Este artículo explica en detalle una estrategia de negociación cuantitativa utilizando el indicador Supertrend en múltiples marcos de tiempo. Combina señales de Supertrend en diferentes períodos para mejorar la confiabilidad de las señales comerciales.
I. Lógica de la estrategia
Los componentes clave de la estrategia incluyen:
Cálculo de Supertrend en el período actual para determinar la dirección de la tendencia del precio.
Calcular Supertrend en un período de tiempo más largo (como diario) para medir la tendencia principal.
Formación de señales comerciales basadas en la consistencia entre las direcciones de Supertrend en los dos marcos de tiempo.
Establecer el stop loss apropiado y tomar ganancias basado en las señales.
Escalar con porciones fijas para asegurar las ganancias.
Cuando Supertrend acuerda marcos de tiempo altos y bajos, se identifica una tendencia principal y se generan señales de compra / venta basadas en la relación del indicador.
II. Ventajas de la Estrategia
La mayor ventaja radica en el uso de múltiples marcos de tiempo para filtrar señales falsas y mejorar la confiabilidad.
Además, los ajustes razonables de stop loss y take profit garantizan un riesgo controlado por operación, evitando pérdidas excesivas.
Por último, la ampliación de las partes de los beneficios es también una característica que define la estrategia.
III. Posibles debilidades
No obstante, también deben tenerse en cuenta los siguientes riesgos:
En primer lugar, la propia Supertrend tiene problemas de retraso que pueden causar puntos de entrada óptimos perdidos.
En segundo lugar, el riesgo de que el stop loss se establezca de manera demasiado agresiva es que se detenga prematuramente.
Por último, la ampliación puede introducir costes adicionales de deslizamiento.
IV. Resumen
En resumen, este artículo ha explicado una estrategia cuantitativa utilizando Supertrend en múltiples marcos de tiempo. Mejora la calidad de la señal a través de la combinación de análisis de período alto y bajo, y gestiona los riesgos a través de stop loss, take profit y escalado. En general, con el ajuste adecuado, esta estrategia ofrece un enfoque razonable utilizando el indicador.
/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 10m
basePeriod: 1m
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/
// © ranga_trading
//@version=5
// strategy(title='SuperTrend Multi Time Frame Long and Short Trading Strategy with Take Profit, Stop Loss and in build alerts V01', shorttitle='SuperTrend Multi Time Frame Long and Short Trading Strategy with Take Profit, Stop Loss and in build alerts V01 ', overlay=true, default_qty_value=60, initial_capital=2000, default_qty_type=strategy.percent_of_equity, pyramiding=0, process_orders_on_close=true)
tf1 = input.timeframe('D', title='Timeframe 1')
tf2 = input.timeframe('W', title='Timeframe 2')
length = input(title='ATR Period', defval=22)
mult = input.float(title='ATR Multiplier', step=0.1, defval=3.0)
showLabels = input(title='Show Buy/Sell Labels ?', defval=true)
useClose = input(title='Use Close Price for Extremums ?', defval=true)
highlightState = input(title='Highlight State ?', defval=true)
atr = mult * ta.atr(length)
longStop = (useClose ? ta.highest(close, length) : ta.highest(length)) - atr
longStopPrev = nz(longStop[1], longStop)
longStop := close[1] > longStopPrev ? math.max(longStop, longStopPrev) : longStop
shortStop = (useClose ? ta.lowest(close, length) : ta.lowest(length)) + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := close[1] < shortStopPrev ? math.min(shortStop, shortStopPrev) : shortStop
var int dir = 1
dir := close > shortStopPrev ? 1 : close < longStopPrev ? -1 : dir
var color longColor = color.green
var color shortColor = color.red
longStopPlot = plot(dir == 1 ? longStop : na, title='Long Stop', style=plot.style_linebr, linewidth=2, color=color.new(longColor, 0))
buySignal = dir == 1 and dir[1] == -1
plotshape(buySignal ? longStop : na, title='Long Stop Start', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(longColor, 0))
shortStopPlot = plot(dir == 1 ? na : shortStop, title='Short Stop', style=plot.style_linebr, linewidth=2, color=color.new(shortColor, 0))
sellSignal = dir == -1 and dir[1] == 1
plotshape(sellSignal ? shortStop : na, title='Short Stop Start', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(shortColor, 0))
midPricePlot = plot(ohlc4, title='', style=plot.style_circles, linewidth=0, display=display.none, editable=false)
longFillColor = highlightState ? dir == 1 ? longColor : na : na
shortFillColor = highlightState ? dir == -1 ? shortColor : na : na
fill(midPricePlot, longStopPlot, title='Long State Filling', color=longFillColor, transp=90)
fill(midPricePlot, shortStopPlot, title='Short State Filling', color=shortFillColor, transp=90)
// CE Function
ce() =>
atr2 = mult * ta.atr(length)
longStop2 = (useClose ? ta.highest(close, length) : ta.highest(length)) - atr2
longStop2Prev = nz(longStop2[1], longStop2)
longStop2 := close[1] > longStop2Prev ? math.max(longStop2, longStop2Prev) : longStop2
shortStop2 = (useClose ? ta.lowest(close, length) : ta.lowest(length)) + atr2
shortStop2Prev = nz(shortStop2[1], shortStop2)
shortStop2 := close[1] < shortStop2Prev ? math.min(shortStop2, shortStop2Prev) : shortStop2
var int dir2 = 1
dir2 := close > shortStop2Prev ? 1 : close < longStop2Prev ? -1 : dir2
ce = dir2 == 1 ? longStop2 : shortStop2
[dir2, ce]
[side, ce_plot] = ce()
ce1_plot = request.security(syminfo.tickerid, tf1, ce_plot[1], barmerge.gaps_off, barmerge.lookahead_on)
ce2_plot = request.security(syminfo.tickerid, tf2, ce_plot[1], barmerge.gaps_off, barmerge.lookahead_on)
ce1 = request.security(syminfo.tickerid, tf1, side[1], barmerge.gaps_off, barmerge.lookahead_on)
ce2 = request.security(syminfo.tickerid, tf2, side[1], barmerge.gaps_off, barmerge.lookahead_on)
long = buySignal and ce1 > 0 and ce2 > 0
short = sellSignal and ce1 < 0 and ce2 < 0
tradeType = input.string('BOTH', title='What trades should be taken : ', options=['LONG', 'SHORT', 'BOTH'])
// Position Management Tools
pos = 0.0
if tradeType == 'BOTH'
pos := long ? 1 : short ? -1 : pos[1]
pos
if tradeType == 'LONG'
pos := long ? 1 : pos[1]
pos
if tradeType == 'SHORT'
pos := short ? -1 : pos[1]
pos
longCond = long and (pos[1] != 1 or na(pos[1]))
shortCond = short and (pos[1] != -1 or na(pos[1]))
plot(ce1_plot, title='Timeframe 1 CE', color=ce1 > 0 ? #008000 : #800000, linewidth=2)
plot(ce2_plot, title='Timeframe 2 CE', color=ce2 > 0 ? color.green : color.red, linewidth=2)
// EXIT FUNCTIONS //
i_sl = input.float(5.0, title='Stop Loss %', minval=0, group='Trades')
sl = i_sl > 0 ? i_sl / 100 : 99999
long_entry = ta.valuewhen(longCond, close, 0)
short_entry = ta.valuewhen(shortCond, close, 0)
// Simple Stop Loss + 2 Take Profits
sl_long = strategy.position_avg_price * (1 - sl)
sl_short = strategy.position_avg_price * (1 + sl)
// Position Adjustment
long_sl = low < sl_long and pos[1] == 1
short_sl = high > sl_short and pos[1] == -1
if long_sl or short_sl
pos := 0
pos
long_exit = sellSignal and pos[1] == 1
short_exit = buySignal and pos[1] == -1
if long_exit or short_exit
pos := 0
pos
tp1percent = input.int(5, title='TP1 %', group='Trades') / 100.0
tp2percent = input.int(10, title='TP2 %', group='Trades') / 100.0
tp3percent = input.int(15, title='TP3 %', group='Trades') / 100.0
tp1amt = input.int(10, title='TP1 Amount %', group='Trades')
tp2amt = input.int(15, title='TP2 Amount %', group='Trades')
tp3amt = input.int(20, title='TP3 Amount %', group='Trades')
// Strategy Backtest Limiting Algorithm
i_startTime = input(defval=timestamp('01 Jun 2021 13:30 +0000'), title='Backtesting Start Time')
i_endTime = input(defval=timestamp('30 Sep 2099 19:30 +0000'), title='Backtesting End Time')
timeCond = true
KeepLastPosition = input(false)
// Make sure we are within the bar range, Set up entries and exit conditions
strategy.entry('long', strategy.long, when=longCond == true and tradeType != 'SHORT' and timeCond)
strategy.entry('short', strategy.short, when=shortCond == true and tradeType != 'LONG' and timeCond)
var float Qty1 = na
var float Qty2 = na
var float Qty3 = na
var float Qty4 = na
if strategy.position_size == 0
equity_q = (50000 + strategy.netprofit) / close
Qty1 := equity_q * tp1amt / 100.0
Qty2 := equity_q * tp2amt / 100.0
Qty3 := equity_q * tp3amt / 100.0
Qty4 := equity_q - Qty1 - Qty2 - Qty3
Qty4
strategy.exit('Exit1', qty=Qty1, stop=sl_long, limit=strategy.position_avg_price * (1 + tp1percent), when=strategy.position_size > 0)
strategy.exit('Exit2', qty=Qty2, stop=sl_long, limit=strategy.position_avg_price * (1 + tp2percent), when=strategy.position_size > 0)
strategy.exit('Exit3', qty=Qty3, stop=sl_long, limit=strategy.position_avg_price * (1 + tp3percent), when=strategy.position_size > 0)
strategy.exit('Exit4', qty=Qty4, stop=sl_long, when=strategy.position_size > 0 and KeepLastPosition == false)
strategy.close('long', when=long_exit, comment='CE Exit')
strategy.exit('Exit1', qty=Qty1, stop=sl_short, limit=strategy.position_avg_price * (1 - tp1percent), when=strategy.position_size < 0)
strategy.exit('Exit2', qty=Qty2, stop=sl_short, limit=strategy.position_avg_price * (1 - tp2percent), when=strategy.position_size < 0)
strategy.exit('Exit3', qty=Qty3, stop=sl_short, limit=strategy.position_avg_price * (1 - tp3percent), when=strategy.position_size < 0)
strategy.exit('Exit4', qty=Qty4, stop=sl_short, when=strategy.position_size < 0 and KeepLastPosition == false)
strategy.close('short', when=short_exit, comment='CE Exit')
plot(strategy.position_size > 0 ? strategy.position_avg_price * (1 + tp1percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size > 0 ? strategy.position_avg_price * (1 + tp2percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size > 0 ? strategy.position_avg_price * (1 + tp3percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size > 0 ? sl_long : na, color=color.new(color.red, 0), style=plot.style_linebr)
plot(strategy.position_size > 0 ? strategy.position_avg_price : na, color=color.new(color.gray, 0), style=plot.style_linebr)
plot(strategy.position_size < 0 ? strategy.position_avg_price * (1 - tp1percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size < 0 ? strategy.position_avg_price * (1 - tp2percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size < 0 ? strategy.position_avg_price * (1 - tp3percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size < 0 ? sl_short : na, color=color.new(color.red, 0), style=plot.style_linebr)
plot(strategy.position_size < 0 ? strategy.position_avg_price : na, color=color.new(color.gray, 0), style=plot.style_linebr)