Hola comerciantes,
Por la presente les presento la segunda etapa de mi viaje para encontrar una estrategia comercial confiable y rentable.
La
La estrategia ha demostrado ser muy rentable en los mercados de tendencia, pero puede sufrir pérdidas durante el mercado de variación. Creo que un buen robot de trading debe consistir en más de 4 estrategias diferentes, basadas en diferentes sistemas.
Mi objetivo para publicar esta estrategia es ayudar a otros operadores a construir la suya. En mi viaje me resultó difícil encontrar una buena estrategia que emplee una gestión de riesgos decente, que es realmente esencial para tener buenos resultados consistentes. Además, una comisión realista debe definirse para tener una predicción de rendimiento realista. Esto pesa sobre la rentabilidad y, por lo tanto, a menudo es establecido en 0 por los autores de otras estrategias, lo que me parece engañoso.
Si usted ha encontrado esta estrategia informativa o útil, por favor deje un comentario.
Saludos, Michael. ¿ Qué haces aquí?
Prueba posterior
// © Milleman //@version=4 //strategy("MilleMachine", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital=10000, commission_type=strategy.commission.percent, commission_value=0.06) // Additional settings Mode = input(title="Mode", defval="LongShort", options=["LongShort", "OnlyLong", "OnlyShort","Indicator Mode"]) UseTP = false //input(false, title="Use Take Profit?") QuickSwitch = true //input(true, title="Quickswitch") UseTC = true //input(true, title="Use Trendchange?") // Risk management settings //Spacer2 = input(false, title="======= Risk management settings =======") Risk = input(1.0, title="% Risk",minval=0)/100 RRR = 2 //input(2,title="Risk Reward Ratio",step=0.1,minval=0,maxval=20) SL_Mode = false // input(true, title="ON = Fixed SL / OFF = Dynamic SL (ATR)") SL_Fix = 3 //input(3,title="StopLoss %",step=0.25, minval=0)/100 ATR = atr(14) //input(14,title="Periode ATR")) Mul = input(2,title="ATR Multiplier",step=0.1) xATR = ATR * Mul SL = SL_Mode ? SL_Fix : (1 - close/(close+xATR)) // INDICATORS ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// Ind(type, src, len) => float result = 0 if type=="McGinley" result := na(result[1]) ? ema(src, len) : result[1] + (src - result[1]) / (len * pow(src/result[1], 4)) if type=="HMA" result := wma(2*wma(src, len/2)-wma(src, len), round(sqrt(len))) if type=="EHMA" result := ema(2*ema(src, len/2)-ema(src, len), round(sqrt(len))) if type=="THMA" lend = len/2 result := wma(wma(src, lend/3)*3-wma(src, lend/2)-wma(src,lend), lend) if type=="SMA" // Simple result := sma(src, len) if type=="EMA" // Exponential result := ema(src, len) if type=="DEMA" // Double Exponential e = ema(src, len) result := 2 * e - ema(e, len) if type=="TEMA" // Triple Exponential e = ema(src, len) result := 3 * (e - ema(e, len)) + ema(ema(e, len), len) if type=="WMA" // Weighted result := wma(src, len) if type=="VWMA" // Volume Weighted result := vwma(src, len) if type=="SMMA" // Smoothed w = wma(src, len) result := (w[1] * (len - 1) + src) / len if type == "RMA" result := rma(src, len) if type=="LSMA" // Least Squares result := linreg(src, len, 0) if type=="ALMA" // Arnaud Legoux result := alma(src, len, 0.85, 6) if type=="Kijun" //Kijun-sen kijun = avg(lowest(len), highest(len)) result :=kijun if type=="WWSA" // Welles Wilder Smoothed Moving Average result := nz(result[1]) + (close -nz(result[1]))/len result // Baseline : Switch from Long to Short and vice versa BL_Act = input(true, title="====== Activate Baseline - Switch L/S ======") BL_type = input(title="Baseline Type", defval="McGinley", options=["McGinley","HMA","EHMA","THMA","SMA","EMA","DEMA","TEMA","WMA","VWMA","SMMA","RMA","LSMA","ALMA","Kijun","WWSA"]) BL_src = input(close, title="BL source") BL_len = input(50, title="BL length", minval=1) BL = Ind(BL_type,BL_src, BL_len) // Confirmation indicator C1_Act = input(false, title="===== Activate Confirmation indicator =====") C1_type = input(title="C1 Entry indicator", defval="SMA", options=["McGinley","HMA","EHMA","THMA","SMA","EMA","DEMA","TEMA","WMA","VWMA","SMMA","RMA","LSMA","ALMA","Kijun","WWSA"]) C1_src = input(close, title="Source") C1_len = input(5,title="Length", minval=1) C1 = Ind(C1_type,C1_src,C1_len) // Entry indicator : Hull Moving Average Spacer5 = input(true, title="====== ENTRY indicator =======") EI_type = input(title="EI Entry indicator", defval="HMA", options=["McGinley","HMA","EHMA","THMA","SMA","EMA","DEMA","TEMA","WMA","VWMA","SMMA","RMA","LSMA","ALMA","Kijun","WWSA"]) EI_src = input(close, title="Source") EI_Len = input(46,title="Length", minval=1) EI = Ind(EI_type,EI_src,EI_Len) // Trail stop settings TrailActivation = input(true, title="===== Activate Trailing Stop =====") TS_type = input(title="TS Traling Stop Type", defval="EMA", options=["McGinley","HMA","EHMA","THMA","SMA","EMA","DEMA","TEMA","WMA","VWMA","SMMA","RMA","LSMA","ALMA","Kijun","WWSA"]) TrailSLScaling = 1 //input(100, title="SL Scaling", minval=0, step=5)/100 TrailingSourceLong = Ind(TS_type,low,input(5,"Smoothing Trail Long EMA", minval=1)) TrailingSourceShort = Ind(TS_type,high,input(2,"Smoothing Trail Short EMA", minval=1)) //VARIABLES MANAGEMENT TriggerPrice = 0.0, TriggerPrice := TriggerPrice[1] TriggerSL = 0.0, TriggerSL := TriggerSL[1] SLPrice = 0.0, SLPrice := SLPrice[1], TPPrice = 0.0, TPPrice := TPPrice[1] isLong = false, isLong := isLong[1], isShort = false, isShort := isShort[1] //LOGIC GoLong = crossover(EI,EI[1]) and (strategy.position_size == 0.0 and QuickSwitch) and (not BL_Act or BL/BL[1] > 1) and (not C1_Act or C1>C1[1]) and (Mode == "LongShort" or Mode == "OnlyLong") GoShort = crossunder(EI,EI[1]) and (strategy.position_size == 0.0 and QuickSwitch) and (not BL_Act or BL/BL[1] < 1) and (not C1_Act or C1<C1[1]) and (Mode == "LongShort" or Mode == "OnlyShort") ExitLong = isLong and crossunder(EI,EI[1]) and UseTC ExitShort = isShort and crossover(EI,EI[1]) and UseTC //FRAMEWORK //Reset Long-Short memory if isLong and strategy.position_size == 0.0 isLong := false if isShort and strategy.position_size == 0.0 isShort := false //Long if GoLong isLong := true, TriggerPrice := close, TriggerSL := SL TPPrice := UseTP? TriggerPrice * (1 + (TriggerSL * RRR)) : na SLPrice := TriggerPrice * (1-TriggerSL) Entry_Contracts = strategy.equity * Risk / ((TriggerPrice-SLPrice)/TriggerPrice) / TriggerPrice strategy.entry("Long", strategy.long, comment=str.tostring(math.round((TriggerSL/TriggerPrice)*1000)), qty=Entry_Contracts) strategy.exit("TPSL","Long", limit=TPPrice, stop=SLPrice) if isLong NewValSL = TrailingSourceLong * (1 - (SL*TrailSLScaling)) if TrailActivation and NewValSL > SLPrice SLPrice := NewValSL strategy.exit("TPSL","Long", limit=TPPrice, stop=SLPrice) if ExitLong strategy.close_all(comment="TrendChange") isLong := false //Short if GoShort isShort := true, TriggerPrice := close, TriggerSL := SL TPPrice := UseTP? TriggerPrice * (1 - (TriggerSL * RRR)) : na SLPrice := TriggerPrice * (1 + TriggerSL) Entry_Contracts = strategy.equity * Risk / ((SLPrice-TriggerPrice)/TriggerPrice) / TriggerPrice strategy.entry("Short", strategy.short, comment=str.tostring(math.round((TriggerSL/TriggerPrice)*1000)), qty=Entry_Contracts) strategy.exit("TPSL","Short", limit=TPPrice, stop=SLPrice) if isShort NewValSL = TrailingSourceShort * (1 + (SL*TrailSLScaling)) if TrailActivation and NewValSL < SLPrice SLPrice := NewValSL strategy.exit("TPSL","Short", limit=TPPrice, stop=SLPrice) if ExitShort strategy.close_all(comment="TrendChange") isShort := false //VISUALISATION plot(BL_Act?BL:na, color=color.blue,title="Baseline") plot(C1_Act?C1:na, color=color.yellow,title="confirmation Indicator") EIColor = EI>EI[1] ? color.green : color.red Fill_EI = plot(EI, color=EIColor, linewidth=1, transp=40, title="Entry Indicator EI") Fill_EID = plot(EI[1], color=EIColor, linewidth=1, transp=40, title="Entry Indicator EID") plot(strategy.position_size != 0.0 and (isLong or isShort) ? TriggerPrice : na, title="TriggerPrice", color=color.yellow, style=plot.style_linebr) plot(strategy.position_size != 0.0 and (isLong or isShort) ? TPPrice : na, title="TakeProfit", color=color.green, style=plot.style_linebr) plot(strategy.position_size != 0.0 and (isLong or isShort) ? SLPrice : na, title="StopLoss", color=color.red, style=plot.style_linebr)