Estratégia adaptável de stop-profit e stop-loss baseada em prazos duplos e indicadores de momentum
ChaoZhang
Visão geral
A estratégia usa uma combinação de dois quadros de tempo e um indicador de momentum para permitir a adaptação do stop loss. O principal quadro de tempo monitora a direção da tendência, e o auxiliar é usado para sinalizar a confirmação. Quando as duas direções coincidem, gera um sinal de negociação. Após a entrada no mercado, o stop loss e o stop loss são atualizados com o método de stop inbound.
Princípio da estratégia
O quadro de tempo principal usa o indicador de regressão linear Sqqueeze Momentum ((SQM) para determinar a tendência, o quadro de tempo auxiliar usa o indicador de SQM para combinar o EMA para filtrar os falsos sinais.
Quando o gráfico principal SQM sobe e o gráfico auxiliar SQM sobe, faça mais; quando o gráfico principal SQM desce e o gráfico auxiliar SQM desce, faça espaço.
Após a entrada, de acordo com os parâmetros de entrada, definir o ponto de parada inicial e o ponto de parada. Quando o preço atingir o ponto de parada, atualizar o ponto de parada e o ponto de parada.
Vantagens estratégicas
A dupla margem de tempo filtra os falsos sinais para garantir a precisão do sinal.
O indicador SQM determina a direção da tendência, evitando a interferência do ruído do mercado.
Mecanismos adaptativos de suspensão e parada de perdas, maximizando o bloqueio de lucros e controlando eficazmente os riscos.
Análise de Riscos
Os parâmetros do indicador SQM estão mal definidos, podendo perder o ponto de viragem da tendência, resultando em prejuízos.
A escolha incorreta do quadro de tempo auxiliar não permite filtrar o ruído de forma eficaz, gerando transações erradas.
O limite de perda é muito alto e pode ser muito pesado.
Direção de otimização
Os parâmetros dos indicadores do SQM precisam ser ajustados de acordo com os diferentes mercados para garantir sua sensibilidade.
Os quadros de tempo auxiliares também precisam testar diferentes períodos para ver qual é o melhor filtro.
A amplitude de stop loss pode ser definida como um intervalo de flutuação, em vez de um valor fixo, que pode ser ajustado de acordo com a volatilidade do mercado.
Resumir
A estratégia é muito prática em geral, com dois quadros de tempo para avaliar a tendência do indicador de dinâmica e obter ganhos estáveis usando o método de parada e perda adaptável. Otimizando os parâmetros do indicador do SQM, auxiliando o ciclo do gráfico e a configuração da amplitude de parada, a estratégia pode ser mais eficaz e vale a pena ser aplicada e otimizada no mercado real.
/*backtest
start: 2023-11-15 00:00:00
end: 2023-11-22 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("SQZ Multiframe Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)
fast_ema_len = input(11, minval=5, title="Fast EMA")
slow_ema_len = input(34, minval=20, title="Slow EMA")
sqm_lengthKC = input(20, title="SQM KC Length")
kauf_period = input(20, title="Kauf Period")
kauf_mult = input(2,title="Kauf Mult factor")
min_profit_sl = input(5.0, minval=1, maxval=100, title="Min profit to start moving SL [%]")
longest_sl = input(10, minval=1, maxval=100, title="Maximum possible of SL [%]")
sl_step = input(0.5, minval=0.0, maxval=1.0, title="Take profit factor")
// ADMF
CMF_length = input(11, minval=1, title="CMF length") // EMA27 = SMMA/RMA14 ~ lunar month
show_plots = input(true, title="Show plots")
lower_resolution = timeframe.period=='1'?'5':timeframe.period=='5'?'15':timeframe.period=='15'?'30':timeframe.period=='30'?'60':timeframe.period=='60'?'240':timeframe.period=='240'?'D':timeframe.period=='D'?'W':'M'
higher_resolution = timeframe.period=='5'?'1':timeframe.period=='15'?'5':timeframe.period=='30'?'15':timeframe.period=='60'?'30':timeframe.period=='240'?'60':timeframe.period=='D'?'240':timeframe.period=='W'?'D':'W'
// Calculate Squeeze Momentum
sqm_val = linreg(close - avg(avg(highest(high, sqm_lengthKC), lowest(low, sqm_lengthKC)),sma(close,sqm_lengthKC)), sqm_lengthKC,0)
sqm_val_high = security(syminfo.tickerid, higher_resolution, linreg(close - avg(avg(highest(high, sqm_lengthKC), lowest(low, sqm_lengthKC)),sma(close,sqm_lengthKC)), sqm_lengthKC,0), lookahead=barmerge.lookahead_on)
sqm_val_low = security(syminfo.tickerid, lower_resolution, linreg(close - avg(avg(highest(high, sqm_lengthKC), lowest(low, sqm_lengthKC)),sma(close,sqm_lengthKC)), sqm_lengthKC,0), gaps=barmerge.gaps_off, lookahead=barmerge.lookahead_on)
// Emas
high_close = security(syminfo.tickerid, higher_resolution, close, lookahead=barmerge.lookahead_on)
high_fast_ema = security(syminfo.tickerid, higher_resolution, ema(close, fast_ema_len), lookahead=barmerge.lookahead_on)
high_slow_ema = security(syminfo.tickerid, higher_resolution, ema(close, slow_ema_len), lookahead=barmerge.lookahead_on)
//low_fast_ema = security(syminfo.tickerid, lower_resolution, ema(close, fast_ema_len), lookahead=barmerge.lookahead_on)
//low_slow_ema = security(syminfo.tickerid, lower_resolution, ema(close, slow_ema_len), lookahead=barmerge.lookahead_on)
// CMF
ad = close==high and close==low or high==low ? 0 : ((2*close-low-high)/(high-low))*volume
money_flow = sum(ad, CMF_length) / sum(volume, CMF_length)
// Entry conditions
low_condition_long = (sqm_val_low > sqm_val_low[1])
low_condition_short = (sqm_val_low < sqm_val_low[1])
money_flow_min = (money_flow[4] > money_flow[3]) and (money_flow[3] > money_flow[2]) and (money_flow[2] < money_flow[1]) and (money_flow[1] < money_flow)
money_flow_max = (money_flow[4] < money_flow[3]) and (money_flow[3] < money_flow[2]) and (money_flow[2] > money_flow[1]) and (money_flow[1] > money_flow)
condition_long = ((sqm_val > sqm_val[1])) and (money_flow_min or money_flow_min[1] or money_flow_min[2] or money_flow_min[3]) and lowest(sqm_val, 5) < 0
condition_short = ((sqm_val < sqm_val[1])) and (money_flow_max or money_flow_max[1] or money_flow_max[2] or money_flow_max[3]) and highest(sqm_val, 5) > 0
high_condition_long = true//high_close > high_fast_ema and high_close > high_slow_ema //(high_fast_ema > high_slow_ema) //and (sqm_val_low > sqm_val_low[1])
high_condition_short = true//high_close < high_fast_ema and high_close < high_slow_ema//(high_fast_ema < high_slow_ema) //and (sqm_val_low < sqm_val_low[1])
enter_long = low_condition_long and condition_long and high_condition_long
enter_short = low_condition_short and condition_short and high_condition_short
// Stop conditions
var current_target_price = 0.0
var current_sl_price = 0.0 // Price limit to take profit
var current_target_per = 0.0
var current_profit_per = 0.0
set_targets(isLong, min_profit, current_target_per, current_profit_per) =>
target = 0.0
sl = 0.0
if isLong
target := close * (1.0 + current_target_per)
sl := close * (1.0 - (longest_sl/100.0)) // Longest SL
else
target := close * (1.0 - current_target_per)
sl := close * (1.0 + (longest_sl/100.0)) // Longest SL
[target, sl]
target_reached(isLong, min_profit, current_target_per, current_profit_per) =>
target = 0.0
sl = 0.0
profit_per = 0.0
target_per = 0.0
if current_profit_per == 0
profit_per := (min_profit*sl_step) / 100.0
else
profit_per := current_profit_per + ((min_profit*sl_step) / 100.0)
target_per := current_target_per + (min_profit / 100.0)
if isLong
target := strategy.position_avg_price * (1.0 + target_per)
sl := strategy.position_avg_price * (1.0 + profit_per)
else
target := strategy.position_avg_price * (1.0 - target_per)
sl := strategy.position_avg_price * (1.0 - profit_per)
[target, sl, profit_per, target_per]
hl_diff = sma(high - low, kauf_period)
stop_condition_long = 0.0
new_stop_condition_long = low - (hl_diff * kauf_mult)
if (strategy.position_size > 0)
if (close > current_target_price)
[target, sl, profit_per, target_per] = target_reached(true, min_profit_sl, current_target_per, current_profit_per)
current_target_price := target
current_sl_price := sl
current_profit_per := profit_per
current_target_per := target_per
stop_condition_long := max(stop_condition_long[1], current_sl_price)
else
stop_condition_long := new_stop_condition_long
stop_condition_short = 99999999.9
new_stop_condition_short = high + (hl_diff * kauf_mult)
if (strategy.position_size < 0)
if (close < current_target_price)
[target, sl, profit_per, target_per] = target_reached(false, min_profit_sl, current_target_per, current_profit_per)
current_target_price := target
current_sl_price := sl
current_profit_per := profit_per
current_target_per := target_per
stop_condition_short := min(stop_condition_short[1], current_sl_price)
else
stop_condition_short := new_stop_condition_short
// Submit entry orders
if (enter_long and (strategy.position_size <= 0))
if (strategy.position_size < 0)
strategy.close(id="SHORT")
current_target_per := (min_profit_sl / 100.0)
current_profit_per := 0.0
[target, sl] = set_targets(true, min_profit_sl, current_target_per, current_profit_per)
current_target_price := target
current_sl_price := sl
strategy.entry(id="LONG", long=true)
// if show_plots
// label.new(bar_index, high, text=tostring("LONG\nSL: ") + tostring(stop_condition_long), style=label.style_labeldown, color=color.green)
if (enter_short and (strategy.position_size >= 0))
if (strategy.position_size > 0)
strategy.close(id="LONG")
current_target_per := (min_profit_sl / 100.0)
current_profit_per := 0.0
[target, sl] = set_targets(false, min_profit_sl, current_target_per, current_profit_per)
current_target_price := target
current_sl_price := sl
strategy.entry(id="SHORT", long=false)
// if show_plots
// label.new(bar_index, high, text=tostring("SHORT\nSL: ") + tostring(stop_condition_short), style=label.style_labeldown, color=color.red)
if (strategy.position_size > 0)
strategy.exit(id="EXIT LONG", stop=stop_condition_long)
if (strategy.position_size < 0)
strategy.exit(id="EXIT SHORT", stop=stop_condition_short)
// Plot anchor trend
plotshape(low_condition_long, style=shape.triangleup,
location=location.abovebar, color=color.green)
plotshape(low_condition_short, style=shape.triangledown,
location=location.abovebar, color=color.red)
plotshape(condition_long, style=shape.triangleup,
location=location.belowbar, color=color.green)
plotshape(condition_short, style=shape.triangledown,
location=location.belowbar, color=color.red)
//plotshape((close < profit_target_short) ? profit_target_short : na, style=shape.triangledown,
// location=location.belowbar, color=color.yellow)
plotshape(enter_long, style=shape.triangleup,
location=location.bottom, color=color.green)
plotshape(enter_short, style=shape.triangledown,
location=location.bottom, color=color.red)
// Plot emas
plot(ema(close, 20), color=color.blue, title="20 EMA")
plot(ema(close, 50), color=color.orange, title="50 EMA")
plot(sma(close, 200), color=color.red, title="MA 200")
// Plot stop loss values for confirmation
plot(series=(strategy.position_size > 0) and show_plots ? stop_condition_long : na,
color=color.green, style=plot.style_linebr,
title="Long Stop")
plot(series=(strategy.position_size < 0) and show_plots ? stop_condition_short : na,
color=color.green, style=plot.style_linebr,
title="Short Stop")
plot(series=(strategy.position_size < 0) and show_plots ? current_target_price : na,
color=color.yellow, style=plot.style_linebr,
title="Short TP")
plot(series=(strategy.position_size > 0) and show_plots ? current_target_price : na,
color=color.yellow, style=plot.style_linebr,
title="Long TP")
//plot(series=(strategy.position_size < 0) ? profit_sl_short : na,
// color=color.gray, style=plot.style_linebr,
// title="Short Stop")