Strategi mengikuti tren berdasarkan rata-rata pergerakan

Tanggal Pembuatan: 2024-01-24 14:24:36 Akhirnya memodifikasi: 2024-01-24 14:24:36

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Strategi mengikuti tren berdasarkan rata-rata pergerakan

Ringkasan

Strategi ini adalah strategi mengikuti tren sederhana yang didasarkan pada rata-rata bergerak. Strategi ini menilai arah tren saat ini dengan membandingkan hubungan besar antara rata-rata bergerak dari periode yang berbeda, dan untuk menentukan durasi tren. Strategi ini melakukan lebih banyak ketika rata-rata berkala pendek melintasi rata-rata berkala panjang dari bawah ke atas, dan kosong ketika rata-rata berkala pendek melintasi rata-rata berkala panjang dari atas ke bawah.

Prinsip Strategi

Strategi ini menggunakan empat rata-rata bergerak dengan periode yang berbeda: garis 5, 10, 15, dan 25. Empat garis rata-rata ini disebut MA1, MA2, MA3, dan MA4. Di antaranya, MA1 adalah yang terpendek dan MA4 adalah yang terpanjang.

Ketika MA1>MA2>MA3>MA4 menunjukkan bahwa harga berada dalam tren naik, maka lakukan lebih banyak; ketika MA1

Kondisi pembukaan posisi over dan short juga perlu memenuhi filter stop loss ATR, yaitu nilai ATR lebih besar dari rata-rata bergerak sederhana 40 siklus ATR, yang dapat menghindari sinyal kesalahan saat harga bergoyang selama satu jam.

Keunggulan Strategis

Strategi ini memiliki keuntungan sebagai berikut:

Ini adalah ide yang sederhana, mudah dipahami, dan mudah diterapkan.
Menggunakan beberapa kelompok rata-rata bergerak untuk menentukan arah tren.
Mengatur Stop Loss, Anda dapat secara efektif mengontrol kerugian maksimum dalam satu transaksi.
ATR stop loss filter dapat mencegah sinyal yang salah saat harga bergejolak.

Analisis risiko

Strategi ini juga memiliki risiko sebagai berikut:

Dalam situasi pasar yang sangat bergejolak, sinyal yang salah akan muncul.
Pengaturan parameter yang tidak tepat (misalnya siklus rata-rata) dapat menyebabkan efek strategi yang buruk.
Tidak mempertimbangkan dampak dari berita-berita mendasar dan penting terhadap harga.

Untuk mengurangi risiko ini, parameter dapat dioptimalkan sesuai, atau menambahkan kondisi filter lainnya untuk meningkatkan stabilitas strategi.

Arah optimasi

Strategi ini dioptimalkan untuk:

Uji berbagai kombinasi parameter periode rata-rata bergerak untuk mencari parameter optimal.
Menambahkan filter indikator teknis lainnya, seperti MACD, KDJ dan lain-lain untuk menilai keandalan sinyal.
Meningkatkan filter volume transaksi, hanya melakukan transaksi jika volume transaksi meningkat.
Optimasi parameter varietas berdasarkan perbedaan parameter varietas.
Meningkatkan sinyal penilaian algoritma pembelajaran mesin.

Meringkaskan

Strategi ini secara keseluruhan adalah strategi yang lebih sederhana mengikuti tren, dengan bergerak rata-rata menilai arah tren, mengatur yang masuk akal stop-stop loss untuk mengendalikan tingkat risiko. Ada ruang untuk mengoptimalkan strategi yang luas, dengan cara menyesuaikan parameter, menambahkan filter dan lain-lain dapat meningkatkan stabilitas strategi dan profitabilitas.

Kode Sumber Strategi

/*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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