Strategi SuperTrend dengan Trailing Stop Loss

Penulis:ChaoZhang, Tanggal: 2023-11-28 14:56:59
Tag:

img

Gambaran umum

Strategi ini merancang garis stop loss bergerak dan garis pembalikan berdasarkan indikator Average True Range (ATR). Ini akan mengikuti stop loss berdasarkan pergerakan harga. Secara khusus, jika pergerakan harga melebihi 1%, stop loss akan bergerak menuju arah keuntungan pada proporsi tetap. Ketika harga menembus garis stop loss, posisi akan ditutup secara otomatis. Ini dapat mengunci keuntungan dan mengurangi kerugian.

Logika Strategi

Strategi ini menggunakan indikator ATR untuk menghitung garis stop loss.

atr = multplierFactor * atr(barsBack)

longStop = hl2 - atr  
shortStop = hl2 + atr

Di mana multiplierFactor adalah multiplier ATR, dan barBack adalah periode ATR. Semakin besar nilai ATR, semakin besar fluktuasi pasar.

Lini stop loss longStop dan shortStop dihitung berdasarkan nilai ATR. Sinyal perdagangan dipicu ketika harga melebihi kedua garis ini.

Selain itu, variabel arah diperkenalkan untuk menentukan arah tren:

direction = 1 
direction := nz(direction[1], direction)
direction := direction == -1 and close > shortStopPrev ? 1 : direction == 1 and close < longStopPrev ? -1 : direction 

Jika arahnya adalah 1, itu menunjukkan tren bullish. Jika arahnya adalah -1, itu menunjukkan tren bearish.

Berdasarkan nilai variabel arah, garis stop loss dengan warna yang berbeda akan ditarik:

if (direction == 1)
    valueToPlot := longStop
    colorToPlot := color.green
else  
    valueToPlot := shortStop 
    colorToPlot := color.red  

Ini jelas menunjukkan arah tren saat ini dan posisi stop loss line.

Penghentian Rugi

Poin utama dari strategi ini adalah pengenalan mekanisme stop loss trailing yang dapat menyesuaikan garis stop loss secara real time berdasarkan pergerakan harga.

Logika spesifiknya adalah:

strategyPercentege = (close - updatedEntryPrice) / updatedEntryPrice * 100.00
rideUpStopLoss = hasOpenTrade() and strategyPercentege > 1 

if (rideUpStopLoss)
    stopLossPercent := stopLossPercent + strategyPercentege - 1.0
    newStopLossPrice = updatedEntryPrice + (updatedEntryPrice * stopLossPercent) / 100
    stopLossPrice := max(stopLossPrice, newStopLossPrice)
    updatedEntryPrice := stopLossPrice

Jika harga naik lebih dari 1% relatif terhadap harga masuk, stop loss akan ditarik ke atas.

Hal ini dapat mengunci lebih banyak keuntungan sambil mengurangi kerugian.

Analisis Keuntungan

Dibandingkan dengan strategi stop loss bergerak tradisional, keuntungan terbesar dari strategi ini adalah bahwa ia dapat secara dinamis menyesuaikan garis stop loss sesuai dengan kondisi pasar.

  1. Mencapai penguncian keuntungan yang lebih tinggi di pasar tren

    Mekanisme stop loss trailing memungkinkan garis stop loss untuk terus bergerak ke arah keuntungan. Ini mengunci keuntungan yang lebih tinggi ketika pasar terus menguat.

  2. Mengurangi risiko stop loss gaping di pasar range bound

    Ketika tren pasar berubah, stop loss bergerak tetap cenderung dilewatkan. Sementara garis stop loss dari strategi ini dihitung berdasarkan volatilitas pasar, yang dapat dengan wajar melacak perubahan harga dan menghindari dilewatkan dalam konsolidasi.

  3. Operasi sederhana, mudah untuk mengotomatisasi

    Strategi ini sepenuhnya didasarkan pada perhitungan indikator tanpa logika penilaian tren yang kompleks.

  4. Parameter yang dapat disesuaikan yang cocok untuk produk yang berbeda

    Parameter seperti periode ATR, faktor pengganda, persentase stop loss dapat disesuaikan.

Analisis Risiko

Meskipun strategi ini memiliki banyak keuntungan, risiko berikut harus dicatat:

  1. Tidak dapat menentukan titik pembalikan tren, ada risiko membeli tinggi dan menjual rendah

    Tidak ada logika dalam strategi ini untuk menentukan apakah tren telah berakhir.

  2. Pengaturan parameter yang tidak benar dapat memperkuat kerugian

    Jika parameter periode ATR diatur terlalu pendek, garis stop loss akan terlalu sensitif dan mungkin sering dipicu oleh pasar yang berosilasi.

  3. Risiko terhenti dari ikan dasar rebound

    Strategi ini tidak mempertimbangkan poin signifikan sebagai dukungan stop loss. sehingga juga dapat dibuang dari pasar selama penurunan jangka pendek.

Untuk mengatasi risiko di atas, optimasi dapat dilakukan dalam aspek berikut:

  1. Menggabungkan indikator penyaringan tren untuk memprediksi pembalikan tren sebelumnya

  2. Pengujian optimasi parameter untuk memilih kombinasi parameter optimal

  3. Memperluas rentang stop loss di dekat level support tertentu

Arahan Optimasi

Ada ruang untuk optimalisasi lebih lanjut dari strategi ini:

  1. Masukkan pengenalan pola candlestick

    Mengidentifikasi beberapa pola lilin khas seperti divergensi dan bintang jatuh untuk menilai kemungkinan pembalikan tren. Ini dapat menghindari risiko membeli tinggi dan menjual rendah.

  2. Optimalisasi dinamis dari parameter pengangkut

    Mengizinkan parameter seperti periode ATR dan faktor multiplier untuk berubah secara dinamis. Gunakan periode ATR yang lebih lama dan rentang stop loss yang lebih luas di pasar yang sangat fluktuatif.

  3. Mengintegrasikan model pembelajaran mesin

    Menggunakan LSTM, RNN dan model pembelajaran mendalam lainnya untuk memprediksi rentang harga masa depan yang mungkin dan menyesuaikan jarak stop loss secara dinamis.

Ringkasan

Singkatnya, strategi ini menggunakan indikator ATR untuk merancang garis stop loss bergerak, dan memperkenalkan mekanisme stop loss trailing yang dapat menyesuaikan posisi stop loss secara real time berdasarkan perubahan pasar. Ini mencapai penguncian keuntungan yang lebih tinggi sekaligus mengurangi risiko. Dengan optimasi lebih lanjut, strategi ini dapat menjadi lebih adaptif terhadap berbagai situasi pasar dan berfungsi sebagai strategi perdagangan yang kuat.


/*backtest
start: 2022-11-21 00:00:00
end: 2023-11-27 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ 
//  -----------------------------------------------------------------------------
//  Copyright 2019 Mauricio Pimenta | exit490
//  SuperTrend with Trailing Stop Loss script may be freely distributed under the MIT license.
//
//  Permission is hereby granted, free of charge, 
//  to any person obtaining a copy of this software and associated documentation files (the "Software"), 
//  to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, 
//  publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, 
//  subject to the following conditions:
//
//  The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
//
//  THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, 
//  EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, 
//  FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, 
//  DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, 
//  OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
//
//  -----------------------------------------------------------------------------
//
//  Authors:  @exit490
//  Revision: v1.0.0
//  Date:     5-Aug-2019
//
//  Description
//  ===========
//  SuperTrend is a moving stop and reversal line based on the volatility (ATR).
//  The strategy will ride up your stop loss when price moviment 1%.
//  The strategy will close your operation when the market price crossed the stop loss.
//  The strategy will close operation when the line based on the volatility will crossed
//
//  The strategy has the following parameters:
//
//  INITIAL STOP LOSS - Where can isert the value to first stop.
//  POSITION TYPE - Where can to select trade position.
//  ATR PERIOD - To select number of bars back to execute calculation
//  ATR MULTPLIER - To add a multplier factor on volatility
//  BACKTEST PERIOD - To select range.
//  
//  -----------------------------------------------------------------------------
//  Disclaimer:
//    1. I am not licensed financial advisors or broker dealers. I do not tell you 
//       when or what to buy or sell. I developed this software which enables you 
//       execute manual or automated trades multplierFactoriplierFactoriple trades using TradingView. The 
//       software allows you to set the criteria you want for entering and exiting 
//       trades.
//    2. Do not trade with money you cannot afford to lose.
//    3. I do not guarantee consistent profits or that anyone can make money with no 
//       effort. And I am not selling the holy grail.
//    4. Every system can have winning and losing streaks.
//    5. Money management plays a large role in the results of your trading. For 
//       example: lot size, account size, broker leverage, and broker margin call 
//       rules all have an effect on results. Also, your Take Profit and Stop Loss 
//       settings for individual pair trades and for overall account equity have a 
//       major impact on results. If you are new to trading and do not understand 
//       these items, then I recommend you seek education materials to further your
//       knowledge.
//
//    YOU NEED TO FIND AND USE THE TRADING SYSTEM THAT WORKS BEST FOR YOU AND YOUR 
//    TRADING TOLERANCE.
//
//    I HAVE PROVIDED NOTHING MORE THAN A TOOL WITH OPTIONS FOR YOU TO TRADE WITH THIS PROGRAM ON TRADINGVIEW.
//    
//    I accept suggestions to improve the script.
//    If you encounter any problems I will be happy to share with me.
//  -----------------------------------------------------------------------------
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //

strategy(title = "SUPERTREND ATR WITH TRAILING STOP LOSS",
         shorttitle = "SUPERTREND ATR WITH TSL",
         overlay = true,
         precision = 8,
         calc_on_order_fills = true,
         calc_on_every_tick = true,
         backtest_fill_limits_assumption = 0,
         default_qty_type = strategy.percent_of_equity,
         default_qty_value = 100,
         initial_capital = 1000,
         currency = currency.USD,
         linktoseries = true)

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //

// === BACKTEST RANGE ===
backTestSectionFrom = input(title = "═══════════════ FROM ═══════════════", defval = true, type = input.bool)

FromMonth       = input(defval = 1, title = "Month", minval = 1)
FromDay         = input(defval = 1, title = "Day", minval = 1)
FromYear        = input(defval = 2019, title = "Year", minval = 2014)

backTestSectionTo = input(title = "════════════════ TO ════════════════", defval = true, type = input.bool)
ToMonth         = input(defval = 31, title = "Month", minval = 1)
ToDay           = input(defval = 12, title = "Day", minval = 1)
ToYear          = input(defval = 9999, title = "Year", minval = 2014)

backTestPeriod() => (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //

parameterSection = input(title = "═════════════ STRATEGY ═════════════", defval = true, type = input.bool)
// === INPUT TO SELECT POSITION ===
positionType = input(defval="LONG", title="Position Type", options=["LONG", "SHORT"])

// === INPUT TO SELECT INITIAL STOP LOSS
initialStopLossPercent = input(defval = 3.0, minval = 0.0, title="Initial Stop Loss")

// === INPUT TO SELECT BARS BACK
barsBack = input(title="ATR Period", defval=1)

// === INPUT TO SELECT MULTPLIER FACTOR 
multplierFactor = input(title="ATR multplierFactoriplier", step=0.1, defval=3.0)

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //

// LOGIC TO FIND DIRECTION WHEN THERE IS TREND CHANGE ACCORDING VOLATILITY
atr = multplierFactor * atr(barsBack)

longStop = hl2 - atr
longStopPrev = nz(longStop[1], longStop)
longStop := close[1] > longStopPrev ? max(longStop, longStopPrev) : longStop

shortStop = hl2 + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := close[1] < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop

direction = 1
direction := nz(direction[1], direction)
direction := direction == -1 and close > shortStopPrev ? 1 : direction == 1 and close < longStopPrev ? -1 : direction

longColor = color.blue
shortColor = color.blue

var valueToPlot = 0.0
var colorToPlot = color.white

if (direction == 1)
    valueToPlot := longStop
    colorToPlot := color.green
else
    valueToPlot := shortStop
    colorToPlot := color.red

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
//
// === GLOBAL VARIABLES AND FUNCTIONS TO STORE IMPORTANT CONDITIONALS TO TRAILING STOP
hasEntryLongConditional() => direction == 1
hasCloseLongConditional() => direction == -1

hasEntryShortConditional() => direction == -1
hasCloseShortConditional() => direction == 1

stopLossPercent = positionType == "LONG" ? initialStopLossPercent * -1 : initialStopLossPercent

var entryPrice = 0.0
var updatedEntryPrice = 0.0
var stopLossPrice = 0.0

hasOpenTrade() => strategy.opentrades != 0
notHasOpenTrade() => strategy.opentrades == 0

strategyClose() =>
    if positionType == "LONG"
        strategy.close("LONG", when=true)
    else 
        strategy.close("SHORT", when=true)

strategyOpen() =>
    if positionType == "LONG"
        strategy.entry("LONG", strategy.long, when=true)
    else 
        strategy.entry("SHORT", strategy.short, when=true)

isLong() => positionType == "LONG" ? true : false
isShort() => positionType == "SHORT" ? true : false


//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
//
// === LOGIC TO TRAILING STOP IN LONG POSITION

if (isLong() and backTestPeriod())

    crossedStopLoss = close <= stopLossPrice
    terminateOperation = hasOpenTrade() and (crossedStopLoss or hasCloseLongConditional())

    if (terminateOperation)
        entryPrice := 0.0
        updatedEntryPrice := entryPrice
        stopLossPrice := 0.0
        strategyClose()
    
    startOperation = notHasOpenTrade() and hasEntryLongConditional()

    if(startOperation)
        entryPrice := close
        updatedEntryPrice := entryPrice
        stopLossPrice := entryPrice + (entryPrice * stopLossPercent) / 100
        strategyOpen()
        
    strategyPercentege = (close - updatedEntryPrice) / updatedEntryPrice * 100.00
    rideUpStopLoss = hasOpenTrade() and strategyPercentege > 1

    if (isLong() and rideUpStopLoss)
        stopLossPercent := stopLossPercent + strategyPercentege - 1.0
        newStopLossPrice = updatedEntryPrice + (updatedEntryPrice * stopLossPercent) / 100  
        stopLossPrice := max(stopLossPrice, newStopLossPrice)
        updatedEntryPrice := stopLossPrice

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
//
// === LOGIC TO TRAILING STOP IN SHORT POSITION

if (isShort() and backTestPeriod())

    crossedStopLoss = close >= stopLossPrice
    terminateOperation = hasOpenTrade() and (crossedStopLoss or hasCloseShortConditional())

    if (terminateOperation)
        entryPrice := 0.0
        updatedEntryPrice := entryPrice
        stopLossPrice := 0.0
        strategyClose()
    
    startOperation = notHasOpenTrade() and hasEntryShortConditional()

    if(startOperation)
        entryPrice := close
        updatedEntryPrice := entryPrice
        stopLossPrice := entryPrice + (entryPrice * stopLossPercent) / 100
        strategyOpen()
        
    strategyPercentege = (close - updatedEntryPrice) / updatedEntryPrice * 100.00
    rideDownStopLoss = hasOpenTrade() and strategyPercentege < -1

    if (rideDownStopLoss)
        stopLossPercent := stopLossPercent + strategyPercentege + 1.0
        newStopLossPrice = updatedEntryPrice + (updatedEntryPrice * stopLossPercent) / 100  
        stopLossPrice := min(stopLossPrice, newStopLossPrice)
        updatedEntryPrice := stopLossPrice

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ 
//
// === DRAWING SHAPES     

entryPricePlotConditinal = entryPrice == 0.0 ? na : entryPrice
trailingStopLossPlotConditional = stopLossPrice == 0.0  ? na : stopLossPrice

plotshape(entryPricePlotConditinal, title= "Entry Price", color=color.blue, style=shape.circle, location=location.absolute, size=size.tiny)
plotshape(trailingStopLossPlotConditional, title= "Stop Loss", color=color.red, style=shape.circle, location=location.absolute, size=size.tiny)

plot(valueToPlot == 0.0 ? na : valueToPlot, title="BuyLine", linewidth=2, color=colorToPlot)
plotshape(direction == 1 and direction[1] == -1 ? longStop : na, title="Buy", style=shape.labelup, location=location.absolute, size=size.normal, text="Buy", transp=0, textcolor = color.white, color=color.green, transp=0)
plotshape(direction == -1 and direction[1] == 1 ? shortStop : na, title="Sell", style=shape.labeldown, location=location.absolute, size=size.normal, text="Sell", transp=0, textcolor = color.white, color=color.red, transp=0)

alertcondition(direction == 1 and direction[1] == -1 ? longStop : na, title="Buy", message="Buy!")
alertcondition(direction == -1 and direction[1] == 1 ? shortStop : na, title="Sell", message="Sell!")

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