A estratégia do Qullamaggie Breakout V2

Autora:ChaoZhang, Data: 2023-10-24 16:30:32
Tags:

Resumo

Esta estratégia combina as vantagens das estratégias de breakout e de trailing stop que seguem a tendência para captar sinais de breakout de suporte/resistência em prazos mais longos, utilizando médias móveis para trailing de stop loss, a fim de obter lucros na direção da tendência de longo prazo, controlando o risco.

Estratégia lógica

A estratégia calcula primeiro várias médias móveis com diferentes parâmetros para a determinação da tendência, suporte/resistência e stop loss.
Em seguida, identifica os pontos mais altos e mais baixos dentro de um período especificado como as zonas de ruptura de suporte/resistência.
A estratégia compra quando o preço ultrapassa o máximo máximo e vende quando o preço ultrapassa o mínimo mínimo.
Após a entrada, o nível mais baixo é utilizado como stop loss inicial para a posição.
Uma vez que a posição se torna lucrativa, o stop loss muda para seguir a média móvel.
Isto permite que a posição obtenha lucros, ao mesmo tempo que lhe dá espaço suficiente para seguir a tendência.
A estratégia inclui também a gama média verdadeira para a filtragem, a fim de garantir que apenas sejam tomadas breakouts adequadas para evitar breakouts prolongados.

Análise das vantagens

Combina as vantagens das estratégias de breakout e trailing stop.
Pode comprar breakouts de acordo com tendências de longo prazo para maior probabilidade.
A estratégia de trail stop protege a posição enquanto permite espaço suficiente para correr.
A filtragem ATR evita breakouts prolongados desfavoráveis.
Negociação automatizada adequada para seguimento a tempo parcial.
Parâmetros de média móvel personalizáveis.
Mecanismos de travagem flexíveis.

Análise de riscos

Estratégias de fuga propensas a falsos riscos de fuga.
A volatilidade suficiente necessária para gerar sinais pode falhar em mercados agitados.
Algumas fugas podem ser de curta duração demais para serem captadas.
As paradas de atraso podem ser interrompidas com demasiada frequência em mercados variados.
A filtragem ATR pode perder algumas trocas potenciais.

Orientações de otimização

Teste diferentes combinações de médias móveis para obter parâmetros ótimos.
Explore diferentes confirmações de ruptura como canais, padrões de velas etc.
Tente diferentes mecanismos de parada de atraso para encontrar o melhor stop loss.
Otimizar estratégias de gestão de dinheiro como pontuação de posição.
Adicionar filtros de indicadores técnicos para melhorar a qualidade dos sinais.
Teste a eficácia em diferentes produtos.
Incorporar algoritmos de aprendizagem de máquina para aumentar o desempenho da estratégia.

Conclusão

Esta estratégia combina as filosofias das estratégias de breakout e trailing stop de tendência. Com a determinação adequada da tendência, otimiza o potencial de lucro, mantendo o risco controlado. As chaves estão encontrando os conjuntos de parâmetros ideais e incorporando uma gestão de dinheiro prudente.

/*backtest
start: 2022-10-17 00:00:00
end: 2023-10-23 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/
// © millerrh

// The intent of this strategy is to buy breakouts with a tight stop on smaller timeframes in the direction of the longer term trend.
// Then use a trailing stop of a close below either the 10 MA or 20 MA (user choice) on that larger timeframe as the position 
// moves in your favor (i.e. whenever position price rises above the MA).
// Option of using daily ADR as a measure of finding contracting ranges and ensuring a decent risk/reward.
// (If the difference between the breakout point and your stop level is below a certain % of ATR, it could possibly find those consolidating periods.)
// V2 - updates code of original Qullamaggie Breakout to optimize and debug it a bit - the goal is to remove some of the whipsaw and poor win rate of the 
// original by incorporating some of what I learned in the Breakout Trend Follower script.

//@version=4
strategy("Qullamaggie Breakout V2", overlay=true, initial_capital=100000, currency='USD', calc_on_every_tick = true,
   default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.1)
   
// === BACKTEST RANGE ===
Start = input(defval = timestamp("01 Jan 2019 06:00 +0000"), title = "Backtest Start Date", type = input.time, group = "backtest window and pivot history")
Finish = input(defval = timestamp("01 Jan 2100 00:00 +0000"), title = "Backtest End Date", type = input.time, group = "backtest window and pivot history")

// Inputs
showPivotPoints = input(title = "Show Historical Pivot Points?", type = input.bool, defval = false, group = "backtest window and pivot history",
  tooltip = "Toggle this on to see the historical pivot points that were used.  Change the Lookback Periods to adjust the frequency of these points.")
htf = input(defval="D", title="Timeframe of Moving Averages", type=input.resolution, group = "moving averages",
  tooltip = "Allows you to set a different time frame for the moving averages and your trailing stop.
  The default behavior is to identify good tightening setups on a larger timeframe
  (like daily) and enter the trade on a breakout occuring on a smaller timeframe, using the moving averages of the larger timeframe to trail your stop.")
maType = input(defval="SMA", options=["EMA", "SMA"], title = "Moving Average Type", group = "moving averages")
ma1Length = input(defval = 10, title = "1st Moving Average Length", minval = 1, group = "moving averages")
ma2Length = input(defval = 20, title = "2nd Moving Average Length", minval = 1, group = "moving averages")
ma3Length = input(defval = 50, title = "3rd Moving Average Length", minval = 1, group = "moving averages")
useMaFilter = input(title = "Use 3rd Moving Average for Filtering?", type = input.bool, defval = true, group = "moving averages",
  tooltip = "Signals will be ignored when price is under this slowest moving average.  The intent is to keep you out of bear periods and only
             buying when price is showing strength or trading with the longer term trend.")
trailMaInput = input(defval="1st Moving Average", options=["1st Moving Average", "2nd Moving Average"], title = "Trailing Stop", group = "stops",
  tooltip = "Initial stops after entry follow the range lows.  Once in profit, the trade gets more wiggle room and
  stops will be trailed when price breaches this moving average.")
trailMaTF = input(defval="Same as Moving Averages", options=["Same as Moving Averages", "Same as Chart"], title = "Trailing Stop Timeframe", group = "stops",
  tooltip = "Once price breaches the trail stop moving average, the stop will be raised to the low of that candle that breached. You can choose to use the
  chart timeframe's candles breaching or use the same timeframe the moving averages use. (i.e. if daily, you wait for the daily bar to close before setting
  your new stop level.)")
currentColorS = input(color.new(color.orange,50), title = "Current Range S/R Colors:    Support", type = input.color, group = "stops", inline = "lineColor")
currentColorR = input(color.new(color.blue,50), title = " Resistance", type = input.color, group = "stops", inline = "lineColor")

// Pivot lookback
lbHigh = 3
lbLow = 3

// MA Calculations (can likely move this to a tuple for a single security call!!)
ma(maType, src, length) =>
    maType == "EMA" ? ema(src, length) : sma(src, length) //Ternary Operator (if maType equals EMA, then do ema calc, else do sma calc)
ma1 = security(syminfo.tickerid, htf, ma(maType, close, ma1Length))
ma2 = security(syminfo.tickerid, htf, ma(maType, close, ma2Length))
ma3 = security(syminfo.tickerid, htf, ma(maType, close, ma3Length))

plot(ma1, color=color.new(color.purple, 60), style=plot.style_line, title="MA1", linewidth=2)
plot(ma2, color=color.new(color.yellow, 60), style=plot.style_line, title="MA2", linewidth=2)
plot(ma3, color=color.new(color.white, 60), style=plot.style_line, title="MA3", linewidth=2)

// === USE ADR FOR FILTERING ===
// The idea here is that you want to buy in a consolodating range for best risk/reward. So here you can compare the current distance between 
// support/resistance vs. the ADR and make sure you aren't buying at a point that is too extended.
useAdrFilter = input(title = "Use ADR for Filtering?", type = input.bool, defval = false, group = "adr filtering",
  tooltip = "Signals will be ignored if the distance between support and resistance is larger than a user-defined percentage of ADR (or monthly volatility
  in the stock screener). This allows the user to ensure they are not buying something that is too extended and instead focus on names that are consolidating more.")
adrPerc = input(defval = 120, title = "% of ADR Value", minval = 1, group = "adr filtering")
tableLocation = input(defval="Bottom", options=["Top", "Bottom"], title = "ADR Table Visibility", group = "adr filtering",
  tooltip = "Place ADR table on the top of the pane, the bottom of the pane, or off.")
adrValue = security(syminfo.tickerid, "D", sma((high-low)/abs(low) * 100, 21)) // Monthly Volatility in Stock Screener (also ADR)
adrCompare = (adrPerc * adrValue) / 100

// === PLOT SWING HIGH/LOW AND MOST RECENT LOW TO USE AS STOP LOSS EXIT POINT ===
ph = pivothigh(high, lbHigh, lbHigh)
pl = pivotlow(low, lbLow, lbLow)
highLevel = valuewhen(ph, high[lbHigh], 0)
lowLevel = valuewhen(pl, low[lbLow], 0)
barsSinceHigh = barssince(ph) + lbHigh
barsSinceLow = barssince(pl) + lbLow
timeSinceHigh = time[barsSinceHigh]
timeSinceLow = time[barsSinceLow]

//Removes color when there is a change to ensure only the levels are shown (i.e. no diagonal lines connecting the levels)
pvthis = fixnan(ph)
pvtlos = fixnan(pl)
hipc = change(pvthis) != 0 ? na : color.new(color.maroon, 0)
lopc = change(pvtlos) != 0 ? na : color.new(color.green, 0)

// Display Pivot lines
plot(showPivotPoints ? pvthis : na, color=hipc, linewidth=1, offset=-lbHigh, title="Top Levels")
plot(showPivotPoints ? pvthis : na, color=hipc, linewidth=1, offset=0, title="Top Levels 2")
plot(showPivotPoints ? pvtlos : na, color=lopc, linewidth=1, offset=-lbLow, title="Bottom Levels")
plot(showPivotPoints ? pvtlos : na, color=lopc, linewidth=1, offset=0, title="Bottom Levels 2")

// BUY AND SELL CONDITIONS
buyLevel = valuewhen(ph, high[lbHigh], 0) //Buy level at Swing High

// Conditions for entry
stopLevel = float(na) // Define stop level here as "na" so that I can reference it in the ADR calculation before the stopLevel is actually defined.
buyConditions = (useMaFilter ? buyLevel > ma3 : true) and
  (useAdrFilter ? (buyLevel - stopLevel[1]) < adrCompare : true) 
buySignal = crossover(high, buyLevel) and buyConditions

// Trailing stop points - when price punctures the moving average, move stop to the low of that candle - Define as function/tuple to only use one security call
trailMa = trailMaInput == "1st Moving Average" ? ma1 : ma2
f_getCross() =>
    maCrossEvent = crossunder(low, trailMa)
    maCross = valuewhen(maCrossEvent, low, 0)
    maCrossLevel = fixnan(maCross)
    maCrossPc = change(maCrossLevel) != 0 ? na : color.new(color.blue, 0) //Removes color when there is a change to ensure only the levels are shown (i.e. no diagonal lines connecting the levels)
    [maCrossEvent, maCross, maCrossLevel, maCrossPc]
crossTF = trailMaTF == "Same as Moving Averages" ? htf : ""
[maCrossEvent, maCross, maCrossLevel, maCrossPc] = security(syminfo.tickerid, crossTF, f_getCross())

plot(showPivotPoints ? maCrossLevel : na, color = maCrossPc, linewidth=1, offset=0, title="Ma Stop Levels")

// == STOP AND PRICE LEVELS ==
inPosition = strategy.position_size > 0
buyLevel := inPosition ? buyLevel[1] : buyLevel
stopDefine = valuewhen(pl, low[lbLow], 0) //Stop Level at Swing Low
inProfit = strategy.position_avg_price <= stopDefine[1]
// stopLevel := inPosition ? stopLevel[1] : stopDefine // Set stop loss based on swing low and leave it there
stopLevel := inPosition and not inProfit ? stopDefine : inPosition and inProfit ? stopLevel[1] : stopDefine // Trail stop loss until in profit
trailStopLevel = float(na)

// trying to figure out a better way for waiting on the trail stop - it can trigger if above the stopLevel even if the MA hadn't been breached since opening the trade
notInPosition = strategy.position_size == 0
inPositionBars = barssince(notInPosition)
maCrossBars = barssince(maCrossEvent)
trailCross = inPositionBars > maCrossBars
// trailCross = trailMa > stopLevel
trailStopLevel := inPosition and trailCross ? maCrossLevel : na

plot(inPosition ? stopLevel : na, style=plot.style_linebr, color=color.new(color.orange, 50), linewidth = 2, title = "Historical Stop Levels", trackprice=false)
plot(inPosition ? trailStopLevel : na, style=plot.style_linebr, color=color.new(color.blue, 50), linewidth = 2, title = "Historical Trail Stop Levels", trackprice=false)

// == PLOT SUPPORT/RESISTANCE LINES FOR CURRENT CHART TIMEFRAME ==
// Use a function to define the lines
// f_line(x1, y1, y2, _color) =>
//     var line id = na
//     line.delete(id)
//     id := line.new(x1, y1, time, y2, xloc.bar_time, extend.right, _color)

// highLine = f_line(timeSinceHigh, highLevel, highLevel, currentColorR)
// lowLine = f_line(timeSinceLow, lowLevel, lowLevel, currentColorS)


// == ADR TABLE ==
tablePos = tableLocation == "Top" ? position.top_right : position.bottom_right
var table adrTable = table.new(tablePos, 2, 1, border_width = 3)
lightTransp = 90
avgTransp   = 80
heavyTransp = 70
posColor = color.rgb(38, 166, 154)
negColor = color.rgb(240, 83, 80)
volColor = color.new(#999999, 0)

f_fillCellVol(_table, _column, _row, _value) =>
    _transp = abs(_value) > 7 ? heavyTransp : abs(_value) > 4 ? avgTransp : lightTransp
    _cellText = tostring(_value, "0.00") + "%\n" + "ADR"
    table.cell(_table, _column, _row, _cellText, bgcolor = color.new(volColor, _transp), text_color = volColor, width = 6)

srDistance = (highLevel - lowLevel)/highLevel * 100

f_fillCellCalc(_table, _column, _row, _value) =>
    _c_color = _value >= adrCompare ? negColor : posColor
    _transp = _value >= adrCompare*0.8 and _value <= adrCompare*1.2 ? lightTransp : 
      _value >= adrCompare*0.5 and _value < adrCompare*0.8 ? avgTransp :
      _value < adrCompare*0.5 ? heavyTransp :
      _value > adrCompare*1.2 and _value <= adrCompare*1.5 ? avgTransp :
      _value > adrCompare*1.5 ? heavyTransp : na
    _cellText = tostring(_value, "0.00") + "%\n" + "Range"
    table.cell(_table, _column, _row, _cellText, bgcolor = color.new(_c_color, _transp), text_color = _c_color, width = 6)

if barstate.islast
    f_fillCellVol(adrTable, 0, 0, adrValue)
    f_fillCellCalc(adrTable, 1, 0, srDistance)
    // f_fillCellVol(adrTable, 0, 0, inPositionBars)
    // f_fillCellCalc(adrTable, 1, 0, maCrossBars)

// == STRATEGY ENTRY AND EXIT ==
strategy.entry("Buy", strategy.long, stop = buyLevel, when = buyConditions)

stop = stopLevel > trailStopLevel ? stopLevel : close[1] > trailStopLevel and close[1] > trailMa ? trailStopLevel : stopLevel
strategy.exit("Sell", from_entry = "Buy", stop=stop)

Mais.