移動平均ローソク足とスーパートレンドストップロスに基づくトレンド追跡戦略


作成日: 2023-09-13 18:07:54 最終変更日: 2023-09-13 18:07:54
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この策略は,移動平均線K線と超走行停止のトレンド追跡策略と呼ばれる. この策略は,移動平均線を用い,トレンドK線を描画し,超走行停止機構と組み合わせて取引信号を生成し,トレンドを追跡する.

この戦略の取引の論理は以下の通りです.

  1. 移動平均線を使って開値・下値を計算し,トレンドのK線を描く.

  2. トレンドK線で超トレンドストップ技術を適用すると,多額の多額のストップと空白のストップポイントが得られます.

  3. 価格が多減位を突破すると,買入シグナルを生じ;価格が空減位を突破すると,売り出そうシグナルを生じ.

  4. 高い時間周期の年間最高価格と最低価格の判断を組み合わせて,波動的な市場の中で無効な信号を過剰に発生させないようにする.

  5. 超走行停止が逆転すると平仓停止.

この戦略の優点は,複数の技術指標を同時に融合させ,判断の正確性を高めることです.しかし,移動平均線と超走行止損のパラメータは,最適化が必要である.止損戦略も不可欠である.

全体として,指標とモデルの統合的な適用は,単一の指標の不足を一定程度に補っているが,いかなる戦略も完璧であることは不可能である.トレーダーは,市場の変化に対応するのに十分な柔軟性を維持する必要があります.

ストラテジーソースコード 
/*backtest
start: 2023-01-01 00:00:00
end: 2023-04-14 00:00:00
period: 1d
basePeriod: 1h
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/
// © HeWhoMustNotBeNamed

//@version=4
strategy("MA Candles Supertrend Strategy", shorttitle="MACSTS", overlay=true, initial_capital = 20000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01)

MAType = input(title="Moving Average Type", defval="rma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
LoopbackBars = input(20, step=10)

AtrMAType = input(title="Moving Average Type", defval="rma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
AtrLength = input(30, step=10)
AtrMult = input(1)
adoptiveWicks = false // does not work
wicks = input(true)

dThreshold = input(0.2, step=0.1, maxval=1)
rThreshold = input(0.7, step=0.1, maxval=1)
tradeDirection = input(title="Trade Direction", defval=strategy.direction.long, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "End Time", type = input.time)
inDateRange = true
strategy.risk.allow_entry_in(tradeDirection)

f_getMovingAverage(source, MAType, length)=>
    ma = sma(source, length)
    if(MAType == "ema")
        ma := ema(source,length)
    if(MAType == "hma")
        ma := hma(source,length)
    if(MAType == "rma")
        ma := rma(source,length)
    if(MAType == "vwma")
        ma := vwma(source,length)
    if(MAType == "wma")
        ma := wma(source,length)
    ma

f_secureSecurity(_symbol, _res, _src, _offset) => security(_symbol, _res, _src[_offset], lookahead = barmerge.lookahead_on)

f_getYearlyHighLowCondition()=>
    yhighrange = f_secureSecurity(syminfo.tickerid, '12M', high, 1) 
    ylowrange = f_secureSecurity(syminfo.tickerid, '12M', low, 1)
    yearlyHighCondition = close > yhighrange*(1-dThreshold) or close > ylowrange*(1+rThreshold)
    yearlyLowCondition = close < ylowrange*(1+dThreshold) or close < yhighrange*(1-rThreshold)
    [yearlyHighCondition, yearlyLowCondition]


f_getSupertrend(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, AtrMult, wicks)=>
    truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
    
    averagetruerange = f_getMovingAverage(truerange, AtrMAType, AtrLength)
    atr = averagetruerange * AtrMult

    longWicks = (adoptiveWicks and (close < oClose)) or wicks
    shortWicks = (adoptiveWicks and (close > oClose)) or wicks
    longStop = oClose - atr
    longStopPrev = nz(longStop[1], longStop)
    longStop := (longWicks ? oLow[1] : oClose[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
    
    shortStop = oClose + atr
    shortStopPrev = nz(shortStop[1], shortStop)
    shortStop := (shortWicks ? oHigh[1] : oClose[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
    
    dir = 1
    dir := nz(dir[1], dir)
    dir := dir == -1 and (longWicks ? oHigh : oClose) > shortStopPrev ? 1 : dir == 1 and (shortWicks[1]? oLow : oClose) < longStopPrev ? -1 : dir
    

    [dir, longStop, shortStop]

oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
oClose = f_getMovingAverage(close, MAType, LoopbackBars)
oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
oLow = f_getMovingAverage(low, MAType, LoopbackBars)

colorByPreviousClose = false
candleColor = colorByPreviousClose ?
                 (oClose[1] < oClose ? color.green : oClose[1] > oClose ? color.red : color.silver) : 
                 (oOpen < oClose ? color.green : oOpen > oClose ? color.red : color.silver)
plotcandle(oOpen, oHigh, oLow, oClose, 'Oscilator Candles', color = candleColor)

[yearlyHighCondition, yearlyLowCondition] =  f_getYearlyHighLowCondition()
[dir, longStop, shortStop] = f_getSupertrend(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, AtrMult, wicks)
trailingStop = dir == 1? longStop : shortStop
trendColor = dir == 1? color.green: color.red
plot(trailingStop, title="TrailingStop", color=trendColor, linewidth=2, style=plot.style_linebr)

longCondition = close > shortStop and dir == 1 and yearlyHighCondition
shortCondition = close < longStop and dir == -1 and yearlyLowCondition

exitLongCondition = dir == -1
exitShortCondition = dir == 1

strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Long", strategy.long, when=longCondition, oca_name="oca_buy")
strategy.close("Long", when=exitLongCondition)
strategy.entry("Short", strategy.short, when=shortCondition, oca_name="oca_sell")
strategy.close("Short", when=exitShortCondition)
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