Este artículo explica en detalle una estrategia de trading de tendencia basada en la entrada de ruptura y la salida de stop loss.
I. Lógica de la estrategia
La lógica principal del comercio es:
Utilice los puntos de pivote para calcular los máximos y mínimos del swing.
Tomar posiciones largas cuando el precio se rompe por encima de los máximos oscilantes.
El mínimo de swing más reciente se utiliza como el stop loss agresivo.
Cuando aparezca una baja de oscilación más alta, los niveles de pérdida de parada del rastro aumentan.
Esto permite a la estrategia capturar fuertes movimientos de tendencia después de que la resistencia alcista se rompa.
II. Ventajas de la Estrategia
Las principales ventajas son:
La entrada de ruptura captura con precisión los puntos de partida de la tendencia.
La detención de trail maximiza la captura de ganancias y reduce las reducciones.
Los niveles de stop loss tienen un amortiguador para evitar la invalidación.
Se pueden añadir filtros de medias móviles para evitar operaciones contra tendencia.
III. Riesgos potenciales
Sin embargo, también existen algunos riesgos potenciales:
Las señales de fuga pueden retrasarse, causando oportunidades perdidas tempranas.
Las paradas agresivas corren el riesgo de una salida prematura en los retracements normales.
La presión de retirada debe ser soportada.
IV. Resumen
En resumen, este artículo ha explicado una estrategia de seguimiento de tendencias basada en las rupturas de precios y el seguimiento de la parada de pérdida.
/*backtest
start: 2022-09-13 00:00:00
end: 2023-02-03 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// Revision: 1
// Author: @millerrh
// Strategy: Enter long when recent swing high breaks out, using recent swing low as stop level. Move stops up as higher lows print to act
// as trailing stops. Ride trend as long as it is there and the higher lows aren't breached.
// Conditions/Variables
// 1. Can place a user-defined percentage below swing low and swing high to use as a buffer for your stop to help avoid stop hunts
// 2. Can add a filter to only take setups that are above a user-defined moving average (helps avoid trading counter trend)
// 3. Manually configure which dates to back test
// 4. Color background of backtested dates - allows for easier measuring buy & hold return of time periods that don't go up to current date
// === CALL STRATEGY/STUDY, PROGRAMATICALLY ENTER STRATEGY PARAMETERS HERE SO YOU DON'T HAVE TO CHANGE THEM EVERY TIME YOU RUN A TEST ===
// (STRATEGY ONLY) - Comment out srategy() when in a study()
strategy("Breakout Trend Follower", overlay=true, initial_capital=10000, currency='USD',
default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.1)
// (STUDY ONLY) - Comment out study() when in a strategy()
//study("Breakout Trend Follower", overlay=true)
// === BACKTEST RANGE ===
From_Year = input(defval = 2019, title = "From Year")
From_Month = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
From_Day = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
To_Year = input(defval = 9999, title = "To Year")
To_Month = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
To_Day = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
Start = timestamp(From_Year, From_Month, From_Day, 00, 00) // backtest start window
Finish = timestamp(To_Year, To_Month, To_Day, 23, 59) // backtest finish window
// A switch to control background coloring of the test period - Use for easy visualization of backtest range and manual calculation of
// buy and hold (via measurement) if doing prior periods since value in Strategy Tester extends to current date by default
testPeriodBackground = input(title="Color Background - Test Period?", type=input.bool, defval=false)
testPeriodBackgroundColor = testPeriodBackground and (time >= Start) and (time <= Finish) ? #00FF00 : na
bgcolor(testPeriodBackgroundColor, transp=95)
// == FILTERING ==
// Inputs
useMaFilter = input(title = "Use MA for Filtering?", type = input.bool, defval = true)
maType = input(defval="SMA", options=["EMA", "SMA"], title = "MA Type For Filtering")
maLength = input(defval = 50, title = "MA Period for Filtering", minval = 1)
// Declare function to be able to swap out EMA/SMA
ma(maType, src, length) =>
maType == "EMA" ? ema(src, length) : sma(src, length) //Ternary Operator (if maType equals EMA, then do ema calc, else do sma calc)
maFilter = ma(maType, close, maLength)
plot(maFilter, title = "Trend Filter MA", color = color.green, linewidth = 3, style = plot.style_line, transp = 50)
// Check to see if the useMaFilter check box is checked, this then inputs this conditional "maFilterCheck" variable into the strategy entry
maFilterCheck = if useMaFilter == true
maFilter
else
0
// === PLOT SWING HIGH/LOW AND MOST RECENT LOW TO USE AS STOP LOSS EXIT POINT ===
// Inputs
//pvtLenL = input(3, minval=1, title="Pivot Length Left Hand Side") //use if you want to change this to an input
//pvtLenR = input(3, minval=1, title="Pivot Length Right Hand Side") //use if you want to change this to an input
pvtLenL = 3
pvtLenR = 3
// Get High and Low Pivot Points
pvthi_ = pivothigh(high, pvtLenL, pvtLenR)
pvtlo_ = pivotlow(low, pvtLenL, pvtLenR)
// Force Pivot completion before plotting.
Shunt = 1 //Wait for close before printing pivot? 1 for true 0 for flase
maxLvlLen = 0 //Maximum Extension Length
pvthi = pvthi_[Shunt]
pvtlo = pvtlo_[Shunt]
// Count How many candles for current Pivot Level, If new reset.
counthi = barssince(not na(pvthi))
countlo = barssince(not na(pvtlo))
pvthis = fixnan(pvthi)
pvtlos = fixnan(pvtlo)
hipc = change(pvthis) != 0 ? na : color.maroon
lopc = change(pvtlos) != 0 ? na : color.green
// Display Pivot lines
plot((maxLvlLen == 0 or counthi < maxLvlLen) ? pvthis : na, color=hipc, transp=0, linewidth=1, offset=-pvtLenR-Shunt, title="Top Levels")
plot((maxLvlLen == 0 or countlo < maxLvlLen) ? pvtlos : na, color=lopc, transp=0, linewidth=1, offset=-pvtLenR-Shunt, title="Bottom Levels")
plot((maxLvlLen == 0 or counthi < maxLvlLen) ? pvthis : na, color=hipc, transp=0, linewidth=1, offset=0, title="Top Levels 2")
plot((maxLvlLen == 0 or countlo < maxLvlLen) ? pvtlos : na, color=lopc, transp=0, linewidth=1, offset=0, title="Bottom Levels 2")
// Stop Levels
stopBuff = input(0.0, minval=-2, title="Stop Loss Buffer off Swing Low (%)")
stopPerc = stopBuff*.01 // Turn stop buffer input into a percentage
stopLevel = valuewhen(pvtlo_, low[pvtLenR], 0) //Stop Level at Swing Low
stopLevel2 = stopLevel - stopLevel*stopPerc // Stop Level with user-defined buffer to avoid stop hunts and give breathing room
plot(stopLevel2, style=plot.style_line, color=color.orange, show_last=1, linewidth=1, transp=50, trackprice=true)
buyLevel = valuewhen(pvthi_, high[pvtLenR], 0) //Buy level at Swing High
buyLevel2 = buyLevel + buyLevel*stopPerc // Buy-stop level with user-defined buffer to avoid stop hunts and give breathing room
plot(buyLevel2, style=plot.style_line, color=color.blue, show_last=1, linewidth=1, transp=50, trackprice=true)
// Conditions for entry and exit
buySignal = high > buyLevel2
buy = buySignal and time > Start and time < Finish and buyLevel2 > maFilterCheck // All these conditions need to be met to buy
sellSignal = low < stopLevel2 // Code to act like a stop-loss for the Study
// (STRATEGY ONLY) Comment out for Study
strategy.entry("Long", strategy.long, stop = buyLevel2, when = buyLevel2 > maFilterCheck)
strategy.exit("Exit Long", from_entry = "Long", stop=stopLevel2)
// == (STUDY ONLY) Comment out for Strategy ==
// Check if in position or not
inPosition = bool(na)
inPosition := buy[1] ? true : sellSignal[1] ? false : inPosition[1]
flat = bool(na)
flat := not inPosition
buyStudy = buy and flat
sellStudy = sellSignal and inPosition
//Plot indicators on chart and set up alerts for Study
plotshape(buyStudy, style = shape.triangleup, location = location.belowbar, color = #1E90FF, text = "Buy")
plotshape(sellStudy, style = shape.triangledown, location = location.abovebar, color = #EE82EE, text = "Sell")
alertcondition(buyStudy, title='Trend Change Follower Buy', message='Trend Change Follower Buy')
// Color background when trade active (for easier visual on what charts are OK to enter on)
tradeBackground = input(title="Color Background for Trades?", type=input.bool, defval=true)
tradeBackgroundColor = tradeBackground and inPosition ? #00FF00 : na
bgcolor(tradeBackgroundColor, transp=95)
noTradeBackgroundColor = tradeBackground and flat ? #FF0000 : na
bgcolor(noTradeBackgroundColor, transp=90)