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2. 지속가능한 트래일링 스톱 로스 거래 전략

지속가능한 트래일링 스톱 로스 거래 전략

저자:차오장, 날짜: 2023-12-12 17:29:24
태그:

---

---

/*backtest
start: 2022-12-05 00:00:00
end: 2023-12-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ 
//  -----------------------------------------------------------------------------
//  Copyright 2019 Mauricio Pimenta | exit490
//  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:     03-Aug-2019
//
//  DESCRIPTION
//  ===========
//
//  This TradingView strategy it is designed to integrate with other strategies with indicators. 
//  It performs a trailing stop loss from entry and exit conditions. 
//  In this strategy you can add conditions for long and short positions.
//  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.
//  Also is possible to select the period that strategy will execute the backtest.
//
//  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.
//  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 multiple 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("TRAILING STOP LOSS TO LONG AND SHORT", overlay=true)

// === ADD YOUR CONTIDIONAL HERE ====

hasEntryLongConditional() => 1 == 1
hasCloseLongConditional() => 1 != 1

hasEntryShortConditional() => 1 == 1
hasCloseShortConditional() => 1 != 1

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //

// === 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 = 2014, 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")

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //

// === GLOBAL VARIABLES AND FUNCTIONS TO STORE IMPORTANT CONDITIONALS
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)

---

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