Strategi ini disebut
Logika spesifiknya adalah:
Menghitung kisaran harga tertinggi dan terendah selama periode tertentu sebagai sinyal masuk. entri dipicu ketika harga keluar dari kisaran.
Setelah masuk, penghentian ATR yang lebih ketat digunakan pada awalnya, ditetapkan pada 1,5 kali nilai ATR, untuk membatasi kerugian pasca masuk.
Saat trading holding, stop akan beralih ke looser 4 kali ATR. Stop akan menjaga harga tetap rendah namun memungkinkan lebih banyak ruang bagi tren untuk diperpanjang.
Tingkat stop selalu melacak harga terendah (dagang panjang) atau harga tertinggi (dagang pendek) dan menyesuaikan dengan fluktuasi harga, mencapai efek stop trailing.
Ketika harga turun di bawah level stop (panjang) atau naik di atasnya (pendek), stop loss dipicu.
Keuntungan dari strategi ini adalah menggunakan mekanisme stop loss adaptif untuk memastikan pengendalian risiko sambil menghindari stop out prematur.
Kesimpulannya, stop trailing dinamis adalah cara penting untuk meningkatkan profitabilitas.
/*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)