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Tendance suivant une stratégie basée sur la moyenne mobile

Auteur:ChaoZhang est là., Date: 2024-01-24 14h24 et 36 min
Les étiquettes:

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Résumé

Il s'agit d'une stratégie simple de suivi de tendance basée sur la moyenne mobile. Il juge la direction et la durée de la tendance actuelle en comparant la relation de taille entre les moyennes mobiles de différents cycles.

La logique de la stratégie

La stratégie utilise 4 moyennes mobiles avec des cycles différents: des lignes de 5 jours, 10 jours, 15 jours et 25 jours. Elles sont appelées MA1, MA2, MA3 et MA4.

Lorsque MA1>MA2>MA3>MA4, il indique une tendance haussière et va long. Lorsque MA1

Les conditions de position ouverte pour les positions longues et courtes doivent satisfaire le filtre de stop loss ATR en même temps, c'est-à-dire que la valeur ATR doit être supérieure à la SMA de 40 jours d'ATR. Cela évite de générer de faux signaux lorsque la fluctuation des prix est trop faible.

Analyse des avantages

La stratégie présente les avantages suivants:

  1. La logique est simple et facile à mettre en œuvre.
  2. L'utilisation de plusieurs moyennes mobiles pour déterminer la direction de la tendance est fiable.
  3. La mise en place de points stop loss et take profit peut contrôler efficacement la perte maximale par transaction.
  4. Le filtre stop loss ATR évite les signaux erronés lorsque la fluctuation des prix est faible.

Analyse des risques

La stratégie comporte également les risques suivants:

  1. Il est facile de générer de faux signaux dans un marché largement sous choc.
  2. Des paramètres mal réglés (cycle des moyennes mobiles, etc.) peuvent entraîner une mauvaise performance de la stratégie.
  3. Il ne tient pas compte de l'impact des fondamentaux et des nouvelles importantes sur les prix.

Pour réduire ces risques, les paramètres peuvent être optimisés de manière appropriée, ou des conditions de filtrage supplémentaires peuvent être ajoutées pour améliorer la stabilité de la stratégie.

Directions d'optimisation

Les orientations d'optimisation de la stratégie sont les suivantes:

  1. Testez différentes combinaisons de paramètres de la moyenne mobile pour trouver les paramètres optimaux.
  2. Ajouter d'autres filtres d'indicateurs techniques tels que MACD et KDJ pour juger de la fiabilité des signaux.
  3. Ajouter un filtre de volume de négociation, ne négociez que lorsque le volume de négociation augmente.
  4. Paramètres de réglage basés sur les différences entre les variétés.
  5. Ajoutez des algorithmes d'apprentissage automatique pour juger les signaux.

Conclusion

En général, il s'agit d'une stratégie de suivi de tendance relativement simple. Il juge la direction de la tendance à travers des moyennes mobiles et fixe un stop-loss raisonnable et un profit pour contrôler les niveaux de risque. Il y a encore beaucoup de place pour l'optimisation, comme l'ajustement des paramètres, l'ajout de filtres, etc. pour améliorer encore la stabilité et la rentabilité de la stratégie.

/*backtest
start: 2023-01-17 00:00:00
end: 2024-01-23 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/
// © fpemehd
// @version=5

// # ========================================================================= #
// #                   |   STRATEGY  |
// # ========================================================================= #

strategy(title = 'MA Simple Strategy with SL & TP & ATR Filters',
      shorttitle = 'MA Strategy',
      overlay = true,
      pyramiding = 0,
      default_qty_type = strategy.percent_of_equity,
      default_qty_value = 100,
      commission_type  = strategy.commission.percent,
      commission_value = 0.1,
      initial_capital = 100000,
      max_lines_count = 150,
      max_labels_count = 300)

// # ========================================================================= #
// #                          Inputs
// # ========================================================================= #

// 1. Time
i_start = input (defval = timestamp("20 Jan 1990 00:00 +0900"), title = "Start Date", tooltip = "Choose Backtest Start Date", inline = "Start Date", group = "Time" ) 
i_end = input (defval = timestamp("20 Dec 2030 00:00 +0900"), title = "End Date", tooltip = "Choose Backtest End Date", inline = "End Date", group = "Time" ) 
c_timeCond = true

// 2. Inputs for direction: Long? Short? Both? 
i_longEnabled = input.bool(defval = true , title = "Long?", tooltip = "Enable Long Position Trade?", inline = "Long / Short", group = "Long / Short" )
i_shortEnabled = input.bool(defval = true , title = "Short?", tooltip = "Enable Short Position Trade?", inline = "Long / Short", group = "Long / Short" )

// 3. Use Filters? What Filters?
i_ATRFilterOn = input.bool(defval = true , title = "ATR Filter On?", tooltip = "ATR Filter On?", inline = "ATR Filter", group =  "Filters") 
i_ATRSMALen = input.int(defval = 40 , title = "SMA Length for ATR SMA", minval = 1 , maxval = 100000 , step = 1 , tooltip = "ATR should be bigger than this", inline = "ATR Filter", group = "Filters") 

// 3. Shared inputs for Long and Short
//// 3-1. Inputs for Stop Loss Type: normal? or trailing? 
//// If trailing, always trailing or trailing after take profit order executed?
i_useSLTP = input.bool(defval =  true, title = "Enable SL & TP?", tooltip = "", inline = "Enable SL & TP & SL Type", group = "Shared Inputs") 
i_tslEnabled = input.bool(defval = false , title = "Enable Trailing SL?", tooltip = "Enable Stop Loss & Take Profit? \n\Enable Trailing SL?", inline = "Enable SL & TP & SL Type", group = "Shared Inputs") 
// i_tslAfterTP = input.bool(defval = true , title = "Enable Trailing SL after TP?", tooltip = "Enable Trailing SL after TP?", inline = "Trailing SL Execution", group = "Shared Inputs") 
i_slType = input.string(defval = "ATR", title = "Stop Loss Type", options = ["Percent", "ATR"], tooltip = "Stop Loss based on %? ATR?", inline = "Stop Loss Type", group = "Shared Inputs") 
i_slATRLen = input.int(defval = 14, title = "ATR Length", minval = 1 , maxval = 200 , step = 1, inline = "Stop Loss ATR", group = "Shared Inputs")  
i_tpType = input.string(defval = "R:R", title = "Take Profit Type", options = ["Percent", "ATR", "R:R"], tooltip = "Take Profit based on %? ATR? R-R ratio?", inline = "Take Profit Type", group = "Shared Inputs") 

//// 3-2. Inputs for Quantity
i_tpQuantityPerc = input.float(defval = 50, title = 'Take Profit Quantity %', minval = 0.0, maxval = 100, step = 1.0, tooltip = '% of position when tp target is met.', group = 'Shared Inputs')

// 4. Inputs for Long Stop Loss & Long Take Profit

i_slPercentLong = input.float(defval = 3, title = "SL Percent", tooltip = "", inline = "Percent > Long Stop Loss / Take Profit Percent", group = "Long Stop Loss / Take Profit") 
i_tpPercentLong = input.float(defval = 3, title = "TP Percent", tooltip = "Long Stop Loss && Take Profit Percent?", inline = "Percent > Long Stop Loss / Take Profit Percent", group = "Long Stop Loss / Take Profit") 
i_slATRMultLong = input.float(defval = 3, title = "SL ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "Long Stop Loss / Take Profit ATR", group = "Long Stop Loss / Take Profit") 
i_tpATRMultLong = input.float(defval = 3, title = "TP ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "ATR > Long Stop Loss && Take Profit ATR Multiplier? \n\Stop Loss = i_slATRMultLong * ATR (i_slATRLen) \n\Take Profit = i_tpATRMultLong * ATR (i_tpATRLen)", inline = "Long Stop Loss / Take Profit ATR", group = "Long Stop Loss / Take Profit") 
i_tpRRratioLong = input.float(defval = 1.8, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "R:R Ratio", group = "Long Stop Loss / Take Profit") 

// 5. Inputs for Short Stop Loss & Short Take Profit
i_slPercentShort = input.float(defval = 3, title = "SL Percent", tooltip = "", inline = "Percent > Short Stop Loss / Take Profit Percent", group = "Short Stop Loss / Take Profit") 
i_tpPercentShort = input.float(defval = 3, title = "TP Percent", tooltip = "Short Stop Loss && Take Profit Percent?", inline = "Percent > Short Stop Loss / Take Profit Percent", group = "Short Stop Loss / Take Profit") 
i_slATRMultShort = input.float(defval = 3, title = "SL ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "ATR > Short Stop Loss / Take Profit ATR", group = "Short Stop Loss / Take Profit") 
i_tpATRMultShort = input.float(defval = 3, title = "TP ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "ATR > Short Stop Loss && Take Profit ATR Multiplier? \n\Stop Loss = i_slATRMultShort * ATR (i_slATRLen) \n\Take Profit = i_tpATRMultShort * ATR (i_tpATRLen)", inline = "ATR > Short Stop Loss / Take Profit ATR", group = "Short Stop Loss / Take Profit") 
i_tpRRratioShort = input.float(defval = 1.8, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "R:R Ratio", group = "Short Stop Loss / Take Profit") 

// 6. Inputs for logic
i_MAType = input.string(defval = "RMA", title = "MA Type", options = ["SMA", "EMA", "WMA", "HMA", "RMA", "VWMA", "SWMA", "ALMA", "VWAP"], tooltip = "Choose MA Type", inline = "MA Type", group = 'Strategy') 
i_MA1Len = input.int(defval = 5, title = 'MA 1 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_MA2Len = input.int(defval = 10, title = 'MA 2 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_MA3Len = input.int(defval = 15, title = 'MA 3 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_MA4Len = input.int(defval = 25, title = 'MA 4 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_ALMAOffset = input.float(defval = 0.7 , title = "ALMA Offset Value", tooltip = "The Value of ALMA offset", inline = "ALMA Input", group = 'Strategy')
i_ALMASigma = input.float(defval = 7 , title = "ALMA Sigma Value", tooltip = "The Value of ALMA sigma", inline = "ALMA Input", group = 'Strategy')

// # ========================================================================= #
// #                          Entry, Close Logic
// # ========================================================================= #

bool i_ATRFilter = ta.atr(length = i_slATRLen) >= ta.sma(source = ta.atr(length = i_slATRLen), length = i_ATRSMALen) ? true : false

// calculate Technical Indicators for the Logic

getMAValue (source, length, almaOffset, almaSigma) => 
    switch i_MAType 
        'SMA' => ta.sma(source = source, length = length) 
        'EMA' => ta.ema(source = source, length = length) 
        'WMA' => ta.wma(source = source, length = length) 
        'HMA' => ta.hma(source = source, length = length) 
        'RMA' => ta.rma(source = source, length = length) 
        'SWMA' => ta.swma(source = source) 
        'ALMA' => ta.alma(series = source, length = length, offset = almaOffset, sigma = almaSigma) 
        'VWMA' => ta.vwma(source = source, length = length) 
        'VWAP' => ta.vwap(source = source)
        => na 

float c_MA1 = getMAValue(close, i_MA1Len, i_ALMAOffset, i_ALMASigma)
float c_MA2 = getMAValue(close, i_MA2Len, i_ALMAOffset, i_ALMASigma)
float c_MA3 = getMAValue(close, i_MA3Len, i_ALMAOffset, i_ALMASigma)
float c_MA4 = getMAValue(close, i_MA4Len, i_ALMAOffset, i_ALMASigma)

// Logic: 정배열 될 떄 들어가
var ma1Color = color.new(color.red, 0)
plot(series = c_MA1, title = 'SMA 1', color = ma1Color, linewidth = 1, style = plot.style_line)
var ma2Color = color.new(color.orange, 0)
plot(series = c_MA2, title = 'SMA 2', color = ma2Color, linewidth = 1, style = plot.style_line)
var ma3Color = color.new(color.yellow, 0)
plot(series = c_MA3, title = 'SMA 3', color = ma3Color, linewidth = 1, style = plot.style_line)
var ma4Color = color.new(color.green, 0)
plot(series = c_MA4, title = 'SMA 4', color = ma4Color, linewidth = 1, style = plot.style_line)

bool openLongCond = (c_MA1 >= c_MA2 and c_MA2 >= c_MA3 and c_MA3 >= c_MA4) 
bool openShortCond = (c_MA1 <= c_MA2 and c_MA2 <= c_MA3 and c_MA3 <= c_MA4)

bool openLong = i_longEnabled and openLongCond and (not i_ATRFilterOn or i_ATRFilter)
bool openShort = i_shortEnabled and openShortCond and (not i_ATRFilterOn or i_ATRFilter)

openLongCondColor = openLongCond ? color.new(color = color.blue, transp = 80) : na
bgcolor(color = openLongCondColor)
ATRFilterColor = i_ATRFilter ? color.new(color = color.orange, transp = 80) : na 
bgcolor(color = ATRFilterColor)

bool enterLong = openLong and not (strategy.opentrades.size(strategy.opentrades-1) > 0)
bool enterShort = openShort and not (strategy.opentrades.size(strategy.opentrades-1) < 0)

bool closeLong = i_longEnabled and (c_MA1[1] >= c_MA2[1] and c_MA2[1] >= c_MA3[1] and c_MA3[1] >= c_MA4[1]) and not (c_MA1 >= c_MA2 and c_MA2 >= c_MA3 and c_MA3 >= c_MA4) 
bool closeShort = i_shortEnabled and (c_MA1[1] <= c_MA2[1] and c_MA2[1] <= c_MA3[1] and c_MA3[1] <= c_MA4[1]) and not (c_MA1 <= c_MA2 and c_MA2 <= c_MA3 and c_MA3 <= c_MA4)

// # ========================================================================= #
// #                          Position, Status Conrtol
// # ========================================================================= #

// longisActive: New Long || Already Long && not closeLong, short is the same
bool longIsActive = enterLong or strategy.opentrades.size(strategy.opentrades - 1) > 0 and not closeLong
bool shortIsActive = enterShort or strategy.opentrades.size(strategy.opentrades - 1) < 0 and not closeShort

// before longTPExecution: no trailing SL && after longTPExecution: trailing SL starts
// longTPExecution qunatity should be less than 100% 
bool longTPExecuted = false
bool shortTPExecuted = false

// # ========================================================================= #
// #                          Long Stop Loss Logic
// # ========================================================================= #
float openAtr = ta.valuewhen(enterLong or enterShort, ta.atr(i_slATRLen), 0)

f_getLongSL (source) => 
    switch i_slType
        'Percent' => source * (1 - (i_slPercentLong/100))
        'ATR' => source - i_slATRMultLong * openAtr
        => na

var float c_longSLPrice = na
c_longSLPrice := if (longIsActive)
    if (enterLong)
        f_getLongSL(close)
    else
        c_stopPrice = f_getLongSL(i_tslEnabled ? high : strategy.opentrades.entry_price(trade_num = strategy.opentrades - 1))
        math.max(c_stopPrice, nz(c_longSLPrice[1]))
else
    na

// # ========================================================================= #
// #                          Short Stop Loss Logic
// # ========================================================================= #
f_getShortSL (source) => 
    switch i_slType
        'Percent' => source * (1 + (i_slPercentShort)/100)
        'ATR' => source + i_slATRMultShort * openAtr
        => na

var float c_shortSLPrice = na
c_shortSLPrice := if (shortIsActive)
    if (enterShort)
        f_getShortSL (close)
    else
        c_stopPrice = f_getShortSL(i_tslEnabled ? low : strategy.opentrades.entry_price(strategy.opentrades - 1))
        math.min(c_stopPrice, nz(c_shortSLPrice[1], 999999.9))
else
    na

// # ========================================================================= #
// #                          Long Take Profit Logic
// # ========================================================================= #

f_getLongTP () => 
    switch i_tpType
        'Percent' => close * (1 + (i_tpPercentLong/100))
        'ATR' => close + i_tpATRMultLong * openAtr
        'R:R' => close + i_tpRRratioLong * (close - f_getLongSL(close))
        => na

var float c_longTPPrice = na
c_longTPPrice := if (longIsActive and not longTPExecuted)
    if (enterLong)
        f_getLongTP()
    else 
        nz(c_longTPPrice[1], f_getLongTP())
else
    na

longTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) > 0 and (longTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) < strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and high >= c_longTPPrice)

// # ========================================================================= #
// #                          Short Take Profit Logic
// # ========================================================================= #

f_getShortTP () => 
    switch i_tpType
        'Percent' => close * (1 - (i_tpPercentShort/100))
        'ATR' => close - i_tpATRMultShort * openAtr
        'R:R' => close - i_tpRRratioShort * (close - f_getLongSL(close))
        => na

var float c_shortTPPrice = na
c_shortTPPrice := if (shortIsActive and not shortTPExecuted)
    if (enterShort)
        f_getShortTP()
    else
        nz(c_shortTPPrice[1], f_getShortTP())
else
    na

shortTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) < 0 and (shortTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) > strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and low <= c_shortTPPrice)

// # ========================================================================= #
// #                          Make Orders
// # ========================================================================= #

if (c_timeCond)
    if (enterLong)
        strategy.entry(id = "Long Entry", direction = strategy.long , comment = 'Long(' + syminfo.ticker + '): Started', alert_message = 'Long(' + syminfo.ticker + '): Started')

    if (enterShort)
        strategy.entry(id = "Short Entry", direction = strategy.short , comment = 'Short(' + syminfo.ticker + '): Started', alert_message = 'Short(' + syminfo.ticker + '): Started')

    if (closeLong)
        strategy.close(id = 'Long Entry', comment = 'Close Long', alert_message = 'Long: Closed at market price')

    if (closeShort)
        strategy.close(id = 'Short Entry', comment = 'Close Short', alert_message = 'Short: Closed at market price')

    if (longIsActive and i_useSLTP)
        strategy.exit(id = 'Long Take Profit / Stop Loss', from_entry = 'Long Entry', qty_percent = i_tpQuantityPerc, limit = c_longTPPrice, stop = c_longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Take Profit or Stop Loss executed')
        strategy.exit(id = 'Long Stop Loss', from_entry = 'Long Entry', stop = c_longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Stop Loss executed')
    
    if (shortIsActive and i_useSLTP)
        strategy.exit(id = 'Short Take Profit / Stop Loss', from_entry = 'Short Entry', qty_percent = i_tpQuantityPerc, limit = c_shortTPPrice, stop = c_shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Take Profit or Stop Loss executed')
        strategy.exit(id = 'Short Stop Loss', from_entry = 'Short Entry', stop = c_shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Stop Loss executed')

// # ========================================================================= #
// #                          Plot
// # ========================================================================= #

var posColor = color.new(color.white, 0)
plot(series = strategy.opentrades.entry_price(strategy.opentrades - 1), title = 'Position', color = posColor, linewidth = 1, style = plot.style_linebr)

var stopLossColor = color.new(color.maroon, 0)
plot(series = c_longSLPrice, title = 'Long Stop Loss', color = stopLossColor, linewidth = 1, style = plot.style_linebr, offset = 1)
plot(series = c_shortSLPrice, title = 'Short Stop Loss', color = stopLossColor, linewidth = 1, style = plot.style_linebr, offset = 1)

longTPExecutedColor = longTPExecuted ? color.new(color = color.green, transp = 80) : na 
//bgcolor(color = longTPExecutedColor) 
shortTPExecutedColor = shortTPExecuted ? color.new(color = color.red, transp = 80) : na 
//bgcolor(color = shortTPExecutedColor) 
// isPositionOpenedColor = strategy.opentrades.size(strategy.opentrades-1) != 0 ? color.new(color = color.yellow, transp = 90) : na 
// bgcolor(color = isPositionOpenedColor) 

var takeProfitColor = color.new(color.teal, 0)
plot(series = c_longTPPrice, title = 'Long Take Profit', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 1)
plot(series = c_shortTPPrice, title = 'Short Take Profit', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 1)
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