Esta estratégia determina a direção da tendência a longo prazo, analisando a direcionalidade de várias médias móveis.
A lógica é:
Calcular médias móveis de períodos diferentes, por exemplo, de 5 dias, 20 dias, 50 dias, etc.
Comparar a tendência direccional dos MA para determinar um alinhamento consistente
Quando os MAs estão a subir uniformemente, mantém-se uma visão de alta a longo prazo.
Em condições de alta, as rupturas acima do ponto de paragem de queda desencadeiam entradas longas
Em condições de baixa, os breakouts abaixo do ponto de stop loss ascendente desencadeiam entradas curtas.
As paradas de atraso são utilizadas para controlar o risco
A estratégia enfatiza a confirmação da tendência a longo prazo antes da negociação para reduzir o risco não sistemático.
Múltiplas AD se combinam para avaliar a direcção da tendência a longo prazo
As entradas de ruptura seguem a tendência
A estratégia de trailing stop controla o risco
Os próprios MAs estão atrasados em termos de preços
A avaliação incorreta da tendência pode conduzir a perdas sustentadas
Longo ou curto só perde oportunidades
Esta estratégia enfatiza a determinação da tendência secular através da direcionalidade da MA para minimizar os riscos não sistemáticos.
/*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)