strategies/基于超趋势指标多时间框架的量化策略Multi-Timeframe-Supertrend-Quantitative-Trading-Strategy.md

Name

基于超趋势指标多时间框架的量化策略Multi-Timeframe-Supertrend-Quantitative-Trading-Strategy

Author

ChaoZhang

Strategy Description

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本文将详细介绍一种基于超趋势指标和多时间框架判断的量化交易策略。该策略综合运用超趋势指标在不同周期判断趋势,以提高交易信号的质量。

一、策略原理

该策略的核心部分包括:

1. 在当前周期计算超趋势指标,判断价格趋势方向;

2. 在高时间框架(如日线)计算超趋势指标,判断大趋势;

3. 结合两个时间框架下超趋势指标的方向一致性,形成交易信号;

4. 根据信号设置合理的止损止盈;

5. 以一定比例分批出场,锁定盈利。

当高低周期超趋势指标方向一致时,视为大趋势发生,根据指标关系形成买入卖出信号。并设置止损止盈管理每笔交易的风险收益。

二、策略优势

该策略最大的优势是利用多时间框架判断,可以过滤掉部分假信号,提高信号的可靠度。

此外,合理的止损止盈设置也使每单交易实现风险可控,避免亏损过大。

最后,分批出场的方式锁定盈利,也是该策略的一大特点。

三、潜在风险

但我们也应当注意以下风险:

首先,超趋势指标本身存在滞后问题,可能错过最佳入场点位。

其次,止损过于激进面临被套的风险,需要合理设置。

最后,分批出场带来的滑点成本也影响应考虑。

四、内容总结

本文详细介绍了一种基于超趋势指标和多时间框架判断的量化策略。它使用高低周期组合提高信号质量,并采用止损止盈和分批出场方式进行风险管理。总体来说,该策略使用指标较为合理,可通过参数优化获得良好效果。

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This article explains in detail a quantitative trading strategy using the Supertrend indicator across multiple timeframes. It combines Supertrend signals on different periods to improve the reliability of trade signals.

I. Strategy Logic

The key components of the strategy include:

1. Calculating Supertrend on the current period to determine price trend direction.

2. Calculating Supertrend on a higher timeframe (such as daily) to gauge the major trend.

3. Forming trade signals based on the consistency between Supertrend directions on the two timeframes.

4. Setting appropriate stop loss and take profit based on signals.

5. Scaling out with fixed portions to lock in profits.

When Supertrend agrees on high and low timeframes, a major trend is identified and buy/sell signals are generated based on the indicator relationship. Stop loss and take profit manages the risk and reward of each trade.

II. Advantages of the Strategy

The biggest advantage lies in using multiple timeframes to filter false signals and improve reliability.

In addition, sensible stop loss and take profit settings ensure controllable risk per trade, avoiding excessive losses.

Lastly, scaling out portions of the profits is also a defining feature of the strategy.

III. Potential Weaknesses

However, the following risks should also be acknowledged:

Firstly, Supertrend itself has lagging issues that may cause missed optimal entry points.

Secondly, stop loss set too aggressively risks being stopped out prematurely.

Finally, scaling out can introduce additional slippage costs.

IV. Summary

In summary, this article has explained a quantitative strategy using Supertrend across multiple timeframes. It improves signal quality through the combination of high and low period analysis, and manages risks via stop loss, take profit and scaling out. Overall with proper tuning this strategy offers a reasonable approach utilizing the indicator.

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Strategy Arguments

Argument	Default	Description
v_input_timeframe_1	D	Timeframe 1
v_input_timeframe_2	W	Timeframe 2
v_input_1	22	ATR Period
v_input_float_1	3	ATR Multiplier
v_input_2	true	Show Buy/Sell Labels ?
v_input_3	true	Use Close Price for Extremums ?
v_input_4	true	Highlight State ?
v_input_string_1	0	What trades should be taken : : BOTH
v_input_5	timestamp(01 Jun 2021 13:30 +0000)	Backtesting Start Time
v_input_6	timestamp(30 Sep 2099 19:30 +0000)	Backtesting End Time
v_input_7	false	KeepLastPosition
v_input_float_2	5	(?Trades)Stop Loss %
v_input_int_1	5	TP1 %
v_input_int_2	10	TP2 %
v_input_int_3	15	TP3 %
v_input_int_4	10	TP1 Amount %
v_input_int_5	15	TP2 Amount %
v_input_int_6	20	TP3 Amount %

Source (PineScript)

/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 10m
basePeriod: 1m
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/
// © ranga_trading

//@version=5
// strategy(title='SuperTrend Multi Time Frame Long and Short Trading Strategy with Take Profit, Stop Loss and in build alerts V01', shorttitle='SuperTrend Multi Time Frame Long and Short Trading Strategy with Take Profit, Stop Loss and in build alerts V01 ', overlay=true, default_qty_value=60, initial_capital=2000, default_qty_type=strategy.percent_of_equity, pyramiding=0, process_orders_on_close=true)

tf1 = input.timeframe('D', title='Timeframe 1')
tf2 = input.timeframe('W', title='Timeframe 2')

length = input(title='ATR Period', defval=22)
mult = input.float(title='ATR Multiplier', step=0.1, defval=3.0)
showLabels = input(title='Show Buy/Sell Labels ?', defval=true)
useClose = input(title='Use Close Price for Extremums ?', defval=true)
highlightState = input(title='Highlight State ?', defval=true)


atr = mult * ta.atr(length)

longStop = (useClose ? ta.highest(close, length) : ta.highest(length)) - atr
longStopPrev = nz(longStop[1], longStop)
longStop := close[1] > longStopPrev ? math.max(longStop, longStopPrev) : longStop

shortStop = (useClose ? ta.lowest(close, length) : ta.lowest(length)) + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := close[1] < shortStopPrev ? math.min(shortStop, shortStopPrev) : shortStop

var int dir = 1
dir := close > shortStopPrev ? 1 : close < longStopPrev ? -1 : dir

var color longColor = color.green
var color shortColor = color.red

longStopPlot = plot(dir == 1 ? longStop : na, title='Long Stop', style=plot.style_linebr, linewidth=2, color=color.new(longColor, 0))
buySignal = dir == 1 and dir[1] == -1
plotshape(buySignal ? longStop : na, title='Long Stop Start', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(longColor, 0))

shortStopPlot = plot(dir == 1 ? na : shortStop, title='Short Stop', style=plot.style_linebr, linewidth=2, color=color.new(shortColor, 0))
sellSignal = dir == -1 and dir[1] == 1
plotshape(sellSignal ? shortStop : na, title='Short Stop Start', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(shortColor, 0))

midPricePlot = plot(ohlc4, title='', style=plot.style_circles, linewidth=0, display=display.none, editable=false)

longFillColor = highlightState ? dir == 1 ? longColor : na : na
shortFillColor = highlightState ? dir == -1 ? shortColor : na : na
fill(midPricePlot, longStopPlot, title='Long State Filling', color=longFillColor, transp=90)
fill(midPricePlot, shortStopPlot, title='Short State Filling', color=shortFillColor, transp=90)


// CE Function
ce() =>
    atr2 = mult * ta.atr(length)

    longStop2 = (useClose ? ta.highest(close, length) : ta.highest(length)) - atr2
    longStop2Prev = nz(longStop2[1], longStop2)
    longStop2 := close[1] > longStop2Prev ? math.max(longStop2, longStop2Prev) : longStop2

    shortStop2 = (useClose ? ta.lowest(close, length) : ta.lowest(length)) + atr2
    shortStop2Prev = nz(shortStop2[1], shortStop2)
    shortStop2 := close[1] < shortStop2Prev ? math.min(shortStop2, shortStop2Prev) : shortStop2

    var int dir2 = 1
    dir2 := close > shortStop2Prev ? 1 : close < longStop2Prev ? -1 : dir2

    ce = dir2 == 1 ? longStop2 : shortStop2

    [dir2, ce]

[side, ce_plot] = ce()

ce1_plot = request.security(syminfo.tickerid, tf1, ce_plot[1], barmerge.gaps_off, barmerge.lookahead_on)
ce2_plot = request.security(syminfo.tickerid, tf2, ce_plot[1], barmerge.gaps_off, barmerge.lookahead_on)


ce1 = request.security(syminfo.tickerid, tf1, side[1], barmerge.gaps_off, barmerge.lookahead_on)
ce2 = request.security(syminfo.tickerid, tf2, side[1], barmerge.gaps_off, barmerge.lookahead_on)

long = buySignal and ce1 > 0 and ce2 > 0
short = sellSignal and ce1 < 0 and ce2 < 0

tradeType = input.string('BOTH', title='What trades should be taken : ', options=['LONG', 'SHORT', 'BOTH'])


// Position Management Tools
pos = 0.0

if tradeType == 'BOTH'
    pos := long ? 1 : short ? -1 : pos[1]
    pos
if tradeType == 'LONG'
    pos := long ? 1 : pos[1]
    pos
if tradeType == 'SHORT'
    pos := short ? -1 : pos[1]
    pos

longCond = long and (pos[1] != 1 or na(pos[1]))
shortCond = short and (pos[1] != -1 or na(pos[1]))


plot(ce1_plot, title='Timeframe 1 CE', color=ce1 > 0 ? #008000 : #800000, linewidth=2)
plot(ce2_plot, title='Timeframe 2 CE', color=ce2 > 0 ? color.green : color.red, linewidth=2)


// EXIT FUNCTIONS //
i_sl = input.float(5.0, title='Stop Loss %', minval=0, group='Trades')
sl = i_sl > 0 ? i_sl / 100 : 99999

long_entry = ta.valuewhen(longCond, close, 0)
short_entry = ta.valuewhen(shortCond, close, 0)


// Simple Stop Loss + 2 Take Profits
sl_long = strategy.position_avg_price * (1 - sl)
sl_short = strategy.position_avg_price * (1 + sl)


// Position Adjustment
long_sl = low < sl_long and pos[1] == 1
short_sl = high > sl_short and pos[1] == -1

if long_sl or short_sl
    pos := 0
    pos


long_exit = sellSignal and pos[1] == 1
short_exit = buySignal and pos[1] == -1

if long_exit or short_exit
    pos := 0
    pos

tp1percent = input.int(5, title='TP1 %', group='Trades') / 100.0
tp2percent = input.int(10, title='TP2 %', group='Trades') / 100.0
tp3percent = input.int(15, title='TP3 %', group='Trades') / 100.0

tp1amt = input.int(10, title='TP1 Amount %', group='Trades')
tp2amt = input.int(15, title='TP2 Amount %', group='Trades')
tp3amt = input.int(20, title='TP3 Amount %', group='Trades')

//  Strategy Backtest Limiting Algorithm
i_startTime = input(defval=timestamp('01 Jun 2021 13:30 +0000'), title='Backtesting Start Time')
i_endTime = input(defval=timestamp('30 Sep 2099 19:30 +0000'), title='Backtesting End Time')
timeCond = true

KeepLastPosition = input(false)

// Make sure we are within the bar range, Set up entries and exit conditions
strategy.entry('long', strategy.long, when=longCond == true and tradeType != 'SHORT' and timeCond)
strategy.entry('short', strategy.short, when=shortCond == true and tradeType != 'LONG' and timeCond)

var float Qty1 = na
var float Qty2 = na
var float Qty3 = na
var float Qty4 = na

if strategy.position_size == 0
    equity_q = (50000 + strategy.netprofit) / close
    Qty1 := equity_q * tp1amt / 100.0
    Qty2 := equity_q * tp2amt / 100.0
    Qty3 := equity_q * tp3amt / 100.0
    Qty4 := equity_q - Qty1 - Qty2 - Qty3
    Qty4

strategy.exit('Exit1', qty=Qty1, stop=sl_long, limit=strategy.position_avg_price * (1 + tp1percent), when=strategy.position_size > 0)
strategy.exit('Exit2', qty=Qty2, stop=sl_long, limit=strategy.position_avg_price * (1 + tp2percent), when=strategy.position_size > 0)
strategy.exit('Exit3', qty=Qty3, stop=sl_long, limit=strategy.position_avg_price * (1 + tp3percent), when=strategy.position_size > 0)
strategy.exit('Exit4', qty=Qty4, stop=sl_long, when=strategy.position_size > 0 and KeepLastPosition == false)
strategy.close('long', when=long_exit, comment='CE Exit')

strategy.exit('Exit1', qty=Qty1, stop=sl_short, limit=strategy.position_avg_price * (1 - tp1percent), when=strategy.position_size < 0)
strategy.exit('Exit2', qty=Qty2, stop=sl_short, limit=strategy.position_avg_price * (1 - tp2percent), when=strategy.position_size < 0)
strategy.exit('Exit3', qty=Qty3, stop=sl_short, limit=strategy.position_avg_price * (1 - tp3percent), when=strategy.position_size < 0)
strategy.exit('Exit4', qty=Qty4, stop=sl_short, when=strategy.position_size < 0 and KeepLastPosition == false)
strategy.close('short', when=short_exit, comment='CE Exit')

plot(strategy.position_size > 0 ? strategy.position_avg_price * (1 + tp1percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size > 0 ? strategy.position_avg_price * (1 + tp2percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size > 0 ? strategy.position_avg_price * (1 + tp3percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size > 0 ? sl_long : na, color=color.new(color.red, 0), style=plot.style_linebr)
plot(strategy.position_size > 0 ? strategy.position_avg_price : na, color=color.new(color.gray, 0), style=plot.style_linebr)

plot(strategy.position_size < 0 ? strategy.position_avg_price * (1 - tp1percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size < 0 ? strategy.position_avg_price * (1 - tp2percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size < 0 ? strategy.position_avg_price * (1 - tp3percent) : na, color=color.new(color.green, 0), style=plot.style_linebr)
plot(strategy.position_size < 0 ? sl_short : na, color=color.new(color.red, 0), style=plot.style_linebr)
plot(strategy.position_size < 0 ? strategy.position_avg_price : na, color=color.new(color.gray, 0), style=plot.style_linebr)

Detail

https://www.fmz.com/strategy/426850

Last Modified

2023-09-14 20:21:39