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Estratégia de otimização de trail stop dinâmico baseada na nuvem Ichimoku

Autora:ChaoZhang, Data: 2023-12-29 14:40:47
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Resumo

A ideia central desta estratégia é combinar a estratégia de Ichimoku Cloud e o mecanismo de parada de tração dinâmica para alcançar saídas de stop loss mais eficientes. A estratégia de Ichimoku Cloud julga as tendências e o tempo do mercado através de indicadores de linha K. Enquanto o mecanismo de parada de perda dinâmica pode definir pontos de parada de perda com base na amplitude de volatilidade do mercado para controlar efetivamente os riscos.

Princípios

Os principais módulos desta estratégia incluem:

  1. Módulo de Indicador de Nuvem Ichimoku

    Calcule o indicador Ichimoku Cloud através de Fisher Transform e Stoch para determinar tendências de mercado e sinais de negociação.

  2. Módulo dinâmico de perda de parada

    Calcular dinâmicamente os pontos de stop loss com base no ATR e no RSI para alcançar uma stop loss de trailing dinâmica.

  3. Módulo de rastreamento do trail stop

    Estabelecer pontos de stop loss fixos e sair das posições quando o preço atingir pontos de stop loss.

Análise das vantagens

A maior vantagem desta estratégia é a excelente capacidade de controle de risco. O mecanismo de stop loss dinâmico pode definir a faixa de stop loss apropriada com base na volatilidade do mercado para evitar efetivamente as perdas causadas por deslizamento excessivo e melhor rastrear tendências do que o stop loss fixo. Além disso, o indicador Ichimoku Cloud pode filtrar algumas negociações barulhentas e determinar pontos de entrada e saída de forma confiável.

Análise de riscos

Os principais riscos desta estratégia são a configuração inadequada do ponto de stop loss pode causar saídas excessivamente agressivas. Além disso, o uso de parâmetros agressivos pode causar trocas excessivamente frequentes. Para mitigar esses riscos, os parâmetros devem ser definidos de forma razoável para evitar magnitude de movimento excessiva.

Orientações de otimização

O espaço de otimização desta estratégia centra-se principalmente em:

  1. Optimização de parâmetros da Nuvem Ichimoku para encontrar melhores combinações de parâmetros para determinar tendências.

  2. Optimização dinâmica do parâmetro de stop loss para encontrar um intervalo de stop loss mais equilibrado.

  3. Adicionar o módulo de dimensionamento de posições baseado na volatilidade para ajustar as posições com base na volatilidade do mercado.

Através da pesquisa de parâmetros e da otimização de regras, podem ser obtidos retornos ajustados ao risco mais elevados a partir desta estratégia.

Conclusão

Esta estratégia combina Ichimoku Cloud e técnicas de parada de trailers dinâmicos, que podem determinar com precisão as tendências do mercado para decisões de tempo, e também ajusta dinamicamente a faixa de perda de parada para controlar efetivamente os riscos.

/*backtest
start: 2022-12-22 00:00:00
end: 2023-12-28 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("IFTS+TS Strategy Overlay ", overlay=true, pyramiding = 0, calc_on_order_fills = false, commission_type =  strategy.commission.percent, commission_value = 0.0454, default_qty_type = strategy.percent_of_equity, default_qty_value = 100)

//INPUTS
stochlength=input(19, "Stoch & ATR Length")
wmalength=input(4, title="Smooth")
ul = input(82.05,step=0.01, title="UP line")
dl = input(19,step=0.01, title="DOWN line")
uts = input(true, title="Use trailing stop")
rts = input(false, title="Re-enter after trailing stop")
tsi = input(title="trailing stop actiation pips",defval=245)                                                                       
tso = input(title="trailing stop offset pips",defval=20)
udts = input(true, title="Use dynamic trailing stop start")
mpl2 = input(68.3,step=0.05, title="Multiplier for Dynamic TS start X*ATR")
udto = input(true, title="Use dynamic trailing stop offset")
mpl = input(1,step=0.01, title="Multiplier for Dynamic TS offset X*ATR")
occ = input(1, title="Occurancy for dynamic TS")
useCurrentRes = input(true, title="Use Current Chart Resolution?")  
resCustom = input(title="Timeframe",defval="30")
hma = input(title="Plot Hull MA", defval=true)
pl = input(title="Plot all", defval=true)

//CALCULATIONS
v1=0.1*(stoch(close, high, low, stochlength)-50)
v2=wma(v1, wmalength)
k1=(exp(2*v2)-1)/(exp(2*v2)+1)*50+50
res = useCurrentRes ? timeframe.period : resCustom
k=security(syminfo.tickerid, res, k1, barmerge.lookahead_off)

//CALCULATIONS HULL MA
n=stochlength/2
n2ma=2*wma(close,round(n/2))
nma=wma(close,n)
diff=n2ma-nma
sqn=round(sqrt(n))
n2ma1=2*wma(close[1],round(n/2))
nma1=wma(close[1],n)
diff1=n2ma1-nma1
sqn1=round(sqrt(n))
n1=wma(diff,sqn)    
n2=wma(diff1,sqn)
n3=n1-(n1*-1)
n4=n1+(n1)

//CALCULATIONS FOR BUY/SELL LEVELS
//stc=(stoch(close, high, low, stochlength))

//v3=0.1*(stoch(low, low, low, stochlength)-50)
//v4=wma(v3, wmalength)
//k3=(exp(2*v4)-1)/(exp(2*v4)+1)*50+50
//k2=security(syminfo.tickerid, res, k3, barmerge.lookahead_off)
//stl=(stoch(low, low, low, stochlength))

//v5=0.1*(stoch(high, high, high, stochlength)-50)
//v6=wma(v5, wmalength)
//k5=(exp(2*v6)-1)/(exp(2*v6)+1)*50+50
//k4=security(syminfo.tickerid, res, k5, barmerge.lookahead_off)
//sth=(stoch(high, high, high, stochlength))

//difc=k-stc
//difl=k2-stl+difc
//difh=k4-sth+difc

hg1=wma(highest(stochlength),wmalength)//-highest(stochlength)*(difh/10000)
hg=security(syminfo.tickerid, res, hg1, barmerge.lookahead_off)
hgob=hg-hg*((100-ul)/10000)
lw1=wma(lowest(stochlength),wmalength)//-lowest(stochlength)*(difl/10000)
lw=security(syminfo.tickerid, res, lw1, barmerge.lookahead_off)
lwos=lw+lw*(dl/10000)

////CONDITIONS CROSS
sell = crossunder(k,ul)? 1 : 0
buy = crossover(k,dl)? 1 : 0

////COUNT BARCOLORS
var countred = 0
if sell == 1
    countred := 1
if buy == 1
    countred := 0

var countgreen = 0
if buy == 1
    countgreen := 1
if sell == 1
    countgreen := 0

////CONDITIONS COUNT BARCOLORS
long=countgreen[1]==0 and countgreen==1 ? 1 : 0
short=countred[1]==0 and countred==1 ? 1 : 0
    
////COLORS
//STOCH
col = k>=k[1] ? color.aqua : color.red
col1 = countred[2]==1 ? na : #00FF00
col2 = countgreen[2]==1 ? na : #FF0000
col3 = countred[2]==1 ? na : color.yellow
col4 = countgreen[2]==1 ? na : color.yellow
//HMA
dif = n1[1]-n3
dif1 = dif>dif[1] and dif[1]>dif[2] ? na: #00FF00 //uptrend - green
dif3 = n4-n1[1]
dif2 = dif3>dif3[1] and dif3[1]>dif3[2] ? na: #FF0000  //downtrend - red
dif4 = (dif>dif[1] and dif[1]>dif[2]) == (dif3>dif3[1] and dif3[1]>dif3[2]) ? #FFFF00: na //trend change - yellow

////PLOTS CALCULATIONS DYNAMIC TS
dtso1 = sma(atr(stochlength),2)*100
dtso=security(syminfo.tickerid, "1", dtso1,barmerge.lookahead_on)*mpl
dtsi = rsi(atr(stochlength),stochlength)/mpl2*tsi
dtsiv = valuewhen(long or short, dtsi, occ)
dtsov = valuewhen(long or short, dtso, occ)
//DYNAMIC TS START
dtsil1 = countred[2]==1 and pl and uts and udts? open+(dtsiv/100) : na
dtsis1 = countgreen[2]==1 and pl and uts and udts? open-(dtsiv/100) : na
dtsil = countred[2]==1 and pl and uts and udts? open+(dtsiv/100) : fixnan(dtsil1[1])
dtsis = countgreen[2]==1 and pl and uts and udts? open-(dtsiv/100) : fixnan(dtsis1[1])
//DYNAMIC TS OFFSET+START
dtsol1 = countred[2]==1 and pl and uts and udto? dtsil-(dtsov/100) : na
dtsos1 = countgreen[2]==1 and pl and uts and udto? dtsis+(dtsov/100) : na
dtsol = countred[2]==1 and pl and uts and udto? dtsil-(dtsov/100) : fixnan(dtsol1[1])
dtsos = countgreen[2]==1 and pl and uts and udto? dtsis+(dtsov/100) : fixnan(dtsos1[1])
//CONST TS START
tsil1 = countred[2]==1 and pl and uts and not udts? open+(tsi/100) : na
tsis1 = countgreen[2]==1 and pl and uts and not udts? open-(tsi/100) : na
tsil = countred[2]==1 and pl and uts and not udts? open+(tsi/100) : fixnan(tsil1[1])
tsis = countgreen[2]==1 and pl and uts and not udts? open-(tsi/100) : fixnan(tsis1[1])
//CONST TS START + DYNAMIC TS OFFSET
tsol21 = countred[2]==1 and pl and uts and not udts and udto? open+(tsi/100)-(dtsov/100) : na
tsos21 = countgreen[2]==1 and pl and uts and not udts and udto? open-(tsi/100)+(dtsov/100) : na
tsol2 = countred[2]==1 and pl and uts and not udts and udto? open+(tsi/100)-(dtsov/100) : fixnan(tsol21[1])
tsos2 = countgreen[2]==1 and pl and uts and not udts and udto? open-(tsi/100)+(dtsov/100) : fixnan(tsos21[1])
//CONST TS OFFSET
tsol1 = countred[2]==1 and pl and uts and not udto? tsil-(tso/100) : na
tsos1 = countgreen[2]==1 and pl and uts and not udto? tsis+(tso/100) : na
tsol = countred[2]==1 and pl and uts and not udto? tsil-(tso/100) : fixnan(tsol1[1])
tsos = countgreen[2]==1 and pl and uts and not udto? tsis+(tso/100) : fixnan(tsos1[1])

//////PLOTS
////LABELS
//TS LABELS
// ltsos = (short==1) and udto and pl? label.new(bar_index, high[1]+close*0.006,  text="os "+tostring(round(dtsov)), color=color.white, size=size.small) : na
// ltsol = (long==1) and udto and pl? label.new(bar_index, low[1]-close*0.006,  text="os "+tostring(round(dtsov)), color=color.white, size=size.small, style=label.style_labelup) : na
// ltsis = (short==1) and udts and pl? label.new(bar_index, high[1]+close*0.008, text="st "+tostring(round(dtsiv)), color=color.white, size=size.small) : na
// ltsil = (long==1) and udts and pl? label.new(bar_index, low[1]-close*0.008,  text="st "+tostring(round(dtsiv)), color=color.white, size=size.small, style=label.style_labelup) : na
//STOCH LABEL
//lk = k>ul and pl? label.new(bar_index, high, text=tostring(round(k)), color=col, size=size.small) :na
//lk2 = k<dl and pl? label.new(bar_index, high, text=tostring(round(k)), color=col, size=size.small) :na
//lk3 = k>dl and k<ul and pl? label.new(bar_index, high, text=tostring(round(k)), color=color.white, size=size.small) :na
//label.delete(lk[1])
//label.delete(lk2[1])
//label.delete(lk3[1])

//ltson = udto==true and pl? label.new(bar_index, 75, text="os "+tostring(round(dtso)), color=color.yellow, size=size.small) :na
//label.delete(ltson[1])
//ltsin = udts==true and pl? label.new(bar_index, 0, text="st "+tostring(round(dtsi)), color=color.yellow, size=size.small) :na
//label.delete(ltsin[1])

//DYNAMIC TS LINES
plot(dtsil, color=col1, transp = 0, title = "dynamic ts stop long level")
plot(dtsis, color=col2, transp = 0, title = "dynamic ts stop short level")
plot(dtsol, color=col3, transp = 30, title = "dynamic ts offset long level")
plot(dtsos, color=col4, transp = 30, title = "dynamic ts offset short level")
plot(tsol2, color=col3, transp = 30, title = "const start + dynamic ts offset long level")
plot(tsos2, color=col4, transp = 30, title = "const start + dynamic ts offset short level")
//TS LINES
plot(tsil, color=col1, transp = 0, title = "const ts stop long level")
plot(tsis, color=col2, transp = 0, title = "const ts stop short level")
plot(tsol, color=col3, transp = 30, title = "const ts stop offset long level")
plot(tsos, color=col4, transp = 30, title = "const ts stop offset short level")
//ARROWS
plotarrow(pl==true? long : na, colorup = color.teal, transp=0, title = "buy arrow")
plotarrow(pl==true? -short : na, colordown = color.red, transp=0, title = "sell arrow")
//HIGH/LOW
p1 = plot(pl==true?hg : na, color=color.green, transp=100, editable=false)
p2 = plot(pl==true?lw : na, color=color.red, transp=100, editable=false)
p3 = plot(pl==true?lwos : na, color=color.green, linewidth=1, transp=100, editable=false)
p4 = plot(pl==true?hgob : na, color=color.red, linewidth=1, transp=100, editable=false)
fill(p1,p4, color=color.green, transp=75, title = "highest price levels")
fill(p2,p3, color=color.red, transp=75, title = "lowest price levels")
//HMA
mab=plot(hma and pl ? n1 : na,color=#000000, linewidth=5, transp=0, title = "Background HMA line") //black
ma=plot(hma and pl ? n1 : na,color=dif1, linewidth=3, transp=10, title = "HMA uptrend line") //green
ma2=plot(hma and pl ? n1 : na,color=dif2, linewidth=3, transp=20, title = "HMA downtrend line")//red
ma3=plot(hma and pl ? n1 : na,color=dif4, linewidth=3, transp=10, title = "HMA reverse trend line") //yellow
//LINES
// ldl = long[1]==1 and uts and udts? line.new(bar_index, high, bar_index, dtsil, color=#00FF00, width = 1) : na
// lds = short[1]==1 and uts and udts? line.new(bar_index, high, bar_index, dtsis, color=#FF0000, width = 1) : na
// ll = long[1]==1 and uts and not udts? line.new(bar_index, high, bar_index, tsil, color=#00FF00, width = 1) : na
// ls = short[1]==1 and uts and not udts? line.new(bar_index, high, bar_index, tsis, color=#FF0000, width = 1) : na

////STRATEGY
strategy.entry("BUY", strategy.long, when = buy)
strategy.entry("SELL", strategy.short, when = sell)

if (rts)
    strategy.entry("BUY", strategy.long, when = countgreen==1 and dif1==#00FF00)
    strategy.entry("SELL", strategy.short, when = countred==1 and dif2==#FF0000)

if  (uts)
    strategy.exit("Close BUY with TS","BUY", trail_points = tsi, trail_offset = tso)
    strategy.exit("Close SELL with TS","SELL", trail_points = tsi, trail_offset = tso)

    if  (udto)
        strategy.exit("Close BUY with TS","BUY", trail_points = tsi, trail_offset = dtsov)
        strategy.exit("Close SELL with TS","SELL", trail_points = tsi, trail_offset = dtsov)
        
    if  (udts)
        strategy.exit("Close BUY with TS","BUY", trail_points = dtsiv, trail_offset = tso)
        strategy.exit("Close SELL with TS","SELL", trail_points = dtsiv, trail_offset = tso)
        
    if  (udto and udts)
        strategy.exit("Close BUY with TS","BUY", trail_points = dtsiv, trail_offset = dtsov)
        strategy.exit("Close SELL with TS","SELL", trail_points = dtsiv, trail_offset = dtsov)
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