この戦略は,複数の移動平均値の方向性を分析することによって,長期的トレンド方向を決定します.トレンドに応じて長いか短いかします.
論理的には
異なる期間の移動平均を計算します.例えば,5日,20日50日などです.
MA の方向性傾向を比較し,一貫した調整を決定する
MAs が均等に上昇する傾向にある場合,長期的に上昇傾向がみられ,均等に下がる場合,長期的に下落傾向がみられる.
上昇傾向の条件では,ダウンサイドストップロスの上のブレイクがロングエントリーを誘発します.
低迷状態では,上方ストップロスの下でのブレイクアウトは,ショートエントリーを誘発します.
トレーリングストップはリスクを制御するために使用されます
戦略は,非体系的なリスクを減らすために,取引前に長期的傾向を確認することを強調しています.
長期的トレンド方向性を判断するために複数のMAが結合する
ブレイクアウトエントリーが傾向をたどる
トレイリングストップ戦略はリスクを制御する
MA の自らが価格を遅らせている
誤った傾向判断は持続的な損失につながる
LONG や SHORT は 機会 を 逃す だけ
この戦略は,非体系的なリスクを最小限に抑えるために,MA方向性による世俗的傾向の決定を強調する.しかし判断の正確性とストップチューニングは重要です.
/*backtest
start: 2022-09-07 00:00:00
end: 2023-06-24 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/
// © HeWhoMustNotBeNamed
//@version=4
strategy("TrendMaAlignmentStrategy", overlay=true, initial_capital = 2000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.cash_per_order, pyramiding = 1, commission_value = 2)
MAType = input(title="Moving Average Type", defval="sma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
LookbackPeriod = input(5, step=10)
shortHighLowPeriod = input(10, step=10)
longHighLowPeriod = input(20, step=10)
atrlength=input(22)
stopMultiplyer = input(6, minval=1, maxval=10, step=0.5)
reentryStopMultiplyer = input(3, minval=1, maxval=10, step=0.5)
exitOnSignal = input(false)
tradeDirection = input(title="Trade Direction", defval=strategy.direction.long, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
backtestYears = input(10, minval=1, step=1)
inDateRange = true
allowReduceCompound=true
includePartiallyAligned = true
considerYearlyHighLow = true
considerNewLongTermHighLows = true
//////////////////////////////////// Get Moving average ///////////////////////////////////
f_getMovingAverage(source, MAType, length)=>
ma = sma(source, length)
if(MAType == "ema")
ma := ema(source,length)
if(MAType == "hma")
ma := hma(source,length)
if(MAType == "rma")
ma := rma(source,length)
if(MAType == "vwma")
ma := vwma(source,length)
if(MAType == "wma")
ma := wma(source,length)
ma
f_getMaAlignment(MAType, includePartiallyAligned)=>
ma5 = f_getMovingAverage(close,MAType,5)
ma10 = f_getMovingAverage(close,MAType,10)
ma20 = f_getMovingAverage(close,MAType,20)
ma30 = f_getMovingAverage(close,MAType,30)
ma50 = f_getMovingAverage(close,MAType,50)
ma100 = f_getMovingAverage(close,MAType,100)
ma200 = f_getMovingAverage(close,MAType,200)
upwardScore = 0
upwardScore := close > ma5? upwardScore+1:upwardScore
upwardScore := ma5 > ma10? upwardScore+1:upwardScore
upwardScore := ma10 > ma20? upwardScore+1:upwardScore
upwardScore := ma20 > ma30? upwardScore+1:upwardScore
upwardScore := ma30 > ma50? upwardScore+1:upwardScore
upwardScore := ma50 > ma100? upwardScore+1:upwardScore
upwardScore := ma100 > ma200? upwardScore+1:upwardScore
upwards = close > ma5 and ma5 > ma10 and ma10 > ma20 and ma20 > ma30 and ma30 > ma50 and ma50 > ma100 and ma100 > ma200
downwards = close < ma5 and ma5 < ma10 and ma10 < ma20 and ma20 < ma30 and ma30 < ma50 and ma50 < ma100 and ma100 < ma200
upwards?1:downwards?-1:includePartiallyAligned ? (upwardScore > 5? 0.5: upwardScore < 2?-0.5:upwardScore>3?0.25:-0.25) : 0
f_getMaAlignmentHighLow(MAType, includePartiallyAligned, LookbackPeriod)=>
maAlignment = f_getMaAlignment(MAType,includePartiallyAligned)
[highest(maAlignment, LookbackPeriod), lowest(maAlignment, LookbackPeriod)]
//////////////////////////////////// Calculate new high low condition //////////////////////////////////////////////////
f_calculateNewHighLows(shortHighLowPeriod, longHighLowPeriod, considerNewLongTermHighLows)=>
newHigh = highest(shortHighLowPeriod) == highest(longHighLowPeriod) or not considerNewLongTermHighLows
newLow = lowest(shortHighLowPeriod) == lowest(longHighLowPeriod) or not considerNewLongTermHighLows
[newHigh,newLow]
//////////////////////////////////// Calculate stop and compound //////////////////////////////////////////////////
f_calculateStopAndCompound(target, atr, stopMultiplyer, allowReduceCompound, barState)=>
buyStop = target - (stopMultiplyer * atr)
sellStop = target + (stopMultiplyer * atr)
buyStop := (barState > 0 or strategy.position_size > 0 ) and (buyStop < buyStop[1] or close < sellStop[1])? buyStop[1] : strategy.position_size < 0 and close > buyStop[1]? buyStop[1] : barState < 0 and allowReduceCompound and buyStop > buyStop[1] ? buyStop[1] : buyStop
sellStop := (barState < 0 or strategy.position_size < 0) and (sellStop > sellStop[1] or close > buyStop[1])? sellStop[1] : strategy.position_size > 0 and close < sellStop[1]? sellStop[1]: barState > 0 and allowReduceCompound and sellStop < sellStop[1] ? sellStop[1] : sellStop
[buyStop, sellStop]
//////////////////////////////////// Calculate Yearly High Low //////////////////////////////////////////////////
f_getYearlyHighLowCondition(considerYearlyHighLow)=>
yhigh = security(syminfo.tickerid, '12M', high[1])
ylow = security(syminfo.tickerid, '12M', low[1])
yhighlast = yhigh[365]
ylowlast = ylow[365]
yhighllast = yhigh[2 * 365]
ylowllast = ylow[2 * 365]
yearlyTrendUp = na(yhigh)? true : na(yhighlast)? close > yhigh : na(yhighllast)? close > max(yhigh,yhighlast) : close > max(yhigh, min(yhighlast, yhighllast))
yearlyHighCondition = ( (na(yhigh) or na(yhighlast) ? true : (yhigh > yhighlast) ) and ( na(yhigh) or na(yhighllast) ? true : (yhigh > yhighllast))) or yearlyTrendUp or not considerYearlyHighLow
yearlyTrendDown = na(ylow)? true : na(ylowlast)? close < ylow : na(ylowllast)? close < min(ylow,ylowlast) : close < min(ylow, max(ylowlast, ylowllast))
yearlyLowCondition = ( (na(ylow) or na(ylowlast) ? true : (ylow < ylowlast) ) and ( na(ylow) or na(ylowllast) ? true : (ylow < ylowllast))) or yearlyTrendDown or not considerYearlyHighLow
[yearlyHighCondition,yearlyLowCondition]
atr = atr(atrlength)
[maAlignmentHigh, maAlignmentLow] = f_getMaAlignmentHighLow(MAType, includePartiallyAligned, LookbackPeriod)
[newHigh,newLow] = f_calculateNewHighLows(shortHighLowPeriod, longHighLowPeriod, considerNewLongTermHighLows)
[middle, upper, lower] = bb(close, 20, 2)
barState = (maAlignmentLow > 0 or maAlignmentHigh == 1) and newHigh ? 1 : (maAlignmentHigh < 0 or maAlignmentLow == -1) and newLow ? -1 : 0
[buyStop, sellStop] = f_calculateStopAndCompound(close, atr, stopMultiplyer, allowReduceCompound, barState)
[yearlyHighCondition,yearlyLowCondition] = f_getYearlyHighLowCondition(considerYearlyHighLow)
barcolor(barState == 1?color.lime : barState == -1? color.orange: color.silver)
//plot(maAlignmentHigh, title="AlighmentHigh", color=color.green, linewidth=2, style=plot.style_line)
//plot(maAlignmentLow, title="AlignmentLow", color=color.red, linewidth=2, style=plot.style_line)
plot(barState == 1 or strategy.position_size != 0 ?buyStop:na, title="BuyStop", color=color.green, linewidth=2, style=plot.style_linebr)
plot(barState == -1 or strategy.position_size != 0 ?sellStop:na, title="SellStop", color=color.red, linewidth=2, style=plot.style_linebr)
buyEntry = barState == 1 and close - reentryStopMultiplyer*atr > buyStop and yearlyHighCondition and inDateRange
sellEntry = barState == -1 and close + reentryStopMultiplyer*atr < sellStop and yearlyLowCondition and inDateRange
buyExit = barState == -1
sellExit = barState == 1
strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Buy", strategy.long, when=buyEntry)
strategy.close("Buy", when=buyExit and exitOnSignal)
strategy.exit("ExitBuy", "Buy", stop = buyStop)
strategy.entry("Sell", strategy.short, when=sellEntry)
strategy.close("Sell", when=sellExit and exitOnSignal)
strategy.exit("ExitSell", "Sell", stop = sellStop)