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Estrategia de trading de media móvil para el seguimiento de la parada de pérdida

El autor:¿ Qué pasa?, Fecha: 2024-02-01 10:59:06
Las etiquetas:

Resumen general

Esta es una estrategia de trading de seguimiento de stop loss basada en promedios móviles. Utiliza dos líneas EMA con períodos diferentes para generar señales de cruz dorada y cruz muerta para operaciones largas y cortas. Mientras tanto, la estrategia utiliza el método de puntos porcentuales o fijos para rastrear los niveles de stop loss y take profit. Esto permite a la estrategia bloquear las ganancias mientras controla los riesgos de manera efectiva.

Estrategia lógica

La estrategia emplea líneas EMA rápidas y lentas. La EMA rápida reacciona sensiblemente mientras que la EMA lenta se mueve de una manera más estable. La cruz de oro se forma cuando las dos líneas se mueven hacia arriba para cruzarse, generando señales de compra. La cruz muerta ocurre cuando se cruzan hacia abajo, lo que provoca señales de venta. Esta es la razón subyacente detrás de las estrategias de promedio móvil.

Además de eso, la estrategia sigue el objetivo de stop loss y beneficio una vez que se ingresa al comercio. Específicamente, los niveles de stop loss y objetivo de beneficio se ajustarán hacia una dirección favorable a medida que fluctúan los precios. Esto permite bloquear las ganancias mientras se limitan los riesgos. El ritmo de seguimiento se puede configurar utilizando porcentajes o puntos fijos. Esto hace que el mecanismo de stop loss y take profit sea más flexible e inteligente.

Ventajas

Utiliza dos cruces de la EMA para generar señales de calidad y rendimientos constantes.
El seguimiento de las pérdidas y las ganancias bloquea las ganancias y controla los riesgos de manera efectiva.
Apoya tanto el porcentaje como los puntos fijos para el seguimiento flexible.
Se desempeña bien a largo plazo con el mecanismo de arrastramiento.

Riesgos y optimización

Los disparadores de stop loss demasiado frecuentes pueden afectar a la rentabilidad en los mercados variados.
Las señales de cruce de la EMA tienen un efecto de retraso y pueden perder algunas oportunidades.
Los datos insuficientes de las pruebas de retroceso pueden causar sobreajustes.

Conclusión

La estrategia integra las fortalezas de las técnicas de señalización de promedios móviles y seguimiento de tendencias. Demuestra un rendimiento estable y estelar a largo plazo y posee valor práctico para el comercio en vivo. Se pueden lograr mejoras adicionales a través de la puesta a punto de parámetros y la optimización de combinaciones. La estrategia merece una verificación en el mundo real.

/*backtest
start: 2023-01-31 00:00:00
end: 2024-01-31 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/
// © Sharad_Gaikwad
//@version=5

strategy("Traling.SL.Target", overlay=true, process_orders_on_close = true, max_labels_count = 500)
// << Parameters section {
_1 = input.bool(title = "━━━━━━━ ↓ Pivot parameters for trade ↓ ━━━━━━━", defval = false)
fast_len = input.int(title = 'Fast len', defval = 20)
slow_len = input.int(title = 'Slow len', defval = 50)
label_bg_color = input.color(title = 'BG color for ongoing trade SL/Target label', defval=color.white)
sl_target_method = input.string(title = 'Method to be used for SL/Target trailing', defval='% Based Target and SL', options = ['% Based Target and SL','Fix point Based Target and SL'])
_2 = input.bool(title = "━━━━━━━ ↓ % Based Target and SL ↓ ━━━━━━━", defval = true)
initial_profit_percent = input.float(title = 'Inital profit %', defval = 1) / 100
initial_sl_percent = input.float(title = 'Inital SL %', defval = 1) / 100
initiate_trailing_percent = input.float(title = 'Initiate trailing %', defval = 0.5, tooltip = 'Initiate trailing of target and SL after change in price in % after taking trade') / 100
trail_profit_percent = input.float(title = 'Trail profit by %', defval = 0.3) / 100
trail_sl_percent = input.float(title = 'Trail SL by %', defval = 0.3) / 100

_3 = input.bool(title = "━━━━━━━ ↓ Fix point Based Target and SL ↓ ━━━━━━━", defval = false)
initial_profit_points = input.float(title = 'Inital profit target points', defval = 100)
initial_sl_points = input.float(title = 'Inital SL points', defval = 50)
initiate_trailing_points = input.float(title = 'Initiate trailing points', defval = 60, tooltip = 'Initiate trailing of target and SL after change in price in points after taking trade')
trail_profit_points = input.float(title = 'Trail profit by points', defval = 25)
trail_sl_points = input.float(title = 'Trail SL by %', defval = 30)
// } Parameters section >>


// } << Common function {
tab = table.new(position=position.bottom_right, columns=7, rows=200,frame_color = color.yellow, frame_width = 1)
msg(int row, int col, string msg_str, clr=color.blue) =>
    table.cell(table_id=tab, column=col, row=row, text=msg_str, text_color=clr)

getVal(val) =>
    ret_val = na(val) ? 0 : val

t(val) => str.tostring(val, "0.00")

timeToString(int _t) =>
         str.tostring(dayofmonth(_t), '00') + '/' + 
         str.tostring(month(_t), '00') + '/' + 
         str.tostring(year(_t), '0000') + ' ' + 
         str.tostring(hour(_t), '00') + ':' + 
         str.tostring(minute(_t), '00') + ':' + 
         str.tostring(second(_t), '00')
    
// } Common functions>>


// Variable declarations {
percent_based = sl_target_method  == '% Based Target and SL' ? true : false
var initial_long_entry_price = float(na)
var initial_short_entry_price = float(na)
var long_target = float(na)
var long_sl = float(na)
var short_target = float(na)
var short_sl = float(na)
var long_entry_price = float(na)
var short_entry_price = float(na)
var initial_long_percent_target = float(na)
var initial_long_percent_sl = float(na)
var initial_long_point_target = float(na)
var initial_long_point_sl = float(na)
var initial_short_percent_target = float(na)
var initial_short_percent_sl = float(na)
var initial_short_point_target = float(na)
var initial_short_point_sl = float(na)
var is_long = bool(na)
var is_short = bool(na)
var trail_long_iteration = int(na)
var trail_short_iteration = int(na)

// }

// derive important variable values



// Strategy logic
fast_ema = ta.ema(close, fast_len)
slow_ema = ta.ema(close, slow_len)
plot(fast_ema, color = color.red)
plot(slow_ema, color = color.green)
go_long = ta.crossover(fast_ema, slow_ema) and strategy.position_size == 0
go_short = ta.crossunder(fast_ema, slow_ema) and strategy.position_size == 0

// barcolor(ph ? color.purple : na, offset = -lb)
// barcolor(pl ? color.yellow : na, offset = -lb)


// barcolor(ph ? color.white : na)
// barcolor(pl ? color.blue : na)

// //trailing logic for long
long_trailing_point = percent_based ? (close >= long_entry_price + (long_entry_price * initiate_trailing_percent)) :
     (close >= long_entry_price + initiate_trailing_points)

short_trailing_point = percent_based ? (close <= short_entry_price - (short_entry_price * initiate_trailing_percent)) :
     (close >= short_entry_price - initiate_trailing_points)

if(is_long and long_trailing_point)
    // initial_long_percent_target = initial_long_percent_target + (initial_long_percent_target * trail_profit_percent)
    // initial_long_percent_sl = initial_long_percent_sl - (initial_long_percent_sl * trail_sl_percent)

    // initial_long_point_target = initial_long_point_target + trail_profit_points
    // initial_long_point_sl = initial_long_point_sl - trail_sl_points
    trail_long_iteration :=  trail_long_iteration + 1
    long_target := percent_based ? (long_target + (long_target * trail_profit_percent)) : 
         (long_target + trail_profit_points)
         
    long_sl := percent_based ? (long_sl + (long_sl * trail_sl_percent)) :
         (long_sl + trail_sl_points)
    
    long_entry_price := percent_based ? (long_entry_price + (long_entry_price * initiate_trailing_percent)) :
         (long_entry_price + initiate_trailing_points)

if(is_short and short_trailing_point)
    // initial_short_percent_target = initial_short_percent_target - (initial_short_percent_target * trail_profit_percent)
    // initial_short_percent_sl = initial_short_percent_sl + (initial_short_percent_sl * trail_sl_percent)

    // initial_short_point_target = initial_short_point_target - trail_profit_points
    // initial_short_point_sl = initial_short_point_sl + trail_sl_points
    trail_short_iteration :=  trail_short_iteration + 1
    short_target := percent_based ? (short_target - (short_target * trail_profit_percent)) : 
         (short_target - trail_profit_points)
         
    short_sl := percent_based ? (short_sl - (short_sl * trail_sl_percent)) :
         (short_sl - trail_sl_points)
    
    short_entry_price := percent_based ? (short_entry_price - (short_entry_price * initiate_trailing_percent)) :
         (short_entry_price - initiate_trailing_points)
    
if(go_long)
    is_long := true
    is_short := false
    trail_long_iteration := 0
    trail_short_iteration := 0
    initial_long_entry_price := close
    long_entry_price := close
    
    initial_long_percent_target := close + (close * initial_profit_percent)
    initial_long_percent_sl := close - (close * initial_sl_percent)

    initial_long_point_target := close + initial_profit_points
    initial_long_point_sl := close - initial_sl_points
    
    long_target := percent_based ? initial_long_percent_target : initial_long_point_target
    long_sl := percent_based ? initial_long_percent_sl : initial_long_point_sl 
    
    strategy.entry(id = 'Long', direction = strategy.long)

if(go_short)
    is_long := false
    is_short := true
    trail_long_iteration := 0
    trail_short_iteration := 0
    initial_short_entry_price := close
    short_entry_price := close

    initial_short_percent_target := close - (close * initial_profit_percent)
    initial_short_percent_sl := close + (close * initial_sl_percent)

    initial_short_point_target := close - initial_profit_points
    initial_short_point_sl := close + initial_sl_points

    short_target := percent_based ? initial_short_percent_target : initial_short_point_target
    short_sl := percent_based ? initial_short_percent_sl : initial_short_point_sl 
    
    strategy.entry(id = 'Short', direction = strategy.short)

method = percent_based ? '% Based' : 'Fixed Points'
long_tooltip = 'Long @ ' + timeToString(time) + '\n' +
     'Method             : ' + method + '\n' +
     'Initial Trade Price: ' + t(initial_long_entry_price) + '\n' +
     'Inital Target      : ' + t(long_target) + '\n' + 
     'Inital SL          : ' + t(long_sl) 

short_tooltip = 'Short @ ' + timeToString(time) + '\n' +
     'Method             : ' + method + '\n' +
     'Initial Trade Price: ' + t(initial_short_entry_price) + '\n' +
     'Inital Target      : ' + t(short_target) + '\n' + 
     'Inital SL          : ' + t(short_sl)
     
     
label.new(go_long ? bar_index : na, go_long ? bar_index : na,
     style = label.style_diamond, yloc = yloc.belowbar, color = color.green, size=size.tiny, tooltip = long_tooltip)
     
label.new(go_short ? bar_index : na, go_short ? bar_index : na,
     style = label.style_diamond, yloc = yloc.abovebar, color = color.red, size=size.tiny, tooltip = short_tooltip)
 
trail_long_tooltip = 'Trail @ ' + timeToString(time) + '\n' +
     'Iteration no : ' + t(trail_long_iteration) + '\n' +
     'New Target   : ' + t(long_target) + '\n' +
     'New SL       : ' + t(long_sl)

trail_short_tooltip = 'Trail @ ' + timeToString(time) + '\n' +
     'Iteration no : ' + t(trail_short_iteration) + '\n' +
     'New Target   : ' + t(short_target) + '\n' +
     'New SL       : ' + t(short_sl) 

label.new(is_long and long_trailing_point and strategy.position_size > 0 ? bar_index : na, is_long and long_trailing_point and strategy.position_size > 0 ? bar_index : na,
      text = str.tostring(trail_long_iteration), style = label.style_circle, textcolor = color.white, yloc = yloc.belowbar, color = color.green, size=size.tiny, tooltip = trail_long_tooltip)
     
label.new(is_short and short_trailing_point and strategy.position_size < 0 ? bar_index : na, is_short and short_trailing_point and strategy.position_size < 0 ? bar_index : na,
     text = str.tostring(trail_short_iteration), style = label.style_circle, textcolor = color.white,  yloc = yloc.abovebar, color = color.red, size=size.tiny, tooltip = trail_short_tooltip)
     
strategy.close(id = 'Long', when = close <= long_sl, comment = 'SL')
strategy.close(id = 'Short', when = close >= short_sl, comment = 'SL')

strategy.close(id = 'Long', when = close >= long_target, comment = 'Target')
strategy.close(id = 'Short', when = close <= short_target, comment = 'Target')

// no_of_labels = 1
// label_q(_array, _val) =>
//     array.push(_array, _val)
//     _return = array.shift(_array)

// var target_label = float(na)
// var sl_label = float(na)
// if(strategy.position_size > 0)
//     target_label := long_target
//     sl_label := long_sl
// else if(strategy.position_size < 0)
//     target_label := short_target
//     sl_label := short_sl
// else
//     target_label := float(na)
//     sl_label := float(na)

// var label[] target_array = array.new_label(no_of_labels)
// label.delete(label_q(target_array, label.new(bar_index, target_label, "Target:"+t(target_label), style = label.style_label_down, color = label_bg_color, size=size.small, textcolor = color.green)))

// var label[] sl_array = array.new_label(no_of_labels)
// label.delete(label_q(sl_array, label.new(bar_index, sl_label, "SL:"+t(sl_label), style = label.style_label_up, color = label_bg_color, size=size.small, textcolor = color.red)))

Más.