Name
基于超级趋势的比特币量化交易策略SuperTrend-Quantitative-Trading-Strategy-for-Bitcoin
Author
ChaoZhang
Strategy Description
本策略是一个基于超级趋势指标的比特币自动量化交易策略。它采用超级趋势指标判断市场趋势,结合ATR止损原理控制风险,实现长短双向交易。该策略最大优势是风险和收益比良好,止损策略可靠,适合中长期持有。本策略可在Coinbase Pro等主流交易所4小时级别上运用。
本策略使用超级趋势指标判断市场趋势方向。当超级趋势指标转换从下降趋势变为上升趋势时,做多头入场;当超级趋势指标转换从上升趋势变为下降趋势时,做空头入场。
具体来说,本策略首先计算ATR指标的长度为14周期,通过乘于一个ATR止损倍数(如1.5倍)来确定每单的止损距离。之后计算超级趋势指标,指标参数采用默认值(ATR周期9,超级趋势系数2.5)。当超级趋势指标转换方向时发出交易信号。
入场后,止损位固定在ATR止损上方或下方。首个止盈位根据风险回报比例计算,默认为0.75,即止盈距离是止损距离的0.75倍。当价格达到第一个止盈位时,平仓50%头寸,并把止损移至开仓价格(获利后加仓),使该头寸实现盈利锁定。第二个止盈距离继续按0.75风险回报比例计算。如果价格触发止损,则剩余全部头寸止损出场。
这样,本策略可以在保证止损风险可控的前提下,通过部分止盈确保盈利,适合中长线持有投资策略。
本策略最大优势是风险收益比良好,可以中长期持有。具体优势有:
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采用超级趋势判断市场趋势,过滤市场噪音,避免错过主要趋势。
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ATR动态跟踪止损,可靠控制单笔损失。
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部分止盈方式锁定盈利,风险收益比高。
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当价格达到止盈1后调整止损到开仓价,确保盈利,增强策略稳定性。
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超级简单的交易逻辑,容易理解实现,参数调优空间大。
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可在主流交易所的日内或高频数据上应用,灵活性强。
本策略也存在一定风险,主要集中在以下几个方面:
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市场突发事件造成gaps或跳空,无法止损,面临较大亏损。可通过合理调整ATR止损倍数来降低风险。
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超级趋势指标判断失败,造成交易信号错误。可适当调整ATR和超级趋势参数组合进行优化。
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部分平仓比例设置过高,无法获得足够趋势获利。应根据不同市场调整部分平仓比例。
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交易频率可能过高或过低。应调整超级趋势参数,找到最佳平衡。
本策略可优化的空间还很大,主要集中在以下几个方面:
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尝试不同的ATR止损方式,如标准ATR、动量止损、布林带止损等方式优化止损策略。
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测试不同参数的超级趋势指标,找到最优参数组合。可使用步进优化或遗传算法进行多维参数优化。
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尝试在止损上叠加第二层止损指标,如Donchian通道,使止损更加可靠。
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测试不同的部分平仓比例,找到最优的盈利兑现和风险平衡。部分平仓比例也可动态调整。
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探索基于机器学习的动态止损、动态位置调整等策略。
本策略是一个基于超级趋势判断趋势,ATR动态止损,部分止盈获利的量化策略。它风险收益平衡良好,适合自动化交易。该策略可大幅优化超参、止损方式、盈利方式等,是值得长期调优和运用的量化策略。
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This is an automated quantitative trading strategy for Bitcoin based on the SuperTrend indicator. It uses the SuperTrend indicator to determine market trends and combines the ATR stop loss principle to control risks, enabling long and short trading. The biggest advantage of this strategy is good risk-reward ratio and reliable stop loss strategy, suitable for mid-to-long term holding. This strategy can be applied on mainstream exchanges like Coinbase Pro using 4-hour timeframe.
This strategy uses the SuperTrend indicator to determine the direction of market trends. It goes long when the SuperTrend indicator changes from a downtrend to an uptrend, and goes short when the SuperTrend indicator changes from an uptrend to a downtrend.
Specifically, this strategy first calculates the ATR period as 14 bars, and determines the stop loss distance for each trade by multiplying it by a ATR stop loss multiplier (such as 1.5x). It then calculates the SuperTrend indicator using default parameters (ATR period = 9, SuperTrend multiplier = 2.5). Trading signals are generated when the SuperTrend indicator changes direction.
After entering a trade, the stop loss is fixed above or below the ATR stop loss. The first take profit level is calculated based on a risk-reward ratio, default to 0.75, meaning the take profit distance is 0.75x of the stop loss distance. When price reaches the first take profit level, 50% of the position will be closed, and stop loss is moved to the entry price (break even) to lock in profits. The second take profit level continues to use a 0.75 risk-reward ratio. If price hits stop loss, the remaining position will be closed by stop loss.
By doing so, this strategy ensures controllable stop loss risk while locking in profits through partial take profits, suitable for mid-to-long term investment strategies.
The biggest advantage of this strategy is good risk-reward ratio, allowing mid-to-long term holding. Specific advantages include:
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Using SuperTrend to determine market trends, filtering market noise and catching major trends.
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Dynamic ATR tracking of stop loss, reliably controlling single trade loss.
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Partial take profit locks in profit, resulting in high risk-reward ratio.
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Moving stop loss to entry price after hitting TP1 locks in profit and enhances strategy stability.
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Extremely simple logic, easy to understand and implement, with large parameter tuning space.
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Applicable on mainstream exchanges using intraday or high frequency data, high flexibility.
This strategy also carries some risks, mainly in the following areas:
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Gap risk failing to trigger stop loss, facing large loss. Can tweak ATR stop loss multiplier to reduce risk.
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SuperTrend fails to determine right trend, resulting in wrong trade signals. Can optimize parameters.
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Take profit ratio too high, unable to ride the trend. Should adjust based on different markets.
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Trade frequency may be too high or too low. Should find optimal balance by adjusting SuperTrend parameters.
There is still large room for optimizing this strategy, mainly in below areas:
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Test different ATR stop loss methods like fixed ATR, momentum stop, Bollinger stop loss etc.
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Optimize SuperTrend parameters using walk forward or genetic algorithms for best parameters.
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Adding a second layer of stop loss like Donchian Channels to make stop more reliable.
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Test different take profit ratios for optimal profit taking vs. risk balancing. Make it dynamic.
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Explore machine learning techniques for dynamic stop loss, position adjustment etc.
This is a quantitative strategy based on SuperTrend for trend, ATR dynamic stop and partial take profit. It has balanced risk-reward ratio, suitable for algo trading. There is ample room to optimize parameters, stop loss, profit taking etc. It's worth long term tuning and application.
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Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_bool_1 | false | Date background |
| v_input_3 | 9 | ATR Length SuperTrend |
| v_input_float_1 | 2.5 | Factor SuperTrend |
| v_input_1 | timestamp(10 Feb 2014 13:30 +0000) | (?Time filter)Initial date |
| v_input_2 | timestamp(01 Jan 2030 19:30 +0000) | Final date |
| v_input_bool_2 | false | (?Appearance)Show supertrend ? |
| v_input_bool_3 | false | Show Atr stop loss ? |
| v_input_bool_4 | true | Draw position on chart ? |
| v_input_4_close | 0 | (?Atr stop loss)Source: close |
| v_input_int_1 | 14 | Period |
| v_input_float_2 | 1.5 | Atr multiplier |
| v_input_float_3 | 2.5 | (?Risk management for trades)% Account risk per trade |
| v_input_float_4 | 0.75 | Risk/reward for breakeven long |
| v_input_float_5 | 0.75 | Risk/reward for take profit long |
| v_input_float_6 | 0.75 | Risk/reward for break even short |
| v_input_float_7 | 0.75 | Risk/reward for take profit short |
| v_input_float_8 | 50 | % of trade for first take profit |
Source (PineScript)
/*backtest
start: 2024-01-06 00:00:00
end: 2024-02-05 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/
// Developed by © StrategiesForEveryone
//@version=5
strategy("SuperTrend Strategy for BTCUSD 4H", overlay=true, process_orders_on_close = true, initial_capital = 100, default_qty_type = strategy.cash, precision = 2, slippage = 50, commission_value = 0.03, backtest_fill_limits_assumption = 50)
// ------ Date filter (obtained from ZenAndTheArtOfTrading) ---------
initial_date = input(title="Initial date", defval=timestamp("10 Feb 2014 13:30 +0000"), group="Time filter", tooltip="Enter the start date and time of the strategy")
final_date = input(title="Final date", defval=timestamp("01 Jan 2030 19:30 +0000"), group="Time filter", tooltip="Enter the end date and time of the strategy")
dateFilter(int st, int et) => time >= st and time <= et
colorDate = input.bool(defval=false, title="Date background", tooltip = "Add color to the period of time of the strategy tester")
bgcolor(colorDate and dateFilter(initial_date, final_date) ? color.new(color.blue, transp=90) : na)
// ------------ Super Trend ----------
atrPeriod = input(9, "ATR Length SuperTrend")
factor = input.float(2.5, "Factor SuperTrend", step = 0.05)
[supertrend, direction] = ta.supertrend(factor, atrPeriod)
show_supertrend = input.bool(defval = false, title="Show supertrend ?", group = "Appearance")
bodyMiddle = plot(show_supertrend ? ((open + close) / 2) : na, display=display.none)
upTrend = plot(show_supertrend and direction < 0 ? supertrend : na, "Up Trend", color = color.green, style=plot.style_linebr)
downTrend = plot(show_supertrend and direction > 0 ? supertrend : na, "Down Trend", color = color.red, style=plot.style_linebr)
fill(bodyMiddle, upTrend, color.new(color.green, 90), fillgaps=false)
fill(bodyMiddle, downTrend, color.new(color.red, 90), fillgaps=false)
// ---------- Atr stop loss (obtained from garethyeo)
source_atr = input(close, title='Source', group = "Atr stop loss", inline = "A")
length_atr = input.int(14, minval=1, title='Period', group = "Atr stop loss" , inline = "A")
multiplier = input.float(1.5, minval=0.1, step=0.1, title='Atr multiplier', group = "Atr stop loss", inline = "A", tooltip = "Defines the stop loss distance based on the Atr stop loss indicator")
shortStopLoss = source_atr + ta.atr(length_atr) * multiplier
longStopLoss = source_atr - ta.atr(length_atr) * multiplier
show_atr_stoploss = input.bool(defval=false, title="Show Atr stop loss ?", group = "Appearance")
plot(show_atr_stoploss ? longStopLoss : na, color=color.white, style = plot.style_circles)
plot(show_atr_stoploss ? shortStopLoss : na, color=color.white, style = plot.style_circles)
// ------------- Money management --------------
strategy_contracts = strategy.equity / close
distance_sl_atr_long = -1 * (longStopLoss - close) / close
distance_sl_atr_short = (shortStopLoss - close) / close
risk = input.float(2.5, '% Account risk per trade', step=1, group = "Risk management for trades", tooltip = "Percentage of total account to risk per trade")
long_amount = strategy_contracts * (risk / 100) / distance_sl_atr_long
short_amount = strategy_contracts * (risk / 100) / distance_sl_atr_short
// ---------- Risk management ---------------
risk_reward_breakeven_long= input.float(title="Risk/reward for breakeven long", defval=0.75, step=0.05, group = "Risk management for trades")
risk_reward_take_profit_long= input.float(title="Risk/reward for take profit long", defval=0.75, step=0.05, group = "Risk management for trades")
risk_reward_breakeven_short= input.float(title="Risk/reward for break even short", defval=0.75, step=0.05, group = "Risk management for trades")
risk_reward_take_profit_short= input.float(title="Risk/reward for take profit short", defval=0.75, step=0.05, group = "Risk management for trades")
tp_percent=input.float(title="% of trade for first take profit", defval=50, step=5, group = "Risk management for trades", tooltip = "Closing percentage of the current position when the first take profit is reached.")
// ------------ Trade conditions ---------------
bought = strategy.position_size > 0
sold = strategy.position_size < 0
long_supertrend=ta.crossover(close, supertrend)
short_supertrend=ta.crossunder(close, supertrend)
var float sl_long = na
var float sl_short = na
var float be_long = na
var float be_short = na
var float tp_long = na
var float tp_short = na
if not bought
sl_long:=na
if not sold
sl_short:=na
// ---------- Strategy -----------
// Long position
if not bought and long_supertrend
sl_long:=longStopLoss
long_stoploss_distance = close - longStopLoss
be_long := close + long_stoploss_distance * risk_reward_breakeven_long
tp_long:=close+(long_stoploss_distance*risk_reward_take_profit_long)
strategy.entry('L', strategy.long, long_amount, alert_message = "Long")
strategy.exit("Tp", "L", stop=sl_long, limit=tp_long, qty_percent=tp_percent)
strategy.exit('Exit', 'L', stop=sl_long)
if high > be_long
sl_long := strategy.position_avg_price
strategy.exit("Tp", "L", stop=sl_long, limit=tp_long, qty_percent=tp_percent)
strategy.exit('Exit', 'L', stop=sl_long)
if bought and short_supertrend
strategy.close("L", comment="CL")
// Short position
if not sold and short_supertrend
sl_short:=shortStopLoss
short_stoploss_distance=shortStopLoss - close
be_short:=((short_stoploss_distance*risk_reward_breakeven_short)-close)*-1
tp_short:=((short_stoploss_distance*risk_reward_take_profit_short)-close)*-1
strategy.entry("S", strategy.short, short_amount, alert_message = "Short")
strategy.exit("Tp", "S", stop=sl_short, limit=tp_short, qty_percent=tp_percent)
strategy.exit("Exit", "S", stop=sl_short)
if low < be_short
sl_short:=strategy.position_avg_price
strategy.exit("Tp", "S", stop=sl_short, limit=tp_short, qty_percent=tp_percent)
strategy.exit("Exit", "S", stop=sl_short)
if sold and long_supertrend
strategy.close("S", comment="CS")
// ---------- Draw position on chart -------------
if high>tp_long
tp_long:=na
if low<tp_short
tp_short:=na
if high>be_long
be_long:=na
if low<be_short
be_short:=na
show_position_on_chart = input.bool(defval=true, title="Draw position on chart ?", group = "Appearance", tooltip = "Activate to graphically display profit, stop loss and break even")
position_price = plot(show_position_on_chart? strategy.position_avg_price : na, style=plot.style_linebr, color = color.new(#ffffff, 10), linewidth = 1)
sl_long_price = plot(show_position_on_chart and bought ? sl_long : na, style = plot.style_linebr, color = color.new(color.red, 10), linewidth = 1)
sl_short_price = plot(show_position_on_chart and sold ? sl_short : na, style = plot.style_linebr, color = color.new(color.red, 10), linewidth = 1)
tp_long_price = plot(strategy.position_size>0 and show_position_on_chart? tp_long : na, style = plot.style_linebr, color = color.new(#11eb47, 10), linewidth = 1)
tp_short_price = plot(strategy.position_size<0 and show_position_on_chart? tp_short : na, style = plot.style_linebr, color = color.new(#11eb47, 10), linewidth = 1)
breakeven_long = plot(strategy.position_size>0 and high<be_long and show_position_on_chart ? be_long : na , style = plot.style_linebr, color = color.new(#00ff40, 60), linewidth = 1)
breakeven_short = plot(strategy.position_size<0 and low>be_short and show_position_on_chart ? be_short : na , style = plot.style_linebr, color = color.new(#00ff40, 60), linewidth = 1)
position_profit_long = plot(bought and show_position_on_chart and strategy.openprofit>0 ? close : na, style = plot.style_linebr, color = color.new(#4cd350, 10), linewidth = 1)
position_profit_short = plot(sold and show_position_on_chart and strategy.openprofit>0 ? close : na, style = plot.style_linebr, color = color.new(#4cd350, 10), linewidth = 1)
fill(plot1 = position_price, plot2 = position_profit_long, color = color.new(color.green,90))
fill(plot1 = position_price, plot2 = position_profit_short, color = color.new(color.green,90))
fill(plot1 = position_price, plot2 = sl_long_price, color = color.new(color.red,90))
fill(plot1 = position_price, plot2 = sl_short_price, color = color.new(color.red,90))
fill(plot1 = position_price, plot2 = tp_long_price, color = color.new(color.green,90))
fill(plot1 = position_price, plot2 = tp_short_price, color = color.new(color.green,90))
Detail
https://www.fmz.com/strategy/441162
Last Modified
2024-02-06 12:09:09