Strategies

基于供需区域与EMA滑动止损的交易策略Trading-Strategy-Based-on-Supply-and-Demand-Zones-with-EMA-and-Trailing-Stop

ChaoZhang · PineScript · Risk and Position Sizing · 2024-01-18 16:41:16

All strategies →

Risk and Position Sizing Volatility and Channels All Regimes · Inferred

Trigger

EMAInferred

Filter

False Breakout ResistanceInferred SupportInferred

Sizing

—

Risk control

ATR Trailing Stop Stop Loss

Exit

—

Context terms

Volatility Close Backtest Momentum ATR Stop Price Action Futures Long Short

Overview

The strategy utilizes supply and demand zones, Exponential Moving Average (EMA), and Average True Range (ATR) trailing stop for trade signals. Users can adjust EMA settings and signal visibility. The strategy marks Higher High (HH), Lower Low (LL), Lower High (LH), and Higher Low (HL) zones. Signals are shown after the third candle, suitable for backtesting.

Advantages

Combines trends, reversals, volatility for robust signals.
Demand/supply zones identify key S/R.
Dynamic ATR stop adjusts to volatility.
Customizable parameters.
Simple entry rules.

Summary

Combines multiple techniques for decent backtests. Real-world is complex, optimization is key. Basic strategy allows extensions and combinations. [/trans]

Other

Expand full text (1308 chars)

Exponential Moving Average (EMA):

EMA is calculated from closing prices over a period (default: 200).
Formula: EMA = (Price_t x α) + (EMA_t-1 x (1 - α)), where α = 2/(length + 1)

Average True Range (ATR):

ATR measures market volatility from true range of prices.
True range is the greatest of:
Current high minus current low
Absolute value of current high minus previous close
Absolute value of current low minus previous close
ATR typically uses 14 periods.

Used to determine EMA for trend and ATR for volatility-based trailing stop. It identifies "HH" (Higher High), "LL" (Lower Low), "HL" (Higher Low) and "LH" (Lower High) patterns:

Higher High (HH): Current peak > previous peak, upward momentum.
Lower Low (LL): Current trough < previous trough, downward momentum.
Higher Low (HL): Current trough > previous trough, upward continuation.
Lower High (LH): Current peak < previous peak, downward continuation.

Used with trends to identify reversals or continuations. Entry Signal: Buy/sell on third candle closing above/below previous high/low. Exit: Trailing stop loss based on ATR.

False signals: Optimize EMA length.
High ATR multiplier risks chasing trends.
Consider additional filters on entries.
Test trend-focused approach.

Parameters

Parameters	Default	Description
v_input_1	true	(?Signals)Show Buy Signals
v_input_2	true	Show Sell Signals
v_input_3	true	(?Zones)Show HL Zone
v_input_4	true	Show LH Zone
v_input_5	true	Show HH Zone
v_input_6	true	Show LL Zone
v_input_7	200	(?EMA Settings)EMA Length
v_input_8	14	(?Trailing Stop)ATR Length
v_input_9	2	ATR Multiplier

Source code (78 lines)

/*backtest
start: 2023-12-18 00:00:00
end: 2024-01-17 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Supply and Demand Zones with EMA and Trailing Stop", shorttitle="SD Zones", overlay=true)

showBuySignals = input(true, title="Show Buy Signals", group="Signals")
showSellSignals = input(true, title="Show Sell Signals", group="Signals")
showHLZone = input(true, title="Show HL Zone", group="Zones")
showLHZone = input(true, title="Show LH Zone", group="Zones")
showHHZone = input(true, title="Show HH Zone", group="Zones")
showLLZone = input(true, title="Show LL Zone", group="Zones")

emaLength = input(200, title="EMA Length", group="EMA Settings")
atrLength = input(14, title="ATR Length", group="Trailing Stop")
atrMultiplier = input(2, title="ATR Multiplier", group="Trailing Stop")

// Function to identify supply and demand zones
getZones(src, len, mult) =>
    base = request.security(syminfo.tickerid, "D", close)
    upper = request.security(syminfo.tickerid, "D", high)
    lower = request.security(syminfo.tickerid, "D", low)
    multiplier = request.security(syminfo.tickerid, "D", mult)
    zonetype = base + multiplier * len
    zone = src >= zonetype
    [zone, upper, lower]

// Identify supply and demand zones
[supplyZone, _, _] = getZones(close, high[1] - low[1], 1)
[demandZone, _, _] = getZones(close, high[1] - low[1], -1)

// Plot supply and demand zones
bgcolor(supplyZone ? color.new(color.red, 80) : na)
bgcolor(demandZone ? color.new(color.green, 80) : na)

// EMA with Linear Weighted method
ema = ta.ema(close, emaLength)

// Color code EMA based on its relation to candles
emaColor = close > ema ? color.new(color.green, 0) : close < ema ? color.new(color.red, 0) : color.new(color.yellow, 0)

// Plot EMA
plot(ema, color=emaColor, title="EMA")

// Entry Signal Conditions after the third candle
longCondition = ta.crossover(close, high[1]) and bar_index >= 2
shortCondition = ta.crossunder(close, low[1]) and bar_index >= 2

// Trailing Stop using ATR
atrValue = ta.atr(atrLength)
trailStop = close - atrMultiplier * atrValue

// Strategy Entry and Exit
if (longCondition)
    strategy.entry("Buy", strategy.long)
    strategy.exit("TrailStop", from_entry="Buy", loss=trailStop)

if (shortCondition)
    strategy.entry("Sell", strategy.short)
    strategy.exit("TrailStop", from_entry="Sell", loss=trailStop)

// Plot Entry Signals
plotshape(series=showBuySignals ? longCondition : na, title="Buy Signal", color=color.new(color.green, 0), style=shape.triangleup, location=location.belowbar)
plotshape(series=showSellSignals ? shortCondition : na, title="Sell Signal", color=color.new(color.red, 0), style=shape.triangledown, location=location.abovebar)

// Plot Trailing Stop
plot(trailStop, color=color.new(color.red, 0), title="Trailing Stop")

// Plot HH, LL, LH, and HL zones
plotshape(series=showHHZone and ta.highest(high, 2)[1] and ta.highest(high, 2)[2] ? 1 : na, title="HH Zone", color=color.new(color.blue, 80), style=shape.triangleup, location=location.abovebar)
plotshape(series=showLLZone and ta.lowest(low, 2)[1] and ta.lowest(low, 2)[2] ? 1 : na, title="LL Zone", color=color.new(color.blue, 80), style=shape.triangledown, location=location.belowbar)
plotshape(series=showLHZone and ta.highest(high, 2)[1] and ta.lowest(low, 2)[2] ? 1 : na, title="LH Zone", color=color.new(color.orange, 80), style=shape.triangleup, location=location.abovebar)
plotshape(series=showHLZone and ta.lowest(low, 2)[1] and ta.highest(high, 2)[2] ? 1 : na, title="HL Zone", color=color.new(color.orange, 80), style=shape.triangledown, location=location.belowbar)