スナップバック移動平均反トレンド戦略

作者: リン・ハーンチャオチャン,日付: 2023年10月23日 15:31:21
タグ:

概要

この戦略は,主に,短期的に株が過剰に売れたときに反トレンドの機会を見つけるために移動平均の原則を利用する. 急速な移動平均がスロームービング平均を下回ると,株が下落傾向にあることを示します. 価格が一定の幅で急速な移動平均を突破すると,ダウンサイドは制限され,ブランスは起こりえます. この戦略は,価格が急速な移動平均を上回るときにロングでそのような過剰販売のブランスを捕捉することを目指します.

戦略の論理

8EMAのような高速移動平均と 20SMAのような遅い移動平均を設定します
SMAが EMA の上にある場合,上昇傾向を示します. SMAが EMA の下にある場合,下落傾向を示します.
価格がEMAを一定幅 (例えば2-10%) に突破すると,株は過剰に売られ,反発する可能性が高くなります.
価格が EMA を越えて戻ると買い信号が発信されます
ストップ・ロスを EMA 近くに設定し,中間 SMA (例えば 50SMA) 近くで利益を得るか,または利益を得られる割合を使用します.
価格がEMAを下回る時清算する

利点

移動平均の信頼性の高い原理を使用します
急速なEMAと過剰売り上げの利回りによりバウンスの確率は向上します
ストップ・ロスを調整できるし利益を控えるリスク
柔軟なポジションサイズが異なるリスク・アパセットに合致します

リスク

失敗したブランスは過剰に売れた利益率にもかかわらず起こり得ます
移動平均値は遅延があり,ローカルブーンスを見逃す可能性があります.
ストップ・ロスはEMAの近くで易易易にストップできます
手動で調整し結果に大きく影響します
結果は採集と相関しています

増進の機会

逆トレンド取引を避けるためにトレンドフィルターを追加します.
確率を増やすために音量フィルターを追加します.
静的ではなく動的ストップ損失を考慮してください.
依存を減らすための最適なパラメータを研究します
より良い選択のために採集を組み込む

結論

この戦略は明確な論理を持ち,典型的な移動平均逆転システムとして理解しやすい.利点は安定性とリスク制御であり,初心者にとって適している.しかし,逆転点を誤って判断するリスクも伴っている.追加のフィルター,ダイナミックストップ,パラメータ最適化などによる改善により強度が向上する.全体的には,学ぶ価値のある健全な短期平均逆転フレームワークを示している.

/*backtest
start: 2022-10-22 00:00:00
end: 2022-12-14 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © MakeMoneyCoESTB2020


//*********************Notes for continued work***************

//************************************************************

//I. Intro
//This strategy is designed to allow you to catch the bounce or "SNAP Back" of a equity that has been in a downward trend.
//Once the moving averages are in the order of 200SMA > 50 SMA > 34EMA > 20SMA > 8EMA, the strategy is setup.
//Next you wait for a trigger of the closing price crossing over the 8EMA, while there is a desired gap size between the 8EMA and the 20SMA (2-10% of stock value preferred).
//Exit position based on target profit reached (conservative sell half at 34EMA and engage a trailing stop loss for remainder or set static limit) or price crosses 8EMA or stop loss%
//*)This code also allows you to determine your desired backtesting date compliments of alanaster
//This code is the product of many hours of hard work on the part of the greater tradingview community.  The credit goes to everyone in the community who has put code out there for the greater good.
//The idea for the coding came from video I watched on YouTube presented by TradeStation called Snap Back - thank you guys for the inspiration.


//UPDATE: I have coded the other side of the strategy to allow you to take advantage of the same set-up in an uptrend for Short plays.  You can turn the up or downsides on, off, or both.

//Happy Hunting!


//II. Table Of Contents
    // 1. Define Strategy Variables
    // 2. Perform Calculations
    // 3. Display Chart Information
    // 4. Determine Entry Conditions
    // 5. Determine Exit Conditions



// 1. Define Strategy Variables*************************************************************************************************************************************************************************

//Title
// strategy("SNAP BACK 2.0 Strategy", shorttitle="SNAP Back 2.0", default_qty_type=strategy.percent_of_equity, default_qty_value=5, initial_capital=20000,slippage=2, currency=currency.USD, overlay=true)

//Define calculations price source
price = input(title="Price Source", defval=close)

//Define Trade Agression Level
aggro=input(title="Aggressive = 0, Conservative = 1", defval=0, options=[0, 1])

//Define Gap percentage allowed between 8EMA and 20SMA
GAP=input(title="Gap% between 8EMA & 20SMA", defval=2, minval=0, maxval=25, step=1)/100

//Does user want to run the Strategy for Trending Up or Trending Down
RunTrend=input(title="Run Strategy Trending Up, Down, or Both", defval="Up", options=["Up", "Down", "Both"])

//Initialize  8/34EMA  20/50/200/200SMA 
SH_EMA_length= input(title="SH EMA Length", defval=8) //short EMA length
MD_EMA_length= input(title="MD EMA Length", defval=34) //medium EMA length

SH_SMA_length= input(title="SH SMA Length", defval=20) //short SMA length
MD_SMA_length= input(title="LG SMA Length", defval=50) //medium SMA length
LG_SMA_length= input(title="SH SMA Length", defval=200) //long SMA length

SH_EMA=ema(price, SH_EMA_length) //short EMA 
MD_EMA=ema(price, MD_EMA_length) //medium EMA
SH_SMA=sma(price, SH_SMA_length) //short SMA 
MD_SMA=sma(price, MD_SMA_length) //medium SMA
LG_SMA=sma(price, LG_SMA_length) //long SMA

// 2. Perform Calculations*************************************************************************************************************************************************************************

// ************************************ INPUT BACKTEST RANGE ******************************************=== coutesy of alanaster
fromMonth = input(defval = 4,    title = "From Month",      type = input.integer, minval = 1, maxval = 12)
fromDay   = input(defval = 1,    title = "From Day",        type = input.integer, minval = 1, maxval = 31)
fromYear  = input(defval = 2020, title = "From Year",       type = input.integer, minval = 1970)
thruMonth = input(defval = 1,    title = "Thru Month",      type = input.integer, minval = 1, maxval = 12)
thruDay   = input(defval = 1,    title = "Thru Day",        type = input.integer, minval = 1, maxval = 31)
thruYear  = input(defval = 2112, title = "Thru Year",       type = input.integer, minval = 1970)

// === INPUT SHOW PLOT ===
showDate  = input(defval = true, title = "Show Date Range", type = input.bool)

// === FUNCTION EXAMPLE ===
start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => true       // create function "within window of time"

bgcolor(color = showDate and window() ? color.gray : na, transp = 90) 


// 3. Display Chart Information*************************************************************************************************************************************************************************

//plot EMAs
plot(SH_EMA, title = "SH EMA", color = color.blue)
plot(MD_EMA, title = "MD EMA", color = color.yellow)

//plot SMAs
plot(SH_SMA, title = "SH SMA", color = color.green)
plot(MD_SMA, title = "MD SMA", color = color.orange)
plot(LG_SMA, title = "LG SMA", color = color.red, linewidth = 4, transp = 70)


// 4. Determine Entry Conditions*************************************************************************************************************************************************************************

//Determine if SNAP Back (SB) setup is present: 
SB_RB_Up= false //SB_RB_Up = Snap Back RainBow for an Uptrend Swing
SB_RB_Up:= iff(LG_SMA>MD_SMA and MD_SMA>MD_EMA and MD_EMA>SH_SMA and SH_SMA>SH_EMA, true, false) //is the 200SMA > 50 SMA > 34EMA > 20SMA > 8EMA 
// plotshape(SB_RB, title= "SB_RB", color=color.black, style=shape.cross, text="Rainbow")   //for testing only
SB_RB_DWN= false //SB_RB_DWN = Snap Back RainBow for a Downtrend Swing
SB_RB_DWN:= iff(LG_SMA<MD_SMA and MD_SMA<MD_EMA and MD_EMA<SH_SMA and SH_SMA<SH_EMA, true, false) //is the 200SMA < 50 SMA < 34EMA < 20SMA < 8EMA 


SB_Gap=false
SB_Gap:= iff(abs(SH_SMA-SH_EMA)>(price*GAP), true, false) //is there a greater than "GAP"% of the price gap between the 8EMA and 20SMA

SB_SetUp_Up=false
SB_SetUp_Up:= iff(SB_RB_Up and SB_Gap, true, false)//Uptrend Setup both conditions must be true
//plotshape(SB_SetUp, title= "SB_SetUp", color=color.white, style=shape.diamond, text="Set Up")  //for testing
SB_SetUp_DWN=false
SB_SetUp_DWN:= iff(SB_RB_DWN and SB_Gap, true, false)//Downtrend Setup both conditions must be true

//Determine trigger (TGR) for entry
SB_TGR_Up=false
SB_TGR_Up:= iff(iff(aggro==0, crossover(price, SH_EMA), true) and iff(aggro==1, crossover(price[aggro],SH_EMA) and price>open[aggro], true), true, false) //if the price crosses over the 8EMA that is our entry signal, aggro determines how aggressively we enter the position (wait for a confirmaiton bar or not)
SB_TGR_DWN=false
SB_TGR_DWN:= iff(iff(aggro==0, crossunder(price, SH_EMA), true) and iff(aggro==1, crossunder(price[aggro],SH_EMA) and price<open[aggro], true), true, false) //if the price crosses under the 8EMA that is our entry signal, aggro determines how aggressively we enter the position (wait for a confirmaiton bar or not)

//Determine when to run the strategy based on user input for uptrend or downtrend
RunTrendUp=false //Varibile for running the Strategy in an UpTrend
RunTrendUp:= iff(RunTrend == "Up" or RunTrend == "Both", true, false)

RunTrendDWN=false //Varibile for running the Strategy in a DownTrend
RunTrendDWN:= iff(RunTrend == "Down" or RunTrend == "Both", true, false)

//Determine full buy conditions
MAbuy=false//long entry variable
MAbuy := iff(SB_SetUp_Up and SB_TGR_Up and RunTrendUp, true, false) //when both the setup, the trigger, and RunTrend are true return true
plotshape(MAbuy, title= "HC-LB", color=color.lime, style=shape.circle, text="HC-LB")
strategy.entry("HC-Long", strategy.long, comment="HC-Long", when = MAbuy and window())

MAsell=false//short entry variable
MAsell := iff(SB_SetUp_DWN and SB_TGR_DWN and RunTrendDWN, true, false) //when both the setup, the trigger, and RunTrend are true return true
plotshape(MAsell, title= "HC-SB", color=color.purple, style=shape.circle, text="HC-SB")
strategy.entry("HC-Short", strategy.short, comment="HC-Short", when = MAsell and window())



// 5. Submit Profit and Loss Exit Calculations Orders*************************************************************************************************************************************************************************

//Stop Criteria
StpCri=input(title="Stop Criteria: SL or SH_EMA", defval="SL", options=["SL", "SH_EMA"])
//Profit Criteria
ProCri=input(title="Profit Criteria: TGT% or MD_EMA", defval="TGT%", options=["TGT%", "MD_EMA"])

// User Options to Change Inputs (%)
TrailPerc = input(title="Trail Loss %", type=input.float, minval=0, step=1, defval=6) /100
stopPer = input(4, title='Stop Loss %', type=input.float) / 100
takePer = input(6, title='Take Profit %', type=input.float) / 100

//Percent of SH_EMA to use for StopLoss
SH_EMA_percent = input(96, title="% of SH_EMA for Stop")/100
//Percent of MD_EMA to use for Take Profit
MD_EMA_percent = input(100, title="% of MD_EMA for Profit")/100

//calculate Trail stop price for MD_EMA TGT% condition
longStopPrice=0.0//long side entry stop variable
longStopPrice := if (strategy.position_size > 0)
    stopValue = close * (1 - TrailPerc)  
    max(stopValue, longStopPrice[1])
else
    0
    
shortStopPrice=0.0//short side entry stop variable
shortStopPrice := if (strategy.position_size < 0)
    shortStopValue = close * (1 + TrailPerc)  
    min(shortStopValue, shortStopPrice[1])
else
    999999 
    

// Determine where you've entered and in what direction
longStop = strategy.position_avg_price * (1 - stopPer)
shortStop = strategy.position_avg_price * (1 + stopPer)
shortTake = strategy.position_avg_price * (1 - takePer)
longTake = strategy.position_avg_price * (1 + takePer)



//exit position conditions and orders
if strategy.position_size > 0 //long side exit conditions
    if StpCri=="SL" and ProCri=="TGT%"
        strategy.exit(id="Close Long", when = window(), stop=longStop, limit=longTake)// sell when either the TGT or the SL is hit
    if StpCri=="SL" and ProCri=="MD_EMA"
        strategy.exit(id="Close Long (50%)", when = window(), stop=longStop, limit=MD_EMA_percent*MD_EMA, qty_percent=50)// sell 50% when MD_EMA hit or SL then transition to a trailing stop loss
        strategy.exit(id="Close Long Trailing Stop", when = window(), stop=longStopPrice, qty_percent=100)
    if StpCri=="SH_EMA" and ProCri=="MD_EMA"
        strategy.exit(id="Close Long (50%)", when = window(), stop=SH_EMA*SH_EMA_percent, limit=MD_EMA_percent*MD_EMA, qty_percent=50)// sell 50% when MD_EMA hit or SH_EMA hit then transition to a trailing stop loss
        strategy.exit(id="Close Long Trailing Stop", when = window(), stop=longStopPrice, qty_percent=100)
    if StpCri=="SH_EMA" and ProCri=="TGT%"
        strategy.exit(id="Close Long", when = window(), stop=SH_EMA*SH_EMA_percent, limit=longTake)// sell when either the TGT or the SH_EMA is hit
        
        
if strategy.position_size < 0 //short side exit conditions
    if StpCri=="SL" and ProCri=="TGT%"
        strategy.exit(id="Close Short", when = window(), stop=shortStop, limit=shortTake)// sell when either the TGT or the SL is hit
    if StpCri=="SL" and ProCri=="MD_EMA"
        strategy.exit(id="Close Short (50%)", when = window(), stop=shortStop, limit=(2-MD_EMA_percent)*MD_EMA, qty_percent=50)// sell 50% when MD_EMA hit or SL then transition to a trailing stop loss
        strategy.exit(id="Close Short Trailing Stop", when = window(), stop=shortStopPrice, qty_percent=100)
    if StpCri=="SH_EMA" and ProCri=="MD_EMA"
        strategy.exit(id="Close Short (50%)", when = window(), stop=SH_EMA*(2-SH_EMA_percent), limit=(2-MD_EMA_percent)*MD_EMA, qty_percent=50)// sell 50% when MD_EMA hit or SH_EMA hit then transition to a trailing stop loss
        strategy.exit(id="Close Short Trailing Stop", when = window(), stop=shortStopPrice, qty_percent=100)
    if StpCri=="SH_EMA" and ProCri=="TGT%"
        strategy.exit(id="Close Short", when = window(), stop=SH_EMA*(2-SH_EMA_percent), limit=shortTake)// sell when either the TGT or the SH_EMA is hit



// Plot stop trailing loss values for confirmation
plot(series=(strategy.position_size > 0 and (ProCri == "MD_EMA")) ? longStopPrice : na, color=color.fuchsia, style=plot.style_cross, linewidth=2, title="Long Trail Stop") //plot the trailing stop on the chart for an uptrend
plot(series=(strategy.position_size < 0 and (ProCri == "MD_EMA")) ? shortStopPrice : na, color=color.fuchsia, style=plot.style_cross, linewidth=2, title="Short Trail Stop") //plot the trailing stop on the chart for a downtrend

//plot fixed stop loss value
plot(series=(strategy.position_size > 0 and (StpCri == "SL")) ? longStop : na, color=color.fuchsia, style=plot.style_cross, linewidth=2, title="Long Trail Stop") //plot the stop on the chart for an uptrend
plot(series=(strategy.position_size < 0 and (StpCri == "SL")) ? shortStop : na, color=color.fuchsia, style=plot.style_cross, linewidth=2, title="Short Trail Stop") //plot the stop on the chart for a downtrend

//plot highlight of SH_EMA% used for stop exit condition
plot(series=(strategy.position_size > 0 and (StpCri == "SH_EMA")) ? SH_EMA*SH_EMA_percent : na, color=color.fuchsia, style=plot.style_cross, linewidth=2, title="Short Trail Stop") //plot the SH_EMA based stop on the chart for a uptrend
plot(series=(strategy.position_size < 0 and (StpCri == "SH_EMA")) ? SH_EMA*(2-SH_EMA_percent) : na, color=color.fuchsia, style=plot.style_cross, linewidth=2, title="Short Trail Stop") //plot the SH_EMA based stop on the chart for a downtrend

//plot the TGT profit points
plot(series=(strategy.position_size > 0 and (ProCri == "TGT%")) ? longTake : na, color=color.lime, style=plot.style_cross, linewidth=2, title="Short Trail Stop") //plot the TGT% for long position
plot(series=(strategy.position_size > 0 and (ProCri == "MD_EMA")) ? MD_EMA_percent*MD_EMA : na, color=color.lime, style=plot.style_cross, linewidth=2, title="Short Trail Stop") //plot the MD_EMA % TGT for long position
plot(series=(strategy.position_size < 0 and (ProCri == "TGT%")) ? shortTake : na, color=color.lime, style=plot.style_cross, linewidth=2, title="Short Trail Stop") //plot the TGT% for short position
plot(series=(strategy.position_size < 0 and (ProCri == "MD_EMA")) ? (2-MD_EMA_percent)*MD_EMA : na, color=color.lime, style=plot.style_cross, linewidth=2, title="Short Trail Stop") //plot the MD_EMA % TGT for short position

もっと

2019 FMZ - すべての権利は保護されています.

スナップバック 移動平均 反トレンド 戦略

概要

戦略の論理

利点

リスク

増進 の 機会

結論

スナップバック移動平均反トレンド戦略

増進の機会