弾性ストップロスに基づくトレーリングストップロス戦略
ChaoZhang
概要
この戦略は,弾性的なストップ・ローズ指数に基づいて,買入と売却のシグナルを設定し,ロング・ポジションとショート・ポジションの操作を行う.指標が買入のシグナルを表示するときは,多めに行う.売出のシグナルが表示される時は,空っぽにする.この戦略は,トラッキング・ストップ・ローズメカニズムを組み込み,リスクを効果的に管理する.
原則
この戦略は,主に,弾力的なストップダメージ指標のトレンドの転換点を利用して,反転操作を行う.指数内部では,実際の範囲の指標を使用して,極限価格を識別し,価格が極限値を超えると異常突破とみなし,トレンドの反転の可能性を判断する.具体的には,指数内部では,極限価格 (EP) とトリガー価格 (TP) の2つの変数を維持する.EPは,現在のトレンドの下での最高価格または最低価格を表す.TPは,EPから計算される.
上昇傾向では,価格がEPより高いときは,異常突破として判定され,この時点でEPは最高価格,TPは最低価格として更新されます.価格がTPより低いときは,トレンドが逆転し,セールシグナルを生じることを判定します.下降傾向では,原理は類似しています.
この戦略は,ストップトラッキングメカニズムを組み合わせて,ポジションを開設した後に,最適なストップ価格をリアルタイムで追跡し,収益を保証しながらリスクをコントロールする.具体的には,オーバーした後に,ストップラインは,閉店の低点を追跡し,空白した後に,ストップラインは,閉店の高点を追跡する.
利点
この戦略の利点は以下の通りです.
ターニングポイントを特定する指標を用いれば, 囚われにくくならない.
利益の拡大を防ぐため,ストップ・ロスを追跡する.
目標のパラメータはシンプルで簡単に実行できます.
購入・売却のシグナル提示を設定し,操作が簡単です.
戦略の効果を全面的に評価するために,柔軟にフィクションサイクルを設定できます.
リスク
この戦略にはいくつかのリスクがあります.
この指数は,トレンドの逆転の最適なポイントを逃している可能性があります.
価格の短期的な波動によって損なわれる可能性があります.
戦略の効果を全面的に評価できない.
取引コストが収益に与える影響に注目してください.
リスクに対応するには,以下の方法で最適化できます.
指標パラメータを調整し,遅滞を縮小する.
ストップ・ローズ・アルゴリズムを最適化して,騙されないようにする.
適切な反射周期を選択して信頼性を確保する.
ポジション管理の最適化と取引コストの削減
最適化の方向
この戦略は,以下の点でさらに最適化できます.
トレンド指数と組み合わせて,反転取引を回避する.MAなどの指標を組み合わせて,大トレンドを判断することができる.
ポジション管理アルゴリズムの最適化,例えば固定比例ポジション,ダイナミックポジションなど.
取引量フィルタを追加し,漏れによる誤った取引を回避します.
パラメータを最適化して,最適なパラメータの組み合わせを見つけます.
トレンドの実行中にタイムストップを行うためのストップストップ戦略に参加します.
停止策略を最適化して,停止をより滑らかにする.Chandelier Exitなどの停止アルゴリズムを試すことができる.
取引品種や時間帯などの最適化,戦略の適応性向上.
機械学習のアルゴリズムが加えられ,戦略がより適応できるようになります.
要約する
この戦略は,全体的に比較的シンプルで信頼性があり,弾力的なストップダメージ指標を使用して反転点の位置を識別し,ストップダメージメカニズム制御リスクを追跡する装置を備えて,ショートライン反転戦略として使用できます.しかし,指標の遅れ,ストップダメージが激進すぎなどの問題には注意する必要があります.さらなる最適化により,より良い戦略効果が得られることが期待されます.
Overview
This strategy is based on the Parabolic SAR indicator to generate buy and sell signals for long and short positions. It also incorporates a trailing stop loss mechanism to effectively control risks.
Principle
The core of this strategy is to identify trend reversal points using the Parabolic SAR indicator for counter-trend trading. The indicator uses the true range to detect extreme prices. When the price exceeds the extreme, it is considered a breakout and a sign of potential trend reversal. Specifically, the indicator maintains two variables: the Extreme Price (EP) and the Trigger Price (TP). The EP represents the highest/lowest price of the current trend, while the TP is derived from the EP.
In an uptrend, when the price is higher than the EP, it is considered a breakout. The EP is then updated to the highest price and the TP to the lowest price. When the price falls below the TP, a trend reversal is identified and a sell signal is generated. The same principle applies for a downtrend.
The strategy also incorporates a trailing stop loss mechanism. After opening a position, it will track the optimal stop loss price in real-time, locking in profits while controlling risks. Specifically, after long entry, the stop loss tracks the closing low; after short entry, it tracks the closing high.
Advantages
The main advantages of this strategy are:
Identify trend reversal points with the indicator, avoiding being trapped in trends.
Trailing stop loss locks in profits and prevents wider losses.
Simple indicator parameters, easy to implement.
Configurable buy/sell signal alerts for convenience.
Flexible backtest period configuration for thorough evaluation.
Risks
There are also some risks to consider:
Indicator lag may miss optimal reversal points.
Aggressive stops may be stopped out by short-term fluctuations.
Improper backtest period selection cannot fully evaluate the strategy.
Transaction costs may impair profits.
Some ways to address the risks are:
Optimize parameters to reduce lag.
Improve stop loss algorithm to avoid being stopped out unnecessarily.
Select appropriate backtest periods for reliability.
Optimize position sizing to lower transaction costs.
Enhancement
Some ways to further optimize the strategy:
Incorporate trend indicators like MA to avoid being trapped in countertrends.
Optimize position sizing algorithms, e.g. fixed fractional, dynamic.
Add volume filter to avoid false signals from gaps.
Parameter optimization to find optimal combinations.
Implement profit taking strategies to lock in profits in trends.
Refine stop loss algorithms for smoother stops. Experiment with Chandelier Exit etc.
Optimize across products, time frames etc. to improve adaptability.
Incorporate machine learning for greater adaptability.
Summary
In summary, this is a simple and robust strategy using the Parabolic SAR to identify reversals and trailing stop loss to control risk. It can work as a short-term mean-reversion strategy. But indicator lag and oversensitive stops need to be addressed. Further optimizations can lead to improved performance.
/*backtest
start: 2023-09-10 00:00:00
end: 2023-10-10 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("PB SAR BackTest - Colorbar", overlay=false)
// Full credit to Sawcruhteez, Lucid Investment Strategies LLC, Casey Bowman and Peter Brandt.
// This is a strategy version of the Peterbolic SAR indicator created by the above-mentioned parties.
// Original version of the indicator: https://www.tradingview.com/script/6nYrH3Vm-Peterbolic-SAR/
// SAR #1
// Lucid Sar
// Branded under the name "Lucid SAR"
// as agreed to with Lucid Investment Strategies LLC on July 9, 2019
// https://lucidinvestmentstrategies.com/
// see branch "lucid"
// SAR #2
// Peterbolic Sar
// Using the name "Peterbolic SAR"
// as agreed to by Peter Brandt on October 2, 2019
// - https://twitter.com/PeterLBrandt/status/1179365590668075008
// in response to request from Sawcruhteez
// - https://twitter.com/Sawcruhteez/status/1179213105705836544
// Sawcruhteez gives credit to @CrazyGabey for coming up with the name
// - https://twitter.com/Sawcruhteez/status/1179213196583940097
// see branch "peterbolic"
// SAR #3
// Sawcruhteez Sar
// Branded under the name "Sawcruhteez SAR"
// as agreed to with Sawcruhteez on September 11, 2019
// see branch "sawcruhteez"
// Open Source on github
// https://github.com/casey-bowman/sar/blob/peterbolic/peterbolic.pine
// Created by Casey Bowman on July 4, 2019
// MIT License
// Copyright (c) 2019 Casey Bowman
// 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.
TSR() =>
// start with uptrend
var uptrend = true
var EP = high // extreme price - high or low depending on trend
var SP = low // setup price
var TP = float(na) // trigger price
var setup = low
var trigger = float(na)
if barstate.isnew
setup := low
trigger = float(na)
extreme_candle = false
first_extreme_candle = false
setup_candle = false
trigger_candle = false
waiting_for_setup = false
waiting_for_trigger = false
var since_extreme = 0
var since_setup = 0
waiting_for_setup := not extreme_candle and not na(SP)
waiting_for_trigger := not na(TP)
if not barstate.isfirst
if barstate.isnew and extreme_candle[1]
trigger := float(na)
if barstate.isnew and setup_candle[1]
setup := float(na)
if barstate.isnew and waiting_for_trigger
since_setup := since_setup + 1
trigger := TP
if barstate.isnew and waiting_for_setup
since_extreme := since_extreme + 1
setup := SP
if uptrend
if extreme_candle
EP := high
SP := low
else
if high > EP
extreme_candle := true
EP := high
SP := low
since_extreme := 0
since_setup := 0
else
if waiting_for_setup
if barstate.isconfirmed
if close < SP
setup_candle := true
SP := float(na)
TP := low
if waiting_for_trigger
if low < TP
trigger_candle := true
extreme_candle := true
EP := low
SP := high
TP := float(na)
uptrend := false
since_extreme := 0
since_setup := 0
else
if barstate.isconfirmed and extreme_candle
TP := float(na)
trigger := float(na)
else
if extreme_candle
EP := low
SP := high
else
if low < EP
extreme_candle := true
EP := low
SP := high
since_extreme := 0
since_setup := 0
else
if waiting_for_setup
if barstate.isconfirmed
if close > SP
setup_candle := true
SP := float(na)
TP := high
if waiting_for_trigger
if high > TP
trigger_candle := true
extreme_candle := true
EP := high
SP := low
TP := float(na)
uptrend := true
since_extreme := 0
since_setup := 0
else
if barstate.isconfirmed and extreme_candle
TP := float(na)
trigger := float(na)
[trigger_candle, trigger, since_setup, setup_candle, setup, since_extreme, extreme_candle, uptrend]
[TC, T, SS, SC, S, SE, EC, up] = TSR()
// Make input options that configure backtest date range
StartMonth = input(title="Start Month", type=input.integer,
defval=1, minval=1, maxval=12)
StartDate = input(title="Start Date", type=input.integer,
defval=1, minval=1, maxval=31)
StartYear = input(title="Start Year", type=input.integer,
defval=(2019), minval=1800, maxval=2100)
EndMonth = input(title="End Month", type=input.integer,
defval=1, minval=1, maxval=12)
EndDate = input(title="End Date", type=input.integer,
defval=1, minval=1, maxval=31)
EndYear = input(title="End Year", type=input.integer,
defval=(2020), minval=1800, maxval=2100)
// Look if the close time of the current bar falls inside the date range
inDateRange = true
buytrigger = (TC and up)
selltrigger = (TC and not up)
buysetup = (SC and not up)
sellsetup = (SC and up)
IntBuy = buytrigger ? 1 : 0
IntSB = buysetup ? 0.5 : 0
IntSell= selltrigger ? -1 : 0
IntSS = sellsetup ? -0.5 : 0
bgcolor = buytrigger ? color.green : selltrigger ? color.red : buysetup ? color.yellow : sellsetup ? color.orange : color.black
trans = buytrigger ? 20 : selltrigger ? 20 : 100
bgcolor(bgcolor, 30)
NUM = IntBuy + IntSB + IntSell + IntSS
linecolor = color.orange
plot(NUM, color=linecolor, linewidth=2)
alertcondition(NUM > 0.5, title="Buy Signal", message="Buy Alert")
alertcondition(NUM < -0.5, title="Sell Signal", message="Sell Alert")
alertcondition(NUM == 0.5, title="Buy Setup", message="Buy Setup")
alertcondition(NUM == -0.5, title="Sell Setup", message="Sell Setup")
//Switch on for strategy moves
if(inDateRange and buytrigger)
strategy.exit("SHORT", "SHORT_SL", comment="Short_Exit")
strategy.entry("LONG", strategy.long, comment="")
if(inDateRange and selltrigger)
strategy.exit("LONG", "LONG_SL", comment="Long_Exit")
strategy.entry("SHORT", strategy.short, comment="")
if (not inDateRange)
strategy.close_all()
// plotshape(SC and not up, color = color.yellow, style = shape.triangleup, location = location.belowbar, size = size.auto, transp = 0, title = "Setup to Buy")
// plotshape(TC and up, color = color.green, style = shape.triangleup, location = location.belowbar, size = size.auto, title = "Trigger to Buy")
// plotshape(SC and up, color = color.yellow, style = shape.triangledown, location = location.abovebar, size = size.auto, transp = 0, title = "Setup to Sell")
// plotshape(TC and not up, color = color.red, style = shape.triangledown, location = location.abovebar, size = size.auto, title = "Trigger to Sell")