Strategi ini menggunakan filter Kalman untuk melacak harga dan secara dinamis menyesuaikan titik stop loss dengan garis stop loss untuk mencapai stop loss geser.
Strategi ini menggunakan filter Kalman untuk melacak harga secara real time.
Persamaan prediksi:
halus = kf[1] + dk * sqrt(keuntungan / 10000 * 2)
Pembaruan persamaan:
kf = halus + velo
dimana dk adalah kesalahan prediksi, gain adalah gain Kalman yang menentukan sensitivitas pelacakan.
Selain itu, strategi ini menggunakan garis stop loss geser untuk mengunci keuntungan. Jarak stop loss awal adalah pengaturan persentase stop loss, seperti 2%.
Ketika panjang, jika harga naik, garis stop loss juga bergerak ke atas secara bertahap mendekati garis Kalman, dengan ukuran langkah downStep, seperti 0,5%. Jika harga turun ke stop loss, buka kembali posisi dan atur jarak stop loss awal.
Singkatnya sama.
Dengan demikian, strategi dapat secara bertahap mengunci keuntungan sesuai dengan tren, dengan manajemen risiko yang baik.
Gunakan filter Kalman untuk melacak harga secara real time dengan respon cepat.
Mengunci keuntungan dengan garis stop loss geser, mencapai manajemen risiko yang baik.
Pilih panjang/pendek atau hanya panjang/pendek.
Aktiv atau konservatif stop loss berdasarkan tren.
Fleksibel mengatur mengambil keuntungan dan stop loss sesuai kebutuhan.
Pengaturan parameter filter Kalman yang tidak benar dapat menyebabkan pelacakan yang tidak stabil.
Pergeseran dapat memicu titik stop loss lebih awal.
Sliding stop loss tidak cocok untuk pasar tren yang kuat, harus mengikuti tren.
Stop loss dapat sering diaktifkan di pasar range.
Masukkan lebih banyak indikator untuk mengoptimalkan waktu masuk.
Sesuaikan langkah pergerakan garis stop loss berdasarkan volatilitas pasar.
Gunakan pembelajaran mesin untuk melatih parameter stop loss yang optimal.
Masukkan lebih banyak indikator risiko untuk menyesuaikan ukuran posisi secara dinamis.
Strategi loft stop menggunakan filter Kalman untuk melacak perubahan harga dan mengunci keuntungan dengan garis stop loss yang geser, memastikan profitabilitas sambil mengendalikan risiko. Ini adalah strategi yang dapat diandalkan dan mudah dioptimalkan.
/*backtest
start: 2023-09-06 00:00:00
end: 2023-10-06 00:00:00
period: 2h
basePeriod: 15m
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/
// © BigCoinHunter
//@version=5
// strategy(title='Loft Strategy V1', overlay=true,
// pyramiding=0, default_qty_type=strategy.fixed,
// default_qty_value=100, initial_capital=100000,
// currency=currency.USD, commission_value=0.05,
// commission_type=strategy.commission.percent,
// process_orders_on_close=true)
//-------------- fetch user inputs ------------------
gain = input.float(title="Kalman Gain:", defval=1.0, minval=1.0, maxval=5000.0, step=100.0)
src = input(defval=close, title='Source:')
stopPercentMax = input.float(title='Beginning Approach(%):', defval=2.0, minval=0.1, maxval=30.0, step=0.1)
stopPercentMin = input.float(title='Final Approach(%): ', defval=0.5, minval=0.1, maxval=30.0, step=0.1)
downStep = input.float(title='Approach Decrease Step:', defval=0.005, minval=0.0, maxval = 5, step=0.005)
tp = input.float(title="Take Profit:", defval=1.5, minval=0.0, maxval=100.0, step=0.1) * 0.01
sl = input.float(title="Stop Loss: ", defval=0.0, minval=0.0, maxval=100.0, step=0.1) * 0.01
longEntry = input.bool(defval=true, title= 'Long Entry', inline="11")
shortEntry = input.bool(defval=true, title='Short Entry', inline="11")
//---------- backtest range setup ------------
fromDay = input.int(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input.int(defval = 1, title = "From Month", minval = 1, maxval = 12)
fromYear = input.int(defval = 2021, title = "From Year", minval = 2010)
toDay = input.int(defval = 30, title = "To Day", minval = 1, maxval = 31)
toMonth = input.int(defval = 12, title = "To Month", minval = 1, maxval = 12)
toYear = input.int(defval = 2022, title = "To Year", minval = 2010)
//------------ time interval setup -----------
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(toYear, toMonth, toDay, 23, 59) // backtest finish window
window() => true // create function "within window of time"
//------- define the global variables ------
enterLongComment = "ENTER LONG"
exitLongComment = "EXIT LONG"
enterShortComment = "ENTER SHORT"
exitShortComment = "EXIT SHORT"
longTPSL = "Long TP/SL"
longTP = "Long TP"
longSL = "Long SL"
shortTPSL = "Short TP/SL"
shortTP = "Short TP"
shortSL = "Short SL"
var bool long = true
var bool stoppedOutLong = false
var bool stoppedOutShort = false
var float kf = 0.0
var float velo = 0.0
//------ kalman filter calculation --------
dk = src - nz(kf[1], src)
smooth = nz(kf[1], src) + dk * math.sqrt(gain / 10000 * 2)
velo := nz(velo[1], 0) + gain / 10000 * dk
kf := smooth + velo
//--------- calculate the loft stopLoss line ---------
var stopPercent = stopPercentMax
var stopLoss = kf - kf * (stopPercent /100)
if long == true
stopLoss := kf - (kf * (stopPercent / 100))
if long[1] == true and stopLoss <= stopLoss[1]
stopLoss := stopLoss[1]
else if (long[1] == true)
stopPercent := stopPercent - downStep
if(stopPercent < stopPercentMin)
stopPercent := stopPercentMin
if(kf < stopLoss)
long := false
stopPercent := stopPercentMax
stopLoss := kf + (kf * (stopPercent / 100))
else
stopLoss := kf + (kf * (stopPercent / 100))
if long[1] == false and stopLoss >= stopLoss[1]
stopLoss := stopLoss[1]
else if(long[1] == false)
stopPercent := stopPercent - downStep
if(stopPercent < stopPercentMin)
stopPercent := stopPercentMin
if(kf > stopLoss)
long := true
stopPercent := stopPercentMax
stopLoss := kf - (kf * (stopPercent / 100))
//--------- calculate the input/output points -----------
longProfitPrice = strategy.position_avg_price * (1 + tp) // tp -> take profit percentage
longStopPrice = strategy.position_avg_price * (1 - sl) // sl -> stop loss percentage
shortProfitPrice = strategy.position_avg_price * (1 - tp)
shortStopPrice = strategy.position_avg_price * (1 + sl)
//------------------- determine buy and sell points ---------------------
buySignall = window() and long and (not stoppedOutLong)
sellSignall = window() and (not long) and (not stoppedOutShort)
//---------- execute the strategy -----------------
if(longEntry and shortEntry)
if long
strategy.entry("LONG", strategy.long, when = buySignall, comment = enterLongComment)
stoppedOutLong := true
stoppedOutShort := false
else
strategy.entry("SHORT", strategy.short, when = sellSignall, comment = enterShortComment)
stoppedOutLong := false
stoppedOutShort := true
else if(longEntry)
strategy.entry("LONG", strategy.long, when = buySignall, comment = enterLongComment)
strategy.close("LONG", when = sellSignall, comment = exitLongComment)
if long
stoppedOutLong := true
else
stoppedOutLong := false
else if(shortEntry)
strategy.entry("SHORT", strategy.short, when = sellSignall, comment = enterShortComment)
strategy.close("SHORT", when = buySignall, comment = exitShortComment)
if not long
stoppedOutShort := true
else
stoppedOutShort := false
//----------------- take profit and stop loss -----------------
if(tp>0.0 and sl>0.0)
if ( strategy.position_size > 0 )
strategy.exit(id="LONG", limit=longProfitPrice, stop=longStopPrice, comment = longTPSL)
else if ( strategy.position_size < 0 )
strategy.exit(id="SHORT", limit=shortProfitPrice, stop=shortStopPrice, comment = shortTPSL)
else if(tp>0.0)
if ( strategy.position_size > 0 )
strategy.exit(id="LONG", limit=longProfitPrice, comment = longTP)
else if ( strategy.position_size < 0 )
strategy.exit(id="SHORT", limit=shortProfitPrice, comment = shortTP)
else if(sl>0.0)
if ( strategy.position_size > 0 )
strategy.exit(id="LONG", stop=longStopPrice, comment = longSL)
else if ( strategy.position_size < 0 )
strategy.exit(id="SHORT", stop=shortStopPrice, comment = shortSL)
//------------- plot charts ---------------------
lineColor1 = long ? color.green : color.red
lineColor2 = long ? color.aqua : color.fuchsia
kalmanLine = plot(kf, color=lineColor1, linewidth=3, title = "Kalman Filter")
stopLine = plot(stopLoss, color=lineColor2, linewidth=2, title = "Stop Loss Line")