Estratégia de equilíbrio da psicologia do trading

Autora:ChaoZhang, Data: 2024-02-21 14:33:04
Tags:

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Resumo

O objetivo desta estratégia é equilibrar a psicologia e o desempenho dos traders através do ajuste de vários parâmetros, a fim de obter retornos mais constantes. Ele usa indicadores como médias móveis, Bandas de Bollinger e Canais de Keltner para determinar tendências e volatilidade do mercado, juntamente com o indicador PSAR para identificar sinais de reversão. O indicador TTM Squeeze é alavancado para medir o impulso. Os sinais de negociação são gerados através da combinação desses indicadores.

Estratégia lógica

A lógica central desta estratégia é a seguinte:

  1. Os preços acima da EMA indicam tendências ascendentes, enquanto os preços abaixo da EMA indicam tendências descendentes.

  2. Identificar reversões: o indicador PSAR identifica pontos de reversão dos preços.

  3. O indicador TTM Squeeze mede a volatilidade e o impulso do mercado. Ele compara as Bandas de Bollinger e os Canais de Keltner para quantificar compressões e aumentos de volatilidade.

  4. Gerar sinais de negociação: os sinais longos são acionados quando os preços cruzam acima da linha EMA e dos pontos PSAR, acompanhados por uma libertação do TTM Squeeze. Os sinais curtos ocorrem quando os preços cruzam abaixo da EMA e do PSAR, juntamente com um acionamento do TTM Squeeze.

  5. Método de stop loss: as bases de alto-baixo stop loss para os níveis de stop em preços altos/baixos recentes multiplicados por um fator definido.

  6. Método de captação de lucro: o método de captação de lucro risco-recompensa calcula automaticamente as metas de lucro com base na distância de stop loss dos preços correntes multiplicada por um rácio risco-recompensa pré-estabelecido.

Os vários parâmetros permitem que os traders equilibrem a psicologia controlando a frequência de negociação, o tamanho da posição, os níveis de stop loss e os pontos de lucro.

Análise das vantagens

As principais vertentes desta estratégia incluem:

  1. Maior precisão do sinal devido ao consenso de vários indicadores

  2. Principalmente focada na reversão, reduz a probabilidade de falhas de fuga

  3. TTM Métodos de consolidação para evitar operações ineficazes

  4. Simples e ajustáveis perdas de paragem de alto-baixo

  5. Risco-recompensa tomar lucro quantifica relação de lucro para fácil ajuste

  6. Parâmetros flexíveis para corresponder às preferências pessoais de risco

Análise de riscos

Os riscos da estratégia consistem em:

  1. Aumentar a probabilidade de falharem sinais de entrada de vários indicadores

  2. Baixo desempenho em mercados em tendência persistente

  3. O montante das posições em risco ponderadas em conformidade com o artigo 246.o, n.o 1, alínea a), do CRR

  4. Invalidação potencial das saídas de risco-recompensa por flutuações de preços

  5. Ajuste inadequado dos parâmetros pode levar a perdas ou exceder o limite

Orientações de otimização

As áreas de melhoria incluem:

  1. Adicionar ou ajustar pesos de indicador para maior precisão do sinal

  2. Otimizar os parâmetros de inversão e tendência para melhor captura de lucros

  3. Refinar níveis de perda de parada de alta-baixa para maximizar a eficácia

  4. Teste diferentes rácios risco-recompensa para obter resultados ideais

  5. Ajustar o dimensionamento das posições para minimizar os impactos das perdas de uma única operação

Resumo

Em resumo, através de combinações de indicadores e configurações ajustáveis, esta estratégia é capaz de equilibrar a psicologia de negociação e garantir resultados positivos constantes.


/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/


//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © simwai
strategy('Octopus Nest Strategy 🐙', shorttitle='🐙', overlay=true )

// -- Colors --
color maximumYellowRed = color.rgb(255, 203, 98) // yellow
color rajah = color.rgb(242, 166, 84) // orange
color magicMint = color.rgb(171, 237, 198)
color languidLavender = color.rgb(232, 215, 255)
color maximumBluePurple = color.rgb(181, 161, 226)
color skyBlue = color.rgb(144, 226, 244)
color lightGray = color.rgb(214, 214, 214)
color quickSilver = color.rgb(163, 163, 163)
color mediumAquamarine = color.rgb(104, 223, 153)
color carrotOrange = color.rgb(239, 146, 46)

// -- Inputs --
float src = input.source(close, 'Choose Source', group='General', inline='1')
bool isSignalLabelEnabled = input.bool(title='Show Signal Labels?', defval=true, group='General', inline='2')
bool isPsarAdaptive = input.bool(title='Is PSAR Adaptive?', defval=false, group='General', inline='2')

float highLowStopLossMultiplier = input.float(defval=0.98,  step=0.01, minval=0, maxval=1, title='Multiplier', group='High Low Stop Loss', inline='1')
float highLowStopLossBackupMultiplier = input.float(defval=0.98, step=0.01, minval=0, maxval=1, title='Backup Multiplier', group='High Low Stop Loss', inline='1')
int highLowStopLossLookback = input.int(defval=20, step=5, minval=1, title='Lookback', group='High Low Stop Loss', inline='2')
float automaticHighLowTakeProfitRatio = input.float(defval=1.125, step=0.1, minval=0, title='Risk Reward Ratio', group='Automatic High Low Take Profit', inline='2')

int emaLength = input.int(100, minval=2, title='Length', group='EMA', inline='1')
int ttmLength = input.int(title='Length', defval=20, minval=0, group='TTM Squeeze', inline='1')

float psarStart = input.float(0.02, 'Start', step=0.01, minval=0.0, group='PSAR', inline='1')
float psarInc = input.float(0.02, 'Increment', step=0.01, minval=0.01, group='PSAR', inline='1')
float psarMax = input.float(0.2, 'Max', step=0.05, minval=0.0, group='PSAR', inline='2')

startAFactor = input.float(0.02, 'Starting Acceleration Factor', step = 0.001, group='Adaptive PSAR', inline='1')
minStep = input.float(0.0, 'Min Step', step = 0.001, group='Adaptive PSAR', inline='1')
maxStep = input.float(0.02, 'Max Step', step = 0.001, group='Adaptive PSAR', inline='2')
maxAFactor = input.float(0.2, 'Max Acceleration Factor', step = 0.001, group='Adaptive PSAR', inline='2')  

hiloMode = input.string('On', 'HiLo Mode', options = ['Off', 'On'], group='Adaptive PSAR')
adaptMode = input.string('Kaufman', 'Adaptive Mode', options = ['Off', 'Kaufman', 'Ehlers'], group='Adaptive PSAR')
adaptSmth = input.int(5, 'Adaptive Smoothing Period', minval = 1, group='Adaptive PSAR')
filt = input.float(0.0, 'Filter in Pips', group='Adaptive PSAR', minval = 0)
minChng = input.float(0.0, 'Min Change in Pips', group='Adaptive PSAR', minval = 0)
SignalMode = input.string('Only Stops', 'Signal Mode', options = ['Only Stops', 'Signals & Stops'], group='Adaptive PSAR')

// -- Functions --
tr(_high, _low, _close) => math.max(_high - _low, math.abs(_high - _close[1]), math.abs(_low - _close[1]))

// -- Calculation --
var string lastTrade = 'initial'

float _low = low
float _high = high
float _close = close

// -- TTM Squeeze – Credits to @Greeny --
bband(ttmLength, mult) =>
    ta.sma(src, ttmLength) + mult * ta.stdev(src, ttmLength)
keltner(ttmLength, mult) =>
    ta.ema(src, ttmLength) + mult * ta.ema(tr(_high, _low, _close), ttmLength)

e1 = (ta.highest(_high, ttmLength) + ta.lowest(_low, ttmLength)) / 2 + ta.sma(src, ttmLength)
osc = ta.linreg(src - e1 / 2, ttmLength, 0)
diff = bband(ttmLength, 2) - keltner(ttmLength, 1)
osc_color = osc[1] < osc[0] ? osc[0] >= 0 ? #00ffff : #cc00cc : osc[0] >= 0 ? #009b9b : #ff9bff
mid_color = diff >= 0 ? color.green : color.red

// -- PSAR --
// Credits to @Bjorgum
calcBaseUnit() =>
    bool  isForexSymbol = syminfo.type     == 'forex'
    bool  isYenPair     = syminfo.currency == 'JPY'
    float result = isForexSymbol ? isYenPair ? 0.01 : 0.0001 : syminfo.mintick

// Credits to @loxx
_afact(mode,input, per, smooth) =>
    eff = 0., seff = 0.
    len = 0, sum = 0., max = 0., min = 1000000000.
    len := mode == 'Kaufman' ? math.ceil(per) : math.ceil(math.max(20, 5 * per))
    for i = 0 to len 
        if (mode == 'Kaufman') 
            sum += math.abs(input[i] - input[i + 1])
        else
            max := input[i] > max ? input[i] : max
            min := input[i] < min ? input[i] : min
    if (mode == 'Kaufman' and sum != 0) 
        eff := math.abs(input - input[len]) / sum
    else
        if (mode == 'Ehlers' and (max - min) > 0) 
            eff := (input - min) / (max - min)
    seff := ta.ema(eff, smooth)
    seff

hVal2 = nz(high[2]), hVal1 = nz(high[1]), hVal0 = high
lowVal2 = nz(low[2]), lowVal1 = nz(low[1]), lowVal0 = low
hiprice2 = nz(high[2]), hiprice1 = nz(high[1]), hiprice0 = high
loprice2 = nz(low[2]), loprice1 = nz(low[1]), loprice0 = low

upSig = 0., dnSig = 0.
aFactor = 0., step = 0., trend = 0.
upTrndSAR = 0., dnTrndSAR = 0.
length = (2 / maxAFactor - 1)

if (hiloMode == 'On') 
    hiprice0 := high
    loprice0 := low
else
    hiprice0 := src
    loprice0 := hiprice0

if bar_index == 1
    trend := 1
    hVal1 := hiprice1
    hVal0 := math.max(hiprice0, hVal1)
    lowVal1 := loprice1
    lowVal0 := math.min(loprice0, lowVal1)
    aFactor := startAFactor
    upTrndSAR := lowVal0
    dnTrndSAR := 0.
else
    hVal0 := hVal1
    lowVal0 := lowVal1
    trend := nz(trend[1])
    aFactor := nz(aFactor[1])
    inputs = 0.
    inprice = src
    if (adaptMode != 'Off')
        if (hiloMode == 'On') 
            inprice := src
        else 
            inprice := hiprice0
        if (adaptMode == 'Kaufman') 
            inputs := inprice
        else
            if (adaptMode == 'Ehlers') 
                if (nz(upTrndSAR[1]) != 0.)
                    inputs := math.abs(inprice - nz(upTrndSAR[1]))
                else
                    if (nz(dnTrndSAR[1]) != 0.) 
                        inputs := math.abs(inprice - nz(dnTrndSAR[1]))
        step := minStep + _afact(adaptMode, inputs, length, adaptSmth) * (maxStep - minStep)
    else 
        step := maxStep
        
    upTrndSAR := 0., dnTrndSAR := 0., upSig := 0., dnSig := 0.
    
    if (nz(trend[1]) > 0) 
        if (nz(trend[1]) == nz(trend[2]))
            aFactor := hVal1 > hVal2 ? nz(aFactor[1]) + step : aFactor
            aFactor := aFactor > maxAFactor ? maxAFactor : aFactor
            aFactor := hVal1 < hVal2 ? startAFactor : aFactor
        else 
            aFactor := nz(aFactor[1])
            
        upTrndSAR := nz(upTrndSAR[1]) + aFactor * (hVal1 - nz(upTrndSAR[1]))
        upTrndSAR := upTrndSAR > loprice1 ? loprice1 : upTrndSAR
        upTrndSAR := upTrndSAR > loprice2 ? loprice2 : upTrndSAR
    else
        if (nz(trend[1]) == nz(trend[2])) 
            aFactor := lowVal1 < lowVal2 ? nz(aFactor[1]) + step : aFactor
            aFactor := aFactor > maxAFactor ? maxAFactor : aFactor
            aFactor := lowVal1 > lowVal2 ? startAFactor : aFactor
        else
            aFactor := nz(aFactor[1])
            
        dnTrndSAR := nz(dnTrndSAR[1]) + aFactor * (lowVal1 - nz(dnTrndSAR[1]))
        dnTrndSAR := dnTrndSAR < hiprice1 ? hiprice1 : dnTrndSAR
        dnTrndSAR := dnTrndSAR < hiprice2 ? hiprice2 : dnTrndSAR
    
    hVal0 := hiprice0 > hVal0 ? hiprice0 : hVal0
    lowVal0 := loprice0 < lowVal0 ? loprice0 : lowVal0
        
    if (minChng > 0) 
        if (upTrndSAR - nz(upTrndSAR[1]) < minChng * calcBaseUnit() and upTrndSAR != 0. and nz(upTrndSAR[1]) != 0.)
            upTrndSAR := nz(upTrndSAR[1])
        if (nz(dnTrndSAR[1]) - dnTrndSAR < minChng * calcBaseUnit() and dnTrndSAR != 0. and nz(dnTrndSAR[1]) != 0.)
            dnTrndSAR := nz(dnTrndSAR[1])

    dnTrndSAR := trend < 0 and dnTrndSAR > nz(dnTrndSAR[1]) ? nz(dnTrndSAR[1]) : dnTrndSAR
    upTrndSAR := trend > 0 and upTrndSAR < nz(upTrndSAR[1]) ? nz(upTrndSAR[1]) : upTrndSAR
    
    if (trend < 0 and hiprice0 >= dnTrndSAR + filt * calcBaseUnit())
        trend := 1
        upTrndSAR := lowVal0
        upSig := SignalMode == 'Signals & Stops' ? lowVal0 : upSig
        dnTrndSAR := 0.
        aFactor := startAFactor
        lowVal0 := loprice0
        hVal0 := hiprice0
    else if (trend > 0 and loprice0 <= upTrndSAR - filt * calcBaseUnit())
        trend := -1
        dnTrndSAR := hVal0
        dnSig := SignalMode == 'Signals & Stops' ? hVal0 : dnSig
        upTrndSAR := 0.
        aFactor := startAFactor
        lowVal0 := loprice0
        hVal0 := hiprice0
    
psar = upTrndSAR > 0 ? upTrndSAR : dnTrndSAR
psar := isPsarAdaptive ? psar : ta.sar(psarStart, psarInc, psarMax) 
plot(psar, title='PSAR', color=src < psar ? rajah : magicMint, style=plot.style_circles)

// -- EMA --
float ema = ta.ema(src, emaLength)
plot(ema, title='EMA', color=languidLavender)

// -- Signals --
var string isTradeOpen = ''
var string signalCache = ''

bool enterLong = src > ema and ta.crossover(src, psar) and ta.crossover(osc, 0)
bool enterShort = src < ema and ta.crossunder(src, psar) and ta.crossunder(osc, 0)
// bool exitLong = ta.crossunder(src, ema)
// bool exitShort = ta.crossover(src, ema)

if (signalCache == 'long entry')
    signalCache := ''
    enterLong := true
else if (signalCache == 'short entry')
    signalCache := ''
    enterShort := true

if (isTradeOpen == '')
    if (enterLong)
        isTradeOpen := 'long'
    else if (enterShort)
        isTradeOpen := 'short'
else if (isTradeOpen == 'long')
    if (enterLong)
        enterLong := false
else if (isTradeOpen == 'short')
    if (enterShort)
        enterShort := false

plotshape((isSignalLabelEnabled and enterLong and (isTradeOpen == 'long')) ? psar : na, title='LONG', text='L', style=shape.labelup, color=mediumAquamarine, textcolor=color.white, size=size.tiny, location=location.absolute)
plotshape((isSignalLabelEnabled and enterShort and (isTradeOpen == 'short')) ? psar : na, title='SHORT', text='S', style=shape.labeldown, color=carrotOrange, textcolor=color.white, size=size.tiny, location=location.absolute)

// -- High Low Stop Loss and Take Profit --
bool isHighLowStopLossEnabled = true
bool isAutomaticHighLowTakeProfitEnabled = true
bool recalculateStopLossTakeProfit = false
bool isStrategyEntryEnabled = false
bool isLongEnabled = true
bool isShortEnabled = true
bool isStopLossTakeProfitRecalculationEnabled = true

bool longStopLossTakeProfitRecalculation = isStopLossTakeProfitRecalculationEnabled ? true : (lastTrade == 'short' or lastTrade == 'initial')
bool shortStopLossTakeProfitRecalculation = isStopLossTakeProfitRecalculationEnabled ? true : (lastTrade == 'long' or lastTrade == 'initial')

var float longHighLowStopLoss = 0
var float shortHighLowStopLoss = 0

float highLowStopLossLowest = ta.lowest(_low, highLowStopLossLookback)
float highLowStopLossHighest = ta.highest(_high, highLowStopLossLookback)

if (isHighLowStopLossEnabled)
    if (((enterLong and longStopLossTakeProfitRecalculation) or recalculateStopLossTakeProfit) and (isStrategyEntryEnabled ? not(strategy.position_size > 0) : true))
        if (highLowStopLossLowest == _low)
            longHighLowStopLoss := _high * highLowStopLossBackupMultiplier
        else if (highLowStopLossLowest > 0)
            longHighLowStopLoss := highLowStopLossLowest * highLowStopLossMultiplier
            
    if (((enterShort and shortStopLossTakeProfitRecalculation) or recalculateStopLossTakeProfit) and (isStrategyEntryEnabled ? not(strategy.position_size < 0) : true))
        if (highLowStopLossHighest == _high)
            shortHighLowStopLoss := _high * (1 + (1 - highLowStopLossBackupMultiplier))
        else if (highLowStopLossHighest > 0)
            shortHighLowStopLoss := highLowStopLossHighest * (1 + (1 - highLowStopLossMultiplier))
        
plot((isLongEnabled and isHighLowStopLossEnabled and (isTradeOpen == 'long')) ? longHighLowStopLoss : na, 'Long High Low Stop Loss', color=magicMint, style=plot.style_circles, trackprice=false)
plot((isShortEnabled and isHighLowStopLossEnabled and (isTradeOpen == 'short')) ? shortHighLowStopLoss : na, 'Short High Low Stop Loss ', color=rajah, style=plot.style_circles, trackprice=false)

// -- Automatic High Low Take Profit --
var float longAutomaticHighLowTakeProfit = na
var float shortAutomaticHighLowTakeProfit = na

if (isAutomaticHighLowTakeProfitEnabled)
    if (((enterLong and longStopLossTakeProfitRecalculation) or recalculateStopLossTakeProfit) and (isStrategyEntryEnabled ? not(strategy.position_size > 0) : true))
        longHighLowStopLossPercentage = 1 - (longHighLowStopLoss / _close)
        longAutomaticHighLowTakeProfit := _close * (1 + (longHighLowStopLossPercentage  * automaticHighLowTakeProfitRatio))
    if (((enterShort and shortStopLossTakeProfitRecalculation) or recalculateStopLossTakeProfit) and (isStrategyEntryEnabled ? not(strategy.position_size > 0) : true)) 
        shortHighLowStopLossPercentage = 1 - (_close / shortHighLowStopLoss)
        shortAutomaticHighLowTakeProfit := _close * (1 - (shortHighLowStopLossPercentage * automaticHighLowTakeProfitRatio))

plot((isAutomaticHighLowTakeProfitEnabled and isHighLowStopLossEnabled and (isTradeOpen == 'long')) ? longAutomaticHighLowTakeProfit : na, 'Long Automatic High Low Take Profit', color=magicMint, style=plot.style_circles, trackprice=false)
plot((isAutomaticHighLowTakeProfitEnabled and isHighLowStopLossEnabled and (isTradeOpen == 'short')) ? shortAutomaticHighLowTakeProfit : na, 'Short Automatic High Low Take Profit', color=rajah, style=plot.style_circles, trackprice=false)

// log.info('Automatic Long High Low Take Profit: ' + str.tostring(longAutomaticHighLowTakeProfit))
// log.info('Automatic Short High Low Take Profit: ' + str.tostring(shortAutomaticHighLowTakeProfit))

// log.info('Long High Low Stop Loss: ' + str.tostring(longHighLowStopLoss))
// log.info('Short High Low Stop Loss: ' + str.tostring(shortHighLowStopLoss))

bool longHighLowStopLossCondition = ta.crossunder(_close, longHighLowStopLoss)
bool shortHighLowStopLossCondition = ta.crossover(_close, shortHighLowStopLoss)

bool longAutomaticHighLowTakeProfitCondition = ta.crossover(_close, longAutomaticHighLowTakeProfit)
bool shortAutomaticHighLowTakeProfitCondition = ta.crossunder(_close, shortAutomaticHighLowTakeProfit)

bool exitLong = (longHighLowStopLossCondition or longAutomaticHighLowTakeProfitCondition) and strategy.position_size > 0
bool exitShort = (shortHighLowStopLossCondition or shortAutomaticHighLowTakeProfitCondition) and strategy.position_size < 0

plotshape((isSignalLabelEnabled and exitLong and (isTradeOpen == 'long')) ? psar : na, title='LONG EXIT', style=shape.circle, color=magicMint, size=size.tiny, location=location.absolute)
plotshape((isSignalLabelEnabled and exitShort and (isTradeOpen == 'short')) ? psar : na, title='SHORT EXIT', style=shape.circle, color=rajah, size=size.tiny, location=location.absolute)

// Long Exits
if (exitLong)
    strategy.close('long', comment=longAutomaticHighLowTakeProfitCondition ? 'EXIT_LONG_TP' : 'EXIT_LONG_SL')
    isTradeOpen := ''

// Short Exits
if (exitShort)
    strategy.close('short', comment=shortAutomaticHighLowTakeProfitCondition ? 'EXIT_SHORT_TP' : 'EXIT_SHORT_SL')
    isTradeOpen := ''

// Long Entries
if (enterLong and (strategy.position_size == 0))
    strategy.entry('long', strategy.long, comment='ENTER_LONG')

// Short Entries
if (enterShort and (strategy.position_size == 0))
    strategy.entry('short', strategy.short, comment='ENTER_SHORT')

// Save last trade state
if (enterLong or exitLong)
    lastTrade := 'long'
if (enterShort or exitShort)
    lastTrade := 'short'

barcolor(color=isTradeOpen == 'long' ? mediumAquamarine : isTradeOpen == 'short' ? carrotOrange : na)

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