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strategies/最佳滑点追踪止损策略Best-Trailing-Stop-Strategy.md
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Name

最佳滑点追踪止损策略Best-Trailing-Stop-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

本策略采用滑点追踪止损机制,根据价格波动幅度来移动止损线,实现动态止损。当价格达到指定盈利水平后启动追踪止损,旨在保护利润,同时尽量减少止损过早被触发的可能。属于常用止损策略的改进和优化。

策略原理

该策略基于双均线判断趋势方向入场,入场信号为快速均线上穿慢速均线。

其创新点在于止损机制的设计:

  1. 设置止损启动线。当价格突破该线时开始启用追踪止损。

  2. 止损线按照设置的滑点Percentage进行移动追踪。如设置3%滑点,则止损线会在最低价的3%以下。

  3. 当价格向不利方向反转,触碰追踪止损线时,平仓止损。

这种设计既确保了止损线会自动追踪利润,也减少在利润尚好时就被止损的概率。

策略优势

  • 滑点比例止损,自动追踪止损
  • 设置启动线,避免过早启用止损
  • 动态追踪止损线,保护利润
  • 避免因短期回调就被止损
  • 启动线和滑点比例可根据市场调整

策略风险

  • 均线判断可能出现滞后,产生假信号
  • 启动线设置不当会过早或过晚启用止损
  • 滑点比例设置不当,止损过松或过紧
  • 无法illings11完全规避被套风险
  • 需要针对市场波动度优化参数

可以通过以下方式减少风险:

  • 优化均线周期,提高入场准确率
  • 测试不同启动线参数,找到最佳点位
  • 根据历史回撤情况测试最佳滑点比例
  • 考虑再次入场机会,减少错过行情
  • 加入其他条件判断,避免冲高回落

优化方向

该策略可以从以下几个方面进行优化:

  1. 优化双均线周期参数

    测试不同的快线慢线组合参数

  2. 优化或删除启动线

    直接启用追踪止损或根据不同品种设置不同参数

  3. 测试不同滑点比例参数

    针对不同品种分别寻找最优止损滑点比例

  4. 加入再入场机制

在止损退出后,设置重新入场的条件

  1. 根据波动率调整止损力度

市场波动加大时可适当放宽止损范围

总结

本策略采用滑点追踪止损方式,设置启动线后动态调整止损位置。这种止损方式可以根据市场波动自动调整止损力度,实现保护利润和减少不必要止损之间的平衡。但需要针对品种特点优化参数,并辅以均线判定等其他技术指标来提升入场的准确性。同时再入场机制也可以降低止损过早的风险。只有不断学习和优化,才能使策略持续适应各种市场环境。

||

Overview

This strategy uses a trailing stop loss mechanism to move the stop loss dynamically based on price fluctuation range, achieving dynamic stops. The trailing stop is activated after price reaches a profit target, aiming to protect profits while avoiding premature stop outs. It improves on common stop loss strategies.

Strategy Logic

The strategy enters based on double MA crossovers judging trend direction.

The innovation lies in the stop loss design:

  1. A stop trigger line is set. Trailing stop starts after price breaks this line.

  2. The stop loss line trails based on the Percentage parameter. E.g. 3% trailing means 3% below latest low.

  3. Position is closed when price reverses to touch the trailing stop loss line.

This ensures the stop will trail profits automatically, while reducing the chance of stopping out when profit is still good.

Advantages

  • Percentage-based automatic trailing stop
  • Trigger line avoids premature activation
  • Dynamic trailing protects profits
  • Avoids stopping out due to short retracements
  • Trigger line and percentage adjustable to markets

Risks

  • MA crossover may lag, generating false signals
  • Improper trigger line settings causes premature or late activation
  • Improper percentage settings gives too wide or tight stops
  • Cannot fully avoid whipsaw risks
  • Parameters need optimizing for market volatility

Risks can be reduced by:

  • Optimizing MA periods for better entries
  • Testing different trigger values for best positioning
  • Backtesting ideal percentages based on historical drawdowns
  • Considering re-entries to avoid missing trends
  • Adding filters to avoid false breakouts

Enhancement Directions

The strategy can be improved by:

  1. Optimizing the double MA periods

  2. Optimizing or removing trigger line

    Directly start trailing or use different values for different products

  3. Testing different trailing percentage values

    Find optimal values for different products

  4. Adding re-entry rules

    Set re-entry conditions after stops are hit

  5. Adjusting stop strictness by volatility

    Wider stops in increased volatility environments

Summary

This strategy uses a trailing percentage stop with a trigger line before activating. This dynamic mechanism balances protecting profits and avoiding unnecessary stops based on market movements. But parameters need optimization for different products, plus additional filters on entries to improve accuracy. Re-entries also help avoid missing trends after stopping out prematurely. Continuous improvements are needed for adaptivity.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 true Use stop Loss
v_input_2 3 Trail Loss (%)
v_input_3 true Use stop Loss Trigger
v_input_4 2 SL Trigger (%)

Source (PineScript)

/*backtest
start: 2022-09-14 00:00:00
end: 2023-09-20 00:00:00
period: 2d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//@author=Daveatt

SystemName = "BEST Trailing Stop Strategy"
TradeId = "BEST"

InitCapital = 100000
InitPosition = 100
InitCommission = 0.075
InitPyramidMax = 1
CalcOnorderFills = true
CalcOnTick = true
DefaultQtyType = strategy.fixed
DefaultQtyValue = strategy.fixed
Precision = 2
Overlay=true


// strategy(title=SystemName, shorttitle=SystemName, overlay=Overlay, 
//  pyramiding=InitPyramidMax, initial_capital=InitCapital, default_qty_type=DefaultQtyType, default_qty_value=InitPosition, commission_type=strategy.commission.percent, 
//  commission_value=InitCommission, calc_on_order_fills=CalcOnorderFills, calc_on_every_tick=CalcOnTick, precision=2)


src = close
// Calculate moving averages
fastSMA = sma(close, 15)
slowSMA = sma(close, 45)

// Calculate trading conditions
enterLong  = crossover(fastSMA, slowSMA)
enterShort = crossunder(fastSMA, slowSMA)

// trend states
since_buy  = barssince(enterLong)
since_sell = barssince(enterShort)
buy_trend  = since_sell > since_buy
sell_trend = since_sell < since_buy 

change_trend = (buy_trend and sell_trend[1]) or (sell_trend and buy_trend[1])

//plot(buy_trend ? 1 : 0, title='buy_trend', transp=100)
//plot(sell_trend ? 1 : 0, title='sell_trend', transp=100)

// get the entry price
entry_price = valuewhen(enterLong or enterShort, close, 0)

// Plot moving averages
plot(series=fastSMA, color=color.teal)
plot(series=slowSMA, color=color.orange)

// Plot the entries
plotshape(enterLong, style=shape.circle, location=location.belowbar, color=color.green, size=size.small)
plotshape(enterShort, style=shape.circle, location=location.abovebar, color=color.red, size=size.small)



///////////////////////////////
//======[ Trailing STOP ]======//
///////////////////////////////

// use SL?
useSL = input(true, "Use stop Loss")
// Configure trail stop level with input
StopTrailPerc = input(title="Trail Loss (%)", type=input.float, minval=0.0, step=0.1, defval=3) * 0.01
// Will trigger the take profit trailing once reached
use_SL_Trigger = input(true, "Use stop Loss Trigger")
StopTrailTrigger   = input(2.0, "SL Trigger (%)",minval=0,step=0.5,type=input.float) * 0.01


StopLossPriceTrigger = 0.0
StopLossPriceTrigger := if (use_SL_Trigger)
    if buy_trend
        entry_price * (1 + StopTrailTrigger) 
    else
        entry_price * (1 - StopTrailTrigger)
else
    -1


var SL_Trigger_Long_HIT = false
SL_Trigger_Long_HIT := useSL and use_SL_Trigger and buy_trend and high >= StopLossPriceTrigger
 ? true : SL_Trigger_Long_HIT[1]


var SL_Trigger_Short_HIT = false
SL_Trigger_Short_HIT := useSL and use_SL_Trigger and sell_trend and low <= StopLossPriceTrigger
 ? true : SL_Trigger_Short_HIT[1]


display_long_SL_trigger     = useSL and buy_trend  and use_SL_Trigger 
 and SL_Trigger_Long_HIT == false and StopLossPriceTrigger != -1
display_short_SL_trigger    = useSL and sell_trend and use_SL_Trigger 
 and SL_Trigger_Short_HIT == false and StopLossPriceTrigger != -1
display_SL_trigger          = display_long_SL_trigger or display_short_SL_trigger

plot(display_SL_trigger ? StopLossPriceTrigger : na, title='SLPriceTrigger', transp=0, 
 color=color.maroon, style=plot.style_circles, linewidth=3)


// Determine trail stop loss prices
longStopPrice = 0.0, shortStopPrice = 0.0

longStopPrice := if useSL and buy_trend
    stopValue = low * (1 - StopTrailPerc)
    max(stopValue, longStopPrice[1])
else
    0

shortStopPrice := if useSL and sell_trend
    stopValue = high * (1 + StopTrailPerc)
    min(stopValue, shortStopPrice[1])
else
    999999

//////////////////////////////////////////////////////////////////////////////////////////
//*** STOP LOSS HIT CONDITIONS TO BE USED IN ALERTS  ***//
//////////////////////////////////////////////////////////////////////////////////////////

cond_long_stop_loss_hit  = useSL and buy_trend and crossunder(low, longStopPrice[1]) 
 and (SL_Trigger_Long_HIT or use_SL_Trigger == false)
cond_short_stop_loss_hit = useSL and sell_trend and crossover(high, shortStopPrice[1]) 
 and (SL_Trigger_Short_HIT or use_SL_Trigger == false)


// Plot stop loss values for confirmation
plot(series=useSL and buy_trend and low >= longStopPrice 
 and (SL_Trigger_Long_HIT or use_SL_Trigger == false)
 ? longStopPrice : na,
 color=color.fuchsia, style=plot.style_cross,
 linewidth=2, title="Long Trail Stop")

plot(series=useSL and sell_trend and high <= shortStopPrice 
 and (SL_Trigger_Short_HIT or use_SL_Trigger == false)
 ? shortStopPrice : na,
 color=color.fuchsia, style=plot.style_cross,
 linewidth=2, title="Short Trail Stop")

close_long  = cond_long_stop_loss_hit
close_short = cond_short_stop_loss_hit

// Submit entry orders
strategy.entry(TradeId + " L", long=true, when=enterLong)
strategy.close(TradeId + " L", when=close_long)

//if (enterShort)
strategy.entry(TradeId + " S", long=false, when=enterShort)
strategy.close(TradeId + " S", when=close_short)


if change_trend
    SL_Trigger_Long_HIT := false
    SL_Trigger_Short_HIT := false

Detail

https://www.fmz.com/strategy/427513

Last Modified

2023-09-21 20:58:22

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