Name

动态追踪止损策略Trailing-Stop-Loss-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

本策略通过计算快速移动平均线和慢速移动平均线的交叉来判断趋势,在快速移动平均线上穿慢速移动平均线时做多,并设置一个动态追踪的止损线来锁定利润,在价格变化一定比例时止损退出。

策略原理

该策略使用快速移动平均线和慢速移动平均线的金叉来判断多头趋势的开始。具体来说,是计算一定周期内的收盘价的简单移动平均线,比较快速平均线和慢速平均线的数值,当快速移动平均线上穿慢速移动平均线时,判断为多头趋势开始,此时开仓做多。

在开仓做多后,策略不设置固定止损,而是利用一个动态追踪的止损线来锁定利润。这个止损线的设置方法是:最高价*(1-设置的止损百分比)。这样可以让止损线随价格上涨而上涨,在一定比例下跌时停损退出。

这种方式的优点是可以无限追涨,并且可以在利润达到一定水平后通过止损来锁定利润。

优势分析

这种动态追踪止损策略的主要优势有:

可以无限追涨,不会漏掉大的行情。采用固定止损很容易在大行情开始后被止损出场。
可以通过设定止损百分比来锁定利润。如果只追涨不止损,整个行情结束时可能亏损。设定止损可以锁定利润。
比固定止损更加灵活。固定止损只能设置一个价格,而这里的止损会根据最高价变化。
回撤风险较小。采用固定止损时,止损价距离最高价较大,在正常的回调中就可能被止损。这里的止损距离最高价很近,正常回调不会被止损。

风险分析

该策略也存在一些风险:

判断入场信号的指标不稳定,可能产生错误信号。
单一的止损方式,没有考虑其他因素。市场可能突发重大变化导致策略失效。
没有止盈限制,依赖止损。如果止损失效,可能造成较大亏损。
数据设定需要优化。移动平均线周期等参数需要调整至最优。

优化方向

该策略还可以从以下几个方面进行优化:

增加更多指标来确认入场,避免错误信号。比如加入成交量的判断。
增加止盈设置。当收益达到一定比例时止盈。
增加止损的安全性。当市场发生异常时大幅调整止损距离。
对交易品种、交易时段等进行优化调整。不同品种和交易时段参数需要调整。
增加机器学习来动态调整参数。让模型自动优化判断指标和止损幅度。

总结

本策略整体思路清晰合理,使用快慢均线判断趋势是一个较为经典的方法,并且采用动态追踪止损这一手法可以有效锁定利润并降低风险。但这些指标和参数都需要不断测试和优化,才能使策略稳定盈利。同时也要防范市场的重大变化对策略的影响,这需要通过完善整体思路和框架,增加安全机制来实现。

||

Overview

This strategy calculates fast and slow moving averages to determine the trend. It goes long when the fast moving average crosses over the slow moving average, and sets a dynamic trailing stop loss to lock in profits when the price changes by a certain percentage.

Strategy Logic

The strategy uses the golden cross of fast and slow moving averages to determine the beginning of an uptrend. Specifically, it calculates the simple moving average of closing prices over a certain period, compares the values of the fast and slow moving averages, and judges the beginning of an uptrend when the fast moving average crosses over the slow one.

After opening a long position, the strategy does not set a fixed stop loss, but uses a dynamic trailing stop loss to lock in profits. The stop loss line is set based on: Highest Price * (1 - Stop Loss Percentage). This allows the stop loss line to move up as the price rises. When the price falls by a certain percentage, the stop loss will be triggered to exit the position.

The advantage of this approach is that it allows unlimited chasing of uptrends, while locking in profits once they reach a certain level through the stop loss.

Advantage Analysis

The main advantages of this trailing stop loss strategy are:

It allows unlimited chasing of trends without missing out large moves. Fixed stop losses often get stopped out at the beginning of major trends.
It locks in profits by setting a stop loss percentage. Simply chasing trends without a stop loss can lead to losses when the trend ends. The stop loss locks in gains.
It is more flexible than fixed stop losses. Fixed stops can only be set to one price, while this stop loss moves with the highest price.
It has lower pullback risks. Fixed stops are often far from the highest price, leading to premature stop outs on normal pullbacks. This stop loss stays close to the highest price to avoid being stopped out unnecessarily.

Risk Analysis

The strategy also has some risks:

The indicator used for entry signals may be unstable and produce false signals.
There is only a single stop loss approach without considering other factors. Major market changes can invalidate the strategy.
There are no profit targets, relying solely on the stop loss. Ineffective stop loss can lead to large losses.
The parameters like moving average periods need further optimization.

Optimization Directions

The strategy can be improved in several areas:

Add more indicators to confirm entries and avoid false signals, e.g. volume.
Add profit taking when profits reach a certain percentage.
Improve stop loss safety by dynamically adjusting the stop distance in exceptional market events.
Optimize parameters like trading instruments and trading sessions. Different products and sessions require parameter adjustments.
Add machine learning to dynamically adjust parameters and optimize indicators and stop loss levels automatically.

Summary

The overall logic of this strategy is sound and reasonable. Using fast and slow moving averages to determine trends is a classic approach. Trailing stop loss is also effective for locking in profits and reducing risks. However, continual testing and optimization is needed for the indicators and parameters to make the strategy consistently profitable. At the same time, major market changes that could invalidate the strategy need to be guarded against by improving the overall logic and framework and adding safeguards.

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Strategy Arguments

Argument	Default	Description
v_input_1	21	(?Strategy)Fast SMA Length
v_input_2	49	Slow SMA Length
v_input_3	true	Enable Trailing
v_input_4	7.5	Long Stop Loss %
v_input_5	timestamp(01 Jan 2021 00:00 UTC)	(?Backtest Period)From Date
v_input_6	timestamp(31 Dec 2121 23:59 UTC)	To Date
v_input_7	true	(?Plot)Show Backtest Range

Source (PineScript)

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ 
//  -----------------------------------------------------------------------------
//  Copyright 2021 Iason Nikolas | jason5480
//  Trainiling Take Profit Trailing Stop Loss script may be freely distributed under the MIT license.
//
//  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.
//
//  -----------------------------------------------------------------------------
//
//  Authors:  @jason5480
//  Revision: v1.0.0
//  Date:     05-May-2021
//
//  Description
//  =============================================================================
//  This strategy will go long if fast MA crosses over slow MA.
//  The strategy will exit from long position when the price increases by a fixed percentage.
//  If the trailing take profit is checked then the strategy instead of setting a limit order in a predefined price (based on the percentage)
//  it will follow the price with small steps (percentagewise)
//  If the price drops by this percentage then the exit order will be executed
//
//  The strategy has the following parameters:
//
//  Fast SMA Length - How many candles back to calculte the fast SMA.
//  Slow SMA Length - How many candles back to calculte the slow SMA.
//  Enable Trailing - Enable or disable the trailing.
//  Stop Loss % - The percentage of the price decrease to set the stop loss price target for long positions.
//  
//  -----------------------------------------------------------------------------
//  Disclaimer:
//    1. I am not licensed financial advisors or broker dealer. I do not tell you 
//       when or what to buy or sell. I developed this software which enables you 
//       execute manual or automated trades using TradingView. The 
//       software allows you to set the criteria you want for entering and exiting 
//       trades.
//    2. Do not trade with money you cannot afford to lose.
//    3. I do not guarantee consistent profits or that anyone can make money with no 
//       effort. And I am not selling the holy grail.
//    4. Every system can have winning and losing streaks.
//    5. Money management plays a large role in the results of your trading. For 
//       example: lot size, account size, broker leverage, and broker margin call 
//       rules all have an effect on results. Also, your Take Profit and Stop Loss 
//       settings for individual pair trades and for overall account equity have a 
//       major impact on results. If you are new to trading and do not understand 
//       these items, then I recommend you seek education materials to further your
//       knowledge.
//
//    YOU NEED TO FIND AND USE THE TRADING SYSTEM THAT WORKS BEST FOR YOU AND YOUR 
//    TRADING TOLERANCE.
//
//    I HAVE PROVIDED NOTHING MORE THAN A TOOL WITH OPTIONS FOR YOU TO TRADE WITH THIS PROGRAM ON TRADINGVIEW.
//    
//    I accept suggestions to improve the script.
//    If you encounter any problems I will be happy to share with me.
//  -----------------------------------------------------------------------------
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// SETUP ============================================================================================================
strategy(title = "Trailing Stop Loss",
         shorttitle = "TSL",
         overlay = true,
         pyramiding = 0,
         calc_on_every_tick = true,
         default_qty_type = strategy.cash,
         default_qty_value = 100000,
         initial_capital = 100000)

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// INPUTS ===========================================================================================================

// STRATEGY INPUT ===================================================================================================
fastMALen = input(defval = 21, title = "Fast SMA Length", type = input.integer, group = "Strategy", tooltip = "How many candles back to calculte the fast SMA.")
slowMALen = input(defval = 49, title = "Slow SMA Length", type = input.integer, group = "Strategy", tooltip = "How many candles back to calculte the slow SMA.")

enableStopLossTrailing = input(defval = true, title = "Enable Trailing", type = input.bool, group = "Strategy", tooltip = "Enable or disable the trailing for stop loss.")
longTrailingStopLossPerc = input(defval = 7.5, title = 'Long Stop Loss %', type = input.float, minval = 0.1, maxval = 100, step = 0.1, inline = "Trailing Stop Loss Perc", group = "Strategy") / 100

// BACKTEST PERIOD INPUT ============================================================================================
fromDate = input(defval = timestamp("01 Jan 2021 00:00 UTC"), title = "From Date", type = input.time, minval = timestamp("01 Jan 1970 00:00 UTC"), group = "Backtest Period") // backtest start date
toDate   = input(defval = timestamp("31 Dec 2121 23:59 UTC"), title = "To Date",   type = input.time, minval = timestamp("01 Jan 1970 00:00 UTC"), group = "Backtest Period") // backtest finish date

isWithinBacktestPeriod() => true

// SHOW PLOT INPUT ==================================================================================================
showDate = input(defval = true, title = "Show Backtest Range", type = input.bool, group = "Plot", tooltip = "Gray out the backround of the backtest period.")

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// STRATEGY LOGIC ===================================================================================================

fastMA = sma(close, fastMALen)
slowMA = sma(close, slowMALen)

bool startLongDeal = crossover(fastMA, slowMA)

bool longIsActive = startLongDeal or strategy.position_size > 0

// determine trailing stop loss price
float longTrailingStopLossPrice = na
longTrailingStopLossPrice := if (longIsActive)
    stopValue = high * (1 - longTrailingStopLossPerc)
    max(stopValue, nz(longTrailingStopLossPrice[1]))
else
    na

//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// STRATEGY EXECUTION ===============================================================================================

if (isWithinBacktestPeriod())
    // getting into LONG position
    strategy.entry(id = "Long Entry", long = strategy.long, when = startLongDeal, alert_message = "Long(" + syminfo.ticker + "): Started")
    // submit exit orders for trailing stop loss price
    strategy.exit(id = "Long Stop Loss", from_entry = "Long Entry", stop = longTrailingStopLossPrice, when = longIsActive, alert_message = "Long(" + syminfo.ticker + "): Stop Loss activated")


//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// PLOT DATE POSITION MA AND TRAILING TAKE PROFIT STOP LOSS =========================================================

bgcolor(color = showDate and isWithinBacktestPeriod() ? color.gray : na, transp = 90)

plot(series = fastMA, title = "Fast SMA", color = #0056BD, linewidth = 2, style = plot.style_line)
plot(series = slowMA, title = "Slow SMA", color = #FF6A00, linewidth = 2, style = plot.style_line)
plotshape(series = isWithinBacktestPeriod() and startLongDeal and strategy.position_size <= 0 ? fastMA : na, title = "UpTrend Begins", style = shape.circle, location = location.absolute, color = color.green, transp = 0, size = size.tiny)
plotshape(series = isWithinBacktestPeriod() and startLongDeal and strategy.position_size <= 0 ? fastMA : na, title = "Buy", text = "Buy", style = shape.labelup, location = location.absolute, color = color.green, textcolor = color.black, transp = 0, size = size.tiny)

plot(series = strategy.position_avg_price, title = "Position", color = color.blue, linewidth = 2, style = plot.style_linebr, offset = 1)
plot(series = longTrailingStopLossPrice, title = "Long Trail Stop", color = color.fuchsia, linewidth = 2, style = plot.style_linebr, offset = 1)

// ==================================================================================================================

Detail

https://www.fmz.com/strategy/438448

Last Modified

2024-01-12 10:47:38

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动态追踪止损策略Trailing-Stop-Loss-Strategy.md

动态追踪止损策略Trailing-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

Summary

Files

动态追踪止损策略Trailing-Stop-Loss-Strategy.md

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History

动态追踪止损策略Trailing-Stop-Loss-Strategy.md

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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

Summary