimal.
Ajout de filtres d’autres indicateurs techniques, tels que MACD, KDJ et autres pour juger de la fiabilité du signal.
Augmenter le filtrage du volume des transactions, en ne les effectuant que si le volume est élevé.
Optimisation des paramètres en fonction de la différence de paramètres entre les différentes variétés.
Les algorithmes d’apprentissage de la machine ont augmenté les signaux de jugement.

Résumer

L’ensemble de la stratégie est une stratégie de suivi de tendance relativement simple, qui permet de déterminer la direction de la tendance à l’aide de moyennes mobiles et de définir des arrêts et pertes raisonnables pour contrôler le niveau de risque. Il y a encore beaucoup de possibilités d’optimisation de la stratégie. La stabilité et la rentabilité de la stratégie peuvent être encore améliorées par l’ajustement des paramètres et l’ajout de filtres.

Code source de la stratégie

/*backtest
start: 2023-01-17 00:00:00
end: 2024-01-23 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/
// © fpemehd
// @version=5

// # ========================================================================= #
// #                   |   STRATEGY  |
// # ========================================================================= #

strategy(title = 'MA Simple Strategy with SL & TP & ATR Filters',
      shorttitle = 'MA Strategy',
      overlay = true,
      pyramiding = 0,
      default_qty_type = strategy.percent_of_equity,
      default_qty_value = 100,
      commission_type  = strategy.commission.percent,
      commission_value = 0.1,
      initial_capital = 100000,
      max_lines_count = 150,
      max_labels_count = 300)

// # ========================================================================= #
// #                          Inputs
// # ========================================================================= #

// 1. Time
i_start = input (defval = timestamp("20 Jan 1990 00:00 +0900"), title = "Start Date", tooltip = "Choose Backtest Start Date", inline = "Start Date", group = "Time" ) 
i_end = input (defval = timestamp("20 Dec 2030 00:00 +0900"), title = "End Date", tooltip = "Choose Backtest End Date", inline = "End Date", group = "Time" ) 
c_timeCond = true

// 2. Inputs for direction: Long? Short? Both? 
i_longEnabled = input.bool(defval = true , title = "Long?", tooltip = "Enable Long Position Trade?", inline = "Long / Short", group = "Long / Short" )
i_shortEnabled = input.bool(defval = true , title = "Short?", tooltip = "Enable Short Position Trade?", inline = "Long / Short", group = "Long / Short" )

// 3. Use Filters? What Filters?
i_ATRFilterOn = input.bool(defval = true , title = "ATR Filter On?", tooltip = "ATR Filter On?", inline = "ATR Filter", group =  "Filters") 
i_ATRSMALen = input.int(defval = 40 , title = "SMA Length for ATR SMA", minval = 1 , maxval = 100000 , step = 1 , tooltip = "ATR should be bigger than this", inline = "ATR Filter", group = "Filters") 

// 3. Shared inputs for Long and Short
//// 3-1. Inputs for Stop Loss Type: normal? or trailing? 
//// If trailing, always trailing or trailing after take profit order executed?
i_useSLTP = input.bool(defval =  true, title = "Enable SL & TP?", tooltip = "", inline = "Enable SL & TP & SL Type", group = "Shared Inputs") 
i_tslEnabled = input.bool(defval = false , title = "Enable Trailing SL?", tooltip = "Enable Stop Loss & Take Profit? \n\Enable Trailing SL?", inline = "Enable SL & TP & SL Type", group = "Shared Inputs") 
// i_tslAfterTP = input.bool(defval = true , title = "Enable Trailing SL after TP?", tooltip = "Enable Trailing SL after TP?", inline = "Trailing SL Execution", group = "Shared Inputs") 
i_slType = input.string(defval = "ATR", title = "Stop Loss Type", options = ["Percent", "ATR"], tooltip = "Stop Loss based on %? ATR?", inline = "Stop Loss Type", group = "Shared Inputs") 
i_slATRLen = input.int(defval = 14, title = "ATR Length", minval = 1 , maxval = 200 , step = 1, inline = "Stop Loss ATR", group = "Shared Inputs")  
i_tpType = input.string(defval = "R:R", title = "Take Profit Type", options = ["Percent", "ATR", "R:R"], tooltip = "Take Profit based on %? ATR? R-R ratio?", inline = "Take Profit Type", group = "Shared Inputs") 

//// 3-2. Inputs for Quantity
i_tpQuantityPerc = input.float(defval = 50, title = 'Take Profit Quantity %', minval = 0.0, maxval = 100, step = 1.0, tooltip = '% of position when tp target is met.', group = 'Shared Inputs')

// 4. Inputs for Long Stop Loss & Long Take Profit

i_slPercentLong = input.float(defval = 3, title = "SL Percent", tooltip = "", inline = "Percent > Long Stop Loss / Take Profit Percent", group = "Long Stop Loss / Take Profit") 
i_tpPercentLong = input.float(defval = 3, title = "TP Percent", tooltip = "Long Stop Loss && Take Profit Percent?", inline = "Percent > Long Stop Loss / Take Profit Percent", group = "Long Stop Loss / Take Profit") 
i_slATRMultLong = input.float(defval = 3, title = "SL ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "Long Stop Loss / Take Profit ATR", group = "Long Stop Loss / Take Profit") 
i_tpATRMultLong = input.float(defval = 3, title = "TP ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "ATR > Long Stop Loss && Take Profit ATR Multiplier? \n\Stop Loss = i_slATRMultLong * ATR (i_slATRLen) \n\Take Profit = i_tpATRMultLong * ATR (i_tpATRLen)", inline = "Long Stop Loss / Take Profit ATR", group = "Long Stop Loss / Take Profit") 
i_tpRRratioLong = input.float(defval = 1.8, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "R:R Ratio", group = "Long Stop Loss / Take Profit") 

// 5. Inputs for Short Stop Loss & Short Take Profit
i_slPercentShort = input.float(defval = 3, title = "SL Percent", tooltip = "", inline = "Percent > Short Stop Loss / Take Profit Percent", group = "Short Stop Loss / Take Profit") 
i_tpPercentShort = input.float(defval = 3, title = "TP Percent", tooltip = "Short Stop Loss && Take Profit Percent?", inline = "Percent > Short Stop Loss / Take Profit Percent", group = "Short Stop Loss / Take Profit") 
i_slATRMultShort = input.float(defval = 3, title = "SL ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "ATR > Short Stop Loss / Take Profit ATR", group = "Short Stop Loss / Take Profit") 
i_tpATRMultShort = input.float(defval = 3, title = "TP ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "ATR > Short Stop Loss && Take Profit ATR Multiplier? \n\Stop Loss = i_slATRMultShort * ATR (i_slATRLen) \n\Take Profit = i_tpATRMultShort * ATR (i_tpATRLen)", inline = "ATR > Short Stop Loss / Take Profit ATR", group = "Short Stop Loss / Take Profit") 
i_tpRRratioShort = input.float(defval = 1.8, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "R:R Ratio", group = "Short Stop Loss / Take Profit") 

// 6. Inputs for logic
i_MAType = input.string(defval = "RMA", title = "MA Type", options = ["SMA", "EMA", "WMA", "HMA", "RMA", "VWMA", "SWMA", "ALMA", "VWAP"], tooltip = "Choose MA Type", inline = "MA Type", group = 'Strategy') 
i_MA1Len = input.int(defval = 5, title = 'MA 1 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_MA2Len = input.int(defval = 10, title = 'MA 2 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_MA3Len = input.int(defval = 15, title = 'MA 3 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_MA4Len = input.int(defval = 25, title = 'MA 4 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_ALMAOffset = input.float(defval = 0.7 , title = "ALMA Offset Value", tooltip = "The Value of ALMA offset", inline = "ALMA Input", group = 'Strategy')
i_ALMASigma = input.float(defval = 7 , title = "ALMA Sigma Value", tooltip = "The Value of ALMA sigma", inline = "ALMA Input", group = 'Strategy')

// # ========================================================================= #
// #                          Entry, Close Logic
// # ========================================================================= #

bool i_ATRFilter = ta.atr(length = i_slATRLen) >= ta.sma(source = ta.atr(length = i_slATRLen), length = i_ATRSMALen) ? true : false

// calculate Technical Indicators for the Logic

getMAValue (source, length, almaOffset, almaSigma) => 
    switch i_MAType 
        'SMA' => ta.sma(source = source, length = length) 
        'EMA' => ta.ema(source = source, length = length) 
        'WMA' => ta.wma(source = source, length = length) 
        'HMA' => ta.hma(source = source, length = length) 
        'RMA' => ta.rma(source = source, length = length) 
        'SWMA' => ta.swma(source = source) 
        'ALMA' => ta.alma(series = source, length = length, offset = almaOffset, sigma = almaSigma) 
        'VWMA' => ta.vwma(source = source, length = length) 
        'VWAP' => ta.vwap(source = source)
        => na 

float c_MA1 = getMAValue(close, i_MA1Len, i_ALMAOffset, i_ALMASigma)
float c_MA2 = getMAValue(close, i_MA2Len, i_ALMAOffset, i_ALMASigma)
float c_MA3 = getMAValue(close, i_MA3Len, i_ALMAOffset, i_ALMASigma)
float c_MA4 = getMAValue(close, i_MA4Len, i_ALMAOffset, i_ALMASigma)

// Logic: 정배열 될 떄 들어가
var ma1Color = color.new(color.red, 0)
plot(series = c_MA1, title = 'SMA 1', color = ma1Color, linewidth = 1, style = plot.style_line)
var ma2Color = color.new(color.orange, 0)
plot(series = c_MA2, title = 'SMA 2', color = ma2Color, linewidth = 1, style = plot.style_line)
var ma3Color = color.new(color.yellow, 0)
plot(series = c_MA3, title = 'SMA 3', color = ma3Color, linewidth = 1, style = plot.style_line)
var ma4Color = color.new(color.green, 0)
plot(series = c_MA4, title = 'SMA 4', color = ma4Color, linewidth = 1, style = plot.style_line)

bool openLongCond = (c_MA1 >= c_MA2 and c_MA2 >= c_MA3 and c_MA3 >= c_MA4) 
bool openShortCond = (c_MA1 <= c_MA2 and c_MA2 <= c_MA3 and c_MA3 <= c_MA4)

bool openLong = i_longEnabled and openLongCond and (not i_ATRFilterOn or i_ATRFilter)
bool openShort = i_shortEnabled and openShortCond and (not i_ATRFilterOn or i_ATRFilter)

openLongCondColor = openLongCond ? color.new(color = color.blue, transp = 80) : na
bgcolor(color = openLongCondColor)
ATRFilterColor = i_ATRFilter ? color.new(color = color.orange, transp = 80) : na 
bgcolor(color = ATRFilterColor)

bool enterLong = openLong and not (strategy.opentrades.size(strategy.opentrades-1) > 0)
bool enterShort = openShort and not (strategy.opentrades.size(strategy.opentrades-1) < 0)

bool closeLong = i_longEnabled and (c_MA1[1] >= c_MA2[1] and c_MA2[1] >= c_MA3[1] and c_MA3[1] >= c_MA4[1]) and not (c_MA1 >= c_MA2 and c_MA2 >= c_MA3 and c_MA3 >= c_MA4) 
bool closeShort = i_shortEnabled and (c_MA1[1] <= c_MA2[1] and c_MA2[1] <= c_MA3[1] and c_MA3[1] <= c_MA4[1]) and not (c_MA1 <= c_MA2 and c_MA2 <= c_MA3 and c_MA3 <= c_MA4)

// # ========================================================================= #
// #                          Position, Status Conrtol
// # ========================================================================= #

// longisActive: New Long || Already Long && not closeLong, short is the same
bool longIsActive = enterLong or strategy.opentrades.size(strategy.opentrades - 1) > 0 and not closeLong
bool shortIsActive = enterShort or strategy.opentrades.size(strategy.opentrades - 1) < 0 and not closeShort

// before longTPExecution: no trailing SL && after longTPExecution: trailing SL starts
// longTPExecution qunatity should be less than 100% 
bool longTPExecuted = false
bool shortTPExecuted = false

// # ========================================================================= #
// #                          Long Stop Loss Logic
// # ========================================================================= #
float openAtr = ta.valuewhen(enterLong or enterShort, ta.atr(i_slATRLen), 0)

f_getLongSL (source) => 
    switch i_slType
        'Percent' => source * (1 - (i_slPercentLong/100))
        'ATR' => source - i_slATRMultLong * openAtr
        => na

var float c_longSLPrice = na
c_longSLPrice := if (longIsActive)
    if (enterLong)
        f_getLongSL(close)
    else
        c_stopPrice = f_getLongSL(i_tslEnabled ? high : strategy.opentrades.entry_price(trade_num = strategy.opentrades - 1))
        math.max(c_stopPrice, nz(c_longSLPrice[1]))
else
    na

// # ========================================================================= #
// #                          Short Stop Loss Logic
// # ========================================================================= #
f_getShortSL (source) => 
    switch i_slType
        'Percent' => source * (1 + (i_slPercentShort)/100)
        'ATR' => source + i_slATRMultShort * openAtr
        => na

var float c_shortSLPrice = na
c_shortSLPrice := if (shortIsActive)
    if (enterShort)
        f_getShortSL (close)
    else
        c_stopPrice = f_getShortSL(i_tslEnabled ? low : strategy.opentrades.entry_price(strategy.opentrades - 1))
        math.min(c_stopPrice, nz(c_shortSLPrice[1], 999999.9))
else
    na

// # ========================================================================= #
// #                          Long Take Profit Logic
// # ========================================================================= #

f_getLongTP () => 
    switch i_tpType
        'Percent' => close * (1 + (i_tpPercentLong/100))
        'ATR' => close + i_tpATRMultLong * openAtr
        'R:R' => close + i_tpRRratioLong * (close - f_getLongSL(close))
        => na

var float c_longTPPrice = na
c_longTPPrice := if (longIsActive and not longTPExecuted)
    if (enterLong)
        f_getLongTP()
    else 
        nz(c_longTPPrice[1], f_getLongTP())
else
    na

longTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) > 0 and (longTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) < strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and high >= c_longTPPrice)

// # ========================================================================= #
// #                          Short Take Profit Logic
// # ========================================================================= #

f_getShortTP () => 
    switch i_tpType
        'Percent' => close * (1 - (i_tpPercentShort/100))
        'ATR' => close - i_tpATRMultShort * openAtr
        'R:R' => close - i_tpRRratioShort * (close - f_getLongSL(close))
        => na

var float c_shortTPPrice = na
c_shortTPPrice := if (shortIsActive and not shortTPExecuted)
    if (enterShort)
        f_getShortTP()
    else
        nz(c_shortTPPrice[1], f_getShortTP())
else
    na

shortTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) < 0 and (shortTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) > strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and low <= c_shortTPPrice)

// # ========================================================================= #
// #                          Make Orders
// # ========================================================================= #

if (c_timeCond)
    if (enterLong)
        strategy.entry(id = "Long Entry", direction = strategy.long , comment = 'Long(' + syminfo.ticker + '): Started', alert_message = 'Long(' + syminfo.ticker + '): Started')

    if (enterShort)
        strategy.entry(id = "Short Entry", direction = strategy.short , comment = 'Short(' + syminfo.ticker + '): Started', alert_message = 'Short(' + syminfo.ticker + '): Started')

    if (closeLong)
        strategy.close(id = 'Long Entry', comment = 'Close Long', alert_message = 'Long: Closed at market price')

    if (closeShort)
        strategy.close(id = 'Short Entry', comment = 'Close Short', alert_message = 'Short: Closed at market price')

    if (longIsActive and i_useSLTP)
        strategy.exit(id = 'Long Take Profit / Stop Loss', from_entry = 'Long Entry', qty_percent = i_tpQuantityPerc, limit = c_longTPPrice, stop = c_longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Take Profit or Stop Loss executed')
        strategy.exit(id = 'Long Stop Loss', from_entry = 'Long Entry', stop = c_longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Stop Loss executed')
    
    if (shortIsActive and i_useSLTP)
        strategy.exit(id = 'Short Take Profit / Stop Loss', from_entry = 'Short Entry', qty_percent = i_tpQuantityPerc, limit = c_shortTPPrice, stop = c_shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Take Profit or Stop Loss executed')
        strategy.exit(id = 'Short Stop Loss', from_entry = 'Short Entry', stop = c_shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Stop Loss executed')

// # ========================================================================= #
// #                          Plot
// # ========================================================================= #

var posColor = color.new(color.white, 0)
plot(series = strategy.opentrades.entry_price(strategy.opentrades - 1), title = 'Position', color = posColor, linewidth = 1, style = plot.style_linebr)

var stopLossColor = color.new(color.maroon, 0)
plot(series = c_longSLPrice, title = 'Long Stop Loss', color = stopLossColor, linewidth = 1, style = plot.style_linebr, offset = 1)
plot(series = c_shortSLPrice, title = 'Short Stop Loss', color = stopLossColor, linewidth = 1, style = plot.style_linebr, offset = 1)

longTPExecutedColor = longTPExecuted ? color.new(color = color.green, transp = 80) : na 
//bgcolor(color = longTPExecutedColor) 
shortTPExecutedColor = shortTPExecuted ? color.new(color = color.red, transp = 80) : na 
//bgcolor(color = shortTPExecutedColor) 
// isPositionOpenedColor = strategy.opentrades.size(strategy.opentrades-1) != 0 ? color.new(color = color.yellow, transp = 90) : na 
// bgcolor(color = isPositionOpenedColor) 

var takeProfitColor = color.new(color.teal, 0)
plot(series = c_longTPPrice, title = 'Long Take Profit', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 1)
plot(series = c_shortTPPrice, title = 'Short Take Profit', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 1)

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