スーパー・トレンド・デイリー 2.0 BF
作者: リン・ハーンチャオチャン, 日時: 2022-05-26 16:48:33タグ:ATRエイマROC
これは私のスーパートレンド・デイリー戦略ですが,一つの重要な違いがあります.あなたは今,長または短信号の設定を個別に別々に調整できます.例えば,長信号の条件は,短信号の条件とは異なるパラメータ設定を必要とするかもしれません.信号生成の各パラメータは調節できます.また,各側に対してどのようなストップ損失を望むかを決定することができます.あなたはロングの固定ストップ損失とショートのためのATR派生ストップ損失,または何であれ,持っていることができます.
ロングやショート,あるいは両方を選ぶこともできます
指示書 背景の色を見てください 緑線 = 長い信号 赤線 = 短信号 アクア = 長期取引なし 白 = ショート取引なし 黄色い点線 = ロングストップ損失 オレンジ色の点線 = ストップ・ロスはショート
水と白の背景は,私たちの設定に従って条件が揺れ動いていることを意味します.私たちはそれぞれ長い/短い信号の変化率関数に適用しました.白い背景では長い信号を得ることは可能ですが,短い信号ではありません.同様に,水背景では短い信号を得ることは可能ですが,長い信号ではありません.
これは進行中の作業なので,改善の提案は歓迎します.
バックテスト
/*backtest
start: 2022-04-25 00:00:00
end: 2022-05-24 23:59:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("Super Trend Daily 2.0 BF ", overlay=true, precision=2, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.075)
/////////////// Time Frame ///////////////
_0 = input(false, "════════ Test Period ═══════")
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay, 0, 0)
testStopYear = input(2019, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay, 0, 0)
testPeriod() => true
///////////// Super Trend Long /////////////
_1 = input(false, "═════ Super Trend L ═════")
lengthl = input(title="ATR Period", type=input.integer, defval=2)
multl = input(title="ATR Multiplier", type=input.float, step=0.1, defval=1.5)
atrl = multl * atr(lengthl)
longStopl = hl2 - atrl
longStopPrevl = nz(longStopl[1], longStopl)
longStopl := close[1] > longStopPrevl ? max(longStopl, longStopPrevl) : longStopl
shortStopl = hl2 + atrl
shortStopPrevl = nz(shortStopl[1], shortStopl)
shortStopl := close[1] < shortStopPrevl ? min(shortStopl, shortStopPrevl) : shortStopl
dirl = 1
dirl := nz(dirl[1], dirl)
dirl := dirl == -1 and close > shortStopPrevl ? 1 : dirl == 1 and close < longStopPrevl ? -1 : dirl
///////////// Super Trend Short /////////////
_2 = input(false, "═════ Super Trend S ═════")
lengths = input(title="ATR Period", type=input.integer, defval=3)
mults = input(title="ATR Multiplier", type=input.float, step=0.1, defval=1.3)
atrs = mults * atr(lengths)
longStops = hl2 - atrs
longStopPrevs = nz(longStops[1], longStops)
longStops := close[1] > longStopPrevs ? max(longStops, longStopPrevs) : longStops
shortStops = hl2 + atrs
shortStopPrevs = nz(shortStops[1], shortStops)
shortStops := close[1] < shortStopPrevs ? min(shortStops, shortStopPrevs) : shortStops
dirs = 1
dirs := nz(dirs[1], dirs)
dirs := dirs == -1 and close > shortStopPrevs ? 1 : dirs == 1 and close < longStopPrevs ? -1 : dirs
///////////// Rate Of Change Long /////////////
_3 = input(false, "═════ Rate of Change L ═════")
sourcel = close
roclengthl = input(30, "ROC Length", minval=1)
pcntChangel = input(6, "ROC % Change", minval=1)
rocl = 100 * (sourcel - sourcel[roclengthl]) / sourcel[roclengthl]
emarocl = ema(rocl, roclengthl / 2)
isMovingl() => emarocl > (pcntChangel / 2) or emarocl < (0 - (pcntChangel / 2))
///////////// Rate Of Change Short /////////////
_4 = input(false, "═════ Rate of Change S ═════")
sources = close
roclengths = input(76, "ROC Length", minval=1)
pcntChanges = input(6, "ROC % Change", minval=1)
rocs = 100 * (sources - sources[roclengths]) / sources[roclengths]
emarocs = ema(rocs, roclengths / 2)
isMovings() => emarocs > (pcntChanges / 2) or emarocs < (0 - (pcntChanges / 2))
/////////////// Strategy ///////////////
long = dirl == 1 and dirl[1] == -1 and isMovingl()
short = dirs == -1 and dirs[1] == 1 and isMovings()
last_long = 0.0
last_short = 0.0
last_long := long ? time : nz(last_long[1])
last_short := short ? time : nz(last_short[1])
long_signal = crossover(last_long, last_short)
short_signal = crossover(last_short, last_long)
last_open_long_signal = 0.0
last_open_short_signal = 0.0
last_open_long_signal := long_signal ? open : nz(last_open_long_signal[1])
last_open_short_signal := short_signal ? open : nz(last_open_short_signal[1])
last_long_signal = 0.0
last_short_signal = 0.0
last_long_signal := long_signal ? time : nz(last_long_signal[1])
last_short_signal := short_signal ? time : nz(last_short_signal[1])
in_long_signal = last_long_signal > last_short_signal
in_short_signal = last_short_signal > last_long_signal
last_high = 0.0
last_low = 0.0
last_high := not in_long_signal ? na : in_long_signal and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low := not in_short_signal ? na : in_short_signal and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
since_longEntry = barssince(last_open_long_signal != last_open_long_signal[1])
since_shortEntry = barssince(last_open_short_signal != last_open_short_signal[1])
/////////////// Stop Losses Long ///////////////
_5 = input(false, "═══════ Stop Loss L ══════")
SL_typel = input("Fixed", options=["Fixed", "ATR Derived"], title="Stop Loss Type")
sl_inpl = input(5.0, title='Fixed Stop Loss %') / 100
atrLkbl = input(20, minval=1, title='ATR Stop Period')
atrMultl = input(1.5, step=0.25, title='ATR Stop Multiplier')
atr1l = atr(atrLkbl)
longStop1l = 0.0
longStop1l := short_signal ? na : long_signal ? close - (atr1l * atrMultl) : longStop1l[1]
slLongl = in_long_signal ? strategy.position_avg_price * (1 - sl_inpl) : na
long_sll = in_long_signal ? slLongl : na
/////////////// Stop Losses Short ///////////////
_6 = input(false, "═══════ Stop Loss S ══════")
SL_types = input("Fixed", options=["Fixed", "ATR Derived"], title="Stop Loss Type")
sl_inps = input(6.0, title='Fixed Stop Loss %') / 100
atrLkbs = input(20, minval=1, title='ATR Stop Period')
atrMults = input(1.5, step=0.25, title='ATR Stop Multiplier')
atr1s = atr(atrLkbs)
shortStop1s = 0.0
shortStop1s := long_signal ? na : short_signal ? close + (atr1s * atrMults) : shortStop1s[1]
slShorts = strategy.position_avg_price * (1 + sl_inps)
short_sls = in_short_signal ? slShorts : na
_7 = input(false, "══════ Longs or Shorts ═════")
useLongs = input(true, title="Use Longs")
useShorts = input(true, title="Use Shorts")
/////////////// Execution ///////////////
if testPeriod()
if useLongs
strategy.entry("L", strategy.long, when=long)
strategy.exit("L SL", "L", stop = SL_typel == "Fixed" ? long_sll : longStop1l, when=since_longEntry > 0)
if useShorts
strategy.exit("S SL", "S", stop = SL_types == "Fixed" ? short_sls : shortStop1s, when=since_shortEntry > 0)
strategy.entry("S", strategy.short, when=short)
if not useShorts
strategy.close("L", when=short)
if not useLongs
strategy.close("S", when=long)
/////////////// Plotting ///////////////
bgcolor(long_signal ? color.lime : short_signal ? color.red : na, transp=40)
bgcolor(not isMovings() ? color.white : not isMovingl() ? color.aqua : na)
p0 = plot(close, color=color.black)
p1 = plot(strategy.position_size <= 0 ? na : SL_typel == "Fixed" ? long_sll : longStop1l, title="Long Stop Loss", color=color.yellow, style=plot.style_linebr, linewidth=2)
p2 = plot(strategy.position_size >= 0 ? na : SL_types == "Fixed" ? short_sls : shortStop1s, title="Short Stop Loss", color=color.orange, style=plot.style_linebr, linewidth=2)
p3 = plot(strategy.position_size <= 0 ? na : strategy.position_avg_price, style=plot.style_linebr, title="Long Entry", color=color.green, linewidth=2)
p4 = plot(strategy.position_size >= 0 ? na : strategy.position_avg_price, style=plot.style_linebr, title="Short Entry", color=color.red, linewidth=2)
fill(p0, p3, color = color.lime, transp=60)
fill(p0, p4, color = color.red, transp=60)
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