Strategi trailing stop ATR adaptif
ChaoZhang
Strategi ini disebut dengan Strategi Stop Tracking ATR Adaptif. Strategi ini menggunakan indikator ATR untuk menetapkan titik stop loss dan mengubah stop loss dari ketat menjadi longgar setelah entry, dengan tujuan untuk melacak tren dan mengendalikan risiko.
Logika spesifik dari strategi ini adalah sebagai berikut:
Berhitung harga tertinggi dan harga terendah dalam jangka waktu tertentu sebagai sinyal masuk, menghasilkan sinyal masuk ketika harga menembus batas tersebut.
Setelah masuk, awalnya menggunakan ATR stop loss yang lebih ketat, dengan titik stop loss tetap 1,5 kali nilai ATR. Hal ini dapat membatasi kerugian setelah masuk.
Pada tahap memegang, stop loss akan ditransfer ke ATR yang lebih longgar empat kali lipat. Stop loss terus melacak pergerakan harga, tetapi memiliki ruang yang lebih besar untuk memungkinkan permintaan untuk terus berlanjut.
Stop loss akhir selalu melacak harga terendah (multi order) atau harga tertinggi (blank order), disesuaikan dengan fluktuasi harga, untuk mencapai efek tracking stop loss.
Harga turun di bawah titik stop loss (multiple) atau naik di atas titik stop loss (blank).
Keuntungan dari strategi ini adalah bahwa dengan menggunakan mekanisme stop loss adaptif, baik menjamin pengendalian risiko dan juga menghindari stop loss prematur. Namun, parameter dan kelipatan ATR perlu dioptimalkan, dan strategi stop loss digunakan untuk menilai tren.
Secara keseluruhan, stop loss tracking secara dinamis adalah cara penting untuk meningkatkan probabilitas keuntungan dari strategi. Penggunaan stop loss yang fleksibel dapat lebih baik mempertahankan keuntungan tren dan mengendalikan risiko.
/*backtest
start: 2023-08-13 00:00:00
end: 2023-09-12 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/
//@version=4
//@author=Takazudo
strategy("ATR trailing SL tight to slack [Takazudo]",
overlay=true,
default_qty_type=strategy.fixed,
initial_capital=0,
currency=currency.USD)
posSize = strategy.position_size
hasNoPos = posSize == 0
hasLongPos = posSize > 0
hasShortPos = posSize < 0
//============================================================================
// consts, inputs
//============================================================================
// colors
var COLOR_SL_LINE = color.new(#e0f64d, 20)
var COLOR_SL_LINE_THIN = color.new(#e0f64d, 90)
var COLOR_ENTRY_BAND = color.new(#43A6F5, 30)
var COLOR_TRANSPARENT = color.new(#000000, 100)
// Entry strategy
_g1 = 'Entry strategy'
var config_entryBandBars = input(defval = 100, title = "Entry band bar count", minval=1, group=_g1)
_g2 = 'ATR SL'
var config_slAtr_length = input(24, title = "Trailing stop ATR Length", group=_g2)
var config_slAtr_multi1 = input(1.5, title = "Trailing stop ATR Multiple on tight", type=input.float, step=0.1, group=_g2)
var config_slAtr_multi2 = input(4, title = "Trailing stop ATR Multiple on slack", type=input.float, step=0.1, group=_g2)
_g3 = 'Backtesting range'
var config_fromYear = input(defval = 2016, title = "From Year", minval = 1970, group=_g3)
var config_fromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12, group=_g3)
var config_fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31, group=_g3)
var config_toYear = input(defval = 2021, title = "To Year", minval = 1970, group=_g3)
var config_toMonth = input(defval = 4, title = "To Month", minval = 1, maxval = 12, group=_g3)
var config_toDay = input(defval = 5, title = "To Day", minval = 1, maxval = 31, group=_g3)
//============================================================================
// Range Edge calculation
//============================================================================
f_calcEntryBand_high() =>
_highest = max(open[3], close[3])
for i = 4 to (config_entryBandBars - 1)
_highest := max(_highest, open[i], close[i])
_highest
f_calcEntryBand_low() =>
_lowest = min(open[3], close[3])
for i = 4 to (config_entryBandBars - 1)
_lowest := min(_lowest, open[i], close[i])
_lowest
entryBand_high = f_calcEntryBand_high()
entryBand_low = f_calcEntryBand_low()
entryBand_height = entryBand_high - entryBand_low
plot(entryBand_high, color=COLOR_ENTRY_BAND, linewidth=1)
plot(entryBand_low, color=COLOR_ENTRY_BAND, linewidth=1)
rangeBreakDetected_long = entryBand_high < close
rangeBreakDetected_short = entryBand_low > close
shouldMakeEntryLong = (strategy.position_size == 0) and rangeBreakDetected_long
shouldMakeEntryShort = (strategy.position_size == 0) and rangeBreakDetected_short
//============================================================================
// ATR based stuff
//============================================================================
sl_atrHeight_tight = atr(config_slAtr_length) * config_slAtr_multi1
sl_atrHeight_slack = atr(config_slAtr_length) * config_slAtr_multi2
sl_tight_bull = min(open, close) - sl_atrHeight_tight
sl_tight_bear = max(open, close) + sl_atrHeight_tight
sl_slack_bull = min(open, close) - sl_atrHeight_slack
sl_slack_bear = max(open, close) + sl_atrHeight_slack
plot(sl_tight_bull, color=COLOR_SL_LINE_THIN, transp=0, linewidth=1)
plot(sl_tight_bear, color=COLOR_SL_LINE_THIN, transp=0, linewidth=1)
plot(sl_slack_bull, color=COLOR_SL_LINE_THIN, transp=0, linewidth=1)
plot(sl_slack_bear, color=COLOR_SL_LINE_THIN, transp=0, linewidth=1)
//============================================================================
// Sl
//============================================================================
var trailingSl_long = hl2
var trailingSl_short = hl2
trailingSl_long := if hasLongPos
max(trailingSl_long, sl_slack_bull)
else
sl_tight_bull
trailingSl_short := if hasShortPos
min(trailingSl_short, sl_slack_bear)
else
sl_tight_bear
color_sl_long = hasLongPos ? COLOR_SL_LINE : COLOR_TRANSPARENT
color_sl_short = hasShortPos ? COLOR_SL_LINE : COLOR_TRANSPARENT
plot(trailingSl_long, color=color_sl_long, transp=0, linewidth=2)
plot(trailingSl_short, color=color_sl_short, transp=0, linewidth=2)
//============================================================================
// make entries
//============================================================================
// Calculate start/end date and time condition
startDate = timestamp(config_fromYear, config_fromMonth, config_fromDay, 00, 00)
finishDate = timestamp(config_toYear, config_toMonth, config_toDay, 00, 00)
if (true)
if shouldMakeEntryLong
strategy.entry(id="Long", long=true, stop=close)
if shouldMakeEntryShort
strategy.entry(id="Short", long=false, stop=close)
strategy.exit('Long-SL/TP', 'Long', stop=trailingSl_long)
strategy.exit('Short-SL/TP', 'Short', stop=trailingSl_short)