Estrategia de trading automática basada en selección de múltiples indicadores y stop loss dinámico


Fecha de creación: 2023-09-26 14:38:40 Última modificación: 2023-09-26 14:38:40
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Descripción general

La estrategia utiliza una combinación de varios indicadores, como la línea rápida, la línea media, la línea lenta y la MACD, para juzgar de manera integral las señales de negociación, y utiliza un mecanismo de stop loss dinámico basado en ATR para controlar el nivel de riesgo. La estrategia es adecuada para la automatización de operaciones en la línea media y corta.

Principio de estrategia

La estrategia utiliza principalmente la línea media de la EMA, el indicador MACD y el indicador ATR. La línea media de la EMA, la línea rápida, la línea media y la línea lenta constituyen el sistema de determinación de la tendencia. El indicador MACD ayuda a generar señales de transacción, y el indicador ATR se utiliza para establecer la línea de parada.

Análisis de las ventajas

  • La combinación de múltiples indicadores de juicio, las señales de negociación son precisas y confiables.
  • El sistema de línea rápida, media y lenta determina claramente la dirección de la tendencia.
  • Los indicadores MACD ayudan a la entrada para evitar falsas rupturas.
  • El deterioro dinámico es un mejor control del riesgo.
  • Las estrategias son más mecánicas y adecuadas para la automatización de las transacciones.

Riesgo y optimización

  • La configuración de los parámetros es compleja y requiere una gran cantidad de optimización de pruebas.
  • La combinación de múltiples indicadores determina que la lógica es más compleja y difícil de manejar manualmente.
  • Se deben agregar otras condiciones de filtración, como la energía de volumen de transacción, para evitar que se bloquee.
  • Se puede considerar la mejora de la estrategia de comercio de aprendizaje automático, utilizando parámetros de optimización de algoritmos.

Resumir

La estrategia reúne varias ventajas de indicadores en una sola, lo que permite determinar con mayor precisión las tendencias y controlar los retrocesos. A través de la optimización de los parámetros y la adición de otras condiciones de filtración, se puede aumentar aún más la estabilidad de la estrategia. En general, la estrategia es típica y confiable, adecuada para la automatización de operaciones de línea corta y media, y tiene un gran valor práctico.

Código Fuente de la Estrategia 
/*backtest
start: 2023-09-18 00:00:00
end: 2023-09-18 21:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("STRAT_STEMWAP", overlay=true, pyramiding = 0, default_qty_value = 10, slippage = 3)

EMA_Smooth_Period = input(7, minval=1)
ST_EMA = ema(close, EMA_Smooth_Period)

ST_VWAP_Period = input(7, minval=1)
VWAP_TUNING_MULT = input(type=input.float, defval=0.000)
ST_VWAP = ema(vwap,ST_VWAP_Period)


ST_VWAP_TUNING = VWAP_TUNING_MULT * (ST_EMA - ST_VWAP)


length = input(title="ATR Period", type=input.integer, defval=13)
mult = input(title="ATR Multiplier", type=input.float, step=0.1, defval=2.0)
showLabels = input(title="Show Buy/Sell Labels ?", type=input.bool, defval=true)
highlightState = input(title="Highlight State ?", type=input.bool, defval=true)

atr = mult * atr(length)


StopLoss_Long_Adjust = input(22.00, type=input.float)
StopLoss_Short_Adjust = input(16.00, type=input.float)


longStop = (ST_EMA) - atr - (ST_VWAP_TUNING) - StopLoss_Long_Adjust
longStopPrev = nz(longStop[1], longStop)
longStop := (close[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop

shortStop = (ST_EMA) + atr - (ST_VWAP_TUNING) + StopLoss_Short_Adjust
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (close[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop

dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (close) > shortStopPrev ? 1 : dir == 1 and (close) < longStopPrev ? -1 : dir


fastLength = input(1, minval=1), medLength=input(4, minval=1), slowLength=input(24, minval=1), signalLength=input(8,minval=1)
fastMA = ema(close, fastLength)
//,fastMA1 = ema(close[1], fastLength), fastMA2 = ema(close[2], fastLength),fastMA3 = ema(close[3], fastLength),fastMA4 = ema(close[4], fastLength),fastMA5 = ema(close[5], fastLength), fastMA6 = ema(close[6], fastLength), fastMA7 = ema(close[7], fastLength),fastMA8 = ema(close[8], fastLength),fastMA9 = ema(close[9], fastLength),fastMA10 = ema(close[10], fastLength),fastMA11 = ema(close[11], fastLength),fastMA12 = ema(close[12], fastLength),fastMA13 = ema(close[13], fastLength)
medMA = ema(close, medLength)
//, medMA1 = ema(close[1], medLength), medMA2 = ema(close[2], medLength), medMA3 = ema(close[3], medLength), medMA4 = ema(close[4], medLength), medMA5 = ema(close[5], medLength), medMA6 = ema(close[6], medLength), medMA7 = ema(close[7], medLength), medMA8 = ema(close[8], medLength), medMA9 = ema(close[9], medLength), medMA10 = ema(close[10], medLength), medMA11 = ema(close[11], medLength), medMA12 = ema(close[12], medLength), medMA13 = ema(close[13], medLength)
slowMA = ema(close, slowLength)
//, slowMA1 = ema(close[1], slowLength), slowMA2 = ema(close[2], slowLength), slowMA3 = ema(close[3], slowLength), slowMA4 = ema(close[4], slowLength), slowMA5 = ema(close[5], slowLength), slowMA6 = ema(close[6], slowLength), slowMA7 = ema(close[7], slowLength), slowMA8 = ema(close[8], slowLength), slowMA9 = ema(close[9], slowLength), slowMA10 = ema(close[10], slowLength), slowMA11 = ema(close[11], slowLength), slowMA12 = ema(close[12], slowLength), slowMA13 = ema(close[13], slowLength)
macd = fastMA - slowMA
//, macd1 = fastMA1 - slowMA1, macd2 = fastMA2 - slowMA2, macd3 = fastMA3 - slowMA3, macd4 = fastMA4 - slowMA4, macd5 = fastMA5 - slowMA5, macd6 = fastMA6 - slowMA6, macd7 = fastMA7 - slowMA7, macd8 = fastMA8 - slowMA8, macd9 = fastMA9 - slowMA9, macd10 = fastMA10 - slowMA10, macd11 = fastMA11 - slowMA11, macd12 = fastMA12 - slowMA12, macd13 = fastMA13 - slowMA13
fmacd = fastMA - medMA
//, fmacd1 = fastMA1 - medMA1,fmacd2 = fastMA2 - medMA2,fmacd3 = fastMA3 - medMA3,fmacd4 = fastMA4 - medMA4,fmacd5 = fastMA5 - medMA5, fmacd6 = fastMA6 - medMA6, fmacd7 = fastMA7 - medMA7, fmacd8 = fastMA8 - medMA8, fmacd9 = fastMA9 - medMA9, fmacd10 = fastMA10 - medMA10, fmacd11 = fastMA11 - medMA11, fmacd12 = fastMA12 - medMA12, fmacd13 = fastMA13 - medMA13
smacd = slowMA - medMA
//, smacd1 = slowMA1 - medMA1, smacd2 = slowMA2 - medMA2, smacd3 = slowMA3 - medMA3, smacd4 = slowMA4 - medMA4, smacd5 = slowMA5 - medMA5, smacd6 = slowMA6 - medMA6, smacd7 = slowMA7 - medMA7, smacd8 = slowMA8 - medMA8, smacd9 = slowMA9 - medMA9, smacd10 = slowMA10 - medMA10, smacd11 = slowMA11 - medMA11, smacd12 = slowMA12 - medMA12, smacd13 = slowMA13 - medMA13,


signal = ema(macd, signalLength)
//,signal1 = sma(macd1, signalLength),signal2 = sma(macd2, signalLength),signal3 = sma(macd3, signalLength),signal4 = sma(macd4, signalLength),signal5 = sma(macd5, signalLength),signal6 = sma(macd6, signalLength),signal7 = sma(macd7, signalLength),signal8 = sma(macd8, signalLength),signal9 = sma(macd9, signalLength),signal10 = sma(macd10, signalLength),signal11 = sma(macd11, signalLength),signal12 = sma(macd12, signalLength),signal13 = sma(macd13, signalLength),
fsignal = ema(fmacd, signalLength)
//, fsignal1 = sma(fmacd1, signalLength), fsignal2 = sma(fmacd2, signalLength), fsignal3 = sma(fmacd3, signalLength), fsignal4 = sma(fmacd4, signalLength), fsignal5 = sma(fmacd5, signalLength), fsignal6 = sma(fmacd6, signalLength), fsignal7 = sma(fmacd7, signalLength), fsignal8 = sma(fmacd8, signalLength), fsignal9 = sma(fmacd9, signalLength), fsignal10 = sma(fmacd10, signalLength), fsignal11 = sma(fmacd11, signalLength), fsignal12 = sma(fmacd12, signalLength), fsignal13 = sma(fmacd13, signalLength),
ssignal = ema(smacd, signalLength)
//, ssignal1 = sma(smacd1, signalLength), ssignal2 = sma(smacd2, signalLength), ssignal3 = sma(smacd3, signalLength), ssignal4 = sma(smacd4, signalLength), ssignal5 = sma(smacd5, signalLength), ssignal6 = sma(smacd6, signalLength), ssignal7 = sma(smacd7, signalLength), ssignal8 = sma(smacd8, signalLength), ssignal9 = sma(smacd9, signalLength), ssignal10 = sma(smacd10, signalLength), ssignal11 = sma(smacd11, signalLength), ssignal12 = sma(smacd12, signalLength), ssignal13 = sma(smacd13, signalLength),


ATR_Signal_Period = input(2, type=input.integer, minval=1, maxval=2000)


SetStopLossShort = 0.0
SetStopLossShort := if(strategy.position_size < 0)
    StopLossShort = shortStop
    min(StopLossShort,SetStopLossShort[1])


plot(SetStopLossShort, style = plot.style_cross, color = color.yellow)    


SetStopLossLong = 0.0
SetStopLossLong := if(strategy.position_size > 0)
    StopLossLong = longStop
    max(StopLossLong,SetStopLossLong[1])


plot(SetStopLossLong, style = plot.style_cross, color = color.purple)

ATR_SIGNAL_FINE_TUNE = input(0.986, type=input.float)  

tol_atr = atr(ATR_Signal_Period)*ATR_SIGNAL_FINE_TUNE

StopLoss_Initial_Short = input(1.00, type=input.float)
StopLoss_Initial_Long = input(5.00, type=input.float)



VOLUME_CHECK_SHORT = input(42)
VOLUME_CHECK_LONG = input(16)

MAX_LOSS = input(0.00, type=input.float)

//Custom Time Interval
fromMinute = input(defval = 0, title = "From Minute", minval = 0, maxval = 60)
fromHour = input(defval = 0, title = "From Hour", minval = 0, maxval = 24)
fromDay = input(defval = 1, title = "From Day", minval = 1)
fromMonth = input(defval = 1, title = "From Month", minval = 1)
fromYear = input(defval = 2019, title = "From Year", minval = 1900)
tillMinute = input(defval = 0, title = "Till Minute", minval = 0, maxval = 60)
tillHour = input(defval = 0, title = "Till Hour", minval = 0, maxval = 24)
tillDay = input(defval = 1, title = "Till Day", minval = 1)
tillMonth = input(defval = 1, title = "Till Month", minval = 1)
tillYear = input(defval = 2021, title = "Till Year", minval = 1900)
timestampStart = timestamp(fromYear,fromMonth,fromDay,fromHour,fromMinute)
timestampEnd = timestamp(tillYear,tillMonth,tillDay,tillHour,tillMinute)



if ( strategy.position_size <= 0 and ((fsignal[1] -fsignal) <= 0) and volume > VOLUME_CHECK_LONG and ( cross(signal, macd) or cross(signal[1], macd[1]) or cross(signal[2], macd[2]) or cross(signal[3], macd[3]) or cross(signal[4], macd[4]) or cross(signal[5], macd[5]) or cross(signal[6], macd[6]) or cross(signal[7], macd[7]) or  cross(signal[8], macd[8]) or  cross(signal[9], macd[9]) or  cross(signal[10], macd[10]) or  cross(signal[11], macd[11]) or  cross(signal[12], macd[12]) or  cross(signal[13], macd[13])  or cross(fmacd, macd) or cross(fmacd[1],macd[1]) or  cross(fmacd[2],macd[2]) or cross(fmacd[3],macd[3]) or cross(fmacd[4],macd[4])or cross(fsignal, fmacd)  or cross(fmacd, smacd) )  and (  (crossover(close,open+tol_atr) or crossover(close[1],open[1]+tol_atr[1]) or crossover(close[2],open[2]+tol_atr[2]) or crossover(close[3],open[3]+tol_atr[3]) or crossover(close[4],open[4]+tol_atr[4]) or crossover(close[5],open[5]+tol_atr[5]) or crossover(close[6],open[6]+tol_atr[6]) or crossover(close[7],open[7]+tol_atr[7]) or crossover(close[8],open[8]+tol_atr[8]) or crossover(close[9],open[9]+tol_atr[9]) or crossover(close[10],open[10]+tol_atr[10]) ) or ( (cross(ssignal, smacd) or cross(ssignal[1],smacd[1]) or cross(ssignal[2],smacd[2])) and ( (ssignal - ssignal[1]) > 0 ) ) )  )
    strategy.exit("SELL")
    strategy.entry("BUY", strategy.long)
    strategy.exit("BUY_STOP","BUY", stop = close - StopLoss_Initial_Long)
    

if ( (dir == -1 and dir[1] == 1 and dir[2] == 1 and dir[3] == 1 and dir[4] == 1 ) and strategy.position_size >= 0 and volume > VOLUME_CHECK_SHORT and ((fsignal[1] -fsignal) >= 0)  and (  crossunder(close, open - tol_atr) or crossunder(close[1], open[1] - tol_atr[1]) or crossunder(close[2], open[2] - tol_atr[2]) or crossunder(close[3], open[3] - tol_atr[3]) )  and ( cross(signal, macd) or cross(signal[1], macd[1]) or cross(signal[2], macd[2]) or cross(signal[3], macd[3]) or cross(signal[4], macd[4]) or cross(signal[5], macd[5]) or cross(signal[6], macd[6]) or cross(signal[7], macd[7]) or  cross(signal[8], macd[8]) or  cross(signal[9], macd[9]) or  cross(signal[10], macd[10]) or  cross(signal[11], macd[11])  or  cross(signal[12], macd[12]) or  cross(signal[13], macd[13])  )  )
    strategy.exit( "BUY")
    strategy.entry("SELL", strategy.short)
    strategy.exit("SELL_STOP","SELL", stop = close + StopLoss_Initial_Short)
    

strategy.close_all(when = strategy.openprofit <  (-1 * MAX_LOSS) )


// if (strategy.max_contracts_held_long > 0 )
//     strategy.exit("BUY_TRAIL_STOP","BUY", stop = longStop - StopLoss_Long_Adjust)
    
// if (strategy.max_contracts_held_short > 0 )    
//     strategy.exit("SELL_TRAIL_STOP","SELL", stop = shortStop + StopLoss_Short_Adjust)


    
    //strategy.exit("BUY_TRAIL_STOP","BUY", stop = SetStopLossLong)
    //strategy.exit("SELL_TRAIL_STOP","SELL", stop = SetStopLossShort)
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