Esta estratégia é chamada de
O cálculo do Supertrend é: usando o ATR multiplicado por um coeficiente para construir canais de preços. A faixa superior é o stop loss longo e a faixa inferior é o stop loss curto. O preço quebrando o canal gera sinais comerciais.
A inovação é a configuração de parâmetros independentes para longo e curto:
Os parâmetros da supertendência, como o período ATR e o coeficiente, podem ser definidos separadamente.
O período máximo de detenção também pode ser configurado de forma independente para ajustar os objetivos de lucro.
Os métodos de stop loss (percentagem fixa ou ATR trailing) também podem ser definidos de forma diferente.
Isto permite que a negociação apenas longa, apenas curta ou bidirecional se adapte melhor às condições específicas do mercado.
As vantagens são o mecanismo Supertrend intuitivo e abundantes combinações configuráveis. Mas o Supertrend sozinho é propenso a violações e precisa de confirmação.
Em resumo, a estratégia Supertrend dupla configurável melhora a precisão da negociação da tendência, mantendo a ideia central simples para aplicação prática.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-12 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["v_input_8",true],["v_input_11",true]]
*/
//@version=4
strategy("Super Trend Daily 2.0 BF 🚀", overlay=true, precision=2, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.075)
/////////////// Time Frame ///////////////
_0 = input(false, "════════ Test Period ═══════")
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay, 0, 0)
testStopYear = input(2019, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay, 0, 0)
testPeriod() => true
///////////// Super Trend Long /////////////
_1 = input(false, "═════ Super Trend L ═════")
lengthl = input(title="ATR Period", type=input.integer, defval=2)
multl = input(title="ATR Multiplier", type=input.float, step=0.1, defval=1.5)
atrl = multl * atr(lengthl)
longStopl = hl2 - atrl
longStopPrevl = nz(longStopl[1], longStopl)
longStopl := close[1] > longStopPrevl ? max(longStopl, longStopPrevl) : longStopl
shortStopl = hl2 + atrl
shortStopPrevl = nz(shortStopl[1], shortStopl)
shortStopl := close[1] < shortStopPrevl ? min(shortStopl, shortStopPrevl) : shortStopl
dirl = 1
dirl := nz(dirl[1], dirl)
dirl := dirl == -1 and close > shortStopPrevl ? 1 : dirl == 1 and close < longStopPrevl ? -1 : dirl
///////////// Super Trend Short /////////////
_2 = input(false, "═════ Super Trend S ═════")
lengths = input(title="ATR Period", type=input.integer, defval=3)
mults = input(title="ATR Multiplier", type=input.float, step=0.1, defval=1.3)
atrs = mults * atr(lengths)
longStops = hl2 - atrs
longStopPrevs = nz(longStops[1], longStops)
longStops := close[1] > longStopPrevs ? max(longStops, longStopPrevs) : longStops
shortStops = hl2 + atrs
shortStopPrevs = nz(shortStops[1], shortStops)
shortStops := close[1] < shortStopPrevs ? min(shortStops, shortStopPrevs) : shortStops
dirs = 1
dirs := nz(dirs[1], dirs)
dirs := dirs == -1 and close > shortStopPrevs ? 1 : dirs == 1 and close < longStopPrevs ? -1 : dirs
///////////// Rate Of Change Long /////////////
_3 = input(false, "═════ Rate of Change L ═════")
sourcel = close
roclengthl = input(30, "ROC Length", minval=1)
pcntChangel = input(6, "ROC % Change", minval=1)
rocl = 100 * (sourcel - sourcel[roclengthl]) / sourcel[roclengthl]
emarocl = ema(rocl, roclengthl / 2)
isMovingl() => emarocl > (pcntChangel / 2) or emarocl < (0 - (pcntChangel / 2))
///////////// Rate Of Change Short /////////////
_4 = input(false, "═════ Rate of Change S ═════")
sources = close
roclengths = input(76, "ROC Length", minval=1)
pcntChanges = input(6, "ROC % Change", minval=1)
rocs = 100 * (sources - sources[roclengths]) / sources[roclengths]
emarocs = ema(rocs, roclengths / 2)
isMovings() => emarocs > (pcntChanges / 2) or emarocs < (0 - (pcntChanges / 2))
/////////////// Strategy ///////////////
long = dirl == 1 and dirl[1] == -1 and isMovingl()
short = dirs == -1 and dirs[1] == 1 and isMovings()
last_long = 0.0
last_short = 0.0
last_long := long ? time : nz(last_long[1])
last_short := short ? time : nz(last_short[1])
long_signal = crossover(last_long, last_short)
short_signal = crossover(last_short, last_long)
last_open_long_signal = 0.0
last_open_short_signal = 0.0
last_open_long_signal := long_signal ? open : nz(last_open_long_signal[1])
last_open_short_signal := short_signal ? open : nz(last_open_short_signal[1])
last_long_signal = 0.0
last_short_signal = 0.0
last_long_signal := long_signal ? time : nz(last_long_signal[1])
last_short_signal := short_signal ? time : nz(last_short_signal[1])
in_long_signal = last_long_signal > last_short_signal
in_short_signal = last_short_signal > last_long_signal
last_high = 0.0
last_low = 0.0
last_high := not in_long_signal ? na : in_long_signal and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low := not in_short_signal ? na : in_short_signal and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
since_longEntry = barssince(last_open_long_signal != last_open_long_signal[1])
since_shortEntry = barssince(last_open_short_signal != last_open_short_signal[1])
/////////////// Stop Losses Long ///////////////
_5 = input(false, "═══════ Stop Loss L ══════")
SL_typel = input("Fixed", options=["Fixed", "ATR Derived"], title="Stop Loss Type")
sl_inpl = input(6.0, title='Fixed Stop Loss %') / 100
atrLkbl = input(20, minval=1, title='ATR Stop Period')
atrMultl = input(1.5, step=0.25, title='ATR Stop Multiplier')
atr1l = atr(atrLkbl)
longStop1l = 0.0
longStop1l := short_signal ? na : long_signal ? close - (atr1l * atrMultl) : longStop1l[1]
slLongl = in_long_signal ? strategy.position_avg_price * (1 - sl_inpl) : na
long_sll = in_long_signal ? slLongl : na
/////////////// Stop Losses Short ///////////////
_6 = input(false, "═══════ Stop Loss S ══════")
SL_types = input("Fixed", options=["Fixed", "ATR Derived"], title="Stop Loss Type")
sl_inps = input(6.0, title='Fixed Stop Loss %') / 100
atrLkbs = input(20, minval=1, title='ATR Stop Period')
atrMults = input(1.5, step=0.25, title='ATR Stop Multiplier')
atr1s = atr(atrLkbs)
shortStop1s = 0.0
shortStop1s := long_signal ? na : short_signal ? close + (atr1s * atrMults) : shortStop1s[1]
slShorts = strategy.position_avg_price * (1 + sl_inps)
short_sls = in_short_signal ? slShorts : na
_7 = input(false, "══════ Longs or Shorts ═════")
useLongs = input(true, title="Use Longs")
useShorts = input(true, title="Use Shorts")
/////////////// Execution ///////////////
if testPeriod()
if useLongs
strategy.entry("L", strategy.long, when=long)
strategy.exit("L SL", "L", stop = SL_typel == "Fixed" ? long_sll : longStop1l, when=since_longEntry > 0)
if useShorts
strategy.exit("S SL", "S", stop = SL_types == "Fixed" ? short_sls : shortStop1s, when=since_shortEntry > 0)
strategy.entry("S", strategy.short, when=short)
if not useShorts
strategy.close("L", when=short)
if not useLongs
strategy.close("S", when=long)
/////////////// Plotting ///////////////
bgcolor(long_signal ? color.lime : short_signal ? color.red : na, transp=30)
bgcolor(not isMovings() ? color.white : not isMovingl() ? color.aqua : na)
plot(strategy.position_size <= 0 ? na : SL_typel == "Fixed" ? long_sll : longStop1l, title="Long Stop Loss", color=color.yellow, style=plot.style_circles, linewidth=2)
plot(strategy.position_size >= 0 ? na : SL_types == "Fixed" ? short_sls : shortStop1s, title="Short Stop Loss", color=color.orange, style=plot.style_circles, linewidth=2)