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Estrategia de seguimiento de tendencias combinada de doble EMA y RSI

El autor:¿ Qué pasa?, Fecha: 2024-01-18 15:51:06
Las etiquetas:

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/*backtest
start: 2024-01-10 00:00:00
end: 2024-01-14 13:00:00
period: 5m
basePeriod: 1m
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/
// © kevinmck100

// @description
// This strategy is intended to be used as a base template for building new strategies.
//
// It incorporates the following features:
//
//      - Risk management:  Configurable X% loss per stop loss
//                          Configurable R:R ratio
//
//      - Trade entry:      Calculated position size based on risk tolerance
//
//      - Trade exit:       Stop Loss currently configurable ATR multiplier but can be replaced based on strategy
//                          Take Profit calculated from Stop Loss using R:R ratio
//
//      - Backtesting:      Configurable backtesting range by date
//
//      - Trade drawings:   TP/SL boxes drawn for all trades. Can be turned on and off
//                          Trade exit information labels. Can be turned on and off
//                          NOTE: Trade drawings will only be applicable when using overlay strategies
//
//      - Debugging:        Includes section with useful debugging techniques
//
// Strategy conditions:
//
//      - Trade entry:      LONG:   C1: Price is above EMA line
//                                  C2: RSI is crossing out of oversold area
//                          SHORT:  C1: Price is below EMA line
//                                  C2: RSI is crossing out of overbought area
//
//      - Trade exit:       Stop Loss:      Stop Loss ATR multiplier is hit
//                          Take Profit:    R:R multiplier * Stop Loss is hit
//
// The idea is to use RSI to catch pullbacks within the main trend. Note that
// this strategy is intended to be a simple base strategy for building upon.
// It was not designed to be traded in its current form.

//@version=5
INITIAL_CAPITAL = 1000
DEFAULT_COMMISSION = 0.02
MAX_DRAWINGS = 500
IS_OVERLAY = true

strategy("Risk Management Strategy Template", "Strategy Template", overlay = IS_OVERLAY, initial_capital = INITIAL_CAPITAL, currency = currency.NONE, max_labels_count = MAX_DRAWINGS, max_boxes_count = MAX_DRAWINGS, max_lines_count = MAX_DRAWINGS, default_qty_type = strategy.cash, commission_type = strategy.commission.percent, commission_value = DEFAULT_COMMISSION)

// =============================================================================
// INPUTS
// =============================================================================

// ------------------------ Replacable section - Start -------------------------
// ------------------
// Indicator Settings
// ------------------
emaLength           = input.int (200,   "EMA Length          ",             group = "Indicators: Settings",         inline = "IS1", minval = 1,                 tooltip = "EMA line to identify trend direction. Above EMA trend line is bullish. Below EMA trend line is bearish")
rsiLength           = input.int (10,    "RSI Length            ",           group = "Indicators: Settings",         inline = "IS2", minval = 1)

// ----------------------
// Trade Entry Conditions
// ----------------------
rsiOverbought       = input.int (60,    "RSI Overbought        ",           group = "Strategy: Conditions",         inline = "SC1", minval = 50, maxval = 100,  tooltip = "RSI overbought level used to identify pullbacks within the main trend. RSI crossing BELOW this level triggers a SHORT when in a DOWN trend")
rsiOversold         = input.int (40,    "RSI Oversold          ",           group = "Strategy: Conditions",         inline = "SC2", minval = 0,  maxval = 50,   tooltip = "RSI overbought level used to identify pullbacks within the main trend. RSI crossing ABOVE this level triggers a LONG when in an UP trend")

// ---------------------
// Trade Exit Conditions
// ---------------------
atrLength           = input.int  (14,   "Stop Loss ATR Length      ",       group = "Strategy: Exit Conditions",    inline = "EC1", minval = 0,                 tooltip = "Length of ATR used to calculate Stop Loss.")
slAtrMultiplier     = input.float(4,    "Stop Loss ATR Multiplier     ",    group = "Strategy: Exit Conditions",    inline = "EC2", minval = 0, step = 0.1,     tooltip = "Size of StopLoss is determined by multiplication of ATR value. Take Profit is derived from this also by multiplying the StopLoss value by the Risk:Reward multiplier.")
// ------------------------- Replacable section - End --------------------------

// ---------------
// Risk Management
// ---------------
riskReward          = input.float(2,    "Risk : Reward        1 :",         group = "Strategy: Risk Management",    inline = "RM1", minval = 0, step = 0.1,     tooltip = "Previous high or low (long/short dependant) is used to determine TP level. 'Risk : Reward' ratio is then used to calculate SL based of previous high/low level.\n\nIn short, the higher the R:R ratio, the smaller the SL since TP target is fixed by previous high/low price data.")
accountRiskPercent  = input.float(1,    "Portfolio Risk %         ",        group = "Strategy: Risk Management",    inline = "RM1", minval = 0, step = 0.1,     tooltip = "Percentage of portfolio you lose if trade hits SL.\n\nYou then stand to gain\n  Portfolio Risk % * Risk : Reward\nif trade hits TP.")

// ----------
// Date Range
// ----------
startYear           = input.int (2022,  "Start Date       ",                group = 'Strategy: Date Range',         inline = 'DR1', minval    = 1900, maxval = 2100)
startMonth          = input.int (1,     "",                                 group = 'Strategy: Date Range',         inline = 'DR1', options   = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12])
startDate           = input.int (1,     "",                                 group = 'Strategy: Date Range',         inline = 'DR1', options   = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31])
endYear             = input.int (2100,  "End Date      ",                   group = 'Strategy: Date Range',         inline = 'DR2', minval    = 1900, maxval = 2100)
endMonth            = input.int (1,     "",                                 group = 'Strategy: Date Range',         inline = 'DR2', options   = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12])
endDate             = input.int (1,     "",                                 group = 'Strategy: Date Range',         inline = 'DR2', options   = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31])

// ----------------
// Drawing Settings
// ----------------
showTpSlBoxes       = input.bool(false,  "Show TP / SL Boxes",               group = "Strategy: Drawings",           inline = "D1",  tooltip = "Show or hide TP and SL position boxes.\n\nNote: TradingView limits the maximum number of boxes that can be displayed to 500 so they may not appear for all price data under test.")
showLabels          = input.bool(false, "Show Trade Exit Labels",           group = "Strategy: Drawings",           inline = "D2",  tooltip = "Useful labels to identify Profit/Loss and cumulative portfolio capital after each trade closes.\n\nAlso note that TradingView limits the max number of 'boxes' that can be displayed on a chart (max 500). This means when you lookback far enough on the chart you will not see the TP/SL boxes. However you can check this option to identify where trades exited.")

// =============================================================================
// INDICATORS
// =============================================================================

// ------------------------ Replacable section - Start -------------------------
// ---
// EMA
// ---
ema = ta.ema(close, emaLength)
plot(ema, "EMA Trend Line", color.white)

// ---
// RSI
// ---
rsi = ta.rsi(close, rsiLength)
// ------------------------- Replacable section - End --------------------------


// =============================================================================
// STRATEGY LOGIC
// =============================================================================

// ---------
// FUNCTIONS
// ---------

percentAsPoints(pcnt) =>
    math.round(pcnt / 100 * close / syminfo.mintick)
    
calcStopLossPrice(pointsOffset, isLong) =>
    priceOffset = pointsOffset * syminfo.mintick
    if isLong
        close - priceOffset
    else 
        close + priceOffset

calcProfitTrgtPrice(pointsOffset, isLong) =>
    calcStopLossPrice(-pointsOffset, isLong)
    
        
printLabel(barIndex, msg) => label.new(barIndex, close, msg)

printTpSlHitBox(left, right, slHit, tpHit, entryPrice, slPrice, tpPrice) => 
    if showTpSlBoxes
        box.new (left = left,   top = entryPrice,   right = right,  bottom = slPrice,   bgcolor = slHit ? color.new(color.red, 60)   : color.new(color.gray, 90), border_width = 0)
        box.new (left = left,   top = entryPrice,   right = right,  bottom = tpPrice,   bgcolor = tpHit ? color.new(color.green, 60) : color.new(color.gray, 90), border_width = 0)
        line.new(x1 = left,     y1 = entryPrice,    x2 = right,     y2 = entryPrice,    color = color.new(color.yellow, 20))
        line.new(x1 = left,     y1 = slPrice,       x2 = right,     y2 = slPrice,       color = color.new(color.red, 20))
        line.new(x1 = left,     y1 = tpPrice,       x2 = right,     y2 = tpPrice,       color = color.new(color.green, 20))
        
printTpSlNotHitBox(left, right, entryPrice, slPrice, tpPrice) => 
    if showTpSlBoxes
        box.new (left = left,   top = entryPrice,   right = right,  bottom = slPrice,   bgcolor = color.new(color.gray, 90), border_width = 0)
        box.new (left = left,   top = entryPrice,   right = right,  bottom = tpPrice,   bgcolor = color.new(color.gray, 90), border_width = 0)
        line.new(x1 = left,     y1 = entryPrice,    x2 = right,     y2 = entryPrice,    color = color.new(color.yellow, 20))
        line.new(x1 = left,     y1 = slPrice,       x2 = right,     y2 = slPrice,       color = color.new(color.red, 20))
        line.new(x1 = left,     y1 = tpPrice,       x2 = right,     y2 = tpPrice,       color = color.new(color.green, 20))
        
printTradeExitLabel(x, y, posSize, entryPrice, pnl) => 
    if showLabels
        labelStr = "Position Size: " + str.tostring(math.abs(posSize), "#.##") + "\nPNL: " + str.tostring(pnl, "#.##") + "\nCapital: " + str.tostring(strategy.equity, "#.##") + "\nEntry Price: " + str.tostring(entryPrice, "#.##")
        label.new(x = x, y = y, text = labelStr, color = pnl > 0 ? color.new(color.green, 60) : color.new(color.red, 60), textcolor = color.white, style = label.style_label_down)

// ----------
// CONDITIONS
// ----------

inDateRange         = time >= timestamp(syminfo.timezone, startYear, startMonth, startDate, 0, 0) and time < timestamp(syminfo.timezone, endYear, endMonth, endDate, 0, 0)

// ------------------------ Replacable section - Start -------------------------
// Condition 1: Price above EMA indicates bullish trend, price below EMA indicates bearish trend
bullEma             = close > ema
bearEma             = close < ema

// Condition 2: RSI crossing back from overbought/oversold indicates pullback within trend
bullRsi             = ta.crossover  (rsi, rsiOversold)
bearRsi             = ta.crossunder (rsi, rsiOverbought)

// Combine all entry conditions
goLong              = inDateRange and bullEma and bullRsi
goShort             = inDateRange and bearEma and bearRsi
// ------------------------- Replacable section - End --------------------------

// Trade entry and exit variables
var tradeEntryBar   = bar_index
var profitPoints    = 0.
var lossPoints      = 0.
var slPrice         = 0.
var tpPrice         = 0.
var inLong          = false
var inShort         = false

// Entry decisions
openLong            = (goLong and not inLong)
openShort           = (goShort and not inShort)
flippingSides       = (goLong and inShort) or (goShort and inLong)
enteringTrade       = openLong or openShort
inTrade             = inLong or inShort

// ------------------------ Replacable section - Start -------------------------
// Exit calculations
atr                 = ta.atr(atrLength)
slAmount            = atr * slAtrMultiplier
slPercent           = math.abs((1 - (close - slAmount) / close) * 100)
tpPercent           = slPercent * riskReward
// ------------------------- Replacable section - End --------------------------

// Risk calculations
riskAmt             = strategy.equity * accountRiskPercent / 100
entryQty            = math.abs(riskAmt / slPercent * 100)  / close

if openLong
    if strategy.position_size < 0
        printTpSlNotHitBox(tradeEntryBar + 1, bar_index + 1, strategy.position_avg_price, slPrice, tpPrice)
        printTradeExitLabel(bar_index + 1, math.max(tpPrice, slPrice), strategy.position_size, strategy.position_avg_price, strategy.openprofit)
    strategy.entry("Long", strategy.long, qty = entryQty, alert_message = "Long Entry")
    enteringTrade   := true
    inLong          := true
    inShort         := false

if openShort
    if strategy.position_size > 0
        printTpSlNotHitBox(tradeEntryBar + 1, bar_index + 1, strategy.position_avg_price, slPrice, tpPrice)
        printTradeExitLabel(bar_index + 1, math.max(tpPrice, slPrice), strategy.position_size, strategy.position_avg_price, strategy.openprofit)
    strategy.entry("Short", strategy.short, qty = entryQty, alert_message = "Short Entry")
    enteringTrade   := true
    inShort         := true
    inLong          := false

if enteringTrade
    profitPoints    := percentAsPoints(tpPercent)
    lossPoints      := percentAsPoints(slPercent)
    slPrice         := calcStopLossPrice(lossPoints, openLong)
    tpPrice         := calcProfitTrgtPrice(profitPoints, openLong)
    tradeEntryBar   := bar_index

strategy.exit("TP/SL", profit = profitPoints, loss = lossPoints, comment_profit = "TP Hit", comment_loss = "SL Hit", alert_profit = "TP Hit Alert", alert_loss = "SL Hit Alert")

// =============================================================================
// DRAWINGS
// =============================================================================

// -----------
// TP/SL Boxes
// -----------

slHit           = (inShort and high >= slPrice) or (inLong  and low <= slPrice)
tpHit           = (inLong  and high >= tpPrice) or (inShort and low <= tpPrice)
exitTriggered   = slHit or tpHit
entryPrice      = strategy.closedtrades.entry_price (strategy.closedtrades - 1)
pnl             = strategy.closedtrades.profit      (strategy.closedtrades - 1)
posSize         = strategy.closedtrades.size        (strategy.closedtrades - 1)

// Print boxes for trades closed at profit or loss
if (inTrade and exitTriggered) 
    inShort    := false
    inLong     := false 
    printTpSlHitBox(tradeEntryBar + 1, bar_index, slHit, tpHit, entryPrice, slPrice, tpPrice)
    printTradeExitLabel(bar_index, math.max(tpPrice, slPrice), posSize, entryPrice, pnl)

// Print TP/SL box for current open trade
if barstate.islastconfirmedhistory and strategy.position_size != 0
    printTpSlNotHitBox(tradeEntryBar + 1, bar_index + 1, strategy.position_avg_price, slPrice, tpPrice)
    
// =============================================================================
// DEBUGGING
// =============================================================================

// Data window plots
plotchar(slPrice,    "Stop Loss Price",     "")
plotchar(tpPrice,    "Take Profit Price",   "")

// Label plots
plotDebugLabels = false
if plotDebugLabels
    if bar_index == tradeEntryBar 
        printLabel(bar_index, "Position size: " + str.tostring(entryQty * close, "#.##"))

---

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