Strategi hentian mengekori berdasarkan henti rugi anjal
ChaoZhang
Gambaran keseluruhan
Strategi ini berdasarkan kepada indikator stop loss yang fleksibel, menetapkan isyarat beli dan jual, melakukan operasi long dan short. Apabila indikator muncul dengan isyarat beli, lakukan lebih banyak; apabila muncul dengan isyarat jual, buat kosong. Strategi ini juga menggabungkan mekanisme tracking stop loss, yang dapat mengawal risiko dengan berkesan.
Prinsip
Strategi ini menggunakan penunjuk stop loss elastis untuk mengenal pasti titik perubahan trend dan melakukan operasi pembalikan. Di dalam penunjuk, penunjuk menggunakan penunjuk julat sebenar untuk mengenal pasti harga yang melampau, dan apabila harga melebihi nilai yang melampau, ia dianggap sebagai pemecahan yang luar biasa dan kemungkinan pembalikan trend.
Dalam trend naik, apabila harga lebih tinggi daripada EP, ia dianggap sebagai pelanggaran yang luar biasa, di mana EP dikemas kini sebagai harga tertinggi, dan TP adalah harga terendah. Apabila harga lebih rendah daripada TP, ia dianggap sebagai pembalikan trend, menghasilkan isyarat jual. Dalam trend turun, prinsipnya serupa.
Strategi ini digabungkan dengan mekanisme penjejakan hentian kerugian, apabila kedudukan dibuka, ia akan menjejaki harga hentian yang optimum dalam masa nyata, mengawal risiko sambil menjamin keuntungan. Khususnya, selepas melakukan lebih banyak, garis hentian kerugian akan menjejaki titik rendah penutupan; selepas melakukan pelepasan, garis hentian kerugian menjejaki titik tinggi penutupan.
Kelebihan
Strategi ini mempunyai kelebihan berikut:
Menggunakan penunjuk untuk mengenal pasti titik perubahan trend, tidak mudah untuk dipenjarakan.
Mengesan mekanisme henti kerugian, yang boleh mengunci keuntungan dan mengelakkan kerugian daripada berkembang.
Parameter penunjuk adalah mudah dan mudah dilaksanakan.
Anda boleh mengkonfigurasi isyarat pembelian dan penjualan, mudah untuk digunakan.
Anda boleh menyesuaikan kitaran tindak balas yang fleksibel untuk menilai keberkesanan strategi secara menyeluruh.
Risiko
Strategi ini mempunyai beberapa risiko:
Penunjuk ini terlewat dan mungkin terlepas titik terbaik di mana trend berbalik.
Hentikan terlalu radikal dan mungkin terjejas oleh pergerakan harga jangka pendek.
Pilihan kitaran pengulangan yang tidak tepat tidak dapat menilai sepenuhnya keberkesanan strategi.
Perlu memberi perhatian kepada kesan kos urus niaga terhadap keuntungan.
Menghadapi risiko boleh dioptimumkan dengan:
Menyesuaikan parameter penunjuk untuk mengurangkan ketinggalan.
Mengoptimumkan algoritma stop loss untuk mengelakkan penipuan.
Pilih kitaran pengulangan yang sesuai untuk memastikan kebolehpercayaan.
Mengoptimumkan pengurusan kedudukan dan mengurangkan kos transaksi.
Arah pengoptimuman
Strategi ini boleh dioptimumkan dengan cara:
Gabungan dengan penunjuk trend, mengelakkan perdagangan terbalik daripada ditumpukan. Anda boleh menggunakan penunjuk seperti MA untuk menentukan trend besar.
Mengoptimumkan algoritma pengurusan kedudukan, seperti kedudukan peratusan tetap, kedudukan dinamik dan sebagainya.
Menambah penapis jumlah transaksi untuk mengelakkan kesilapan transaksi yang disebabkan oleh celah tersebut.
Mengoptimumkan parameter untuk mencari kombinasi parameter terbaik.
Bergabunglah dengan strategi stop-loss, berhenti tepat pada masanya semasa trend sedang berjalan.
Mengoptimumkan strategi hentikan kerugian untuk menjadikan hentikan kerugian lebih lancar. Anda boleh mencuba algoritma hentikan kerugian seperti Chandelier Exit.
Optimumkan jenis dagangan, tempoh masa, dan lain-lain untuk meningkatkan kebolehan strategi.
Menambah algoritma pembelajaran mesin untuk menjadikan strategi lebih mudah disesuaikan.
ringkaskan
Strategi ini secara keseluruhan lebih mudah dan boleh dipercayai, menggunakan indikator kemerosotan yang fleksibel untuk mengenal pasti titik balik, dan dilengkapi dengan pengendalian risiko mekanisme berhenti, boleh digunakan sebagai strategi pembalikan garis pendek. Tetapi masih perlu berhati-hati dengan masalah seperti metrik yang terlewat, berhenti terlalu radikal. Dengan pengoptimuman lanjut, diharapkan untuk mendapatkan kesan strategi yang lebih baik.
Overview
This strategy is based on the Parabolic SAR indicator to generate buy and sell signals for long and short positions. It also incorporates a trailing stop loss mechanism to effectively control risks.
Principle
The core of this strategy is to identify trend reversal points using the Parabolic SAR indicator for counter-trend trading. The indicator uses the true range to detect extreme prices. When the price exceeds the extreme, it is considered a breakout and a sign of potential trend reversal. Specifically, the indicator maintains two variables: the Extreme Price (EP) and the Trigger Price (TP). The EP represents the highest/lowest price of the current trend, while the TP is derived from the EP.
In an uptrend, when the price is higher than the EP, it is considered a breakout. The EP is then updated to the highest price and the TP to the lowest price. When the price falls below the TP, a trend reversal is identified and a sell signal is generated. The same principle applies for a downtrend.
The strategy also incorporates a trailing stop loss mechanism. After opening a position, it will track the optimal stop loss price in real-time, locking in profits while controlling risks. Specifically, after long entry, the stop loss tracks the closing low; after short entry, it tracks the closing high.
Advantages
The main advantages of this strategy are:
Identify trend reversal points with the indicator, avoiding being trapped in trends.
Trailing stop loss locks in profits and prevents wider losses.
Simple indicator parameters, easy to implement.
Configurable buy/sell signal alerts for convenience.
Flexible backtest period configuration for thorough evaluation.
Risks
There are also some risks to consider:
Indicator lag may miss optimal reversal points.
Aggressive stops may be stopped out by short-term fluctuations.
Improper backtest period selection cannot fully evaluate the strategy.
Transaction costs may impair profits.
Some ways to address the risks are:
Optimize parameters to reduce lag.
Improve stop loss algorithm to avoid being stopped out unnecessarily.
Select appropriate backtest periods for reliability.
Optimize position sizing to lower transaction costs.
Enhancement
Some ways to further optimize the strategy:
Incorporate trend indicators like MA to avoid being trapped in countertrends.
Optimize position sizing algorithms, e.g. fixed fractional, dynamic.
Add volume filter to avoid false signals from gaps.
Parameter optimization to find optimal combinations.
Implement profit taking strategies to lock in profits in trends.
Refine stop loss algorithms for smoother stops. Experiment with Chandelier Exit etc.
Optimize across products, time frames etc. to improve adaptability.
Incorporate machine learning for greater adaptability.
Summary
In summary, this is a simple and robust strategy using the Parabolic SAR to identify reversals and trailing stop loss to control risk. It can work as a short-term mean-reversion strategy. But indicator lag and oversensitive stops need to be addressed. Further optimizations can lead to improved performance.
/*backtest
start: 2023-09-10 00:00:00
end: 2023-10-10 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("PB SAR BackTest - Colorbar", overlay=false)
// Full credit to Sawcruhteez, Lucid Investment Strategies LLC, Casey Bowman and Peter Brandt.
// This is a strategy version of the Peterbolic SAR indicator created by the above-mentioned parties.
// Original version of the indicator: https://www.tradingview.com/script/6nYrH3Vm-Peterbolic-SAR/
// SAR #1
// Lucid Sar
// Branded under the name "Lucid SAR"
// as agreed to with Lucid Investment Strategies LLC on July 9, 2019
// https://lucidinvestmentstrategies.com/
// see branch "lucid"
// SAR #2
// Peterbolic Sar
// Using the name "Peterbolic SAR"
// as agreed to by Peter Brandt on October 2, 2019
// - https://twitter.com/PeterLBrandt/status/1179365590668075008
// in response to request from Sawcruhteez
// - https://twitter.com/Sawcruhteez/status/1179213105705836544
// Sawcruhteez gives credit to @CrazyGabey for coming up with the name
// - https://twitter.com/Sawcruhteez/status/1179213196583940097
// see branch "peterbolic"
// SAR #3
// Sawcruhteez Sar
// Branded under the name "Sawcruhteez SAR"
// as agreed to with Sawcruhteez on September 11, 2019
// see branch "sawcruhteez"
// Open Source on github
// https://github.com/casey-bowman/sar/blob/peterbolic/peterbolic.pine
// Created by Casey Bowman on July 4, 2019
// MIT License
// Copyright (c) 2019 Casey Bowman
// 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.
TSR() =>
// start with uptrend
var uptrend = true
var EP = high // extreme price - high or low depending on trend
var SP = low // setup price
var TP = float(na) // trigger price
var setup = low
var trigger = float(na)
if barstate.isnew
setup := low
trigger = float(na)
extreme_candle = false
first_extreme_candle = false
setup_candle = false
trigger_candle = false
waiting_for_setup = false
waiting_for_trigger = false
var since_extreme = 0
var since_setup = 0
waiting_for_setup := not extreme_candle and not na(SP)
waiting_for_trigger := not na(TP)
if not barstate.isfirst
if barstate.isnew and extreme_candle[1]
trigger := float(na)
if barstate.isnew and setup_candle[1]
setup := float(na)
if barstate.isnew and waiting_for_trigger
since_setup := since_setup + 1
trigger := TP
if barstate.isnew and waiting_for_setup
since_extreme := since_extreme + 1
setup := SP
if uptrend
if extreme_candle
EP := high
SP := low
else
if high > EP
extreme_candle := true
EP := high
SP := low
since_extreme := 0
since_setup := 0
else
if waiting_for_setup
if barstate.isconfirmed
if close < SP
setup_candle := true
SP := float(na)
TP := low
if waiting_for_trigger
if low < TP
trigger_candle := true
extreme_candle := true
EP := low
SP := high
TP := float(na)
uptrend := false
since_extreme := 0
since_setup := 0
else
if barstate.isconfirmed and extreme_candle
TP := float(na)
trigger := float(na)
else
if extreme_candle
EP := low
SP := high
else
if low < EP
extreme_candle := true
EP := low
SP := high
since_extreme := 0
since_setup := 0
else
if waiting_for_setup
if barstate.isconfirmed
if close > SP
setup_candle := true
SP := float(na)
TP := high
if waiting_for_trigger
if high > TP
trigger_candle := true
extreme_candle := true
EP := high
SP := low
TP := float(na)
uptrend := true
since_extreme := 0
since_setup := 0
else
if barstate.isconfirmed and extreme_candle
TP := float(na)
trigger := float(na)
[trigger_candle, trigger, since_setup, setup_candle, setup, since_extreme, extreme_candle, uptrend]
[TC, T, SS, SC, S, SE, EC, up] = TSR()
// Make input options that configure backtest date range
StartMonth = input(title="Start Month", type=input.integer,
defval=1, minval=1, maxval=12)
StartDate = input(title="Start Date", type=input.integer,
defval=1, minval=1, maxval=31)
StartYear = input(title="Start Year", type=input.integer,
defval=(2019), minval=1800, maxval=2100)
EndMonth = input(title="End Month", type=input.integer,
defval=1, minval=1, maxval=12)
EndDate = input(title="End Date", type=input.integer,
defval=1, minval=1, maxval=31)
EndYear = input(title="End Year", type=input.integer,
defval=(2020), minval=1800, maxval=2100)
// Look if the close time of the current bar falls inside the date range
inDateRange = true
buytrigger = (TC and up)
selltrigger = (TC and not up)
buysetup = (SC and not up)
sellsetup = (SC and up)
IntBuy = buytrigger ? 1 : 0
IntSB = buysetup ? 0.5 : 0
IntSell= selltrigger ? -1 : 0
IntSS = sellsetup ? -0.5 : 0
bgcolor = buytrigger ? color.green : selltrigger ? color.red : buysetup ? color.yellow : sellsetup ? color.orange : color.black
trans = buytrigger ? 20 : selltrigger ? 20 : 100
bgcolor(bgcolor, 30)
NUM = IntBuy + IntSB + IntSell + IntSS
linecolor = color.orange
plot(NUM, color=linecolor, linewidth=2)
alertcondition(NUM > 0.5, title="Buy Signal", message="Buy Alert")
alertcondition(NUM < -0.5, title="Sell Signal", message="Sell Alert")
alertcondition(NUM == 0.5, title="Buy Setup", message="Buy Setup")
alertcondition(NUM == -0.5, title="Sell Setup", message="Sell Setup")
//Switch on for strategy moves
if(inDateRange and buytrigger)
strategy.exit("SHORT", "SHORT_SL", comment="Short_Exit")
strategy.entry("LONG", strategy.long, comment="")
if(inDateRange and selltrigger)
strategy.exit("LONG", "LONG_SL", comment="Long_Exit")
strategy.entry("SHORT", strategy.short, comment="")
if (not inDateRange)
strategy.close_all()
// plotshape(SC and not up, color = color.yellow, style = shape.triangleup, location = location.belowbar, size = size.auto, transp = 0, title = "Setup to Buy")
// plotshape(TC and up, color = color.green, style = shape.triangleup, location = location.belowbar, size = size.auto, title = "Trigger to Buy")
// plotshape(SC and up, color = color.yellow, style = shape.triangledown, location = location.abovebar, size = size.auto, transp = 0, title = "Setup to Sell")
// plotshape(TC and not up, color = color.red, style = shape.triangledown, location = location.abovebar, size = size.auto, title = "Trigger to Sell")