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Strategi SuperTrend Trailing Stop Berdasarkan Heikin Ashi

Penulis:ChaoZhang, Tanggal: 2024-02-06 14:43:14
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Tinjauan Strategi

Strategi ini menggabungkan candlesticks Heikin Ashi dan indikator SuperTrend menjadi strategi trend following dengan trailing stop loss.

Logika Strategi

  1. Hitung lilin Heikin Ashi: harga buka, tutup, tinggi, rendah.
  2. Menghitung indikator SuperTrend: band atas dan band bawah berdasarkan ATR dan harga.
  3. Tentukan arah tren menggabungkan Heikin Ashi dekat dan SuperTrend band.
  4. Ketika penutupan Heikin Ashi mendekati band atas SuperTrend, itu menandakan tren naik; ketika penutupan Heikin Ashi mendekati band bawah SuperTrend, itu menandakan tren turun.
  5. Menggunakan band atas SuperTrend sebagai stop loss yang menyusul dalam tren naik, dan band bawah dalam tren turun.

Keuntungan

  1. Heikin Ashi menyaring keluar kebocoran palsu, yang mengarah ke sinyal yang lebih dapat diandalkan.
  2. SuperTrend sebagai stop loss dinamis mengunci keuntungan di sepanjang tren untuk menghindari penarikan besar.
  3. Menggabungkan kerangka waktu mengkonfirmasi tinggi / rendah lebih tepat.
  4. Keluar yang dijadwalkan menghindari gerakan irasional pada waktu tertentu.

Risiko

  1. Kemungkinan untuk berhenti pada pembalikan tren. dapat melonggarkan stop loss untuk mengurangi
  2. Penyesuaian parameter SuperTrend yang tidak benar dapat menyebabkan stop loss terlalu luas atau terlalu sempit.
  3. Mengabaikan ukuran posisi. harus mengatur ukuran taruhan yang tepat.
  4. Tidak memperhitungkan biaya perdagangan.

Peluang Peningkatan

  1. Mengoptimalkan parameter SuperTrend untuk kinerja terbaik.
  2. Tambahkan kontrol ukuran posisi.
  3. Perhitungkan biaya seperti komisi dan slip.
  4. Fleksibel menyesuaikan stop loss berdasarkan kekuatan tren.
  5. Tambahkan filter dengan indikator lain ke sinyal masuk.

Kesimpulan

Strategi ini menggabungkan kekuatan Heikin Ashi dan SuperTrend untuk mengidentifikasi arah tren dan secara otomatis mengikuti tren dengan stop loss dinamis untuk mengunci keuntungan. Risiko utama berasal dari pembalikan tren dan penyesuaian parameter. Optimasi lebih lanjut pada kedua aspek ini dapat meningkatkan kinerja strategi. Secara keseluruhan strategi ini menunjukkan bagaimana integrasi indikator dapat meningkatkan stabilitas dan profitabilitas sistem perdagangan.

/*backtest
start: 2024-01-06 00:00:00
end: 2024-02-05 00:00:00
period: 4h
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/
// © ringashish

//@version=4
strategy("sa-strategy with HTF-TSL", overlay=true)


Pd = input(title="ATR Period", type=input.integer, defval=4)
Factor = input(title="ATR Multiplier", type=input.float, step=0.1, defval=2)
ST= supertrend(Factor, Pd)

heikinashi_close = security(heikinashi(syminfo.tickerid), timeframe.period, close)
heikinashi_low = security(heikinashi(syminfo.tickerid), timeframe.period, low)
heikinashi_open = security(heikinashi(syminfo.tickerid), timeframe.period, open)
heikinashi_high = security(heikinashi(syminfo.tickerid), timeframe.period, high)

heikinashi_close30 = security(heikinashi(syminfo.tickerid), "30", close)
//res1 = input("30", type=input.resolution, title="higher Timeframe")


//CCI TSL

res = input("240",type=input.resolution,title = "Higher Time Frame")
CCI = input(20)
ATR = input(5)
Multiplier=input(1,title='ATR Multiplier')
original=input(false,title='original coloring')
thisCCI = cci(close, CCI)
lastCCI = nz(thisCCI[1])


calcx()=> 
    bufferDn= high + Multiplier * sma(tr,ATR)
    bufferUp= low - Multiplier * sma(tr,ATR)
    if (thisCCI >= 0 and lastCCI < 0) 
        bufferUp := bufferDn[1]
    if (thisCCI <= 0 and lastCCI > 0) 
        bufferDn := bufferUp[1]

    if (thisCCI >= 0)
        if (bufferUp < bufferUp[1])
            bufferUp := bufferUp[1]
    else
        if (thisCCI <= 0)
            if (bufferDn > bufferDn[1])
                bufferDn := bufferDn[1]

   
    x = 0.0
    x := thisCCI >= 0 ?bufferUp:thisCCI <= 0 ?bufferDn:x[1]
    x

tempx = calcx()

calcswap() =>
    swap = 0.0
    swap := tempx>tempx[1]?1:tempx<tempx[1]?-1:swap[1]
    swap

tempswap = calcswap()

swap2=tempswap==1?color.blue:color.orange
swap3=thisCCI >=0 ?color.blue:color.orange
swap4=original?swap3:swap2

//display current timeframe's Trend

plot(tempx,"CTF",color=swap4,transp=0,linewidth=2, style = plot.style_stepline)


htfx = security(syminfo.tickerid,res,tempx[1],lookahead = barmerge.lookahead_on)
htfswap4 = security(syminfo.tickerid,res,swap4[1],lookahead = barmerge.lookahead_on)

plot(htfx,"HTF",color=htfswap4,transp=0,linewidth=3,style = plot.style_stepline)









//supertrend
Supertrend(Factor, Pd) =>
    Up=hl2-(Factor*atr(Pd))
    Dn=hl2+(Factor*atr(Pd))
    
    TrendUp = 0.0
    TrendUp := heikinashi_close[1]>TrendUp[1] ? max(Up,TrendUp[1]) : Up
    TrendDown = 0.0
    TrendDown := heikinashi_close[1]<TrendDown[1]? min(Dn,TrendDown[1]) : Dn
    Trend = 0.0
    Trend := heikinashi_close > TrendDown[1] ? 1: heikinashi_close< TrendUp[1]? -1: nz(Trend[1],1)
    Tsl = Trend==1? TrendUp: TrendDown
    
    S_Buy = Trend == 1 ? 1 : 0
    S_Sell = Trend != 1 ? 1 : 0
    
    [Trend, Tsl]

[Trend,Tsl] = Supertrend(Factor, Pd)
// Security
//ST1_Trend_MTF = security(syminfo.tickerid, res1, Tsl,barmerge.lookahead_on)
//plot(ST1_Trend_MTF, "higher ST") 

crossdn = crossunder(heikinashi_close,Tsl) or crossunder(heikinashi_close[1],Tsl) or crossunder(heikinashi_close[2],Tsl) or heikinashi_close < Tsl
crossup = crossover(heikinashi_close,Tsl) or crossover(heikinashi_close[1],Tsl) or crossover(heikinashi_close[2],Tsl) or heikinashi_close > Tsl
plot(Tsl,"ST",color = color.black,linewidth =2)
plot(ema(heikinashi_close,20),"EMA 20",color=color.red)
plot(hma(heikinashi_close,15),"HMA 15",color=color.green)
plot(ema(heikinashi_close,15),"EMA 15",color=color.black)

closedown = (heikinashi_close < hma(heikinashi_close,15) and heikinashi_high > hma(heikinashi_close,15)) or(heikinashi_close < ema(heikinashi_close,20) and heikinashi_high > ema(heikinashi_close,20))
closeup = (heikinashi_close > hma(heikinashi_close,15) and heikinashi_low < hma(heikinashi_close,15)) or (heikinashi_close > ema(heikinashi_close,20) and heikinashi_low < ema(heikinashi_close,20))

buy = heikinashi_open == heikinashi_low and closeup and crossup  and close > htfx
//buy = heikinashi_open == heikinashi_low and heikinashi_close > ema(close,20) and heikinashi_low < ema(close,20) and crossup
buyexit = cross(close,tempx) //heikinashi_open == heikinashi_high //and heikinashi_close < ema(close,15) and heikinashi_high > ema(close,15)

//if heikinashi_close30[1] < ST1_Trend_MTF
//sell = heikinashi_open == heikinashi_high and heikinashi_close < ema(close,20) and heikinashi_high > ema(close,20) and rsi(close,14)<60 and crossdn
sell = heikinashi_open == heikinashi_high and closedown and rsi(close,14)<55 and crossdn  and close < htfx
sellexit = cross(close,tempx) //heikinashi_open == heikinashi_low //and heikinashi_close > ema(close,15) and heikinashi_low < ema(close,15)

rg = 0
rg := buy ? 1 : buyexit ? 2 : nz(rg[1])

longLogic = rg != rg[1] and rg == 1 
longExit = rg != rg[1] and rg == 2 

//plotshape(longExit,"exit buy",style = shape.arrowup,location = location.belowbar,color = color.red, text ="buy exit", textcolor = color.red)
//plotshape(longLogic,"BUY",style = shape.arrowup,location = location.belowbar,color = color.green, text ="buy", textcolor= color.green)

nm = 0
nm := sell ? 1 : sellexit ? 2 : nz(nm[1])

shortLogic = nm != nm[1] and nm == 1 
shortExit = nm != nm[1] and nm == 2 

//plotshape(shortExit,"exit sell",style = shape.arrowup,location = location.belowbar,color = color.red, text ="sell exit", textcolor = color.red)
//plotshape(shortLogic,"SELL",style = shape.arrowup,location = location.belowbar,color = color.green, text ="sell", textcolor= color.green)


//Exit at particular time

ExitHour = input(title="Exit Hour Of Day", type=input.integer, defval=15, step = 5, maxval = 24, minval = 0)
ExitMint = input(title="Exit Minute Of Day", type=input.integer, defval=15, step = 5, maxval = 24, minval = 0)
bgc = input(title="Highlight Background Color?", type=input.bool, defval=true)
mRound(num,rem) => (floor(num/rem)*rem)
exitTime = (hour(time) >= ExitHour and (minute == mRound(ExitMint, timeframe.multiplier))) ? 1 : 0
exitTime := exitTime == 0 ? (hour(time) >= ExitHour and (minute + timeframe.multiplier >= ExitMint)) ? 1 : 0 : exitTime

MarketClose =  exitTime and not exitTime[1]

alertcondition(exitTime and not exitTime[1], title="Intraday Session Close Time", message="Close All Positions")
bgcolor(exitTime and not exitTime[1] and bgc ? #445566 : na, transp =40)



longCondition = longLogic
if (longCondition)
    strategy.entry("long", strategy.long)
 
    


shortCondition = shortLogic
if (shortCondition)
    strategy.entry("short", strategy.short)
    

strategy.close("short", when =cross(close,tempx)  or MarketClose)
strategy.close( "long", when =cross(close,tempx) or MarketClose )
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