Stratégies de suivi de tendance basées sur plusieurs indicateurs

Date de création: 2024-01-30 17:51:04 Dernière modification: 2024-01-30 17:51:04

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Stratégies de suivi de tendance basées sur plusieurs indicateurs

Aperçu

Cette stratégie identifie les tendances en combinant plusieurs indicateurs et définit des arrêts de suivi des tendances pour bloquer les bénéfices. Les principaux indicateurs utilisés pour déterminer le moment d’entrée sont les bandes de Brin, RSI, ADX, ATR et bandes de Brin.

Principe de stratégie

Les principaux indicateurs de jugement de la stratégie sont les bandes de Brin, le RSI et l’ADX. Lorsqu’un prix est proche de la bande de Brin et que le RSI est inférieur à 30, il est jugé comme étant survendu et plus; lorsqu’un prix est proche de la bande de Brin et que le RSI est supérieur à 70, il est jugé comme étant survendu et plus court.

Après l’ouverture d’une position, la stratégie utilise l’indicateur ATR et le train de bullings pour effectuer un arrêt de perte. En particulier, l’ATR est utilisé pour l’amplitude maximale de la perte, qui est arrêtée lorsque le prix atteint le point de perte maximale; le train de bullings est utilisé pour définir le point de perte de suivi, qui est mis à jour en temps réel pour suivre le prix de perte en fonction de l’activité du prix.

Analyse des avantages

Cette stratégie, combinant plusieurs indicateurs de jugement, permet d’identifier efficacement les tendances; et utilise le mécanisme de stop-loss pour verrouiller les bénéfices et réduire le risque de pertes, est une stratégie relativement robuste. Les avantages spécifiques sont les suivants:

Les bandes de Brin permettent de détecter les situations de survente et de reprise.
La combinaison avec l’indicateur RSI peut augmenter la précision du jugement
L’indicateur ADX détermine les tendances et assure la bonne direction des transactions
ATR et Brinband suivent le stop loss pour maximiser le profit

Analyse des risques

Cette stratégie comporte aussi des risques:

Les paramètres sont trop faciles à optimiser
Les signaux de survente sont moins efficaces lorsque les bandes de Brin sont plus larges.
Un mauvais suivi des pertes peut entraîner une augmentation des pertes

Pour contrer ces risques, nous pouvons prendre les mesures suivantes:

Optimisation des paramètres multicomposés pour éviter une suroptimisation
Adaptation des paramètres des bandes de Bryn en fonction des fluctuations du marché
Tester les paramètres de distance de rupture pour s’assurer qu’ils supportent les fluctuations normales

Direction d’optimisation

Cette stratégie peut également être optimisée dans les directions suivantes:

Augmentation du contrôle des positions et ajustement de la taille des positions en fonction du multiplicateur de stop loss
Ajout d’un module de gestion de l’argent et contrôle strict du seuil de perte unique
Tester d’autres indicateurs de résistance, tels que le DMI, l’Envelop, etc.
Augmenter la probabilité et l’efficacité des modèles d’apprentissage automatique pour détecter les tendances

Résumer

Cette stratégie est globalement une stratégie de suivi de tendance relativement solide. En déterminant la direction de la tendance à l’aide de plusieurs indicateurs et en utilisant des mesures de stop-loss pour contrôler les risques, on obtient un meilleur taux de rendement des gains. Nous avons également proposé plusieurs directions qui peuvent être optimisées et qui peuvent être mieux optimisées.

Code source de la stratégie

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
// THIS SCRIPT IS MEANT TO ACCOMPANY COMMAND EXECUTION BOTS
// THE INCLUDED STRATEGY IS NOT MEANT FOR LIVE TRADING
// THIS STRATEGY IS PURELY AN EXAMLE TO START EXPERIMENTATING WITH YOUR OWN IDEAS
/////////////////////////////////////////////////////////////////////////////////

// comment out the next line to use this script as an alert script
strategy(title="Dragon Bot - Default Script", overlay=true)
// remove the // in the next line to use this script as an alert script
// study(title="Dragon Bot - Default Script", overlay=true)

// Dragon-Bot default script version 2.0
// This can also be used with bot that reacts to tradingview alerts.
// Use the script as "strategy" for backtesting
// Comment out line 8 and de-comment line 10 to be able to set tradingview alerts.
// You should also comment out (place // before it) the lines 360, 364, 368 and 372 (strategy.entry and strategy.close) to be able to set the alerts.
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// In this first part of the script we setup variables and make sure the script keeps all information it used in the past. //
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
longs = 0
longs := nz(longs[1])

shorts = 0
shorts := nz(shorts[1])

buyprice = 0.0
buyprice := buyprice[1]

sellprice = 0.0
sellprice := sellprice[1]

scaler = 0.0
scaler := scaler[1]

sellprofit = input(1.0, minval=0.0, step=0.1, title="main strat profit")
sellproffinal = sellprofit/100

enable_shorts = input(1, minval=0, maxval=1, title="Shorts on/off")

enable_flipping = input(0, minval=0, maxval=1, title="Flipping on/off -> Go directly from long -> short or short -> long without closing ")

enable_stoploss = input(0, minval=0, maxval=1, title="Stoploss on/off")
sellstoploss = input(30.0, minval=0.0, step=1.0, title="Stoploss %")
sellstoplossfinal = sellstoploss/100

enable_trailing = input(1, minval=0, maxval=1, title="Trailing on/off")
enable_trailing_ATR = input(1, minval=0, maxval=1, title="Trailing use ATR on/off")
ATR_Multi = input(1.0, minval=0.0, step=0.1, title="Multiplier for ATR")
selltrailing = input(10.0, minval=0.0, step=1.0, title="Trailing %")
selltrailingfinal = selltrailing/100

Backtestdate = input(0, minval=0, maxval=1, title="backtest date on/off")

// Component Code by pbergden - Start backtest dates
// The following code snippet is taken from an example by pbergen
// All rights to this snippet remain with pbergden
testStartYear = input(2018, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = input(2019, "Backtest Stop Year")
testStopMonth = input(1, "Backtest Stop Month")
testStopDay = input(1, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

// A switch to control background coloring of the test period
testPeriodBackground = input(title="Color Background?", type=bool, defval=true)
testPeriodBackgroundColor = testPeriodBackground and (time >= testPeriodStart) and (time <= testPeriodStop) ? #00FF00 : na
bgcolor(testPeriodBackgroundColor, transp=97)

testPeriod() => true

/////////////////////////////////////////////////////////////////////////////////////////////////////
// In this second part of the script we setup indicators that we can use for our actual algorithm. //
/////////////////////////////////////////////////////////////////////////////////////////////////////


//ATR
lengthtr = input(20, minval=1, title="ATR Length")
ATRsell = input(0, minval=0, title="1 for added ATR when selling")
ATR=rma(tr(true), lengthtr)
Trail_ATR=rma(tr(true), 10) * ATR_Multi
atr = 0.0
if ATRsell == 1
    atr := ATR

//OC2
lengthoc2 = input(20, minval=1, title="OC2 Length")
OC2sell = input(0, minval=0, title="1 for added OC2 when selling")
OC2mult = input(1, minval=1, title="OC2 multiplayer")
OC= abs(open[1]-close)
OC2=rma(OC, lengthoc2)
oc2 = 0.0
if OC2sell == 1
    oc2 := OC2*OC2mult

//ADX
lenadx = input(10, minval=1, title="DI Length")
lensig = input(10, title="ADX Smoothing", minval=1, maxval=50)

up = change(high)
down = -change(low)
plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
trur = rma(tr, lenadx)
plus = fixnan(100 * rma(plusDM, lenadx) / trur)
minus = fixnan(100 * rma(minusDM, lenadx) / trur)
sum = plus + minus
sigadx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), lensig)

//StochRSI
smoothKRSI = input(3, minval=1)
smoothDRSI = input(3, minval=1)
lengthRSI = input(14, minval=1)
lengthStochRSI = input(14, minval=1)
srcRSI = input(close, title="RSI Source")
buyRSI = input(30, minval=1, title="RSI Buy Value")
sellRSI = input(70, minval=1, title="RSI Sell Value")
rsi1 = rsi(srcRSI, lengthRSI)
krsi = sma(stoch(rsi1, rsi1, rsi1, lengthStochRSI), smoothKRSI)
drsi = sma(krsi, smoothDRSI)

// Bollinger bands
lengthbb = input(20, minval=1)
srcbb = input(close, title="Sourcebb")
multbb = input(2.0, minval=0.001, maxval=50)
bb_buy_value = input(0.5, step=0.1, title="BB Buy Value")
bb_sell_value = input(0.5, step=0.1, title="BB Sell Value")
basisbb = sma(srcbb, lengthbb)
devbb = multbb * stdev(srcbb, lengthbb)
upperbb = basisbb + devbb
lowerbb = basisbb - devbb
bbr = (srcbb - lowerbb)/(upperbb - lowerbb)
bbbuy = basisbb - (devbb*bb_buy_value)
bbsell = basisbb + (devbb*bb_sell_value)

//ema very short
shorter = ema(close, 2)
shorterlong = ema(close, 5)

//ema short
short = ema(close, 10)
long = ema(close, 30)

//ema long
shortday = ema(close, 110)
longday = ema(close, 360)

//ema even longer
shortlongerday = ema(close, 240)
longlongerday = ema(close, 720)

//declaring extra timeframe value
profit = request.security(syminfo.tickerid, timeframe.period, close)

        
////////////////////////////////////////////////////////////////////////
// In the 3rd part of the script we define all the entries and exits //
///////// This third part is basically the acual algorithm ////////////
///////////////////////////////////////////////////////////////////////

//Declaring function with the long entries
OPENLONG_funct() =>
    // You can add more buy entries to the script
    longentry1 = false
    longentry2 = false
    longentry3 = false
    longentry4 = false
    longentry5 = false
    makelong_funct = false
    if  close<bbbuy and krsi<buyRSI // You could for instance add "and shortday > longday"
        longentry1 := close>close[1]
        // longentry2 := ...
    // if another thing we want to buy on happens
        // longentry3 := ...
    //All the buy entries go above, this last variable is what the function puts out
    // if you add more entries, add them in the following list too
    makelong_funct := longentry1 or longentry2 or longentry3 or longentry4 or longentry5

//Declaring function wit the short entries
OPENSHORT_funct() =>
    // You can add more buy entries to the script
    shortentry1 = false
    shortentry2 = false
    shortentry3 = false
    shortentry4 = false
    shortentry5 = false
    makeshort_funct = false
    if  close>bbsell and krsi>sellRSI // You could for instance add "and shortday < longday"
        shortentry1 := close<close[1]
        // shortentry2 := ...
    // if another thing we want to buy on happens
        // shortentry3 := ...
    //All the buy entries go above, this last variable is what the function puts out
    // if you add more entries, add them in the following list too
    makeshort_funct := shortentry1 or shortentry2 or shortentry3 or shortentry4 or shortentry5
    
//Declaring function with the long exits
CLOSELONG_funct() =>
    // You can add more buy entries to the script
    longexit1 = false
    longexit2 = false
    longexit3 = false
    longexit4 = false
    longexit5 = false
    closelong_funct = false
    if  close>bbsell and krsi>sellRSI
        longexit1 := close<close[1]
        // longexit2 := ...
    // if another thing we want to close on on happens you can add them here...
    // longexit3 := ...
    //All the buy entries go above, this last variable is what the function puts out
    // if you add more exits, add them in the following list too
    closelong_funct := longexit1 or longexit2 or longexit3 or longexit4 or longexit5

//Declaring function wit the short exits
CLOSESHORT_funct() =>
    // You can add more buy entries to the script
    shortexit1 = false
    shortexit2 = false
    shortexit3 = false
    shortexit4 = false
    shortexit5 = false
    closeshort_funct = false
    if  close<bbsell and krsi<sellRSI
        shortexit1 := close>close[1]
        // shortexit2 := ...
    // if another thing we want to close on on happens you can add them here...
        // shortexit3 := ...
    //All the buy entries go above, this last variable is what the function puts out
    // if you add more exits, add them in the following list too
    closeshort_funct := shortexit1 or shortexit2 or shortexit3 or shortexit4 or shortexit5

/////////////////////////////////////////////////////////////////////////////////////
////////////// End of "entries" and "exits" definition code /////////////////////////
/////////////////////////////////////////////////////////////////////////////////////
/// In the fourth part we do the actual work, as defined in the part before this ////
////////////////////// This part does not need to be changed ////////////////////////
/////////////////////////////////////////////////////////////////////////////////////

//OPEN LONG LOGIC
makelong = false
//buy with backtesting on specific dates
if Backtestdate > 0 and testPeriod()
    if (longs < 1 and shorts < 1) or (short > 0 and enable_flipping > 0 and enable_shorts > 0)
        makelong := OPENLONG_funct()

//buy without backtesting on specific dates
if Backtestdate < 1
    if (longs < 1 and shorts < 1) or (short > 0 and enable_flipping > 0 and enable_shorts > 0)
        makelong := OPENLONG_funct()
    
if makelong
    buyprice := close
    scaler := close
    longs := 1
    shorts := 0
    
//OPEN SHORT LOGIC
makeshort = false

//buy with backtesting on specific dates
if Backtestdate > 0 and testPeriod()
    if (shorts < 1 and longs < 1 and enable_shorts > 0) or (longs > 0 and enable_flipping > 0 and enable_shorts > 0)
        makeshort := OPENSHORT_funct()

//buy without backtesting on specific dates
if Backtestdate < 1
    if (shorts < 1 and longs < 1 and enable_shorts > 0) or (longs > 0 and enable_flipping > 0 and enable_shorts > 0)
        makeshort := OPENSHORT_funct()
    

if makeshort
    buyprice := close
    scaler := close
    shorts := 1
    longs := 0

//Calculating values for traling stop
if longs > 0 and enable_flipping < 1
    if close > scaler+Trail_ATR and enable_trailing_ATR > 0
        scaler := close
    if close > scaler * (1.0 + selltrailingfinal) and enable_trailing_ATR < 1
        scaler := close
if shorts > 0 and enable_flipping < 1
    if close < scaler-Trail_ATR and enable_trailing_ATR > 0
        scaler := close
    if close < scaler * (1.0 - selltrailingfinal) and enable_trailing_ATR < 1
        scaler := close
    
long_exit = false
long_security1 = false
long_security2 = false
long_security3 = false

//CLOSE LONG LOGIC
if longs > 0 and enable_flipping < 1
    if ( (buyprice + (buyprice*sellproffinal) + atr + oc2) < close) and ( (buyprice + (buyprice*sellproffinal) ) < profit)
        long_exit := CLOSELONG_funct()
//security
    if enable_stoploss > 0
        long_security1 := close < ( buyprice * (1.0 - sellstoplossfinal) )
    if enable_trailing > 0 and enable_trailing_ATR < 1
        long_security2 := close < ( scaler * (1.0 - selltrailingfinal) )
    if enable_trailing > 0 and enable_trailing_ATR > 0
        long_security2 := close < ( scaler - Trail_ATR)
        
//CLOSE LONG LOGIC
if longs > 0 and enable_flipping > 0
//security
    if enable_stoploss > 0
        long_security1 := close < ( buyprice * (1.0 - sellstoplossfinal) )
    if enable_trailing > 0 and enable_trailing_ATR < 1
        long_security2 := close < ( scaler * (1.0 - selltrailingfinal) )
    if enable_trailing > 0 and enable_trailing_ATR > 0
        long_security2 := close < ( scaler - Trail_ATR)
        
closelong = long_exit or long_security1 or long_security2 or long_security3 

short_exit = false
short_security1 = false
short_security2 = false
short_security3 = false

if closelong
    longs := 0

//CLOSE SHORT LOGIC
if shorts > 0 and enable_flipping < 1
    if ( (buyprice - (buyprice*(sellproffinal) - atr - oc2) > close) and ( (buyprice - (buyprice*sellproffinal) ) > profit) )
        short_exit := CLOSESHORT_funct()
//security
    if enable_stoploss > 0
        short_security1 := close > ( buyprice * (1.0 + sellstoplossfinal) )
    if enable_trailing > 0 and enable_trailing_ATR < 1
        short_security2 := close > ( scaler * (1.0 + selltrailingfinal) )
    if enable_trailing > 0 and enable_trailing_ATR > 0
        short_security2 := close > ( scaler + Trail_ATR)
if shorts > 0 and enable_flipping > 0
//security
    if enable_stoploss > 0
        short_security1 := close > ( buyprice * (1.0 + sellstoplossfinal) )
    if enable_trailing > 0 and enable_trailing_ATR < 1
        short_security2 := close > ( scaler * (1.0 + selltrailingfinal) )
    if enable_trailing > 0 and enable_trailing_ATR > 0
        short_security2 := close > ( scaler + Trail_ATR)
        
closeshort = short_exit or short_security1 or short_security2 or short_security3

if closeshort
    shorts := 0

///////////////////////////////////////////////////////////////////////////////////////
///////////// The last section takes care of the alerts //////////////////////////////
//////////////////////////////////////////////////////////////////////////////////////
plotshape(makelong, style=shape.arrowup)
alertcondition(makelong, title="openlong", message="openlong")
strategy.entry("BuyLONG", strategy.long, oca_name="DBCross", when= makelong, comment="Open Long")

plotshape(makeshort, style=shape.arrowdown)
alertcondition(makeshort, title="openshort", message="openshort")
strategy.entry("BuySHORT", strategy.short, oca_name="DBCross", when= makeshort, comment="Open Short")

plotshape(closelong, style=shape.arrowdown)
alertcondition(closelong, title="closelong", message="closelong")
strategy.close("BuyLONG", when=closelong)

plotshape(closeshort, style=shape.arrowup)
alertcondition(closeshort, title="closeshort", message="closeshort")
strategy.close("BuySHORT", when=closeshort)

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