カメトレンド戦略

作者: リン・ハーンチャオチャン,日付: 2024-02-29 15:15:54
タグ:

概要

トートルトレンド戦略は,有名なトートルトレード戦略の強化版である.ツートルトレンド戦略は,二重移動平均によって生成される取引信号を利用して,取引後に低リスクトレンドを実装する.標準化されたエントリーと出口ルールは,取引リスクを効果的に制御し,安定した資本成長を達成することができます.

戦略の論理

トートルトレンド戦略は,ストップ損失と利益目標を設定するために,ATR指標と組み合わせて20日高,20日低,55日高および55日低を計算する.価格が20日高を上回るときはロング信号,価格が20日低を突破したときはショート信号を生成する.また,価格が20日高/低を突破しても55日高/低を突破できない場合,スキップメカニズムが設定されている.

市場に入ると,戦略は,ATR値を活用してストップ損失とピラミッド目標を設定する.損失がストップ損失レベルに達すると停止し,利益がピラミッド目標に達するとポジションサイズを増加させる.これは,個々の取引のリスクを制御しながら,トレンド市場での利益の可能性を最大化する.

利点分析

トートルトレンド戦略の最大の利点は,優れたリスク管理能力にあります.標準化されたエントリーと出口ルールは,個々の取引の損失を効果的に制御することができます.スキップメカニズムは,不利な市場状況に引っかかることを避けます. 安定したストップ損失戦略は,連続した損失も制限します.

最後に,ピラミッドメカニズムは,戦略がトレンド市場での利益を完全に捕獲できるようにし,安定した資本成長の基礎を築きます.

リスク分析

トートルトレンド戦略の主なリスクは,レンジ・バインド市場から利益を得ることができないことである.市場が長期間にわたってレンジで変動すると,ストップ・ロスはしばしば引き起こす損失を引き起こす可能性がある.また,スキップメカニズムは,十分な信号を得られず,潜在的な取引機会を逃す可能性がある.

さらに,技術指標への過度な依存は,基本的分析を無視し,政策の大きな変化を検出できず,不必要な損失を引き起こす可能性があります.

最適化

トートル・トレンド戦略は以下の側面で最適化できます.

スキップメカニズムの敏感性を調整し,変動指標を組み合わせて,様々な市場での取引頻度を増加させる.
基本信号をフィルターとして追加し,偶発的なイベントによるストップ損失に遭わないようにします.
ATRパラメータの設定を最適化して,ストップ損失線が実際の変動により近いようにします.
損失後無効な引き下げを避けるために,ボリューム指標を組み合わせる.

概要

トートルトレンドストラテジー (Turtle Trend Strategy) は,トレンド市場を追跡するのに適した低リスクアルゴリズム戦略である.さらなる最適化により,長期的な安定した収益性のあるポートフォリオを構築する重要な部分となり得る.

/*backtest
start: 2024-01-29 00:00:00
end: 2024-02-28 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("TURTLE STRATEGY", precision=2, overlay=true, initial_capital=1000, commission_type=strategy.commission.percent, commission_value=0.18, slippage=3, pyramiding=5, close_entries_rule="ANY", margin_long=100, margin_short=100)



//------------------------------TOOL TIPS--------------------------------//

t1 = "Percentage of the account the trader is willing to lose. This percentage is used to define the position size based on previous gains or losses. Turtle traders default to 1%."
t2 = "ATR Length"
t3 = "ATR Multiplier to fix the Stop Loss"
t4 = "Pyramiding : ATR Multiplier to set a profit target to increase position size"
t5 = "System 1 enter long if there is a new high after this selected period of time"
t6 = "System 2 enter long if there is a new high after this selected period of time"
t7 = "Exit Long from system 1 if there is a new low after this selected period of time"
t8 = "Exit Long from system 2 if there is a new low after this selected period of time"
t9 = "System 1 enter short if there is a new low after this selected period of time"
t10 = "System 2 enter short if there is a new low after this selected period of time"
t11 = "Exit short from system 1 if there is a new high after this selected period of time"
t12 = "Exit short from system 2 if there is a new high after this selected period of time"


//----------------------------------------FUNCTIONS---------------------------------------//

//@function Displays text passed to `txt` when called.
debugLabel(txt, color) =>
    label.new(bar_index, high, text=txt, color=color, style=label.style_label_lower_right, textcolor=color.black, size=size.small)

//@function which looks if the close date of the current bar falls inside the date range
inBacktestPeriod(start, end) => (time >= start) and (time <= end)


//---------------------------------------USER INPUTS--------------------------------------//

//Risk Management and turtle system input
percentage_to_risk = input.float(1, "Risk % of capital", maxval=100, minval=0, group="Turtle Parameters", tooltip=t1) 
atr_period = input.int(20, "ATR period", minval=1, group="Turtle Parameters", tooltip=t2)
stop_N_multiplier = input.float(1.5, "Stop ATR", minval=0.1, group="Turtle Parameters", tooltip=t3)
pyramid_profit = input.float(0.5, "Pyramid Profit", minval=0.01, group="Turtle Parameters", tooltip=t4)
S1_long = input.int(20, "S1 Long", minval=1, group="Turtle Parameters", tooltip=t5)
S2_long = input.int(55, "S2 Long", minval=1, group="Turtle Parameters", tooltip=t6)
S1_long_exit = input.int(10, "S1 Long Exit", minval=1, group="Turtle Parameters", tooltip=t7)
S2_long_exit = input.int(20, "S2 Long Exit", minval=1, group="Turtle Parameters", tooltip=t8)
S1_short = input.int(15, "S1 Short", minval=1, group="Turtle Parameters", tooltip=t9)
S2_short = input.int(55, "S2 Short", minval=1, group="Turtle Parameters", tooltip=t10)
S1_short_exit = input.int(7, "S1 Short Exit", minval=1, group="Turtle Parameters", tooltip=t11)
S2_short_exit = input.int(20, "S2 Short Exit", minval=1, group="Turtle Parameters", tooltip=t12)
//Backtesting period
startDate = input(title="Start Date", defval=timestamp("1 Jan 2020 00:00:00"), group="Backtesting Period")
endDate = input(title="End Date", defval=timestamp("1 July 2034 00:00:00"), group="Backtesting Period")


//----------------------------------VARIABLES INITIALISATION-----------------------------//

//Turtle variables
atr = ta.atr(atr_period)
var float buy_price_long = na
var float buy_price_short = na
var float stop_loss_long = na
var float stop_loss_short = na
float account = na
//Entry variables
day_high_syst1 = ta.highest(high, S1_long)
day_low_syst1 = ta.lowest(low, S1_short)
day_high_syst2 = ta.highest(high, S2_long)
day_low_syst2 = ta.lowest(low, S2_short)
var bool skip = false
var bool unskip_buffer_long = false
var bool unskip_buffer_short = false
//Exit variables
exit_long_syst1 = ta.lowest(low, S1_long_exit)
exit_short_syst1 = ta.highest(high, S1_short_exit)
exit_long_syst2 = ta.lowest(low, S2_long_exit)
exit_short_syst2 = ta.highest(high, S2_short_exit)
float exit_signal = na
//Backtesting period
bool inRange = na


//------------------------------CHECKING SOME CONDITIONS ON EACH SCRIPT EXECUTION-------------------------------//

//Checking if the date belong to the range
inRange := true
strategy.initial_capital = 50000
//Checking if the current equity is higher or lower than the initial capital to adjusted position size
if strategy.equity - strategy.openprofit < strategy.initial_capital
    account := (strategy.equity-strategy.openprofit)*(strategy.equity-strategy.openprofit)/strategy.initial_capital
else
    account := strategy.equity - strategy.openprofit

//Checking if we close all trades in case where we exit the backtesting period
if strategy.position_size!=0 and not inRange
    strategy.close_all()
    debugLabel("END OF BACKTESTING PERIOD : we close the trade", color=color.rgb(116, 116, 116))


//--------------------------------------SKIP MANAGEMENT------------------------------------//
    
//Checking if a long signal has been skiped and system2 is not triggered
if skip and high>day_high_syst1[1] and high<day_high_syst2[1]
    unskip_buffer_long := true

//Checking if a short signal has been skiped and system2 is not triggered
if skip and low<day_low_syst1[1] and low>day_low_syst2[1]
    unskip_buffer_short := true

//Checking if current high is lower than previous 20_day_high after a skiped long signal to set skip to false
if unskip_buffer_long
    if high<day_high_syst1[1]
        skip := false
        unskip_buffer_long := false

//Checking if current low is higher than previous 20_day_low after a skiped short signal to set skip to false
if unskip_buffer_short
    if low>day_low_syst1[1]
        skip := false
        unskip_buffer_short := false

//Checking if we have an open position to reset skip and unskip buffers
if strategy.position_size!=0 and skip
    skip := false
    unskip_buffer_long := false
    unskip_buffer_short := false


//--------------------------------------------ENTRY CONDITIONS--------------------------------------------------//

//We calculate the position size based on turtle calculation
unit = (percentage_to_risk/100)*account/atr*syminfo.pointvalue

//Long order for system 1
if not skip and not (strategy.position_size>0) and inRange and unit>0
    strategy.cancel("Long Syst 2")
    //We check that position size doesn't exceed available equity
    if unit*day_high_syst1>account
        unit := account/day_high_syst1
    stop_loss_long := day_high_syst1 - stop_N_multiplier*atr
    //We adjust SL if it's greater than 10% of trade value and fix it to 10%
    if stop_loss_long < day_high_syst1*0.9
        stop_loss_long := day_high_syst1*0.9
    strategy.order("Long Syst 1", strategy.long, unit, stop=day_high_syst1)
    buy_price_long := day_high_syst1

//Long order for system 2
if skip and not (strategy.position_size>0) and inRange and unit>0
    //We check that position size doesn't exceed available equity
    if unit*day_high_syst2>account
        unit := account/day_high_syst2
    stop_loss_long := day_high_syst2 - stop_N_multiplier*atr
    //We adjust SL if it's greater than 10% of trade value and fix it to 10%
    if stop_loss_long < day_high_syst2*0.9
        stop_loss_long := day_high_syst2*0.9
    strategy.order("Long Syst 2", strategy.long, unit, stop=day_high_syst2)
    buy_price_long := day_high_syst2

//Short order for system 1
if not skip and not (strategy.position_size<0) and inRange and unit>0
    strategy.cancel("Short Syst 2")
    //We check that position size doesn't exceed available equity
    if unit*day_low_syst1>account
        unit := account/day_low_syst1
    stop_loss_short := day_low_syst1 + stop_N_multiplier*atr
    //We adjust SL if it's greater than 10% of trade value and fix it to 10%
    if stop_loss_short > day_low_syst1*1.1
        stop_loss_short := day_low_syst1*1.1
    strategy.order("Short Syst 1", strategy.short, unit, stop=day_low_syst1)
    buy_price_short := day_low_syst1

//Short order for system 2
if skip and not (strategy.position_size<0) and inRange and unit>0
    //We check that position size doesn't exceed available equity
    if unit*day_low_syst2>account
        unit := account/day_low_syst2
    stop_loss_short := day_low_syst2 + stop_N_multiplier*atr
    //We adjust SL if it's greater than 10% of trade value and fix it to 10%
    if stop_loss_short > day_low_syst2*1.1
        stop_loss_short := day_low_syst2*1.1
    strategy.order("Short Syst 2", strategy.short, unit, stop=day_low_syst2)
    buy_price_short := day_low_syst2


//-------------------------------PYRAMIDAL------------------------------------//

//Pyramid for long orders
if close > buy_price_long + (pyramid_profit*atr) and strategy.position_size>0
    //We calculate the remaining capital
    remaining_capital = account - strategy.position_size*strategy.position_avg_price*(1-0.0018)
    //We calculate units to add to the long position
    units_to_add = (percentage_to_risk/100)*remaining_capital/atr*syminfo.pointvalue
    if remaining_capital > units_to_add and units_to_add>0
        //We set the new Stop loss
        stop_loss_long := stop_loss_long + pyramid_profit*atr
        strategy.entry("Pyramid Long", strategy.long, units_to_add)
        buy_price_long := close

//Pyramid for short orders
if close < buy_price_short - (pyramid_profit*atr) and strategy.position_size<0
    //We calculate the remaining capital
    remaining_capital = account + strategy.position_size*strategy.position_avg_price*(1-0.0018)
    //We calculate units to add to the short position
    units_to_add = (percentage_to_risk/100)*remaining_capital/atr*syminfo.pointvalue
    if remaining_capital > units_to_add and units_to_add>0
        //We set the new Stop loss
        stop_loss_short := stop_loss_short - pyramid_profit*atr
        strategy.entry("Pyramid Short", strategy.short, units_to_add)
        buy_price_short := close


//----------------------------EXIT ORDERS-------------------------------//

//Checking if exit_long_syst1 is higher than stop_loss_long
if strategy.opentrades.entry_id(0)=="Long Syst 1"
    if exit_long_syst1[1] > stop_loss_long
        exit_signal := exit_long_syst1[1]
    else
        exit_signal := stop_loss_long

//Checking if exit_long_syst2 is higher than stop_loss_long
if strategy.opentrades.entry_id(0)=="Long Syst 2"
    if exit_long_syst2[1] > stop_loss_long
        exit_signal := exit_long_syst2[1]
    else
        exit_signal := stop_loss_long

//Checking if exit_short_syst1 is lower than stop_loss_short
if strategy.opentrades.entry_id(0)=="Short Syst 1"
    if exit_short_syst1[1] < stop_loss_short
        exit_signal := exit_short_syst1[1]
    else
        exit_signal := stop_loss_short

//Checking if exit_short_syst2 is lower than stop_loss_short
if strategy.opentrades.entry_id(0)=="Short Syst 2"
    if exit_short_syst2[1] < stop_loss_short
        exit_signal := exit_short_syst2[1]
    else
        exit_signal := stop_loss_short

//If the exit order is configured to close the position at a profit, we set 'skip' to true (we substract commission)
if strategy.position_size*exit_signal>strategy.position_size*strategy.position_avg_price*(1-0.0018)
    strategy.cancel("Long Syst 1")    
    strategy.cancel("Short Syst 1")
    skip := true
if strategy.position_size*exit_signal<=strategy.position_size*strategy.position_avg_price*(1-0.0018)
    skip := false

//We place stop exit orders
if strategy.position_size > 0
    strategy.exit("Exit Long", stop=exit_signal)

if strategy.position_size < 0
    strategy.exit("Exit Short", stop=exit_signal)


//------------------------------PLOTTING ELEMENTS-------------------------------//

plotchar(atr, "ATR", "", location.top, color.rgb(131, 5, 83))
//Plotting enter threshold
plot(day_high_syst1[1], "20 day high", color.rgb(118, 217, 159))
plot(day_high_syst2[1], "55 day high", color.rgb(4, 92, 53))
plot(day_low_syst1[1], "20 day low", color.rgb(234, 108, 108))
plot(day_low_syst2[1], "55 day low", color.rgb(149, 17, 17))
//Plotting Exit Signal
plot(exit_signal, "Exit Signal", color.blue, style=plot.style_circles)
//Plotting our position
exit_long_syst2_plot = plot(exit_long_syst2[1], color=na)
day_high_syst2_plot = plot(day_high_syst2[1], color=na)
exit_short_syst2_plot = plot(exit_short_syst2[1], color=na)
day_low_syst2_plot = plot(day_low_syst2[1], color=na)
fill(exit_long_syst2_plot, day_high_syst2_plot, color=strategy.position_size>0 ? color.new(color.lime, 90) : na)
fill(exit_short_syst2_plot, day_low_syst2_plot, color=strategy.position_size<0 ? color.new(color.red, 90) : na)

もっと

2019 FMZ - すべての権利は保護されています.

カメ トレンド 戦略

概要

戦略の論理

利点分析

リスク分析

最適化

概要

カメトレンド戦略