Automatische Handelsstrategie basierend auf Mehrfachindikator-Screening und dynamischem Stop-Loss


Erstellungsdatum: 2023-09-26 14:38:40 zuletzt geändert: 2023-09-26 14:38:40
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Überblick

Die Strategie verwendet mehrere Indikatoren wie die Schnelle, die Mittlere, die Langsame und die MACD, um die Handelssignale in einer Kombination zu beurteilen, während ein ATR-basierter dynamischer Stop-Loss-Mechanismus verwendet wird, um das Risiko zu kontrollieren. Die Strategie ist für den automatisierten Handel mit mittlerer oder kurzer Linie geeignet.

Strategieprinzip

Die Strategie verwendet hauptsächlich die EMA-Meanline, den MACD-Indikator und den ATR-Indikator. Die schnelle, mittlere und langsame Linie der EMA-Meanline bildet das Trendentscheidungssystem, der MACD-Indikator hilft bei der Erzeugung von Handelssignalen, der ATR-Indikator dient zum Setzen von Stop-Lines. Insbesondere wird die Trendrichtung durch eine Kombination aus einer leeren Anordnung von schnellen, mittleren und langsamen Linien bestimmt, kombiniert mit der Null-Achs-Kreuzung des MACD-Indikators als Eingangssignal.

Analyse der Stärken

  • Die Mehrindikator-Kombination beurteilt, dass die Handelssignale genau und zuverlässig sind.
  • Die Kurz-, Mittel- und Langstrecken-Systeme zeigen die Richtung des Trends.
  • Die MACD-Indikatoren unterstützen den Einstieg und vermeiden falsche Durchbrüche.
  • Die dynamische Stop-Loss-Technik ist eine bessere Risikokontrolle.
  • Die Strategie ist eher mechanisiert und eignet sich für automatisierte Transaktionen.

Risiko und Optimierung

  • Die Parameter-Einstellungen sind komplexer und erfordern viel Test-Optimierung.
  • Die Kombination von mehreren Indikatoren ist logisch kompliziert und schwer manuell zu handhaben.
  • Andere Filterbedingungen, wie z. B. die Energie des Transaktionsvolumens, sollten hinzugefügt werden, um zu vermeiden, dass sie eingeschlossen werden.
  • Es kann in Betracht gezogen werden, die Optimierung der Parameter mit Hilfe von Algorithmen als eine maschinell lernende Handelsstrategie zu verbessern.

Zusammenfassen

Die Strategie kombiniert mehrere Indikatoren in einer Einheit, die sowohl eine genaue Trendbeurteilung als auch eine Kontrolle des Rückzugs ermöglicht. Durch die Optimierung der Parameter und die Hinzufügung weiterer Filterbedingungen kann die Strategie-Stabilität weiter verbessert werden. Insgesamt ist die Strategie typisch und zuverlässig, geeignet für den automatisierten Handel mit mittleren und kurzen Linien und hat einen großen praktischen Wert.

Strategiequellcode 
/*backtest
start: 2023-09-18 00:00:00
end: 2023-09-18 21:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("STRAT_STEMWAP", overlay=true, pyramiding = 0, default_qty_value = 10, slippage = 3)

EMA_Smooth_Period = input(7, minval=1)
ST_EMA = ema(close, EMA_Smooth_Period)

ST_VWAP_Period = input(7, minval=1)
VWAP_TUNING_MULT = input(type=input.float, defval=0.000)
ST_VWAP = ema(vwap,ST_VWAP_Period)


ST_VWAP_TUNING = VWAP_TUNING_MULT * (ST_EMA - ST_VWAP)


length = input(title="ATR Period", type=input.integer, defval=13)
mult = input(title="ATR Multiplier", type=input.float, step=0.1, defval=2.0)
showLabels = input(title="Show Buy/Sell Labels ?", type=input.bool, defval=true)
highlightState = input(title="Highlight State ?", type=input.bool, defval=true)

atr = mult * atr(length)


StopLoss_Long_Adjust = input(22.00, type=input.float)
StopLoss_Short_Adjust = input(16.00, type=input.float)


longStop = (ST_EMA) - atr - (ST_VWAP_TUNING) - StopLoss_Long_Adjust
longStopPrev = nz(longStop[1], longStop)
longStop := (close[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop

shortStop = (ST_EMA) + atr - (ST_VWAP_TUNING) + StopLoss_Short_Adjust
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (close[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop

dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (close) > shortStopPrev ? 1 : dir == 1 and (close) < longStopPrev ? -1 : dir


fastLength = input(1, minval=1), medLength=input(4, minval=1), slowLength=input(24, minval=1), signalLength=input(8,minval=1)
fastMA = ema(close, fastLength)
//,fastMA1 = ema(close[1], fastLength), fastMA2 = ema(close[2], fastLength),fastMA3 = ema(close[3], fastLength),fastMA4 = ema(close[4], fastLength),fastMA5 = ema(close[5], fastLength), fastMA6 = ema(close[6], fastLength), fastMA7 = ema(close[7], fastLength),fastMA8 = ema(close[8], fastLength),fastMA9 = ema(close[9], fastLength),fastMA10 = ema(close[10], fastLength),fastMA11 = ema(close[11], fastLength),fastMA12 = ema(close[12], fastLength),fastMA13 = ema(close[13], fastLength)
medMA = ema(close, medLength)
//, medMA1 = ema(close[1], medLength), medMA2 = ema(close[2], medLength), medMA3 = ema(close[3], medLength), medMA4 = ema(close[4], medLength), medMA5 = ema(close[5], medLength), medMA6 = ema(close[6], medLength), medMA7 = ema(close[7], medLength), medMA8 = ema(close[8], medLength), medMA9 = ema(close[9], medLength), medMA10 = ema(close[10], medLength), medMA11 = ema(close[11], medLength), medMA12 = ema(close[12], medLength), medMA13 = ema(close[13], medLength)
slowMA = ema(close, slowLength)
//, slowMA1 = ema(close[1], slowLength), slowMA2 = ema(close[2], slowLength), slowMA3 = ema(close[3], slowLength), slowMA4 = ema(close[4], slowLength), slowMA5 = ema(close[5], slowLength), slowMA6 = ema(close[6], slowLength), slowMA7 = ema(close[7], slowLength), slowMA8 = ema(close[8], slowLength), slowMA9 = ema(close[9], slowLength), slowMA10 = ema(close[10], slowLength), slowMA11 = ema(close[11], slowLength), slowMA12 = ema(close[12], slowLength), slowMA13 = ema(close[13], slowLength)
macd = fastMA - slowMA
//, macd1 = fastMA1 - slowMA1, macd2 = fastMA2 - slowMA2, macd3 = fastMA3 - slowMA3, macd4 = fastMA4 - slowMA4, macd5 = fastMA5 - slowMA5, macd6 = fastMA6 - slowMA6, macd7 = fastMA7 - slowMA7, macd8 = fastMA8 - slowMA8, macd9 = fastMA9 - slowMA9, macd10 = fastMA10 - slowMA10, macd11 = fastMA11 - slowMA11, macd12 = fastMA12 - slowMA12, macd13 = fastMA13 - slowMA13
fmacd = fastMA - medMA
//, fmacd1 = fastMA1 - medMA1,fmacd2 = fastMA2 - medMA2,fmacd3 = fastMA3 - medMA3,fmacd4 = fastMA4 - medMA4,fmacd5 = fastMA5 - medMA5, fmacd6 = fastMA6 - medMA6, fmacd7 = fastMA7 - medMA7, fmacd8 = fastMA8 - medMA8, fmacd9 = fastMA9 - medMA9, fmacd10 = fastMA10 - medMA10, fmacd11 = fastMA11 - medMA11, fmacd12 = fastMA12 - medMA12, fmacd13 = fastMA13 - medMA13
smacd = slowMA - medMA
//, smacd1 = slowMA1 - medMA1, smacd2 = slowMA2 - medMA2, smacd3 = slowMA3 - medMA3, smacd4 = slowMA4 - medMA4, smacd5 = slowMA5 - medMA5, smacd6 = slowMA6 - medMA6, smacd7 = slowMA7 - medMA7, smacd8 = slowMA8 - medMA8, smacd9 = slowMA9 - medMA9, smacd10 = slowMA10 - medMA10, smacd11 = slowMA11 - medMA11, smacd12 = slowMA12 - medMA12, smacd13 = slowMA13 - medMA13,


signal = ema(macd, signalLength)
//,signal1 = sma(macd1, signalLength),signal2 = sma(macd2, signalLength),signal3 = sma(macd3, signalLength),signal4 = sma(macd4, signalLength),signal5 = sma(macd5, signalLength),signal6 = sma(macd6, signalLength),signal7 = sma(macd7, signalLength),signal8 = sma(macd8, signalLength),signal9 = sma(macd9, signalLength),signal10 = sma(macd10, signalLength),signal11 = sma(macd11, signalLength),signal12 = sma(macd12, signalLength),signal13 = sma(macd13, signalLength),
fsignal = ema(fmacd, signalLength)
//, fsignal1 = sma(fmacd1, signalLength), fsignal2 = sma(fmacd2, signalLength), fsignal3 = sma(fmacd3, signalLength), fsignal4 = sma(fmacd4, signalLength), fsignal5 = sma(fmacd5, signalLength), fsignal6 = sma(fmacd6, signalLength), fsignal7 = sma(fmacd7, signalLength), fsignal8 = sma(fmacd8, signalLength), fsignal9 = sma(fmacd9, signalLength), fsignal10 = sma(fmacd10, signalLength), fsignal11 = sma(fmacd11, signalLength), fsignal12 = sma(fmacd12, signalLength), fsignal13 = sma(fmacd13, signalLength),
ssignal = ema(smacd, signalLength)
//, ssignal1 = sma(smacd1, signalLength), ssignal2 = sma(smacd2, signalLength), ssignal3 = sma(smacd3, signalLength), ssignal4 = sma(smacd4, signalLength), ssignal5 = sma(smacd5, signalLength), ssignal6 = sma(smacd6, signalLength), ssignal7 = sma(smacd7, signalLength), ssignal8 = sma(smacd8, signalLength), ssignal9 = sma(smacd9, signalLength), ssignal10 = sma(smacd10, signalLength), ssignal11 = sma(smacd11, signalLength), ssignal12 = sma(smacd12, signalLength), ssignal13 = sma(smacd13, signalLength),


ATR_Signal_Period = input(2, type=input.integer, minval=1, maxval=2000)


SetStopLossShort = 0.0
SetStopLossShort := if(strategy.position_size < 0)
    StopLossShort = shortStop
    min(StopLossShort,SetStopLossShort[1])


plot(SetStopLossShort, style = plot.style_cross, color = color.yellow)    


SetStopLossLong = 0.0
SetStopLossLong := if(strategy.position_size > 0)
    StopLossLong = longStop
    max(StopLossLong,SetStopLossLong[1])


plot(SetStopLossLong, style = plot.style_cross, color = color.purple)

ATR_SIGNAL_FINE_TUNE = input(0.986, type=input.float)  

tol_atr = atr(ATR_Signal_Period)*ATR_SIGNAL_FINE_TUNE

StopLoss_Initial_Short = input(1.00, type=input.float)
StopLoss_Initial_Long = input(5.00, type=input.float)



VOLUME_CHECK_SHORT = input(42)
VOLUME_CHECK_LONG = input(16)

MAX_LOSS = input(0.00, type=input.float)

//Custom Time Interval
fromMinute = input(defval = 0, title = "From Minute", minval = 0, maxval = 60)
fromHour = input(defval = 0, title = "From Hour", minval = 0, maxval = 24)
fromDay = input(defval = 1, title = "From Day", minval = 1)
fromMonth = input(defval = 1, title = "From Month", minval = 1)
fromYear = input(defval = 2019, title = "From Year", minval = 1900)
tillMinute = input(defval = 0, title = "Till Minute", minval = 0, maxval = 60)
tillHour = input(defval = 0, title = "Till Hour", minval = 0, maxval = 24)
tillDay = input(defval = 1, title = "Till Day", minval = 1)
tillMonth = input(defval = 1, title = "Till Month", minval = 1)
tillYear = input(defval = 2021, title = "Till Year", minval = 1900)
timestampStart = timestamp(fromYear,fromMonth,fromDay,fromHour,fromMinute)
timestampEnd = timestamp(tillYear,tillMonth,tillDay,tillHour,tillMinute)



if ( strategy.position_size <= 0 and ((fsignal[1] -fsignal) <= 0) and volume > VOLUME_CHECK_LONG and ( cross(signal, macd) or cross(signal[1], macd[1]) or cross(signal[2], macd[2]) or cross(signal[3], macd[3]) or cross(signal[4], macd[4]) or cross(signal[5], macd[5]) or cross(signal[6], macd[6]) or cross(signal[7], macd[7]) or  cross(signal[8], macd[8]) or  cross(signal[9], macd[9]) or  cross(signal[10], macd[10]) or  cross(signal[11], macd[11]) or  cross(signal[12], macd[12]) or  cross(signal[13], macd[13])  or cross(fmacd, macd) or cross(fmacd[1],macd[1]) or  cross(fmacd[2],macd[2]) or cross(fmacd[3],macd[3]) or cross(fmacd[4],macd[4])or cross(fsignal, fmacd)  or cross(fmacd, smacd) )  and (  (crossover(close,open+tol_atr) or crossover(close[1],open[1]+tol_atr[1]) or crossover(close[2],open[2]+tol_atr[2]) or crossover(close[3],open[3]+tol_atr[3]) or crossover(close[4],open[4]+tol_atr[4]) or crossover(close[5],open[5]+tol_atr[5]) or crossover(close[6],open[6]+tol_atr[6]) or crossover(close[7],open[7]+tol_atr[7]) or crossover(close[8],open[8]+tol_atr[8]) or crossover(close[9],open[9]+tol_atr[9]) or crossover(close[10],open[10]+tol_atr[10]) ) or ( (cross(ssignal, smacd) or cross(ssignal[1],smacd[1]) or cross(ssignal[2],smacd[2])) and ( (ssignal - ssignal[1]) > 0 ) ) )  )
    strategy.exit("SELL")
    strategy.entry("BUY", strategy.long)
    strategy.exit("BUY_STOP","BUY", stop = close - StopLoss_Initial_Long)
    

if ( (dir == -1 and dir[1] == 1 and dir[2] == 1 and dir[3] == 1 and dir[4] == 1 ) and strategy.position_size >= 0 and volume > VOLUME_CHECK_SHORT and ((fsignal[1] -fsignal) >= 0)  and (  crossunder(close, open - tol_atr) or crossunder(close[1], open[1] - tol_atr[1]) or crossunder(close[2], open[2] - tol_atr[2]) or crossunder(close[3], open[3] - tol_atr[3]) )  and ( cross(signal, macd) or cross(signal[1], macd[1]) or cross(signal[2], macd[2]) or cross(signal[3], macd[3]) or cross(signal[4], macd[4]) or cross(signal[5], macd[5]) or cross(signal[6], macd[6]) or cross(signal[7], macd[7]) or  cross(signal[8], macd[8]) or  cross(signal[9], macd[9]) or  cross(signal[10], macd[10]) or  cross(signal[11], macd[11])  or  cross(signal[12], macd[12]) or  cross(signal[13], macd[13])  )  )
    strategy.exit( "BUY")
    strategy.entry("SELL", strategy.short)
    strategy.exit("SELL_STOP","SELL", stop = close + StopLoss_Initial_Short)
    

strategy.close_all(when = strategy.openprofit <  (-1 * MAX_LOSS) )


// if (strategy.max_contracts_held_long > 0 )
//     strategy.exit("BUY_TRAIL_STOP","BUY", stop = longStop - StopLoss_Long_Adjust)
    
// if (strategy.max_contracts_held_short > 0 )    
//     strategy.exit("SELL_TRAIL_STOP","SELL", stop = shortStop + StopLoss_Short_Adjust)


    
    //strategy.exit("BUY_TRAIL_STOP","BUY", stop = SetStopLossLong)
    //strategy.exit("SELL_TRAIL_STOP","SELL", stop = SetStopLossShort)
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