Fisher Yurik Trailing Stop Strategy

The Fisher Yurik trailing stop strategy is a quantitative trading strategy that integrates the Fisher Yurik indicator and trailing stop mechanisms. It uses the Fisher Yurik indicator to generate buy and sell signals…

Pine ScriptBreakout Trend following MACD Bollinger Bands

Author: ChaoZhang
Complexity: Intermediate · 58 lines
Parameters: 9
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

Input date ranges to define backtest/live trading timeframe
Input parameters for Fisher Yurik indicator, default to 2 periods
Input profit taking and stop loss ratios, default to 5% profit and 2% loss
Calculate main and signal lines of Fisher Yurik indicator
Generate buy signal when main line crosses above signal line
Set trailing stop, exit long position when price drops 2% after entry
Take profit when price rises above 5%

Advantage Analysis

Fisher Yurik indicator easily identifies trends, accurate buy signals
Trailing stop locks in most profits while avoiding stops beyond threshold
Customizable parameters suit different market environments
Simple and easy to understand implementation

Risk Analysis

Improper parameter tuning may cause over-aggressive trading, require cautious testing
Stop loss too wide may lead to losses fromoutliers beyond expectations
Take profit too tight may cut wins short, limiting profitability
Appropriate parameters should be determined for different products

Risks can be addressed by adjusting stop/profit ratios, testing parameters, using signal filters, position sizing rules.

Enhancement Opportunities

Optimize Fisher Yurik parameters for impact on strategy
Add signal filters like MACD, KD to improve signal quality
Add entry conditions like breakouts from Bollinger Bands
Incorporate position sizing rules to control per trade risk
Enhance trailing stop methods, e.g. smoothed, Chandelier Exits

Conclusion

The Fisher Yurik trailing stop strategy combines trend identification and risk management. With parameter tuning, indicator combinations, and stop loss enhancements, it can suit most instruments for good profits within acceptable risk tolerances.

Parameters

Name	Default	What it controls
v_input_1	true	From Month
v_input_2	true	From Day
v_input_3	2021	From Year
v_input_4	true	To Month
v_input_5	true	To Day
v_input_6	9999	To Year
v_input_7	2	Period
v_input_float_1	1.05	profit level
v_input_float_2	1.02	after the signal

Source Pine Script

/*backtest
start: 2023-01-26 00:00:00
end: 2024-02-01 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Fisher_Yurik Strategy with Trailing Stop", shorttitle="FY Strategy", overlay=true)

// Date Ranges 
from_month = input(defval = 1, title = "From Month")
from_day   = input(defval = 1, title = "From Day")
from_year  = input(defval = 2021, title = "From Year")
to_month   = input(defval = 1, title = "To Month")
to_day     = input(defval = 1, title = "To Day")
to_year    = input(defval = 9999, title = "To Year")
start  = timestamp(from_year, from_month, from_day, 00, 00)  // backtest start window
finish = timestamp(to_year, to_month, to_day, 23, 59)        // backtest finish window
window = true
period = input(2, title='Period')
cost = input.float(1.05, title='profit level ', step=0.01)
dusus = input.float(1.02, title='after the signal', step=0.01)

var float Value = na
var float Fish = na
var float ExtBuffer1 = na
var float ExtBuffer2 = na

price = (high + low) / 2
MaxH = ta.highest(high, period)
MinL = ta.lowest(low, period)

Value := 0.33 * 2 * ((price - MinL) / (MaxH - MinL) - 0.5) + 0.67 * nz(Value[1])
Value := math.max(math.min(Value, 0.999), -0.999)
Fish := 0.5 * math.log((1 + Value) / (1 - Value)) + 0.5 * nz(Fish[1])

up = Fish >= 0

ExtBuffer1 := up ? Fish : na
ExtBuffer2 := up ? na : Fish

var float entryPrice = na
var float stopPrice = na
 
if (ExtBuffer1 > ExtBuffer1[1])
    entryPrice := close*dusus
    stopPrice := close * cost 
 
if (ExtBuffer2 < ExtBuffer2[1])
    entryPrice := close
    stopPrice := close * cost

// Sadece seçilen test döneminde işlem yapma koşulu eklenmiştir
strategy.entry("Buy", strategy.long, when=ExtBuffer1 > ExtBuffer1[1] and window)
strategy.exit("Take Profit/Trailing Stop", from_entry="Buy", when=(close >= entryPrice * cost) or (close < stopPrice), trail_offset=0.08, trail_price=entryPrice * cost)

Published by ChaoZhang on the FMZ strategy square · last modified 2024-02-02. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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