La estrategia de cruce de dos EMAs es una estrategia de seguimiento de tendencias común. La estrategia utiliza dos EMAs de diferentes períodos, generando una señal de compra cuando el EMA de corto período atraviesa el EMA de largo período y una señal de venta cuando el EMA de corto período atraviesa el EMA de largo período para capturar cambios en la tendencia de los precios.
La lógica central de esta estrategia se basa en el principio de la línea de la media de la EMA. La línea de la media de la EMA puede suavizar los datos de precios de manera efectiva, lo que indica la dirección de la tendencia. La línea de la EMA de corto período puede responder más rápidamente a los cambios en los precios, mientras que la línea de la EMA de largo período es relativamente insensible al ruido y puede reflejar la tendencia a largo plazo.
En concreto, la estrategia utiliza los parámetros length1 y length2 para establecer la longitud de dos medias de EMA. DemaVal1 es la media de EMA de longitud 1 y dimaVal2 es la media de EMA de longitud 2.
demaVal1 = EMA(close, length1)
demaVal2 = EMA(close, length2)
donde EMA() es la función que calcula la línea media del EMA. Cuando demaVal1 atraviesa demaVal2 genera una señal de compra demaCrossover, y cuando atraviesa demaCrossunder genera una señal de venta. La estrategia emite instrucciones de negociación según estas dos señales.
La estrategia tiene las siguientes ventajas:
La estrategia también tiene sus riesgos:
En función de los riesgos mencionados, se puede optimizar en los siguientes aspectos:
La estrategia de cruce de línea uniforme de doble EMA es una estrategia de seguimiento de tendencias sencilla y práctica en general. Heredó la teoría avanzada del análisis de cruce de línea uniforme y, con la condición de ajustar los parámetros y optimizar las condiciones de filtración, puede aplicarse a la negociación de tendencias de diferentes variedades y tiene buenas perspectivas de aplicación.
/*backtest
start: 2022-11-29 00:00:00
end: 2023-12-05 00:00:00
period: 1d
basePeriod: 1h
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/
// © zeguela
//@version=4
strategy(title="ZEGUELA DEMABOT", commission_value=0.063, commission_type=strategy.commission.percent, initial_capital=100, default_qty_value=90, default_qty_type=strategy.percent_of_equity, overlay=true, process_orders_on_close=true)
// Step 1. Script settings
// Input options
srcData = input(title="Source Data", type=input.source, defval=close)
// Length settings
len1 = input(title="Length DEMA #1", type=input.integer, defval=8, minval=1)
len2 = input(title="Length DEMA #2", type=input.integer, defval=24, minval=0)
len3 = input(title="Length DEMA #3", type=input.integer, defval=0, minval=0)
// Step 2. Calculate indicator values
// Function that calculates the DEMA
DEMA(series, length) =>
if (length > 0)
emaValue = ema(series, length)
2 * emaValue - ema(emaValue, length)
else
na
// Calculate the DEMA values
demaVal1 = DEMA(srcData, len1)
demaVal2 = DEMA(srcData, len2)
demaVal3 = DEMA(srcData, len3)
// Step 3. Determine indicator signals
// See if there's a DEMA crossover
demaCrossover = if (len2 > 0) and (len3 > 0)
crossover(demaVal1, demaVal2) and (demaVal3 > demaVal3[1])
else
if (len2 > 0) and (len3 == 0)
crossover(demaVal1, demaVal2)
else
if (len3 > 0) and (len2 == 0)
crossover(demaVal1, demaVal3)
else
crossover(close, demaVal1)
// Check if there's a DEMA crossunder
demaCrossunder = if (len2 > 0) and (len3 > 0)
crossunder(demaVal1, demaVal2) and (demaVal3 < demaVal3[1])
else
if (len2 > 0) and (len3 == 0)
crossunder(demaVal1, demaVal2)
else
if (len3 > 0) and (len2 == 0)
crossunder(demaVal1, demaVal3)
else
crossunder(close, demaVal1)
// Step 4. Output indicator data
// Plot DEMAs on the chart
plot(series=demaVal1, color=color.green, linewidth=2, title="DEMA #1")
plot(series=demaVal2, color=color.red, linewidth=2, title="DEMA #2")
plot(series=demaVal3, color=color.fuchsia, linewidth=2, title="DEMA #3")
//TRAILING STOP CODE
a = input(title="Usar Trailing Stop?", type=input.bool, defval=false)
stopPerlong = input(9.0, title='Stop Loss Long %', type=input.float, group="Stop Loss & Take Profit Settings") / 100
stopPershort = input(6.0, title='Stop Loss Short %', type=input.float, group="Stop Loss & Take Profit Settings") / 100
take1Perlong = input(25.0, title='Take Profit Long % 1', type=input.float, group="Stop Loss & Take Profit Settings") / 100
take1Pershort = input(6.0, title='Take Profit Short % 1', type=input.float, group="Stop Loss & Take Profit Settings") / 100
// Determine stop loss price
longStopPrice = strategy.position_avg_price * (1 - stopPerlong)
shortStopPrice = strategy.position_avg_price * (1 + stopPershort)
longTake1Price = strategy.position_avg_price * (1 + take1Perlong)
shortTake1Price = strategy.position_avg_price * (1 - take1Pershort)
// Determine trail stop loss prices
longStopPriceTrail = 0.0
longStopPriceTrail := if (strategy.position_size > 0)
stopValue = close * (1 - stopPerlong)
max(stopValue, longStopPriceTrail[1])
else
0
// Determine trailing short price
shortStopPriceTrail = 0.0
shortStopPriceTrail := if (strategy.position_size < 0)
stopValue = close * (1 + stopPershort)
min(stopValue, shortStopPriceTrail[1])
else
999999
//calcular qual stop usar
longStop = a ? longStopPriceTrail : longStopPrice
shortStop = a ? shortStopPriceTrail : shortStopPrice
//calcula o valor do stop e TP pra lançar no alerta
longStopEntrada = close * (1 - stopPerlong)
shortStopEntrada = close * (1 + stopPershort)
longTPEntrada = close * (1 + take1Perlong)
shortTPEntrada = close * (1 - take1Pershort)
//armazena o preço de entrada e valor do SL e TP
price_entryL = 0.0
price_entryL := na(price_entryL) ? na : price_entryL[1]
price_entryS = 0.0
price_entryS := na(price_entryS) ? na : price_entryS[1]
stopL = 0.0
stopL := na(stopL) ? na : stopL[1]
stopS = 0.0
stopS := na(stopS) ? na : stopS[1]
takeL = 0.0
takeL := na(takeL) ? na : takeL[1]
takeS = 0.0
takeS := na(takeS) ? na : takeS[1]
if (demaCrossover)
price_entryL := close
stopL := close * (1 - stopPerlong)
takeL := close * (1 + take1Perlong)
if (demaCrossunder)
price_entryS := close
stopS := close * (1 + stopPershort)
takeS := close * (1 - take1Pershort)
resultadoL = ((close - price_entryL)/price_entryL) * 100
resultadoLexit = "(SL = 1% e TP = 0,5%)"
resultadoS = ((price_entryS - close)/price_entryS) * 100
resultadoSexit = "(SL = 1% e TP = 0,5)%"
// Make input options that configure backtest date range
_startDate = input(title="Start Date", type=input.integer,
defval=1, minval=1, maxval=31, group="BackTest Period")
_startMonth = input(title="Start Month", type=input.integer,
defval=1, minval=1, maxval=12, group="BackTest Period")
_startYear = input(title="Start Year", type=input.integer,
defval=2018, minval=1800, maxval=2100, group="BackTest Period")
_endDate = input(title="End Date", type=input.integer,
defval=31, minval=1, maxval=31, group="BackTest Period")
_endMonth = input(title="End Month", type=input.integer,
defval=12, minval=1, maxval=12, group="BackTest Period")
_endYear = input(title="End Year", type=input.integer,
defval=2031, minval=1800, maxval=2100, group="BackTest Period")
// Look if the close time of the current bar
// falls inside the date range
_inDateRange = (time >= timestamp(syminfo.timezone, _startYear,
_startMonth, _startDate, 0, 0)) and
(time < timestamp(syminfo.timezone, _endYear, _endMonth, _endDate, 0, 0))
//Alert configuration
_alertMessageOpenLong="OpenLong"
_alertMessageCloseLong="CloseLong"
_alertmessageExitLong="ExitLong - TP/SL"
_alertMessageOpenShort="OpenShort"
_alertMessageCloseShort="CloseShort"
_alertMessageExitShort="ExitShort - TP/SL"
if (_inDateRange)
//ENTER SOME SETUP TRADES FOR TSL EXAMPLE
if (demaCrossover)
strategy.entry("LONG", strategy.long, comment = _alertMessageOpenLong)
if (demaCrossunder)
strategy.entry("SHORT", strategy.short, comment = _alertMessageOpenShort)
//EXIT TRADE @ TSL
if strategy.position_size > 0
strategy.exit("TP/SL", "LONG", stop=longStop, limit=longTake1Price, comment=_alertmessageExitLong, alert_message=_alertmessageExitLong)
if strategy.position_size < 0
strategy.exit("TP/SL", "SHORT", stop=shortStop, limit=shortTake1Price, comment =_alertMessageExitShort, alert_message=_alertMessageExitShort)
//Look & Feel - Plot stop loss and take profit areas
p1=plot(strategy.position_avg_price, color=color.blue, style=plot.style_linebr, linewidth=1, title="Preço de entrada")
p2=plot(series=strategy.position_size > 0 ? longStop : na, color=color.red, style=plot.style_linebr, linewidth=1, title="Long Stop")
p3=plot(series=strategy.position_size > 0 ? longTake1Price : na, color=color.green, style=plot.style_linebr, linewidth=1, title="Long TP")
p4=plot(series=strategy.position_size < 0 ? shortStop : na, color=color.red, style=plot.style_linebr, linewidth=1, title="Short Stop")
p5=plot(series=strategy.position_size < 0 ? shortTake1Price : na, color=color.green, style=plot.style_linebr, linewidth=1, title="Short TP")
fill(p1, p2, color=color.red)
fill(p1, p3, color=color.green)
fill(p1, p4, color=color.red)
fill(p1, p5, color=color.green)
// Insert label with value
stopLossOnLong = "Stop Loss = " + tostring(longStop)
stopLossOnShort = "Stop Loss = " + tostring(shortStop)
takeprofitOnLong = "Take Profit = " + tostring(longTake1Price)
takeprofitOnShort = "Take Profit = " + tostring(shortTake1Price)
precoentrada = "Entrada = " + tostring(strategy.position_avg_price)
var label FinalLabelpriceL = na
var label FinalLabelpriceS = na
var label slFinalLabelL = na
var label slFinalLabelS = na
var label slFinalLabelTPL = na
var label slFinalLabelTPS = na
//Draw entry and stop loss lines and labels
if strategy.position_size > 0
//write the price above the end of the stoploss line
slFinalLabelL := label.new(bar_index, longStop, stopLossOnLong, style=label.style_none, size=size.normal, textcolor=color.red)
slFinalLabelTPL := label.new(bar_index, longTake1Price, takeprofitOnLong, style=label.style_none, size=size.normal, textcolor=color.green)
FinalLabelpriceL := label.new(bar_index, strategy.position_avg_price, precoentrada, style=label.style_none, size=size.normal, textcolor=color.blue)
// Delete previous label when there is a consecutive new high, as there's no line plot in that case.
if strategy.position_size > 0[1]
label.delete(slFinalLabelL[1])
label.delete(slFinalLabelTPL[1])
label.delete(FinalLabelpriceL[1])
if strategy.position_size < 0
//write the price above the end of the stoploss line
slFinalLabelS := label.new(bar_index, shortStop, stopLossOnShort, style=label.style_none, size=size.normal, textcolor=color.red)
slFinalLabelTPS := label.new(bar_index, shortTake1Price, takeprofitOnShort, style=label.style_none, size=size.normal, textcolor=color.green)
FinalLabelpriceS := label.new(bar_index, strategy.position_avg_price, precoentrada, style=label.style_none, size=size.normal, textcolor=color.blue)
// Delete previous label when there is a consecutive new high, as there's no line plot in that case.
if strategy.position_size < 0[1]
label.delete(slFinalLabelS[1])
label.delete(slFinalLabelTPS[1])
label.delete(FinalLabelpriceS[1])
// Exit open market position when date range ends
if (not _inDateRange)
strategy.close_all()