OPEN-SOURCE SCRIPT

SMA Offset Strategy

업데이트됨

This strategy uses simple moving averages and some math to determine buy/sell points. We keep a SMA 100 day line as our basis for our offset. If the close price is below the line, we choose our open position based on how low below the line it is goes, this value (Low Offset) is a percentage and can be configured by the user. Same for closing your position, when the close is above our SMA 100 line, we determine how high above the line before selling. If we try to sell too early (while the price is still rising), the trailing stop loss will kick in. Backtested with Bitcoin and Ethereum.

Configurable variables:

SMA Fast (default is 14 days)
SMA Slow (default is 100)
SMA Reference (default is 30)
Low Offset % (default is 0.001)
High Offset % (default is 0.0164)
Order Stake % (default is 0.96)
Trailing stop loss % (default is 1.35)

릴리즈 노트

Modified it to guard that we're under the slow line instead of the reference line.

릴리즈 노트

Clean chart for publishing.

릴리즈 노트

Pretty big rewrite, now contains both stoploss and trailing stoploss. Tailing stoploss is defined by ticks, so it's going to play different with different pairs. I back tested this with ADAUSDT and that's how it's set up at the moment. On a side note, I couldn't get the stoploss and trailing stoploss to work using strategy.exit() so I had to do it manually using if/else conditions. Curious if anyone else has had this problem or if I'm just doing something incorrect.

릴리즈 노트

Made the dialog a little more clear. Also wanted to remind you to use 1 hour candles.

릴리즈 노트

Added comments for clarity.

릴리즈 노트

Last note, the stop loss, trailing stoploss and trailing start line are all plots you can turn on in the settings.

릴리즈 노트

Another note: we no longer use a high offset for selling, we basically stay in the trade until our trailing stoploss gets triggered. A couple of other exit conditions exist, we have a stoploss and we also have a micro stoploss for trades that go above the trailing stoploss start line but come back down before the trailing stoploss gets triggerred, that little hack backfires once in a while and you miss a nice climb, but the money it saves you in the long run is worth it.

릴리즈 노트

Added ability for the user to use the micro stop or not. The micro stop gets triggered when a candle goes above the trailing stop loss start line, but the trailing stop hasn't yet activated, it will sell if it crosses back under the trailing stop loss start line. The trailing stop loss seems to get triggered once the stoploss line itself goes above the trailing stop loss start line, not when the candles do. Not sure why.

릴리즈 노트

Removed unused input.

릴리즈 노트

Removed all references to unused moving average.

릴리즈 노트

Updated default values fo chart.

릴리즈 노트

New chart.

릴리즈 노트

Added link to tutorial videos loom.com/share/folder/90a3f9ae6eba4313a4c2ab217d33a527

릴리즈 노트

Modified step values for easier to use interface.

릴리즈 노트

Updated step values so we can have negative ticks for setting the trailing stop start point.

릴리즈 노트

Added a note for ADAUSDT users on BINANCE_US. This chart is using BINANCE, which may be using different tick settings than BINANCE_US, I added a comment with settings you can use for BINANCE_US. Also updated the chart and the default values.

릴리즈 노트

Added additional condition to buy if our slow moving average is rising.

릴리즈 노트

Pretty big update here. Big thanks to Paul D Mendes for his guidance on how to properly set up stops and trailing stops. Also set up a take profit option and modified the offset code slightly to have more of an effect when you play with the numbers. I advise you to really spend time playing with the numbers, you can really dial it in per pair. I have it set up (as of this release date) making over 66000% in returns over the backtest period with a Sortino ratio of over 9. For reference, a Sortino ratio greater than 1.0 is considered acceptable, 2.0 is considered very good and 3.0 or higher is considered excellent. I find this strategy works best on a 1 hour timeframe.

릴리즈 노트

Removed buy condition #2 brings about more overall profit, I left the code in there in case anyone wants to turn it back on. I just don't think it's needed.

릴리즈 노트

chart update

릴리즈 노트

Ran into an order limit error so I edited the code for that specific error. Not sure if it's exhange/pair related or it's a Tradingview limit. Either way, I added lines 45 and 46 to get rid of it. Also changed the chart to a 5 minute chart and have the settings set for ETHUSD on Tradestation. Sharpe is over 1, Sortino is over 18, net profit is 122732% and percent profitable is over 90%.

릴리즈 노트

Updated to Pinescript 5 and made a couple of changes, best with Day long candles.

릴리즈 노트

Added fee structure to strategy.

릴리즈 노트

Removed comment....

릴리즈 노트

Small code change for readability.

오픈 소스 스크립트

진정한 TradingView 정신에 따라, 이 스크립트의 저자는 트레이더들이 이해하고 검증할 수 있도록 오픈 소스로 공개했습니다. 저자에게 박수를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 출판물에서 이 코드를 재사용하는 것은 하우스 룰에 의해 관리됩니다. 님은 즐겨찾기로 이 스크립트를 차트에서 쓸 수 있습니다.