Strategi Perdagangan SuperTrend dengan Pelbagai Penapis

Penulis:ChaoZhang, Tarikh: 2023-09-15 16:19:57
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Strategi ini dipanggil Strategi Perdagangan SuperTrend dengan Pelbagai Penapis. Ia menambah beberapa penunjuk sebagai penapis di atas Supertrend untuk mengawal entri dengan ketat.

Bagaimana strategi ini berfungsi:

Mengira penunjuk Supertrend untuk menjana isyarat beli dan jual.
Jika penapis MACD diaktifkan, isyarat beli hanya dihasilkan apabila MACD melintasi di atas garis isyarat dan MA pantas melintasi di atas MA perlahan. Isyarat jual hanya dihasilkan apabila MACD melintasi di bawah garis isyarat dan MA pantas melintasi di bawah MA perlahan.
Jika penapis EMA diaktifkan, isyarat beli hanya dihasilkan apabila harga melintasi EMA 200 hari. Isyarat jual hanya dihasilkan apabila harga melintasi EMA 200 hari.
Jika penapis RSI Stochastic diaktifkan, isyarat beli hanya dihasilkan apabila RSI Stochastic melintasi dari overbought ke oversold. Isyarat jual hanya dihasilkan apabila RSI Stochastic melintasi dari oversold ke overbought.
Jika penapis IFM diaktifkan, isyarat beli hanya dihasilkan apabila IFM melintasi EMA. Isyarat jual hanya dihasilkan apabila IFM melintasi EMA.
Jika penapis CCI diaktifkan, isyarat beli hanya dihasilkan apabila harga melintasi di atas garis asas CCI. Isyarat jual hanya dihasilkan apabila harga melintasi di bawah garis asas CCI.
Gunakan ATR atau Bollinger Bands untuk mengira stop loss dan mengambil tahap keuntungan.

Kelebihan strategi ini:

Pelbagai penapis meningkatkan kebolehpercayaan isyarat dan mengelakkan isyarat palsu.
Stop loss dan mengambil keuntungan yang ketat membantu mengawal risiko.
Parameter yang boleh disesuaikan dan suis beralih memberikan fleksibiliti.

Risiko strategi ini:

Keadaan penapisan yang terlalu banyak boleh kehilangan beberapa peluang perdagangan.
Parameter penunjuk yang tidak betul boleh membuat penapis tidak berkesan.
Stop loss dan mengambil keuntungan yang salah boleh meningkatkan kerugian.

Ringkasnya, Strategi Perdagangan SuperTrend dengan Pelindung Berbilang mempertimbangkan kedua-dua trend berikut dan analisis penunjuk, meningkatkan kualiti isyarat melalui pelbagai pengesahan.

/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-14 00:00:00
period: 1h
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/
// © mathlabel

//@version=5
strategy("My strategy", overlay=true, margin_long=100, margin_short=100)



atrPeriod = input(10, "ATR Length")
factor = input.float(3.0, "Factor", step = 0.01)
stopLossFactor = input(2.0, "Stop Loss Factor")
takeProfitFactor = input(1.5, "Take Profit Factor")
stochlenght= input(14,'stochlenght')
oversold_level = input(title = 'Oversold', defval = 20)
overbought_level = input(title = 'Overbought', defval = 80)
use_atr_exits=input.bool(false)
use_bollinger_exits=input.bool(false)
use_cci_filter=input.bool(false)


longLossPerc = input.float(title='Long Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01

shortLossPerc = input.float(title='Short Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01

longprofitPerc = input.float(title='Long profit (%)', minval=0.0, step=0.1, defval=1) * 0.01

shortprofitPerc = input.float(title='Short profit (%)', minval=0.0, step=0.1, defval=1) * 0.01



// Calculate ATR
atr = ta.atr(atrPeriod)
plotsuper=input.bool(false)
[supertrend, direction] = ta.supertrend(factor, atrPeriod)


upTrend = plot(plotsuper? (direction < 0 ? supertrend : na) : na, "Up Trend", color = color.green, style=plot.style_linebr)
downTrend = plot(plotsuper ? (direction < 0? na : supertrend):na, "Down Trend", color = color.red, style=plot.style_linebr)



long_supertrend_filter= (direction < 0 ? supertrend : na)
short_supertrend_filter= (direction < 0? na : supertrend)



//--trama--
lengths = input(99,title='Trama lenght')
src =(close)

ama = 0.
hh = math.max(math.sign(ta.change(ta.highest(lengths))), 0)
ll = math.max(math.sign(ta.change(ta.lowest(lengths)) * -1), 0)
tc = math.pow(ta.sma(hh or ll ? 1 : 0, lengths), 2)
ama := nz(ama[1] + tc * (src - ama[1]), src)

plottrama=input.bool(false, title="Show Lux TRAMA")
plot(plottrama?ama : na, 'Plot', color.new(#ff1100, 0), 2)

use_LUX_trama_filter=input.bool(false)
long_LUX_trama_filter= (close > ama)
short_LUX_trama_filter= (close < ama)

// highest high
highest = ta.highest(high, stochlenght)
// lowest low
lowest = ta.lowest(low, stochlenght)

// stochastic oscillator
stochastic_K = ((close - lowest) / (highest - lowest)) * 100
stochastic_D = ta.sma(stochastic_K, 3)

use_stochastic_filter = input.bool(false)
long_stoch_filter = stochastic_K > oversold_level and stochastic_K[1] < oversold_level
short_stoch_filter = stochastic_K < overbought_level and stochastic_K[1] > overbought_level

//Define a ATR band upline and bottome line.

upline = open + (atr* takeProfitFactor)
bottomline = open -(atr*stopLossFactor)

plot(use_atr_exits ? upline : na, color=color.white)
plot(use_atr_exits ? bottomline:na, color=color.white)

// Calculate stop loss and take profit levels
stopLoss = stopLossFactor * atr
takeProfit = takeProfitFactor * atr

//input macd
ma_fast=ta.sma(close,input(14,title='ma fast for macd filter'))
ma_slow=ta.sma(close,input(28, title='ma slowfor macd filter'))
use_macd_filter=input.bool(false)

[macdLine, signalLine, histLine]= ta.macd(close,12,26,9)
long_macd_filter= (macdLine > signalLine) and ta.crossover(ma_fast,ma_slow)
short_macd_filter= (macdLine < signalLine) and ta.crossunder(ma_fast,ma_slow)
// ema 200
ema1= ta.ema(close,1)
ema2= ta.ema(close,200)
use_ema200_filter= input.bool(false)
long_ema_filter = (close > ema2)
short_ema_filter= (close < ema2)
plotAverage = input.bool(true, title="Plot EMA200")
plot(plotAverage ? ta.ema(close, 200) : na, title="Exponential Average")
// mfi
signalLength = input(title="mfi Signal Length", defval=9)
length1 = input(title="mfi Length", defval=14)
src1 = hlc3
mf = ta.mfi(src1, length1)
signal = ta.ema(mf, signalLength)



use_mfi_filter=input.bool(false)
long_mfi_filter= ta.crossover(mf,signal) ?mf:na 
short_mfi_filter= ta.crossunder(mf,signal)? mf : na

//cci
cci_l = input(50, title='CCI Period Length')
atr_l = input(5, title=' CCI ATR Length')
level = 0
sd_length = 20



cci = ta.cci(src, cci_l)
atr2 = ta.atr(atr_l)

var st = 0.

if cci >= level
    st := low - atr
    st

if cci <= level
    st := high + atr
    st


var tu = 0.
var td = 0.
var optimal_line = 0.

if cci >= level and cci[1] < level
    tu := td[1]
    tu

if cci <= level and cci[1] > level
    td := tu[1]
    td

if cci > level
    tu := low - atr2
    if tu < tu[1] and cci[1] >= level
        tu := tu[1]
        tu

if cci < level
    td := high + atr2
    if td > td[1] and cci[1] <= level
        td := td[1]
        td

optimal_line := math.max(tu, td)

// Creating a Price Channel, 

avg_st8 = ta.ema(st, 8)
avg_st13 = ta.ema(st, 13)
avg_st21 = ta.ema(st, 21)
avg_st34 = ta.ema(st, 21)
avg_st55 = ta.ema(st, 55)
avg_st89 = ta.ema(st, 89)
avg_st144 = ta.ema(st, 144)
avg_st233 = ta.ema(st, 233)

average_weighting = (optimal_line + avg_st8 + avg_st13 + avg_st21 + avg_st34 + avg_st55 + avg_st89 + avg_st144 + avg_st233) / 9

basis = ta.sma(average_weighting, sd_length)
devs = ta.stdev(average_weighting, sd_length)
upperS = basis + devs
lowerS = basis - devs
plot(use_cci_filter ? basis: na, 'Basis', color=color.new(#872323, 0))
p3 = plot(use_cci_filter ? upperS : na, 'UpperS', color=color.new(color.teal, 0))
p4 = plot(use_cci_filter ? lowerS: na ,'LowerS', color=color.new(color.teal, 0))

long_cci_filter= ta.crossover(close,upperS) 
short_cci_filter= ta.crossunder(close,lowerS) 



var isLong = false
var isShort = false
long = (not use_LUX_trama_filter or long_LUX_trama_filter) and ( long_supertrend_filter) and (not use_ema200_filter or long_ema_filter) and (not isLong) and  (not use_stochastic_filter or long_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or long_mfi_filter) and (not use_cci_filter or long_cci_filter)
short= (not use_LUX_trama_filter or short_LUX_trama_filter) and ( short_supertrend_filter) and (not use_ema200_filter or short_ema_filter) and (not isShort)  and ( not use_stochastic_filter or short_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or short_mfi_filter) and (not use_cci_filter or short_cci_filter)


if long
    isLong := true
    isShort := false

if short
    isLong := false
    isShort := true

plotshape(long, title='Buy', text='Buy', style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), textcolor=color.new(color.white, 0), size=size.tiny)
plotshape(short, title='Sell', text='Sell', style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), textcolor=color.new(color.white, 0), size=size.tiny)


//bollinger
lengthss = input(20, title='bollinger lenght')

mult = input.float(2.0, minval=0.001, maxval=50, title="bollinger StdDev")
basiss = ta.sma(src, lengthss)
dev = mult * ta.stdev(src, lengthss)
upper = basiss + dev
lower = basiss - dev
offset = input.int(0, "bollinger Offset", minval = -500, maxval = 500)
plot(use_bollinger_exits ? basiss : na, "Basis", color=#FF6D00, offset = offset)
p1 = plot(use_bollinger_exits ? upper : na, "Upper", color=#2962FF, offset = offset)
p2 = plot(use_bollinger_exits ? lower: na, "Lower", color=#2962FF, offset = offset)

long_bollinger_exits= close > upper
short_bollinger_exits=close < lower
long_atr_exits = close > upline 
short_atr_exits = close < bottomline
takelong = (not use_atr_exits or long_atr_exits) and (not use_bollinger_exits or long_bollinger_exits)
takeshort = (not use_atr_exits or short_atr_exits) and (not use_bollinger_exits or short_bollinger_exits)

plotshape(use_atr_exits? takelong : na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)
plotshape(use_atr_exits ? takeshort : na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)
plotshape(use_bollinger_exits ? takelong: na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)
plotshape(use_bollinger_exits ? takeshort: na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)




alertcondition(long,'long','buy')
alertcondition(short,'short','short')
alertcondition(takeshort,'trail short close','short trailing take profit')
alertcondition(takelong ,'trail long close','long trailing take profit')


use_trailing_stop_loss=input.bool(title = 'use trailing stop loss (atr or bollinger)?', defval = true)

// Determine stop loss price
longStopPrice = strategy.position_avg_price * (1 - longLossPerc)
shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)
// Determine take profit price
longprofitPrice = strategy.position_avg_price * (1 + longprofitPerc)
shortprofitPrice = strategy.position_avg_price * (1 - shortprofitPerc)

// Plot stop loss values for confirmation
plot(series=strategy.position_size > 0 ? longStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Long Stop Loss')
plot(series=strategy.position_size < 0 ? shortStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Short Stop Loss')
plot(series=strategy.position_size > 0 ? longprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Long profit')
plot(series=strategy.position_size < 0 ? shortprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Short profit')




longCondition = long
if (longCondition)
    strategy.entry("Long Entry", strategy.long)

shortCondition = short
if (shortCondition)
    strategy.entry("Short Entry", strategy.short,stop = shortStopPrice)
if use_trailing_stop_loss
    if takelong or close < longStopPrice
        strategy.close("Long Entry")
    if takeshort or close > shortStopPrice
        strategy.close("Short Entry")
else
    if close < longStopPrice or close > longprofitPrice
        strategy.close("Long Entry")
    if close < shortprofitPrice or close > shortStopPrice
        strategy.close("Short Entry")

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