Esta estrategia se llama
El cálculo de la Supertrend es: usando ATR multiplicado por un coeficiente para construir canales de precios. La banda superior es el stop loss largo y la banda inferior es el stop loss corto. El precio que rompe el canal genera señales comerciales.
La innovación es la configuración independiente de parámetros para largo y corto:
Los parámetros de supertrend como el período ATR y el coeficiente se pueden establecer por separado.
El período máximo de retención también puede configurarse de forma independiente para ajustar los objetivos de ganancia.
Los métodos de stop loss (porcentaje fijo o ATR trailing) también se pueden establecer de manera diferente.
Esto permite que las operaciones solo largas, sólo cortas o bidireccionales se adapten mejor a las condiciones específicas del mercado.
Las ventajas son el mecanismo de Supertrend intuitivo y abundantes combinaciones configurables. Pero Supertrend solo es propenso a violaciones y necesita confirmación.
En resumen, la estrategia dual Supertrend configurable mejora la precisión de las operaciones de tendencia, manteniendo al mismo tiempo la idea central simple para su aplicación práctica.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-12 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["v_input_8",true],["v_input_11",true]]
*/
//@version=4
strategy("Super Trend Daily 2.0 BF 🚀", overlay=true, precision=2, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.075)
/////////////// Time Frame ///////////////
_0 = input(false, "════════ Test Period ═══════")
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay, 0, 0)
testStopYear = input(2019, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay, 0, 0)
testPeriod() => true
///////////// Super Trend Long /////////////
_1 = input(false, "═════ Super Trend L ═════")
lengthl = input(title="ATR Period", type=input.integer, defval=2)
multl = input(title="ATR Multiplier", type=input.float, step=0.1, defval=1.5)
atrl = multl * atr(lengthl)
longStopl = hl2 - atrl
longStopPrevl = nz(longStopl[1], longStopl)
longStopl := close[1] > longStopPrevl ? max(longStopl, longStopPrevl) : longStopl
shortStopl = hl2 + atrl
shortStopPrevl = nz(shortStopl[1], shortStopl)
shortStopl := close[1] < shortStopPrevl ? min(shortStopl, shortStopPrevl) : shortStopl
dirl = 1
dirl := nz(dirl[1], dirl)
dirl := dirl == -1 and close > shortStopPrevl ? 1 : dirl == 1 and close < longStopPrevl ? -1 : dirl
///////////// Super Trend Short /////////////
_2 = input(false, "═════ Super Trend S ═════")
lengths = input(title="ATR Period", type=input.integer, defval=3)
mults = input(title="ATR Multiplier", type=input.float, step=0.1, defval=1.3)
atrs = mults * atr(lengths)
longStops = hl2 - atrs
longStopPrevs = nz(longStops[1], longStops)
longStops := close[1] > longStopPrevs ? max(longStops, longStopPrevs) : longStops
shortStops = hl2 + atrs
shortStopPrevs = nz(shortStops[1], shortStops)
shortStops := close[1] < shortStopPrevs ? min(shortStops, shortStopPrevs) : shortStops
dirs = 1
dirs := nz(dirs[1], dirs)
dirs := dirs == -1 and close > shortStopPrevs ? 1 : dirs == 1 and close < longStopPrevs ? -1 : dirs
///////////// Rate Of Change Long /////////////
_3 = input(false, "═════ Rate of Change L ═════")
sourcel = close
roclengthl = input(30, "ROC Length", minval=1)
pcntChangel = input(6, "ROC % Change", minval=1)
rocl = 100 * (sourcel - sourcel[roclengthl]) / sourcel[roclengthl]
emarocl = ema(rocl, roclengthl / 2)
isMovingl() => emarocl > (pcntChangel / 2) or emarocl < (0 - (pcntChangel / 2))
///////////// Rate Of Change Short /////////////
_4 = input(false, "═════ Rate of Change S ═════")
sources = close
roclengths = input(76, "ROC Length", minval=1)
pcntChanges = input(6, "ROC % Change", minval=1)
rocs = 100 * (sources - sources[roclengths]) / sources[roclengths]
emarocs = ema(rocs, roclengths / 2)
isMovings() => emarocs > (pcntChanges / 2) or emarocs < (0 - (pcntChanges / 2))
/////////////// Strategy ///////////////
long = dirl == 1 and dirl[1] == -1 and isMovingl()
short = dirs == -1 and dirs[1] == 1 and isMovings()
last_long = 0.0
last_short = 0.0
last_long := long ? time : nz(last_long[1])
last_short := short ? time : nz(last_short[1])
long_signal = crossover(last_long, last_short)
short_signal = crossover(last_short, last_long)
last_open_long_signal = 0.0
last_open_short_signal = 0.0
last_open_long_signal := long_signal ? open : nz(last_open_long_signal[1])
last_open_short_signal := short_signal ? open : nz(last_open_short_signal[1])
last_long_signal = 0.0
last_short_signal = 0.0
last_long_signal := long_signal ? time : nz(last_long_signal[1])
last_short_signal := short_signal ? time : nz(last_short_signal[1])
in_long_signal = last_long_signal > last_short_signal
in_short_signal = last_short_signal > last_long_signal
last_high = 0.0
last_low = 0.0
last_high := not in_long_signal ? na : in_long_signal and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low := not in_short_signal ? na : in_short_signal and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
since_longEntry = barssince(last_open_long_signal != last_open_long_signal[1])
since_shortEntry = barssince(last_open_short_signal != last_open_short_signal[1])
/////////////// Stop Losses Long ///////////////
_5 = input(false, "═══════ Stop Loss L ══════")
SL_typel = input("Fixed", options=["Fixed", "ATR Derived"], title="Stop Loss Type")
sl_inpl = input(6.0, title='Fixed Stop Loss %') / 100
atrLkbl = input(20, minval=1, title='ATR Stop Period')
atrMultl = input(1.5, step=0.25, title='ATR Stop Multiplier')
atr1l = atr(atrLkbl)
longStop1l = 0.0
longStop1l := short_signal ? na : long_signal ? close - (atr1l * atrMultl) : longStop1l[1]
slLongl = in_long_signal ? strategy.position_avg_price * (1 - sl_inpl) : na
long_sll = in_long_signal ? slLongl : na
/////////////// Stop Losses Short ///////////////
_6 = input(false, "═══════ Stop Loss S ══════")
SL_types = input("Fixed", options=["Fixed", "ATR Derived"], title="Stop Loss Type")
sl_inps = input(6.0, title='Fixed Stop Loss %') / 100
atrLkbs = input(20, minval=1, title='ATR Stop Period')
atrMults = input(1.5, step=0.25, title='ATR Stop Multiplier')
atr1s = atr(atrLkbs)
shortStop1s = 0.0
shortStop1s := long_signal ? na : short_signal ? close + (atr1s * atrMults) : shortStop1s[1]
slShorts = strategy.position_avg_price * (1 + sl_inps)
short_sls = in_short_signal ? slShorts : na
_7 = input(false, "══════ Longs or Shorts ═════")
useLongs = input(true, title="Use Longs")
useShorts = input(true, title="Use Shorts")
/////////////// Execution ///////////////
if testPeriod()
if useLongs
strategy.entry("L", strategy.long, when=long)
strategy.exit("L SL", "L", stop = SL_typel == "Fixed" ? long_sll : longStop1l, when=since_longEntry > 0)
if useShorts
strategy.exit("S SL", "S", stop = SL_types == "Fixed" ? short_sls : shortStop1s, when=since_shortEntry > 0)
strategy.entry("S", strategy.short, when=short)
if not useShorts
strategy.close("L", when=short)
if not useLongs
strategy.close("S", when=long)
/////////////// Plotting ///////////////
bgcolor(long_signal ? color.lime : short_signal ? color.red : na, transp=30)
bgcolor(not isMovings() ? color.white : not isMovingl() ? color.aqua : na)
plot(strategy.position_size <= 0 ? na : SL_typel == "Fixed" ? long_sll : longStop1l, title="Long Stop Loss", color=color.yellow, style=plot.style_circles, linewidth=2)
plot(strategy.position_size >= 0 ? na : SL_types == "Fixed" ? short_sls : shortStop1s, title="Short Stop Loss", color=color.orange, style=plot.style_circles, linewidth=2)