Name

超趋势跟踪止损策略Super-Trend-Tracking-Stop-Loss-Strategy

Author

ChaoZhang

Strategy Description

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概述

该策略基于超趋势指标和跟踪止损来开仓和平仓。它使用4个报警来打开和平仓,并且采用超趋势策略。该策略专门针对机器人设计,具有跟踪止损功能。

策略原理

该策略使用ATR指标计算上轨和下轨。当收盘价突破上轨时产生买入信号,突破下轨时产生卖出信号。策略还采用超趋势线来判断趋势方向。当超趋势线上穿时,表示牛市开始;当超趋势线下穿时,表示熊市开始。策略在产生信号时开仓,同时设置初始止损价格。之后会根据价格变动来跟踪调整止损价格,从而锁定盈利,实现跟踪止损的效果。

优势分析

该策略结合了超趋势指标判断趋势方向和ATR指标设定止损的优点,可以有效过滤假突破。跟踪止损可以很好地锁定盈利,降低回撤。另外,策略专门针对机器人设计,可以自动化交易。

风险分析

超趋势指标容易产生较多误信号。止损价格调整幅度较大时,会提高止损被击穿的概率。此外,机器人交易也面临服务器宕机、网络中断等技术风险。

为降低误信号概率,可以适当调整ATR参数或添加其他指标进行过滤。调整止损跟踪幅度时需要平衡盈利和风险。同时准备好备用服务器和网络来防范技术故障风险。

优化方向

该策略可以在以下几个方面进行优化:

增加指标或条件来过滤入场信号,避免误信号。例如可 추加MACD指标。
可以测试不同的ATR参数组合,找到最佳参数。
可以优化止损跟踪幅度,找到最佳平衡点。
可以添加更多止损价格,实现分批止损。
可以建立主备双服务器架构,在主服务器故障时快速切换。

总结

本策略整合超趋势指标和跟踪止损的优势,可以自动化开仓和止损。实盘中结合优化方向的改进措施,可以成为一款非常实用的量化交易策略。

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Overview

This strategy opens and closes positions based on the Super Trend indicator and trailing stop loss. It uses 4 alerts to open and close long and short positions, and adopts a super trend strategy. The strategy is designed specifically for robots with trailing stop loss functionality.

Strategy Logic

The strategy uses the ATR indicator to calculate the upper and lower bands. A buy signal is generated when the closing price breaks through the upper band, and a sell signal is generated when it breaks through the lower band. The strategy also uses a super trend line to determine the trend direction. When the super trend line goes up, it indicates the start of a bull market. When it goes down, it indicates the start of a bear market. The strategy opens positions when a signal is generated, and sets the initial stop loss price. It then adjusts the stop loss price based on price changes to lock in profits and achieve a trailing stop loss effect.

Advantage Analysis

The strategy combines the advantages of the Super Trend indicator for determining trend direction and the ATR indicator for setting stops. It can effectively filter out false breakouts. Trailing stops can lock in profits very well and reduce drawdowns. In addition, the strategy is designed specifically for robots, enabling automated trading.

Risk Analysis

The Super Trend indicator can easily generate more false signals. When the stop loss adjustment range is large, the probability of stop loss being hit increases. In addition, robot trading also faces technical risks such as server crashes and network interruptions.

To reduce the probability of false signals, the ATR parameters can be adjusted appropriately or other indicators can be added for filtration. When adjusting the trailing stop range, profit and risk need to be balanced. At the same time, prepare backup servers and networks to hedge against technical failure risks.

Optimization Directions

The following are some directions in which this strategy can be optimized:

Add indicators or conditions to filter entry signals and avoid false signals. For example, the MACD indicator can be added.
Test different ATR parameter combinations to find the optimal parameters.
Optimize the trailing stop loss range to find the best balance point.
Add more stop loss prices to achieve batch stopping of losses.
Build a dual-server architecture with primary and standby servers that can quickly switch when the main server fails.

Conclusion

This strategy integrates the advantages of the Super Trend indicator and trailing stop loss for automated opening and stopping of losses. Combined with the improvement measures in the optimization directions during live trading, it can become a very practical quantitative trading strategy.

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Strategy Arguments

Argument	Default	Description
v_input_int_5	true	From Month
v_input_int_6	true	From Day
v_input_int_7	2019	From Year
v_input_int_8	true	To Month
v_input_int_9	true	To Day
v_input_int_10	9999	To Year
v_input_float_1	4.5	(?ATR)ATR Factor
v_input_int_1	59	ATR Period
v_input_1	true	(?stop loss)trailing stop ?
v_input_float_2	15	trailing stop %
v_input_2	true	(?take profit)Take profit1 On/Off ?
v_input_float_3	5	TP1 %
v_input_int_2	10	TP1 Amount %
v_input_3	true	Take profit2 On/Off ?
v_input_float_4	10	TP2 %
v_input_int_3	15	TP2 Amount %
v_input_4	true	Take profit3 On/Off ?
v_input_float_5	15	TP3 %
v_input_int_4	20	TP3 Amount %
v_input_5	long	(?Alert Messages)Long Alert Message
v_input_6	long	Long close Alert Message
v_input_7	short	Short Alert Message
v_input_8	short	Short close Alert Message

Source (PineScript)

/*backtest
start: 2023-11-18 00:00:00
end: 2023-12-18 00:00:00
period: 1h
basePeriod: 15m
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/
// © arminomid1375
//@version=5
strategy('Mizar_BOT_super trend', overlay=true, default_qty_value=100, currency=currency.USD, default_qty_type=strategy.percent_of_equity, initial_capital=100, max_bars_back=4000)


//===== INPUTS ==========================================================================//

factor = input.float(4.5, title='ATR Factor', step=0.1,group = 'ATR')
period = input.int(59, minval=1, maxval=100, title='ATR Period',group = 'ATR')
up = (high + low) / 2 - factor * ta.atr(period)
down = (high + low) / 2 + factor * ta.atr(period)
trend_up = 0.0
trend_up := close[1] > trend_up[1] ? math.max(up, trend_up[1]) : up
trend_down = 0.0
trend_down := close[1] < trend_down[1] ? math.min(down, trend_down[1]) : down
trend = 0.0
trend := close > trend_down[1] ? 1 : close < trend_up[1] ? -1 : nz(trend[1], 1)
tsl = trend == 1 ? trend_up : trend_down
line_color = trend == 1 ? 'green' : 'red'
long_signal = trend == 1 and trend[1] == -1
short_signal = trend == -1 and trend[1] == 1
background = true


//ss =  input.float(defval=15.0, minval=0.0, title=' stop loss %',group = 'stop loss')
use_sl = input(title='trailing stop ?', defval=true,group = 'stop loss')
initial_sl_pct = input.float(defval=15.0, minval=0.0, title='trailing stop %',group = 'stop loss')

Tpactive1 = input(title='Take profit1 On/Off ?', defval=true, group='take profit')
tp1percent = input.float(5.0, title='TP1 %', group='take profit') *100
tp1amt = input.int(10, title='TP1 Amount %', group='take profit')
Tpactive2 = input(title='Take profit2 On/Off ?', defval=true, group='take profit')
tp2percent = input.float(10, title='TP2 %', group='take profit') *100
tp2amt = input.int(15, title='TP2 Amount %', group='take profit')
Tpactive3 = input(title='Take profit3 On/Off ?', defval=true, group='take profit')
tp3percent = input.float(15, title='TP3 %', group='take profit')*100
tp3amt = input.int(20, title='TP3 Amount %', group='take profit')

//===== TIMEFRAME ==========================================================================//

from_month = input.int(defval=1, title='From Month', minval=1, maxval=12)
from_day = input.int(defval=1, title='From Day', minval=1, maxval=31)
from_year = input.int(defval=2019, title='From Year', minval=2017)
to_month = input.int(defval=1, title='To Month', minval=1, maxval=12)
to_day = input.int(defval=1, title='To Day', minval=1, maxval=31)
to_year = input.int(defval=9999, title='To Year', minval=2017)
start = timestamp(from_year, from_month, from_day, 00, 00)

finish = timestamp(to_year, to_month, to_day, 23, 59)
window() =>
    time >= start and time <= finish ? true : false

//===== PLOTS ==========================================================================//

// Line
line_plot = plot(tsl, color=trend == 1 ? color.green : color.red, linewidth=2, title='Trend Line')
// Labels
plotshape(long_signal and window() ? up : na, title='Buy', text='Buy', location=location.absolute, style=shape.labelup, size=size.normal, color=color.new(color.green, 0), textcolor=color.new(color.white, 0))
plotshape(short_signal and window() ? down : na, title='Sell', text='Sell', location=location.absolute, style=shape.labeldown, size=size.normal, color=color.new(color.red, 0), textcolor=color.new(color.white, 0))
// Circles
plotshape(long_signal and window() ? up : na, title='Uptrend starts', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.green, 0))
plotshape(short_signal and window() ? down : na, title='Downtrend starts', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.red, 0))
// Background
long_fill = background ? trend == 1 ? color.green : na : na
short_fill = background ? trend == -1 ? color.red : na : na
candle_plot = plot(ohlc4, title='Price Line', color=trend == 1 ? long_fill : short_fill, linewidth=2, transp=90)
fill(candle_plot, line_plot, title='Long Background', color=long_fill, transp=90)
fill(candle_plot, line_plot, title='Short Background', color=short_fill, transp=90)

//===== GLOBAL ==========================================================================//

var entry_price = 0.0
var updated_entry_price = 0.0
var sl_price = 0.0

longString = "Input your custom alert message here.\nAnd put {{strategy.order.alert_message}} in the message box."
longclose = "Input your custom alert message here.\nAnd put {{strategy.order.alert_message}} in the message box."
shortString = "Input your custom alert message here.\nAnd put {{strategy.order.alert_message}} in the message box."
shortclose = "Input your custom alert message here.\nAnd put {{strategy.order.alert_message}} in the message box."


longAlertMessage = input(title="Long Alert Message", defval="long", group="Alert Messages", tooltip=longString)
longcloseAlertMessage = input(title="Long close Alert Message", defval="long", group="Alert Messages", tooltip=longclose)
shortAlertMessage = input(title="Short Alert Message", defval="short", group="Alert Messages", tooltip=shortString)
shortcloseAlertMessage = input(title="Short close Alert Message", defval="short", group="Alert Messages", tooltip=shortclose)


has_open_trade() =>
    strategy.position_size != 0
has_no_open_trade() =>
    strategy.position_size == 0

is_long() =>
    strategy.position_size > 0 ? true : false
is_short() =>
    strategy.position_size < 0 ? true : false

plot(use_sl ? has_no_open_trade() ? close : sl_price : na, color=has_no_open_trade() ? na : color.blue, title='Stop Loss')

strategy_close() =>
    if is_long()
        strategy.close('Long')
        alert(longcloseAlertMessage)
    if is_short()
        strategy.close('Short')
        alert(shortcloseAlertMessage)

    
    
strategy_long() =>
    strategy.entry('Long', strategy.long)    

    

strategy_short() =>
    strategy.entry('Short', strategy.short)

sl_pct = initial_sl_pct
if long_signal or is_long() and not(short_signal or is_short())
    sl_pct := initial_sl_pct * -1
    sl_pct

//===== STRATEGY ==========================================================================//


crossed_sl = false
if is_long() and use_sl
    crossed_sl := close <= sl_price
    crossed_sl
if is_short() and use_sl
    crossed_sl := close >= sl_price
    crossed_sl

terminate_operation = window() and has_open_trade() and crossed_sl

if terminate_operation and not(long_signal or short_signal)  // Do not close position if trend is flipping anyways.
    entry_price := 0.0
    updated_entry_price := entry_price
    sl_price := 0.0
    strategy_close()



start_operation = window() and (long_signal or short_signal)

if start_operation
    entry_price := close
    updated_entry_price := entry_price
    sl_price := entry_price + entry_price * sl_pct / 100
    if long_signal
        strategy_long()
        if Tpactive1==true
            strategy.exit('TPL1','Long', qty_percent=tp1amt,profit =tp1percent)

        alert(shortcloseAlertMessage)
        alert(longAlertMessage)
    

    if short_signal
        strategy_short()
        if Tpactive1==true
            strategy.exit('TPL1','Short', qty_percent=tp1amt,profit =tp1percent)

        alert(longcloseAlertMessage)
        alert(shortAlertMessage)


//===== TRAILING ==========================================================================//

if is_long() and use_sl
    strategy_pct = (close - updated_entry_price) / updated_entry_price * 100.00
    if strategy_pct > 1
        sl_pct += strategy_pct - 1.0
        new_sl_price = updated_entry_price + updated_entry_price * sl_pct / 100
        sl_price := math.max(sl_price, new_sl_price)
        updated_entry_price := sl_price
        updated_entry_price
        

if is_short() and use_sl
    strategy_pct = (close - updated_entry_price) / updated_entry_price * 100.00
    if strategy_pct < -1
        sl_pct += strategy_pct + 1.0
        new_sl_price = updated_entry_price + updated_entry_price * sl_pct / 100
        sl_price := math.min(sl_price, new_sl_price)
        updated_entry_price := sl_price
        updated_entry_price

Detail

https://www.fmz.com/strategy/435839

Last Modified

2023-12-19 11:20:15

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超趋势跟踪止损策略Super-Trend-Tracking-Stop-Loss-Strategy.md

超趋势跟踪止损策略Super-Trend-Tracking-Stop-Loss-Strategy.md

概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Strategy Logic

Advantage Analysis

Risk Analysis

Optimization Directions

Conclusion

Files

超趋势跟踪止损策略Super-Trend-Tracking-Stop-Loss-Strategy.md

Latest commit

History

超趋势跟踪止损策略Super-Trend-Tracking-Stop-Loss-Strategy.md

File metadata and controls

概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Strategy Logic

Advantage Analysis

Risk Analysis

Optimization Directions

Conclusion