Strategi ini merancang garis stop loss bergerak dan garis pembalikan berdasarkan indikator Average True Range (ATR). Ini akan mengikuti stop loss berdasarkan pergerakan harga. Secara khusus, jika pergerakan harga melebihi 1%, stop loss akan bergerak menuju arah keuntungan pada proporsi tetap. Ketika harga menembus garis stop loss, posisi akan ditutup secara otomatis. Ini dapat mengunci keuntungan dan mengurangi kerugian.
Strategi ini menggunakan indikator ATR untuk menghitung garis stop loss.
atr = multplierFactor * atr(barsBack)
longStop = hl2 - atr
shortStop = hl2 + atr
Di mana multiplierFactor adalah multiplier ATR, dan barBack adalah periode ATR. Semakin besar nilai ATR, semakin besar fluktuasi pasar.
Lini stop loss longStop dan shortStop dihitung berdasarkan nilai ATR. Sinyal perdagangan dipicu ketika harga melebihi kedua garis ini.
Selain itu, variabel arah diperkenalkan untuk menentukan arah tren:
direction = 1
direction := nz(direction[1], direction)
direction := direction == -1 and close > shortStopPrev ? 1 : direction == 1 and close < longStopPrev ? -1 : direction
Jika arahnya adalah 1, itu menunjukkan tren bullish. Jika arahnya adalah -1, itu menunjukkan tren bearish.
Berdasarkan nilai variabel arah, garis stop loss dengan warna yang berbeda akan ditarik:
if (direction == 1)
valueToPlot := longStop
colorToPlot := color.green
else
valueToPlot := shortStop
colorToPlot := color.red
Ini jelas menunjukkan arah tren saat ini dan posisi stop loss line.
Poin utama dari strategi ini adalah pengenalan mekanisme stop loss trailing yang dapat menyesuaikan garis stop loss secara real time berdasarkan pergerakan harga.
Logika spesifiknya adalah:
strategyPercentege = (close - updatedEntryPrice) / updatedEntryPrice * 100.00
rideUpStopLoss = hasOpenTrade() and strategyPercentege > 1
if (rideUpStopLoss)
stopLossPercent := stopLossPercent + strategyPercentege - 1.0
newStopLossPrice = updatedEntryPrice + (updatedEntryPrice * stopLossPercent) / 100
stopLossPrice := max(stopLossPrice, newStopLossPrice)
updatedEntryPrice := stopLossPrice
Jika harga naik lebih dari 1% relatif terhadap harga masuk, stop loss akan ditarik ke atas.
Hal ini dapat mengunci lebih banyak keuntungan sambil mengurangi kerugian.
Dibandingkan dengan strategi stop loss bergerak tradisional, keuntungan terbesar dari strategi ini adalah bahwa ia dapat secara dinamis menyesuaikan garis stop loss sesuai dengan kondisi pasar.
Mencapai penguncian keuntungan yang lebih tinggi di pasar tren
Mekanisme stop loss trailing memungkinkan garis stop loss untuk terus bergerak ke arah keuntungan. Ini mengunci keuntungan yang lebih tinggi ketika pasar terus menguat.
Mengurangi risiko stop loss gaping di pasar range bound
Ketika tren pasar berubah, stop loss bergerak tetap cenderung dilewatkan. Sementara garis stop loss dari strategi ini dihitung berdasarkan volatilitas pasar, yang dapat dengan wajar melacak perubahan harga dan menghindari dilewatkan dalam konsolidasi.
Operasi sederhana, mudah untuk mengotomatisasi
Strategi ini sepenuhnya didasarkan pada perhitungan indikator tanpa logika penilaian tren yang kompleks.
Parameter yang dapat disesuaikan yang cocok untuk produk yang berbeda
Parameter seperti periode ATR, faktor pengganda, persentase stop loss dapat disesuaikan.
Meskipun strategi ini memiliki banyak keuntungan, risiko berikut harus dicatat:
Tidak dapat menentukan titik pembalikan tren, ada risiko membeli tinggi dan menjual rendah
Tidak ada logika dalam strategi ini untuk menentukan apakah tren telah berakhir.
Pengaturan parameter yang tidak benar dapat memperkuat kerugian
Jika parameter periode ATR diatur terlalu pendek, garis stop loss akan terlalu sensitif dan mungkin sering dipicu oleh pasar yang berosilasi.
Risiko terhenti dari ikan dasar rebound
Strategi ini tidak mempertimbangkan poin signifikan sebagai dukungan stop loss. sehingga juga dapat dibuang dari pasar selama penurunan jangka pendek.
Untuk mengatasi risiko di atas, optimasi dapat dilakukan dalam aspek berikut:
Menggabungkan indikator penyaringan tren untuk memprediksi pembalikan tren sebelumnya
Pengujian optimasi parameter untuk memilih kombinasi parameter optimal
Memperluas rentang stop loss di dekat level support tertentu
Ada ruang untuk optimalisasi lebih lanjut dari strategi ini:
Masukkan pengenalan pola candlestick
Mengidentifikasi beberapa pola lilin khas seperti divergensi dan bintang jatuh untuk menilai kemungkinan pembalikan tren. Ini dapat menghindari risiko membeli tinggi dan menjual rendah.
Optimalisasi dinamis dari parameter pengangkut
Mengizinkan parameter seperti periode ATR dan faktor multiplier untuk berubah secara dinamis. Gunakan periode ATR yang lebih lama dan rentang stop loss yang lebih luas di pasar yang sangat fluktuatif.
Mengintegrasikan model pembelajaran mesin
Menggunakan LSTM, RNN dan model pembelajaran mendalam lainnya untuk memprediksi rentang harga masa depan yang mungkin dan menyesuaikan jarak stop loss secara dinamis.
Singkatnya, strategi ini menggunakan indikator ATR untuk merancang garis stop loss bergerak, dan memperkenalkan mekanisme stop loss trailing yang dapat menyesuaikan posisi stop loss secara real time berdasarkan perubahan pasar. Ini mencapai penguncian keuntungan yang lebih tinggi sekaligus mengurangi risiko. Dengan optimasi lebih lanjut, strategi ini dapat menjadi lebih adaptif terhadap berbagai situasi pasar dan berfungsi sebagai strategi perdagangan yang kuat.
/*backtest start: 2022-11-21 00:00:00 end: 2023-11-27 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 // // ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ // ----------------------------------------------------------------------------- // Copyright 2019 Mauricio Pimenta | exit490 // SuperTrend with Trailing Stop Loss script may be freely distributed under the MIT license. // // Permission is hereby granted, free of charge, // to any person obtaining a copy of this software and associated documentation files (the "Software"), // to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, // publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, // subject to the following conditions: // // The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. // // THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, // EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, // FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, // DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, // OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. // // ----------------------------------------------------------------------------- // // Authors: @exit490 // Revision: v1.0.0 // Date: 5-Aug-2019 // // Description // =========== // SuperTrend is a moving stop and reversal line based on the volatility (ATR). // The strategy will ride up your stop loss when price moviment 1%. // The strategy will close your operation when the market price crossed the stop loss. // The strategy will close operation when the line based on the volatility will crossed // // The strategy has the following parameters: // // INITIAL STOP LOSS - Where can isert the value to first stop. // POSITION TYPE - Where can to select trade position. // ATR PERIOD - To select number of bars back to execute calculation // ATR MULTPLIER - To add a multplier factor on volatility // BACKTEST PERIOD - To select range. // // ----------------------------------------------------------------------------- // Disclaimer: // 1. I am not licensed financial advisors or broker dealers. I do not tell you // when or what to buy or sell. I developed this software which enables you // execute manual or automated trades multplierFactoriplierFactoriple trades using TradingView. The // software allows you to set the criteria you want for entering and exiting // trades. // 2. Do not trade with money you cannot afford to lose. // 3. I do not guarantee consistent profits or that anyone can make money with no // effort. And I am not selling the holy grail. // 4. Every system can have winning and losing streaks. // 5. Money management plays a large role in the results of your trading. For // example: lot size, account size, broker leverage, and broker margin call // rules all have an effect on results. Also, your Take Profit and Stop Loss // settings for individual pair trades and for overall account equity have a // major impact on results. If you are new to trading and do not understand // these items, then I recommend you seek education materials to further your // knowledge. // // YOU NEED TO FIND AND USE THE TRADING SYSTEM THAT WORKS BEST FOR YOU AND YOUR // TRADING TOLERANCE. // // I HAVE PROVIDED NOTHING MORE THAN A TOOL WITH OPTIONS FOR YOU TO TRADE WITH THIS PROGRAM ON TRADINGVIEW. // // I accept suggestions to improve the script. // If you encounter any problems I will be happy to share with me. // ----------------------------------------------------------------------------- // // ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ // strategy(title = "SUPERTREND ATR WITH TRAILING STOP LOSS", shorttitle = "SUPERTREND ATR WITH TSL", overlay = true, precision = 8, calc_on_order_fills = true, calc_on_every_tick = true, backtest_fill_limits_assumption = 0, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital = 1000, currency = currency.USD, linktoseries = true) // // ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ // // === BACKTEST RANGE === backTestSectionFrom = input(title = "═══════════════ FROM ═══════════════", defval = true, type = input.bool) FromMonth = input(defval = 1, title = "Month", minval = 1) FromDay = input(defval = 1, title = "Day", minval = 1) FromYear = input(defval = 2019, title = "Year", minval = 2014) backTestSectionTo = input(title = "════════════════ TO ════════════════", defval = true, type = input.bool) ToMonth = input(defval = 31, title = "Month", minval = 1) ToDay = input(defval = 12, title = "Day", minval = 1) ToYear = input(defval = 9999, title = "Year", minval = 2014) backTestPeriod() => (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59)) // // ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ // parameterSection = input(title = "═════════════ STRATEGY ═════════════", defval = true, type = input.bool) // === INPUT TO SELECT POSITION === positionType = input(defval="LONG", title="Position Type", options=["LONG", "SHORT"]) // === INPUT TO SELECT INITIAL STOP LOSS initialStopLossPercent = input(defval = 3.0, minval = 0.0, title="Initial Stop Loss") // === INPUT TO SELECT BARS BACK barsBack = input(title="ATR Period", defval=1) // === INPUT TO SELECT MULTPLIER FACTOR multplierFactor = input(title="ATR multplierFactoriplier", step=0.1, defval=3.0) // // ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ // // LOGIC TO FIND DIRECTION WHEN THERE IS TREND CHANGE ACCORDING VOLATILITY atr = multplierFactor * atr(barsBack) longStop = hl2 - atr longStopPrev = nz(longStop[1], longStop) longStop := close[1] > longStopPrev ? max(longStop, longStopPrev) : longStop shortStop = hl2 + atr shortStopPrev = nz(shortStop[1], shortStop) shortStop := close[1] < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop direction = 1 direction := nz(direction[1], direction) direction := direction == -1 and close > shortStopPrev ? 1 : direction == 1 and close < longStopPrev ? -1 : direction longColor = color.blue shortColor = color.blue var valueToPlot = 0.0 var colorToPlot = color.white if (direction == 1) valueToPlot := longStop colorToPlot := color.green else valueToPlot := shortStop colorToPlot := color.red // // ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ // // // === GLOBAL VARIABLES AND FUNCTIONS TO STORE IMPORTANT CONDITIONALS TO TRAILING STOP hasEntryLongConditional() => direction == 1 hasCloseLongConditional() => direction == -1 hasEntryShortConditional() => direction == -1 hasCloseShortConditional() => direction == 1 stopLossPercent = positionType == "LONG" ? initialStopLossPercent * -1 : initialStopLossPercent var entryPrice = 0.0 var updatedEntryPrice = 0.0 var stopLossPrice = 0.0 hasOpenTrade() => strategy.opentrades != 0 notHasOpenTrade() => strategy.opentrades == 0 strategyClose() => if positionType == "LONG" strategy.close("LONG", when=true) else strategy.close("SHORT", when=true) strategyOpen() => if positionType == "LONG" strategy.entry("LONG", strategy.long, when=true) else strategy.entry("SHORT", strategy.short, when=true) isLong() => positionType == "LONG" ? true : false isShort() => positionType == "SHORT" ? true : false // // ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ // // // === LOGIC TO TRAILING STOP IN LONG POSITION if (isLong() and backTestPeriod()) crossedStopLoss = close <= stopLossPrice terminateOperation = hasOpenTrade() and (crossedStopLoss or hasCloseLongConditional()) if (terminateOperation) entryPrice := 0.0 updatedEntryPrice := entryPrice stopLossPrice := 0.0 strategyClose() startOperation = notHasOpenTrade() and hasEntryLongConditional() if(startOperation) entryPrice := close updatedEntryPrice := entryPrice stopLossPrice := entryPrice + (entryPrice * stopLossPercent) / 100 strategyOpen() strategyPercentege = (close - updatedEntryPrice) / updatedEntryPrice * 100.00 rideUpStopLoss = hasOpenTrade() and strategyPercentege > 1 if (isLong() and rideUpStopLoss) stopLossPercent := stopLossPercent + strategyPercentege - 1.0 newStopLossPrice = updatedEntryPrice + (updatedEntryPrice * stopLossPercent) / 100 stopLossPrice := max(stopLossPrice, newStopLossPrice) updatedEntryPrice := stopLossPrice // // ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ // // // === LOGIC TO TRAILING STOP IN SHORT POSITION if (isShort() and backTestPeriod()) crossedStopLoss = close >= stopLossPrice terminateOperation = hasOpenTrade() and (crossedStopLoss or hasCloseShortConditional()) if (terminateOperation) entryPrice := 0.0 updatedEntryPrice := entryPrice stopLossPrice := 0.0 strategyClose() startOperation = notHasOpenTrade() and hasEntryShortConditional() if(startOperation) entryPrice := close updatedEntryPrice := entryPrice stopLossPrice := entryPrice + (entryPrice * stopLossPercent) / 100 strategyOpen() strategyPercentege = (close - updatedEntryPrice) / updatedEntryPrice * 100.00 rideDownStopLoss = hasOpenTrade() and strategyPercentege < -1 if (rideDownStopLoss) stopLossPercent := stopLossPercent + strategyPercentege + 1.0 newStopLossPrice = updatedEntryPrice + (updatedEntryPrice * stopLossPercent) / 100 stopLossPrice := min(stopLossPrice, newStopLossPrice) updatedEntryPrice := stopLossPrice // // ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ // // === DRAWING SHAPES entryPricePlotConditinal = entryPrice == 0.0 ? na : entryPrice trailingStopLossPlotConditional = stopLossPrice == 0.0 ? na : stopLossPrice plotshape(entryPricePlotConditinal, title= "Entry Price", color=color.blue, style=shape.circle, location=location.absolute, size=size.tiny) plotshape(trailingStopLossPlotConditional, title= "Stop Loss", color=color.red, style=shape.circle, location=location.absolute, size=size.tiny) plot(valueToPlot == 0.0 ? na : valueToPlot, title="BuyLine", linewidth=2, color=colorToPlot) plotshape(direction == 1 and direction[1] == -1 ? longStop : na, title="Buy", style=shape.labelup, location=location.absolute, size=size.normal, text="Buy", transp=0, textcolor = color.white, color=color.green, transp=0) plotshape(direction == -1 and direction[1] == 1 ? shortStop : na, title="Sell", style=shape.labeldown, location=location.absolute, size=size.normal, text="Sell", transp=0, textcolor = color.white, color=color.red, transp=0) alertcondition(direction == 1 and direction[1] == -1 ? longStop : na, title="Buy", message="Buy!") alertcondition(direction == -1 and direction[1] == 1 ? shortStop : na, title="Sell", message="Sell!")