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Тенденция в соответствии со стратегией, основанной на скользящей средней

Автор:Чао Чжан, Дата: 2024-01-24 14:24:36
Тэги:

Обзор

Это простая стратегия, основанная на скользящей средней. Он оценивает направление текущей тенденции и длительность, сравнивая размерные отношения между скользящими средними различных циклов. Он длинный, когда короткий цикл скользящий средний пересекает длинный цикл, и короткий, когда происходит обратное.

Логика стратегии

Стратегия использует 4 скользящих средних с различными циклами: 5-дневные, 10-дневные, 15-дневные и 25-дневные линии. Они называются MA1, MA2, MA3 и MA4. Среди них MA1 является самым коротким, а MA4 - самым длинным.

Когда MA1>MA2>MA3>MA4, это указывает на тенденцию к росту и идет длинный. когда MA1

Условия открытой позиции как для длинной, так и для короткой должны одновременно удовлетворять фильтру стоп-лосса ATR, то есть значение ATR должно быть больше, чем 40-дневная SMA ATR. Это позволяет избежать генерирования ложных сигналов, когда колебания цены слишком малы.

Анализ преимуществ

Стратегия имеет следующие преимущества:

Логика проста и легко реализовать.
Использование нескольких скользящих средних для определения направления тренда является надежным.
Установка стоп-лосса и точек получения прибыли может эффективно контролировать максимальную потерю на сделку.
Фильтр стоп-лосса ATR избегает ложных сигналов при небольших колебаниях цен.

Анализ рисков

Стратегия также имеет следующие риски:

На рынке, в основном в состоянии шока, легко получить неверные сигналы.
Неправильное настройка параметров (цикл скользящей средней и т.д.) может привести к низкой эффективности стратегии.
В нем не учитывается влияние фундаментальных показателей и важных новостей на цены.

Для уменьшения этих рисков параметры могут быть оптимизированы соответствующим образом или могут быть добавлены дополнительные условия фильтрации для улучшения стабильности стратегии.

Руководство по оптимизации

Направления оптимизации стратегии включают:

Испытывать различные комбинации параметров скользящей средней продолжительности цикла для нахождения оптимальных параметров.
Добавить другие технические индикаторы фильтры, такие как MACD и KDJ, чтобы судить о надежности сигналов.
Добавить фильтр объема торговли, торговать только при увеличении объема торговли.
Параметры тонкой настройки на основе различий между сортами.
Добавьте алгоритмы машинного обучения для оценки сигналов.

Заключение

В целом, это относительно простая тенденция, следующая за стратегией. Она оценивает направление тренда с помощью скользящих средних и устанавливает разумные стоп-лосс и прибыль, чтобы контролировать уровни риска.

/*backtest
start: 2023-01-17 00:00:00
end: 2024-01-23 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/
// © fpemehd
// @version=5

// # ========================================================================= #
// #                   |   STRATEGY  |
// # ========================================================================= #

strategy(title = 'MA Simple Strategy with SL & TP & ATR Filters',
      shorttitle = 'MA Strategy',
      overlay = true,
      pyramiding = 0,
      default_qty_type = strategy.percent_of_equity,
      default_qty_value = 100,
      commission_type  = strategy.commission.percent,
      commission_value = 0.1,
      initial_capital = 100000,
      max_lines_count = 150,
      max_labels_count = 300)

// # ========================================================================= #
// #                          Inputs
// # ========================================================================= #

// 1. Time
i_start = input (defval = timestamp("20 Jan 1990 00:00 +0900"), title = "Start Date", tooltip = "Choose Backtest Start Date", inline = "Start Date", group = "Time" ) 
i_end = input (defval = timestamp("20 Dec 2030 00:00 +0900"), title = "End Date", tooltip = "Choose Backtest End Date", inline = "End Date", group = "Time" ) 
c_timeCond = true

// 2. Inputs for direction: Long? Short? Both? 
i_longEnabled = input.bool(defval = true , title = "Long?", tooltip = "Enable Long Position Trade?", inline = "Long / Short", group = "Long / Short" )
i_shortEnabled = input.bool(defval = true , title = "Short?", tooltip = "Enable Short Position Trade?", inline = "Long / Short", group = "Long / Short" )

// 3. Use Filters? What Filters?
i_ATRFilterOn = input.bool(defval = true , title = "ATR Filter On?", tooltip = "ATR Filter On?", inline = "ATR Filter", group =  "Filters") 
i_ATRSMALen = input.int(defval = 40 , title = "SMA Length for ATR SMA", minval = 1 , maxval = 100000 , step = 1 , tooltip = "ATR should be bigger than this", inline = "ATR Filter", group = "Filters") 

// 3. Shared inputs for Long and Short
//// 3-1. Inputs for Stop Loss Type: normal? or trailing? 
//// If trailing, always trailing or trailing after take profit order executed?
i_useSLTP = input.bool(defval =  true, title = "Enable SL & TP?", tooltip = "", inline = "Enable SL & TP & SL Type", group = "Shared Inputs") 
i_tslEnabled = input.bool(defval = false , title = "Enable Trailing SL?", tooltip = "Enable Stop Loss & Take Profit? \n\Enable Trailing SL?", inline = "Enable SL & TP & SL Type", group = "Shared Inputs") 
// i_tslAfterTP = input.bool(defval = true , title = "Enable Trailing SL after TP?", tooltip = "Enable Trailing SL after TP?", inline = "Trailing SL Execution", group = "Shared Inputs") 
i_slType = input.string(defval = "ATR", title = "Stop Loss Type", options = ["Percent", "ATR"], tooltip = "Stop Loss based on %? ATR?", inline = "Stop Loss Type", group = "Shared Inputs") 
i_slATRLen = input.int(defval = 14, title = "ATR Length", minval = 1 , maxval = 200 , step = 1, inline = "Stop Loss ATR", group = "Shared Inputs")  
i_tpType = input.string(defval = "R:R", title = "Take Profit Type", options = ["Percent", "ATR", "R:R"], tooltip = "Take Profit based on %? ATR? R-R ratio?", inline = "Take Profit Type", group = "Shared Inputs") 

//// 3-2. Inputs for Quantity
i_tpQuantityPerc = input.float(defval = 50, title = 'Take Profit Quantity %', minval = 0.0, maxval = 100, step = 1.0, tooltip = '% of position when tp target is met.', group = 'Shared Inputs')

// 4. Inputs for Long Stop Loss & Long Take Profit

i_slPercentLong = input.float(defval = 3, title = "SL Percent", tooltip = "", inline = "Percent > Long Stop Loss / Take Profit Percent", group = "Long Stop Loss / Take Profit") 
i_tpPercentLong = input.float(defval = 3, title = "TP Percent", tooltip = "Long Stop Loss && Take Profit Percent?", inline = "Percent > Long Stop Loss / Take Profit Percent", group = "Long Stop Loss / Take Profit") 
i_slATRMultLong = input.float(defval = 3, title = "SL ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "Long Stop Loss / Take Profit ATR", group = "Long Stop Loss / Take Profit") 
i_tpATRMultLong = input.float(defval = 3, title = "TP ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "ATR > Long Stop Loss && Take Profit ATR Multiplier? \n\Stop Loss = i_slATRMultLong * ATR (i_slATRLen) \n\Take Profit = i_tpATRMultLong * ATR (i_tpATRLen)", inline = "Long Stop Loss / Take Profit ATR", group = "Long Stop Loss / Take Profit") 
i_tpRRratioLong = input.float(defval = 1.8, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "R:R Ratio", group = "Long Stop Loss / Take Profit") 

// 5. Inputs for Short Stop Loss & Short Take Profit
i_slPercentShort = input.float(defval = 3, title = "SL Percent", tooltip = "", inline = "Percent > Short Stop Loss / Take Profit Percent", group = "Short Stop Loss / Take Profit") 
i_tpPercentShort = input.float(defval = 3, title = "TP Percent", tooltip = "Short Stop Loss && Take Profit Percent?", inline = "Percent > Short Stop Loss / Take Profit Percent", group = "Short Stop Loss / Take Profit") 
i_slATRMultShort = input.float(defval = 3, title = "SL ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "ATR > Short Stop Loss / Take Profit ATR", group = "Short Stop Loss / Take Profit") 
i_tpATRMultShort = input.float(defval = 3, title = "TP ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "ATR > Short Stop Loss && Take Profit ATR Multiplier? \n\Stop Loss = i_slATRMultShort * ATR (i_slATRLen) \n\Take Profit = i_tpATRMultShort * ATR (i_tpATRLen)", inline = "ATR > Short Stop Loss / Take Profit ATR", group = "Short Stop Loss / Take Profit") 
i_tpRRratioShort = input.float(defval = 1.8, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "R:R Ratio", group = "Short Stop Loss / Take Profit") 

// 6. Inputs for logic
i_MAType = input.string(defval = "RMA", title = "MA Type", options = ["SMA", "EMA", "WMA", "HMA", "RMA", "VWMA", "SWMA", "ALMA", "VWAP"], tooltip = "Choose MA Type", inline = "MA Type", group = 'Strategy') 
i_MA1Len = input.int(defval = 5, title = 'MA 1 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_MA2Len = input.int(defval = 10, title = 'MA 2 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_MA3Len = input.int(defval = 15, title = 'MA 3 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_MA4Len = input.int(defval = 25, title = 'MA 4 Length', minval = 1, inline = 'MA Length', group = 'Strategy')
i_ALMAOffset = input.float(defval = 0.7 , title = "ALMA Offset Value", tooltip = "The Value of ALMA offset", inline = "ALMA Input", group = 'Strategy')
i_ALMASigma = input.float(defval = 7 , title = "ALMA Sigma Value", tooltip = "The Value of ALMA sigma", inline = "ALMA Input", group = 'Strategy')

// # ========================================================================= #
// #                          Entry, Close Logic
// # ========================================================================= #

bool i_ATRFilter = ta.atr(length = i_slATRLen) >= ta.sma(source = ta.atr(length = i_slATRLen), length = i_ATRSMALen) ? true : false

// calculate Technical Indicators for the Logic

getMAValue (source, length, almaOffset, almaSigma) => 
    switch i_MAType 
        'SMA' => ta.sma(source = source, length = length) 
        'EMA' => ta.ema(source = source, length = length) 
        'WMA' => ta.wma(source = source, length = length) 
        'HMA' => ta.hma(source = source, length = length) 
        'RMA' => ta.rma(source = source, length = length) 
        'SWMA' => ta.swma(source = source) 
        'ALMA' => ta.alma(series = source, length = length, offset = almaOffset, sigma = almaSigma) 
        'VWMA' => ta.vwma(source = source, length = length) 
        'VWAP' => ta.vwap(source = source)
        => na 

float c_MA1 = getMAValue(close, i_MA1Len, i_ALMAOffset, i_ALMASigma)
float c_MA2 = getMAValue(close, i_MA2Len, i_ALMAOffset, i_ALMASigma)
float c_MA3 = getMAValue(close, i_MA3Len, i_ALMAOffset, i_ALMASigma)
float c_MA4 = getMAValue(close, i_MA4Len, i_ALMAOffset, i_ALMASigma)

// Logic: 정배열 될 떄 들어가
var ma1Color = color.new(color.red, 0)
plot(series = c_MA1, title = 'SMA 1', color = ma1Color, linewidth = 1, style = plot.style_line)
var ma2Color = color.new(color.orange, 0)
plot(series = c_MA2, title = 'SMA 2', color = ma2Color, linewidth = 1, style = plot.style_line)
var ma3Color = color.new(color.yellow, 0)
plot(series = c_MA3, title = 'SMA 3', color = ma3Color, linewidth = 1, style = plot.style_line)
var ma4Color = color.new(color.green, 0)
plot(series = c_MA4, title = 'SMA 4', color = ma4Color, linewidth = 1, style = plot.style_line)

bool openLongCond = (c_MA1 >= c_MA2 and c_MA2 >= c_MA3 and c_MA3 >= c_MA4) 
bool openShortCond = (c_MA1 <= c_MA2 and c_MA2 <= c_MA3 and c_MA3 <= c_MA4)

bool openLong = i_longEnabled and openLongCond and (not i_ATRFilterOn or i_ATRFilter)
bool openShort = i_shortEnabled and openShortCond and (not i_ATRFilterOn or i_ATRFilter)

openLongCondColor = openLongCond ? color.new(color = color.blue, transp = 80) : na
bgcolor(color = openLongCondColor)
ATRFilterColor = i_ATRFilter ? color.new(color = color.orange, transp = 80) : na 
bgcolor(color = ATRFilterColor)

bool enterLong = openLong and not (strategy.opentrades.size(strategy.opentrades-1) > 0)
bool enterShort = openShort and not (strategy.opentrades.size(strategy.opentrades-1) < 0)

bool closeLong = i_longEnabled and (c_MA1[1] >= c_MA2[1] and c_MA2[1] >= c_MA3[1] and c_MA3[1] >= c_MA4[1]) and not (c_MA1 >= c_MA2 and c_MA2 >= c_MA3 and c_MA3 >= c_MA4) 
bool closeShort = i_shortEnabled and (c_MA1[1] <= c_MA2[1] and c_MA2[1] <= c_MA3[1] and c_MA3[1] <= c_MA4[1]) and not (c_MA1 <= c_MA2 and c_MA2 <= c_MA3 and c_MA3 <= c_MA4)

// # ========================================================================= #
// #                          Position, Status Conrtol
// # ========================================================================= #

// longisActive: New Long || Already Long && not closeLong, short is the same
bool longIsActive = enterLong or strategy.opentrades.size(strategy.opentrades - 1) > 0 and not closeLong
bool shortIsActive = enterShort or strategy.opentrades.size(strategy.opentrades - 1) < 0 and not closeShort

// before longTPExecution: no trailing SL && after longTPExecution: trailing SL starts
// longTPExecution qunatity should be less than 100% 
bool longTPExecuted = false
bool shortTPExecuted = false

// # ========================================================================= #
// #                          Long Stop Loss Logic
// # ========================================================================= #
float openAtr = ta.valuewhen(enterLong or enterShort, ta.atr(i_slATRLen), 0)

f_getLongSL (source) => 
    switch i_slType
        'Percent' => source * (1 - (i_slPercentLong/100))
        'ATR' => source - i_slATRMultLong * openAtr
        => na

var float c_longSLPrice = na
c_longSLPrice := if (longIsActive)
    if (enterLong)
        f_getLongSL(close)
    else
        c_stopPrice = f_getLongSL(i_tslEnabled ? high : strategy.opentrades.entry_price(trade_num = strategy.opentrades - 1))
        math.max(c_stopPrice, nz(c_longSLPrice[1]))
else
    na

// # ========================================================================= #
// #                          Short Stop Loss Logic
// # ========================================================================= #
f_getShortSL (source) => 
    switch i_slType
        'Percent' => source * (1 + (i_slPercentShort)/100)
        'ATR' => source + i_slATRMultShort * openAtr
        => na

var float c_shortSLPrice = na
c_shortSLPrice := if (shortIsActive)
    if (enterShort)
        f_getShortSL (close)
    else
        c_stopPrice = f_getShortSL(i_tslEnabled ? low : strategy.opentrades.entry_price(strategy.opentrades - 1))
        math.min(c_stopPrice, nz(c_shortSLPrice[1], 999999.9))
else
    na

// # ========================================================================= #
// #                          Long Take Profit Logic
// # ========================================================================= #

f_getLongTP () => 
    switch i_tpType
        'Percent' => close * (1 + (i_tpPercentLong/100))
        'ATR' => close + i_tpATRMultLong * openAtr
        'R:R' => close + i_tpRRratioLong * (close - f_getLongSL(close))
        => na

var float c_longTPPrice = na
c_longTPPrice := if (longIsActive and not longTPExecuted)
    if (enterLong)
        f_getLongTP()
    else 
        nz(c_longTPPrice[1], f_getLongTP())
else
    na

longTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) > 0 and (longTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) < strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and high >= c_longTPPrice)

// # ========================================================================= #
// #                          Short Take Profit Logic
// # ========================================================================= #

f_getShortTP () => 
    switch i_tpType
        'Percent' => close * (1 - (i_tpPercentShort/100))
        'ATR' => close - i_tpATRMultShort * openAtr
        'R:R' => close - i_tpRRratioShort * (close - f_getLongSL(close))
        => na

var float c_shortTPPrice = na
c_shortTPPrice := if (shortIsActive and not shortTPExecuted)
    if (enterShort)
        f_getShortTP()
    else
        nz(c_shortTPPrice[1], f_getShortTP())
else
    na

shortTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) < 0 and (shortTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) > strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and low <= c_shortTPPrice)

// # ========================================================================= #
// #                          Make Orders
// # ========================================================================= #

if (c_timeCond)
    if (enterLong)
        strategy.entry(id = "Long Entry", direction = strategy.long , comment = 'Long(' + syminfo.ticker + '): Started', alert_message = 'Long(' + syminfo.ticker + '): Started')

    if (enterShort)
        strategy.entry(id = "Short Entry", direction = strategy.short , comment = 'Short(' + syminfo.ticker + '): Started', alert_message = 'Short(' + syminfo.ticker + '): Started')

    if (closeLong)
        strategy.close(id = 'Long Entry', comment = 'Close Long', alert_message = 'Long: Closed at market price')

    if (closeShort)
        strategy.close(id = 'Short Entry', comment = 'Close Short', alert_message = 'Short: Closed at market price')

    if (longIsActive and i_useSLTP)
        strategy.exit(id = 'Long Take Profit / Stop Loss', from_entry = 'Long Entry', qty_percent = i_tpQuantityPerc, limit = c_longTPPrice, stop = c_longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Take Profit or Stop Loss executed')
        strategy.exit(id = 'Long Stop Loss', from_entry = 'Long Entry', stop = c_longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Stop Loss executed')
    
    if (shortIsActive and i_useSLTP)
        strategy.exit(id = 'Short Take Profit / Stop Loss', from_entry = 'Short Entry', qty_percent = i_tpQuantityPerc, limit = c_shortTPPrice, stop = c_shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Take Profit or Stop Loss executed')
        strategy.exit(id = 'Short Stop Loss', from_entry = 'Short Entry', stop = c_shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Stop Loss executed')

// # ========================================================================= #
// #                          Plot
// # ========================================================================= #

var posColor = color.new(color.white, 0)
plot(series = strategy.opentrades.entry_price(strategy.opentrades - 1), title = 'Position', color = posColor, linewidth = 1, style = plot.style_linebr)

var stopLossColor = color.new(color.maroon, 0)
plot(series = c_longSLPrice, title = 'Long Stop Loss', color = stopLossColor, linewidth = 1, style = plot.style_linebr, offset = 1)
plot(series = c_shortSLPrice, title = 'Short Stop Loss', color = stopLossColor, linewidth = 1, style = plot.style_linebr, offset = 1)

longTPExecutedColor = longTPExecuted ? color.new(color = color.green, transp = 80) : na 
//bgcolor(color = longTPExecutedColor) 
shortTPExecutedColor = shortTPExecuted ? color.new(color = color.red, transp = 80) : na 
//bgcolor(color = shortTPExecutedColor) 
// isPositionOpenedColor = strategy.opentrades.size(strategy.opentrades-1) != 0 ? color.new(color = color.yellow, transp = 90) : na 
// bgcolor(color = isPositionOpenedColor) 

var takeProfitColor = color.new(color.teal, 0)
plot(series = c_longTPPrice, title = 'Long Take Profit', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 1)
plot(series = c_shortTPPrice, title = 'Short Take Profit', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 1)

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