Strategi ini menggabungkan beberapa indikator seperti garis MA cepat, menengah, lambat dan MACD untuk menghasilkan sinyal perdagangan yang komprehensif, dan menggunakan stop loss dinamis berdasarkan ATR untuk mengontrol tingkat risiko.
Strategi ini terutama memanfaatkan indikator EMA, MACD dan ATR. EMA garis cepat, menengah dan lambat membentuk sistem penilaian tren. MACD menghasilkan sinyal perdagangan. ATR menetapkan garis stop loss secara dinamis. Secara khusus, arah tren ditentukan oleh kombinasi garis EMA. MACD crossover 0 adalah sinyal masuk. Masuk panjang ketika garis cepat melintasi garis menengah, dan keluar saat melintasi di bawah. Masuk pendek ketika garis cepat melintasi di bawah garis menengah, dan keluar saat melintasi di atas. Stop loss disesuaikan secara dinamis berdasarkan ATR untuk mengendalikan risiko sesuai dengan volatilitas pasar.
Strategi ini menggabungkan keuntungan dari beberapa indikator untuk penilaian tren yang akurat dan kontrol penarikan. peningkatan lebih lanjut seperti optimasi parameter dan menambahkan filter dapat meningkatkan ketahanan. Secara keseluruhan ini adalah strategi yang khas dan dapat diandalkan yang cocok untuk perdagangan otomatis jangka menengah dengan nilai praktis yang besar.
/*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)