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strategies/基于弹性停损的追踪止损策略PB-SAR-Backtest-Strategy-with-Elastic-Stop-Loss.md
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> Name
基于弹性停损的追踪止损策略PB-SAR-Backtest-Strategy-with-Elastic-Stop-Loss
> Author
ChaoZhang
> Strategy Description
[trans]
## 概述
该策略基于弹性停损指标,设定买入和卖出信号,进行长仓和短仓操作。当指标出现买入信号时,做多;当出现卖出信号时,做空。策略还结合了追踪止损机制,可有效控制风险。
## 原理
该策略主要利用弹性停损指标识别趋势的转折点,做反转操作。指标内部运用真实范围指标来识别极值价格,当价格超过极值时视为异常突破,判断趋势反转的可能。具体来说,指标内部维护两个变量:极值价格(EP)和触发价格(TP)。EP代表当前趋势下的最高价或最低价。TP则由EP计算得出。
在上涨趋势中,当价格高于EP时,判定为异常突破,此时EP更新为最高价,TP为最低价。当价格低于TP时,判定趋势反转,产生卖出信号。在下跌趋势中,原理相似。
该策略结合追踪止损机制,当打开仓位后,会实时追踪最佳止损价格,在保证盈利的同时控制风险。具体来说,在做多后,止损线会跟踪收盘低点;做空后,止损线跟踪收盘高点。
## 优势
该策略具有以下优势:
1. 利用指标识别趋势反转点,不易被套牢。
2. 追踪止损机制,可以锁定盈利,避免亏损扩大。
3. 指标参数简单,容易实现。
4. 可配置买卖信号提示,操作方便。
5. 可灵活配置回测周期,全面评估策略效果。
## 风险
该策略也存在一些风险:
1. 指标存在滞后,可能漏掉趋势反转的最佳点位。
2. 止损过于激进,可能被价格短期震荡止损。
3. 回测周期选择不当,无法全面评估策略效果。
4. 需关注交易成本对盈利的影响。
对应风险,可以从以下方面进行优化:
1. 调整指标参数,缩小滞后。
2. 优化止损算法,避免被套。
3. 选择合适的回测周期,确保可靠性。
4. 优化仓位管理,降低交易成本。
## 优化方向
该策略可以从以下方面进行进一步优化:
1. 结合趋势指标,避免反转交易被套。可以加入MA等指标判断大趋势。
2. 优化仓位管理算法,例如固定比例仓位、动态仓位等。
3. 加入交易量过滤,避免缺口造成的误交易。
4. 进行参数优化,找到最佳参数组合。
5. 加入止盈策略,在趋势运行中及时止盈。
6. 优化止损策略,使止损更加平滑。可以试验 Chandelier Exit 等止损算法。
7. 对交易品种、时间段等进行优化,提高策略适应性。
8. 加入机器学习算法,使策略更具自适应性。
## 总结
该策略整体来说较为简单可靠,利用弹性停损指标识别反转点位,并配以追踪止损机制控制风险,可作为短线反转策略使用。但仍需注意指标滞后、止损过于激进等问题。通过进一步优化,可望获得更佳的策略效果。
[/trans]
## Overview
This strategy is based on the Parabolic SAR indicator to generate buy and sell signals for long and short positions. It also incorporates a trailing stop loss mechanism to effectively control risks.
## Principle
The core of this strategy is to identify trend reversal points using the Parabolic SAR indicator for counter-trend trading. The indicator uses the true range to detect extreme prices. When the price exceeds the extreme, it is considered a breakout and a sign of potential trend reversal. Specifically, the indicator maintains two variables: the Extreme Price (EP) and the Trigger Price (TP). The EP represents the highest/lowest price of the current trend, while the TP is derived from the EP.
In an uptrend, when the price is higher than the EP, it is considered a breakout. The EP is then updated to the highest price and the TP to the lowest price. When the price falls below the TP, a trend reversal is identified and a sell signal is generated. The same principle applies for a downtrend.
The strategy also incorporates a trailing stop loss mechanism. After opening a position, it will track the optimal stop loss price in real-time, locking in profits while controlling risks. Specifically, after long entry, the stop loss tracks the closing low; after short entry, it tracks the closing high.
## Advantages
The main advantages of this strategy are:
1. Identify trend reversal points with the indicator, avoiding being trapped in trends.
2. Trailing stop loss locks in profits and prevents wider losses.
3. Simple indicator parameters, easy to implement.
4. Configurable buy/sell signal alerts for convenience.
5. Flexible backtest period configuration for thorough evaluation.
## Risks
There are also some risks to consider:
1. Indicator lag may miss optimal reversal points.
2. Aggressive stops may be stopped out by short-term fluctuations.
3. Improper backtest period selection cannot fully evaluate the strategy.
4. Transaction costs may impair profits.
Some ways to address the risks are:
1. Optimize parameters to reduce lag.
2. Improve stop loss algorithm to avoid being stopped out unnecessarily.
3. Select appropriate backtest periods for reliability.
4. Optimize position sizing to lower transaction costs.
## Enhancement
Some ways to further optimize the strategy:
1. Incorporate trend indicators like MA to avoid being trapped in countertrends.
2. Optimize position sizing algorithms, e.g. fixed fractional, dynamic.
3. Add volume filter to avoid false signals from gaps.
4. Parameter optimization to find optimal combinations.
5. Implement profit taking strategies to lock in profits in trends.
6. Refine stop loss algorithms for smoother stops. Experiment with Chandelier Exit etc.
7. Optimize across products, time frames etc. to improve adaptability.
8. Incorporate machine learning for greater adaptability.
## Summary
In summary, this is a simple and robust strategy using the Parabolic SAR to identify reversals and trailing stop loss to control risk. It can work as a short-term mean-reversion strategy. But indicator lag and oversensitive stops need to be addressed. Further optimizations can lead to improved performance.
> Strategy Arguments
|Argument|Default|Description|
|----|----|----|
|v_input_1|true|Start Month|
|v_input_2|true|Start Date|
|v_input_3|(2019)|Start Year|
|v_input_4|true|End Month|
|v_input_5|true|End Date|
|v_input_6|(2020)|End Year|
> Source (PineScript)
``` pinescript
/*backtest
start: 2023-09-10 00:00:00
end: 2023-10-10 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("PB SAR BackTest - Colorbar", overlay=false)
// Full credit to Sawcruhteez, Lucid Investment Strategies LLC, Casey Bowman and Peter Brandt.
// This is a strategy version of the Peterbolic SAR indicator created by the above-mentioned parties.
// Original version of the indicator: https://www.tradingview.com/script/6nYrH3Vm-Peterbolic-SAR/
// SAR #1
// Lucid Sar
// Branded under the name "Lucid SAR"
// as agreed to with Lucid Investment Strategies LLC on July 9, 2019
// https://lucidinvestmentstrategies.com/
// see branch "lucid"
// SAR #2
// Peterbolic Sar
// Using the name "Peterbolic SAR"
// as agreed to by Peter Brandt on October 2, 2019
// - https://twitter.com/PeterLBrandt/status/1179365590668075008
// in response to request from Sawcruhteez
// - https://twitter.com/Sawcruhteez/status/1179213105705836544
// Sawcruhteez gives credit to @CrazyGabey for coming up with the name
// - https://twitter.com/Sawcruhteez/status/1179213196583940097
// see branch "peterbolic"
// SAR #3
// Sawcruhteez Sar
// Branded under the name "Sawcruhteez SAR"
// as agreed to with Sawcruhteez on September 11, 2019
// see branch "sawcruhteez"
// Open Source on github
// https://github.com/casey-bowman/sar/blob/peterbolic/peterbolic.pine
// Created by Casey Bowman on July 4, 2019
// MIT License
// Copyright (c) 2019 Casey Bowman
// 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.
TSR() =>
// start with uptrend
var uptrend = true
var EP = high // extreme price - high or low depending on trend
var SP = low // setup price
var TP = float(na) // trigger price
var setup = low
var trigger = float(na)
if barstate.isnew
setup := low
trigger = float(na)
extreme_candle = false
first_extreme_candle = false
setup_candle = false
trigger_candle = false
waiting_for_setup = false
waiting_for_trigger = false
var since_extreme = 0
var since_setup = 0
waiting_for_setup := not extreme_candle and not na(SP)
waiting_for_trigger := not na(TP)
if not barstate.isfirst
if barstate.isnew and extreme_candle[1]
trigger := float(na)
if barstate.isnew and setup_candle[1]
setup := float(na)
if barstate.isnew and waiting_for_trigger
since_setup := since_setup + 1
trigger := TP
if barstate.isnew and waiting_for_setup
since_extreme := since_extreme + 1
setup := SP
if uptrend
if extreme_candle
EP := high
SP := low
else
if high > EP
extreme_candle := true
EP := high
SP := low
since_extreme := 0
since_setup := 0
else
if waiting_for_setup
if barstate.isconfirmed
if close < SP
setup_candle := true
SP := float(na)
TP := low
if waiting_for_trigger
if low < TP
trigger_candle := true
extreme_candle := true
EP := low
SP := high
TP := float(na)
uptrend := false
since_extreme := 0
since_setup := 0
else
if barstate.isconfirmed and extreme_candle
TP := float(na)
trigger := float(na)
else
if extreme_candle
EP := low
SP := high
else
if low < EP
extreme_candle := true
EP := low
SP := high
since_extreme := 0
since_setup := 0
else
if waiting_for_setup
if barstate.isconfirmed
if close > SP
setup_candle := true
SP := float(na)
TP := high
if waiting_for_trigger
if high > TP
trigger_candle := true
extreme_candle := true
EP := high
SP := low
TP := float(na)
uptrend := true
since_extreme := 0
since_setup := 0
else
if barstate.isconfirmed and extreme_candle
TP := float(na)
trigger := float(na)
[trigger_candle, trigger, since_setup, setup_candle, setup, since_extreme, extreme_candle, uptrend]
[TC, T, SS, SC, S, SE, EC, up] = TSR()
// Make input options that configure backtest date range
StartMonth = input(title="Start Month", type=input.integer,
defval=1, minval=1, maxval=12)
StartDate = input(title="Start Date", type=input.integer,
defval=1, minval=1, maxval=31)
StartYear = input(title="Start Year", type=input.integer,
defval=(2019), minval=1800, maxval=2100)
EndMonth = input(title="End Month", type=input.integer,
defval=1, minval=1, maxval=12)
EndDate = input(title="End Date", type=input.integer,
defval=1, minval=1, maxval=31)
EndYear = input(title="End Year", type=input.integer,
defval=(2020), minval=1800, maxval=2100)
// Look if the close time of the current bar falls inside the date range
inDateRange = true
buytrigger = (TC and up)
selltrigger = (TC and not up)
buysetup = (SC and not up)
sellsetup = (SC and up)
IntBuy = buytrigger ? 1 : 0
IntSB = buysetup ? 0.5 : 0
IntSell= selltrigger ? -1 : 0
IntSS = sellsetup ? -0.5 : 0
bgcolor = buytrigger ? color.green : selltrigger ? color.red : buysetup ? color.yellow : sellsetup ? color.orange : color.black
trans = buytrigger ? 20 : selltrigger ? 20 : 100
bgcolor(bgcolor, 30)
NUM = IntBuy + IntSB + IntSell + IntSS
linecolor = color.orange
plot(NUM, color=linecolor, linewidth=2)
alertcondition(NUM > 0.5, title="Buy Signal", message="Buy Alert")
alertcondition(NUM < -0.5, title="Sell Signal", message="Sell Alert")
alertcondition(NUM == 0.5, title="Buy Setup", message="Buy Setup")
alertcondition(NUM == -0.5, title="Sell Setup", message="Sell Setup")
//Switch on for strategy moves
if(inDateRange and buytrigger)
strategy.exit("SHORT", "SHORT_SL", comment="Short_Exit")
strategy.entry("LONG", strategy.long, comment="")
if(inDateRange and selltrigger)
strategy.exit("LONG", "LONG_SL", comment="Long_Exit")
strategy.entry("SHORT", strategy.short, comment="")
if (not inDateRange)
strategy.close_all()
// plotshape(SC and not up, color = color.yellow, style = shape.triangleup, location = location.belowbar, size = size.auto, transp = 0, title = "Setup to Buy")
// plotshape(TC and up, color = color.green, style = shape.triangleup, location = location.belowbar, size = size.auto, title = "Trigger to Buy")
// plotshape(SC and up, color = color.yellow, style = shape.triangledown, location = location.abovebar, size = size.auto, transp = 0, title = "Setup to Sell")
// plotshape(TC and not up, color = color.red, style = shape.triangledown, location = location.abovebar, size = size.auto, title = "Trigger to Sell")
```
> Detail
https://www.fmz.com/strategy/428975
> Last Modified
2023-10-11 15:22:26
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