Dies ist eine einfache Trend-Folge-Strategie, die auf einem gleitenden Durchschnitt basiert. Es beurteilt die aktuelle Trendrichtung und -dauer, indem es die Größenbeziehung zwischen gleitenden Durchschnitten verschiedener Zyklen vergleicht. Es geht lang, wenn der kurze Zyklus gleitender Durchschnitt über den langen Zyklus überschreitet, und geht kurz, wenn das Gegenteil geschieht. Gleichzeitig werden Stop-Loss- und Take-Profit-Punkte eingestellt, um Risiken zu kontrollieren.
Die Strategie verwendet 4 gleitende Durchschnitte mit verschiedenen Zyklen: 5-Tage-, 10-Tage-, 15-Tage- und 25-Tage-Linien. Sie werden MA1, MA2, MA3 und MA4 genannt. Unter ihnen ist MA1 die kürzeste und MA4 die längste.
Wenn MA1>MA2>MA3>MA4 ein Aufwärtstrend anzeigt und lang geht, wenn MA1
Die Bedingungen der offenen Positionen für Long und Short müssen gleichzeitig den ATR-Stop-Loss-Filter erfüllen, d. h. der ATR-Wert sollte größer als der 40-Tage-SMA von ATR sein. Dies verhindert die Erzeugung falscher Signale, wenn die Kursschwankung zu gering ist.
Die Strategie weist folgende Vorteile auf:
Die Strategie birgt außerdem folgende Risiken:
Um diese Risiken zu reduzieren, können die Parameter angemessen optimiert werden oder zusätzliche Filterbedingungen hinzugefügt werden, um die Stabilität der Strategie zu verbessern.
Zu den Optimierungsrichtungen der Strategie gehören:
Im Allgemeinen handelt es sich um eine relativ einfache Trendfolgestrategie. Sie beurteilt die Trendrichtung anhand gleitender Durchschnitte und legt einen angemessenen Stop-Loss und Take-Profit fest, um die Risikoniveaus zu kontrollieren. Es gibt noch viel Raum für Optimierungen, wie die Anpassung von Parametern, das Hinzufügen von Filtern usw., um die Stabilität und Rentabilität der Strategie weiter zu verbessern.
/*backtest start: 2023-01-17 00:00:00 end: 2024-01-23 00:00:00 period: 1d basePeriod: 1h 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/ // © fpemehd // @version=5 // # ========================================================================= # // # | STRATEGY | // # ========================================================================= # strategy(title = 'MA Simple Strategy with SL & TP & ATR Filters', shorttitle = 'MA Strategy', overlay = true, pyramiding = 0, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, commission_value = 0.1, initial_capital = 100000, max_lines_count = 150, max_labels_count = 300) // # ========================================================================= # // # Inputs // # ========================================================================= # // 1. Time i_start = input (defval = timestamp("20 Jan 1990 00:00 +0900"), title = "Start Date", tooltip = "Choose Backtest Start Date", inline = "Start Date", group = "Time" ) i_end = input (defval = timestamp("20 Dec 2030 00:00 +0900"), title = "End Date", tooltip = "Choose Backtest End Date", inline = "End Date", group = "Time" ) c_timeCond = true // 2. Inputs for direction: Long? Short? Both? i_longEnabled = input.bool(defval = true , title = "Long?", tooltip = "Enable Long Position Trade?", inline = "Long / Short", group = "Long / Short" ) i_shortEnabled = input.bool(defval = true , title = "Short?", tooltip = "Enable Short Position Trade?", inline = "Long / Short", group = "Long / Short" ) // 3. Use Filters? What Filters? i_ATRFilterOn = input.bool(defval = true , title = "ATR Filter On?", tooltip = "ATR Filter On?", inline = "ATR Filter", group = "Filters") i_ATRSMALen = input.int(defval = 40 , title = "SMA Length for ATR SMA", minval = 1 , maxval = 100000 , step = 1 , tooltip = "ATR should be bigger than this", inline = "ATR Filter", group = "Filters") // 3. Shared inputs for Long and Short //// 3-1. Inputs for Stop Loss Type: normal? or trailing? //// If trailing, always trailing or trailing after take profit order executed? i_useSLTP = input.bool(defval = true, title = "Enable SL & TP?", tooltip = "", inline = "Enable SL & TP & SL Type", group = "Shared Inputs") i_tslEnabled = input.bool(defval = false , title = "Enable Trailing SL?", tooltip = "Enable Stop Loss & Take Profit? \n\Enable Trailing SL?", inline = "Enable SL & TP & SL Type", group = "Shared Inputs") // i_tslAfterTP = input.bool(defval = true , title = "Enable Trailing SL after TP?", tooltip = "Enable Trailing SL after TP?", inline = "Trailing SL Execution", group = "Shared Inputs") i_slType = input.string(defval = "ATR", title = "Stop Loss Type", options = ["Percent", "ATR"], tooltip = "Stop Loss based on %? ATR?", inline = "Stop Loss Type", group = "Shared Inputs") i_slATRLen = input.int(defval = 14, title = "ATR Length", minval = 1 , maxval = 200 , step = 1, inline = "Stop Loss ATR", group = "Shared Inputs") i_tpType = input.string(defval = "R:R", title = "Take Profit Type", options = ["Percent", "ATR", "R:R"], tooltip = "Take Profit based on %? ATR? R-R ratio?", inline = "Take Profit Type", group = "Shared Inputs") //// 3-2. Inputs for Quantity i_tpQuantityPerc = input.float(defval = 50, title = 'Take Profit Quantity %', minval = 0.0, maxval = 100, step = 1.0, tooltip = '% of position when tp target is met.', group = 'Shared Inputs') // 4. Inputs for Long Stop Loss & Long Take Profit i_slPercentLong = input.float(defval = 3, title = "SL Percent", tooltip = "", inline = "Percent > Long Stop Loss / Take Profit Percent", group = "Long Stop Loss / Take Profit") i_tpPercentLong = input.float(defval = 3, title = "TP Percent", tooltip = "Long Stop Loss && Take Profit Percent?", inline = "Percent > Long Stop Loss / Take Profit Percent", group = "Long Stop Loss / Take Profit") i_slATRMultLong = input.float(defval = 3, title = "SL ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "Long Stop Loss / Take Profit ATR", group = "Long Stop Loss / Take Profit") i_tpATRMultLong = input.float(defval = 3, title = "TP ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "ATR > Long Stop Loss && Take Profit ATR Multiplier? \n\Stop Loss = i_slATRMultLong * ATR (i_slATRLen) \n\Take Profit = i_tpATRMultLong * ATR (i_tpATRLen)", inline = "Long Stop Loss / Take Profit ATR", group = "Long Stop Loss / Take Profit") i_tpRRratioLong = input.float(defval = 1.8, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "R:R Ratio", group = "Long Stop Loss / Take Profit") // 5. Inputs for Short Stop Loss & Short Take Profit i_slPercentShort = input.float(defval = 3, title = "SL Percent", tooltip = "", inline = "Percent > Short Stop Loss / Take Profit Percent", group = "Short Stop Loss / Take Profit") i_tpPercentShort = input.float(defval = 3, title = "TP Percent", tooltip = "Short Stop Loss && Take Profit Percent?", inline = "Percent > Short Stop Loss / Take Profit Percent", group = "Short Stop Loss / Take Profit") i_slATRMultShort = input.float(defval = 3, title = "SL ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "ATR > Short Stop Loss / Take Profit ATR", group = "Short Stop Loss / Take Profit") i_tpATRMultShort = input.float(defval = 3, title = "TP ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "ATR > Short Stop Loss && Take Profit ATR Multiplier? \n\Stop Loss = i_slATRMultShort * ATR (i_slATRLen) \n\Take Profit = i_tpATRMultShort * ATR (i_tpATRLen)", inline = "ATR > Short Stop Loss / Take Profit ATR", group = "Short Stop Loss / Take Profit") i_tpRRratioShort = input.float(defval = 1.8, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "R:R Ratio", group = "Short Stop Loss / Take Profit") // 6. Inputs for logic i_MAType = input.string(defval = "RMA", title = "MA Type", options = ["SMA", "EMA", "WMA", "HMA", "RMA", "VWMA", "SWMA", "ALMA", "VWAP"], tooltip = "Choose MA Type", inline = "MA Type", group = 'Strategy') i_MA1Len = input.int(defval = 5, title = 'MA 1 Length', minval = 1, inline = 'MA Length', group = 'Strategy') i_MA2Len = input.int(defval = 10, title = 'MA 2 Length', minval = 1, inline = 'MA Length', group = 'Strategy') i_MA3Len = input.int(defval = 15, title = 'MA 3 Length', minval = 1, inline = 'MA Length', group = 'Strategy') i_MA4Len = input.int(defval = 25, title = 'MA 4 Length', minval = 1, inline = 'MA Length', group = 'Strategy') i_ALMAOffset = input.float(defval = 0.7 , title = "ALMA Offset Value", tooltip = "The Value of ALMA offset", inline = "ALMA Input", group = 'Strategy') i_ALMASigma = input.float(defval = 7 , title = "ALMA Sigma Value", tooltip = "The Value of ALMA sigma", inline = "ALMA Input", group = 'Strategy') // # ========================================================================= # // # Entry, Close Logic // # ========================================================================= # bool i_ATRFilter = ta.atr(length = i_slATRLen) >= ta.sma(source = ta.atr(length = i_slATRLen), length = i_ATRSMALen) ? true : false // calculate Technical Indicators for the Logic getMAValue (source, length, almaOffset, almaSigma) => switch i_MAType 'SMA' => ta.sma(source = source, length = length) 'EMA' => ta.ema(source = source, length = length) 'WMA' => ta.wma(source = source, length = length) 'HMA' => ta.hma(source = source, length = length) 'RMA' => ta.rma(source = source, length = length) 'SWMA' => ta.swma(source = source) 'ALMA' => ta.alma(series = source, length = length, offset = almaOffset, sigma = almaSigma) 'VWMA' => ta.vwma(source = source, length = length) 'VWAP' => ta.vwap(source = source) => na float c_MA1 = getMAValue(close, i_MA1Len, i_ALMAOffset, i_ALMASigma) float c_MA2 = getMAValue(close, i_MA2Len, i_ALMAOffset, i_ALMASigma) float c_MA3 = getMAValue(close, i_MA3Len, i_ALMAOffset, i_ALMASigma) float c_MA4 = getMAValue(close, i_MA4Len, i_ALMAOffset, i_ALMASigma) // Logic: 정배열 될 떄 들어가 var ma1Color = color.new(color.red, 0) plot(series = c_MA1, title = 'SMA 1', color = ma1Color, linewidth = 1, style = plot.style_line) var ma2Color = color.new(color.orange, 0) plot(series = c_MA2, title = 'SMA 2', color = ma2Color, linewidth = 1, style = plot.style_line) var ma3Color = color.new(color.yellow, 0) plot(series = c_MA3, title = 'SMA 3', color = ma3Color, linewidth = 1, style = plot.style_line) var ma4Color = color.new(color.green, 0) plot(series = c_MA4, title = 'SMA 4', color = ma4Color, linewidth = 1, style = plot.style_line) bool openLongCond = (c_MA1 >= c_MA2 and c_MA2 >= c_MA3 and c_MA3 >= c_MA4) bool openShortCond = (c_MA1 <= c_MA2 and c_MA2 <= c_MA3 and c_MA3 <= c_MA4) bool openLong = i_longEnabled and openLongCond and (not i_ATRFilterOn or i_ATRFilter) bool openShort = i_shortEnabled and openShortCond and (not i_ATRFilterOn or i_ATRFilter) openLongCondColor = openLongCond ? color.new(color = color.blue, transp = 80) : na bgcolor(color = openLongCondColor) ATRFilterColor = i_ATRFilter ? color.new(color = color.orange, transp = 80) : na bgcolor(color = ATRFilterColor) bool enterLong = openLong and not (strategy.opentrades.size(strategy.opentrades-1) > 0) bool enterShort = openShort and not (strategy.opentrades.size(strategy.opentrades-1) < 0) bool closeLong = i_longEnabled and (c_MA1[1] >= c_MA2[1] and c_MA2[1] >= c_MA3[1] and c_MA3[1] >= c_MA4[1]) and not (c_MA1 >= c_MA2 and c_MA2 >= c_MA3 and c_MA3 >= c_MA4) bool closeShort = i_shortEnabled and (c_MA1[1] <= c_MA2[1] and c_MA2[1] <= c_MA3[1] and c_MA3[1] <= c_MA4[1]) and not (c_MA1 <= c_MA2 and c_MA2 <= c_MA3 and c_MA3 <= c_MA4) // # ========================================================================= # // # Position, Status Conrtol // # ========================================================================= # // longisActive: New Long || Already Long && not closeLong, short is the same bool longIsActive = enterLong or strategy.opentrades.size(strategy.opentrades - 1) > 0 and not closeLong bool shortIsActive = enterShort or strategy.opentrades.size(strategy.opentrades - 1) < 0 and not closeShort // before longTPExecution: no trailing SL && after longTPExecution: trailing SL starts // longTPExecution qunatity should be less than 100% bool longTPExecuted = false bool shortTPExecuted = false // # ========================================================================= # // # Long Stop Loss Logic // # ========================================================================= # float openAtr = ta.valuewhen(enterLong or enterShort, ta.atr(i_slATRLen), 0) f_getLongSL (source) => switch i_slType 'Percent' => source * (1 - (i_slPercentLong/100)) 'ATR' => source - i_slATRMultLong * openAtr => na var float c_longSLPrice = na c_longSLPrice := if (longIsActive) if (enterLong) f_getLongSL(close) else c_stopPrice = f_getLongSL(i_tslEnabled ? high : strategy.opentrades.entry_price(trade_num = strategy.opentrades - 1)) math.max(c_stopPrice, nz(c_longSLPrice[1])) else na // # ========================================================================= # // # Short Stop Loss Logic // # ========================================================================= # f_getShortSL (source) => switch i_slType 'Percent' => source * (1 + (i_slPercentShort)/100) 'ATR' => source + i_slATRMultShort * openAtr => na var float c_shortSLPrice = na c_shortSLPrice := if (shortIsActive) if (enterShort) f_getShortSL (close) else c_stopPrice = f_getShortSL(i_tslEnabled ? low : strategy.opentrades.entry_price(strategy.opentrades - 1)) math.min(c_stopPrice, nz(c_shortSLPrice[1], 999999.9)) else na // # ========================================================================= # // # Long Take Profit Logic // # ========================================================================= # f_getLongTP () => switch i_tpType 'Percent' => close * (1 + (i_tpPercentLong/100)) 'ATR' => close + i_tpATRMultLong * openAtr 'R:R' => close + i_tpRRratioLong * (close - f_getLongSL(close)) => na var float c_longTPPrice = na c_longTPPrice := if (longIsActive and not longTPExecuted) if (enterLong) f_getLongTP() else nz(c_longTPPrice[1], f_getLongTP()) else na longTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) > 0 and (longTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) < strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and high >= c_longTPPrice) // # ========================================================================= # // # Short Take Profit Logic // # ========================================================================= # f_getShortTP () => switch i_tpType 'Percent' => close * (1 - (i_tpPercentShort/100)) 'ATR' => close - i_tpATRMultShort * openAtr 'R:R' => close - i_tpRRratioShort * (close - f_getLongSL(close)) => na var float c_shortTPPrice = na c_shortTPPrice := if (shortIsActive and not shortTPExecuted) if (enterShort) f_getShortTP() else nz(c_shortTPPrice[1], f_getShortTP()) else na shortTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) < 0 and (shortTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) > strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and low <= c_shortTPPrice) // # ========================================================================= # // # Make Orders // # ========================================================================= # if (c_timeCond) if (enterLong) strategy.entry(id = "Long Entry", direction = strategy.long , comment = 'Long(' + syminfo.ticker + '): Started', alert_message = 'Long(' + syminfo.ticker + '): Started') if (enterShort) strategy.entry(id = "Short Entry", direction = strategy.short , comment = 'Short(' + syminfo.ticker + '): Started', alert_message = 'Short(' + syminfo.ticker + '): Started') if (closeLong) strategy.close(id = 'Long Entry', comment = 'Close Long', alert_message = 'Long: Closed at market price') if (closeShort) strategy.close(id = 'Short Entry', comment = 'Close Short', alert_message = 'Short: Closed at market price') if (longIsActive and i_useSLTP) strategy.exit(id = 'Long Take Profit / Stop Loss', from_entry = 'Long Entry', qty_percent = i_tpQuantityPerc, limit = c_longTPPrice, stop = c_longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Take Profit or Stop Loss executed') strategy.exit(id = 'Long Stop Loss', from_entry = 'Long Entry', stop = c_longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Stop Loss executed') if (shortIsActive and i_useSLTP) strategy.exit(id = 'Short Take Profit / Stop Loss', from_entry = 'Short Entry', qty_percent = i_tpQuantityPerc, limit = c_shortTPPrice, stop = c_shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Take Profit or Stop Loss executed') strategy.exit(id = 'Short Stop Loss', from_entry = 'Short Entry', stop = c_shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Stop Loss executed') // # ========================================================================= # // # Plot // # ========================================================================= # var posColor = color.new(color.white, 0) plot(series = strategy.opentrades.entry_price(strategy.opentrades - 1), title = 'Position', color = posColor, linewidth = 1, style = plot.style_linebr) var stopLossColor = color.new(color.maroon, 0) plot(series = c_longSLPrice, title = 'Long Stop Loss', color = stopLossColor, linewidth = 1, style = plot.style_linebr, offset = 1) plot(series = c_shortSLPrice, title = 'Short Stop Loss', color = stopLossColor, linewidth = 1, style = plot.style_linebr, offset = 1) longTPExecutedColor = longTPExecuted ? color.new(color = color.green, transp = 80) : na //bgcolor(color = longTPExecutedColor) shortTPExecutedColor = shortTPExecuted ? color.new(color = color.red, transp = 80) : na //bgcolor(color = shortTPExecutedColor) // isPositionOpenedColor = strategy.opentrades.size(strategy.opentrades-1) != 0 ? color.new(color = color.yellow, transp = 90) : na // bgcolor(color = isPositionOpenedColor) var takeProfitColor = color.new(color.teal, 0) plot(series = c_longTPPrice, title = 'Long Take Profit', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 1) plot(series = c_shortTPPrice, title = 'Short Take Profit', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 1)