Estratégia de negociação de supertrend stochastic stop loss

Autora:ChaoZhang, Data: 2024-01-25 16:04:39
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Resumo

Estratégia lógica

Condições de entrada de sinal curto: Linha estocástica K sobe do território de sobrevenda (acima de 20), pontos Supertrend para baixo, preço abaixo da MA de 200 dias.

Vantagens

Riscos

Além disso, embora a ordem de stop loss ATR possa ajustar o nível de stop com base na volatilidade, não pode evitar completamente a probabilidade de que a perda de stop seja penetrada.

Optimização

Esta estratégia pode ser otimizada nos seguintes aspectos:

Aumentar os filtros e somente receber sinais de alta convicção, por exemplo, adicionar indicadores como volume de negociação, para evitar entrada errada quando o volume for insuficiente.

Conclusão

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-24 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/
// © araamas

//@version=5
strategy("stoch supertrd atr 200ma", overlay=true, process_orders_on_close=true)
var B = 0
if strategy.position_size > 0 //to figure out how many bars away did buy order happen
    B += 1 

if strategy.position_size == 0
    B := 0
    
atrPeriod = input(10, "ATR Length")
factor = input.float(3.0, "Factor", step = 0.01)

[supertrend, direction] = ta.supertrend(factor, atrPeriod)

bodyMiddle = plot((open + close) / 2, display=display.none)
upTrend = plot(direction < 0 ? supertrend : na, "Up Trend", color = color.green, style=plot.style_linebr)
downTrend = plot(direction < 0? na : supertrend, "Down Trend", color = color.red, style=plot.style_linebr)

ema = ta.ema(close, 200)
plot(ema, title="200 ema", color=color.yellow)

b = input.int(defval=14, title="length k%")
d = input.int(defval=3, title="smoothing k%")
s = input.int(defval=3, title="smoothing d%")
smooth_k = ta.sma(ta.stoch(close, high, low, b), d)
smooth_d = ta.sma(smooth_k, s)

////////////////////////////////////////////////////////////////////////////////
length = input.int(title="Length", defval=12, minval=1)
smoothing = input.string(title="Smoothing", defval="SMA", options=["RMA", "SMA", "EMA", "WMA"])
m = input(1.5, "Multiplier")
src1 = input(high)
src2 = input(low)
pline = input(true, "Show Price Lines")
col1 = input(color.blue, "ATR Text Color")
col2 = input(color.teal, "Low Text Color",inline ="1")
col3 = input(color.red, "High Text Color",inline ="2")

collong = input(color.teal, "Low Line Color",inline ="1")
colshort = input(color.red, "High Line Color",inline ="2")

ma_function(source, length) =>
	if smoothing == "RMA"
		ta.rma(source, length)
	else
		if smoothing == "SMA"
			ta.sma(source, length)
		else
			if smoothing == "EMA"
				ta.ema(source, length)
			else
				ta.wma(source, length)
				
a = ma_function(ta.tr(true), length) * m
x = ma_function(ta.tr(true), length) * m + src1
x2 = src2 - ma_function(ta.tr(true), length) * m

p1 = plot(x, title = "ATR Short Stop Loss", color=color.blue)
p2 = plot(x2, title = "ATR Long Stop Loss", color= color.blue)


///////////////////////////////////////////////////////////////////////////////////////////////

shortCondition = high < ema and direction == 1 and smooth_k > 80
if (shortCondition) and strategy.position_size == 0
    strategy.entry("sell", strategy.short)

longCondition = low > ema and direction == -1 and smooth_k < 20
if (longCondition) and strategy.position_size == 0
    strategy.entry("buy", strategy.long)
    
g = (strategy.opentrades.entry_price(0)-x2) * 2
k = (x - strategy.opentrades.entry_price(0)) * 2

if strategy.position_size > 0
    strategy.exit(id="buy exit", from_entry="buy",limit=strategy.opentrades.entry_price(0) + g, stop=x2) 

if strategy.position_size < 0
    strategy.exit(id="sell exit", from_entry="sell",limit=strategy.opentrades.entry_price(0) - k, stop=x) 
    
//plot(strategy.opentrades.entry_price(0) - k, color=color.yellow)
//plot(strategy.opentrades.entry_price(0) + g, color=color.red)

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