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2. 複数のフィルターを持つスーパートレンド取引戦略

複数のフィルターを持つスーパートレンド取引戦略

作者: リン・ハーンチャオチャン, 日時: 2023-09-15 16:19:57
タグ:

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/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-14 00:00:00
period: 1h
basePeriod: 15m
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/
// © mathlabel

//@version=5
strategy("My strategy", overlay=true, margin_long=100, margin_short=100)



atrPeriod = input(10, "ATR Length")
factor = input.float(3.0, "Factor", step = 0.01)
stopLossFactor = input(2.0, "Stop Loss Factor")
takeProfitFactor = input(1.5, "Take Profit Factor")
stochlenght= input(14,'stochlenght')
oversold_level = input(title = 'Oversold', defval = 20)
overbought_level = input(title = 'Overbought', defval = 80)
use_atr_exits=input.bool(false)
use_bollinger_exits=input.bool(false)
use_cci_filter=input.bool(false)


longLossPerc = input.float(title='Long Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01

shortLossPerc = input.float(title='Short Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01

longprofitPerc = input.float(title='Long profit (%)', minval=0.0, step=0.1, defval=1) * 0.01

shortprofitPerc = input.float(title='Short profit (%)', minval=0.0, step=0.1, defval=1) * 0.01



// Calculate ATR
atr = ta.atr(atrPeriod)
plotsuper=input.bool(false)
[supertrend, direction] = ta.supertrend(factor, atrPeriod)


upTrend = plot(plotsuper? (direction < 0 ? supertrend : na) : na, "Up Trend", color = color.green, style=plot.style_linebr)
downTrend = plot(plotsuper ? (direction < 0? na : supertrend):na, "Down Trend", color = color.red, style=plot.style_linebr)



long_supertrend_filter= (direction < 0 ? supertrend : na)
short_supertrend_filter= (direction < 0? na : supertrend)



//--trama--
lengths = input(99,title='Trama lenght')
src =(close)

ama = 0.
hh = math.max(math.sign(ta.change(ta.highest(lengths))), 0)
ll = math.max(math.sign(ta.change(ta.lowest(lengths)) * -1), 0)
tc = math.pow(ta.sma(hh or ll ? 1 : 0, lengths), 2)
ama := nz(ama[1] + tc * (src - ama[1]), src)

plottrama=input.bool(false, title="Show Lux TRAMA")
plot(plottrama?ama : na, 'Plot', color.new(#ff1100, 0), 2)

use_LUX_trama_filter=input.bool(false)
long_LUX_trama_filter= (close > ama)
short_LUX_trama_filter= (close < ama)

// highest high
highest = ta.highest(high, stochlenght)
// lowest low
lowest = ta.lowest(low, stochlenght)

// stochastic oscillator
stochastic_K = ((close - lowest) / (highest - lowest)) * 100
stochastic_D = ta.sma(stochastic_K, 3)

use_stochastic_filter = input.bool(false)
long_stoch_filter = stochastic_K > oversold_level and stochastic_K[1] < oversold_level
short_stoch_filter = stochastic_K < overbought_level and stochastic_K[1] > overbought_level

//Define a ATR band upline and bottome line.

upline = open + (atr* takeProfitFactor)
bottomline = open -(atr*stopLossFactor)

plot(use_atr_exits ? upline : na, color=color.white)
plot(use_atr_exits ? bottomline:na, color=color.white)

// Calculate stop loss and take profit levels
stopLoss = stopLossFactor * atr
takeProfit = takeProfitFactor * atr

//input macd
ma_fast=ta.sma(close,input(14,title='ma fast for macd filter'))
ma_slow=ta.sma(close,input(28, title='ma slowfor macd filter'))
use_macd_filter=input.bool(false)

[macdLine, signalLine, histLine]= ta.macd(close,12,26,9)
long_macd_filter= (macdLine > signalLine) and ta.crossover(ma_fast,ma_slow)
short_macd_filter= (macdLine < signalLine) and ta.crossunder(ma_fast,ma_slow)
// ema 200
ema1= ta.ema(close,1)
ema2= ta.ema(close,200)
use_ema200_filter= input.bool(false)
long_ema_filter = (close > ema2)
short_ema_filter= (close < ema2)
plotAverage = input.bool(true, title="Plot EMA200")
plot(plotAverage ? ta.ema(close, 200) : na, title="Exponential Average")
// mfi
signalLength = input(title="mfi Signal Length", defval=9)
length1 = input(title="mfi Length", defval=14)
src1 = hlc3
mf = ta.mfi(src1, length1)
signal = ta.ema(mf, signalLength)



use_mfi_filter=input.bool(false)
long_mfi_filter= ta.crossover(mf,signal) ?mf:na 
short_mfi_filter= ta.crossunder(mf,signal)? mf : na

//cci
cci_l = input(50, title='CCI Period Length')
atr_l = input(5, title=' CCI ATR Length')
level = 0
sd_length = 20



cci = ta.cci(src, cci_l)
atr2 = ta.atr(atr_l)

var st = 0.

if cci >= level
    st := low - atr
    st

if cci <= level
    st := high + atr
    st


var tu = 0.
var td = 0.
var optimal_line = 0.

if cci >= level and cci[1] < level
    tu := td[1]
    tu

if cci <= level and cci[1] > level
    td := tu[1]
    td

if cci > level
    tu := low - atr2
    if tu < tu[1] and cci[1] >= level
        tu := tu[1]
        tu

if cci < level
    td := high + atr2
    if td > td[1] and cci[1] <= level
        td := td[1]
        td

optimal_line := math.max(tu, td)

// Creating a Price Channel, 

avg_st8 = ta.ema(st, 8)
avg_st13 = ta.ema(st, 13)
avg_st21 = ta.ema(st, 21)
avg_st34 = ta.ema(st, 21)
avg_st55 = ta.ema(st, 55)
avg_st89 = ta.ema(st, 89)
avg_st144 = ta.ema(st, 144)
avg_st233 = ta.ema(st, 233)

average_weighting = (optimal_line + avg_st8 + avg_st13 + avg_st21 + avg_st34 + avg_st55 + avg_st89 + avg_st144 + avg_st233) / 9

basis = ta.sma(average_weighting, sd_length)
devs = ta.stdev(average_weighting, sd_length)
upperS = basis + devs
lowerS = basis - devs
plot(use_cci_filter ? basis: na, 'Basis', color=color.new(#872323, 0))
p3 = plot(use_cci_filter ? upperS : na, 'UpperS', color=color.new(color.teal, 0))
p4 = plot(use_cci_filter ? lowerS: na ,'LowerS', color=color.new(color.teal, 0))

long_cci_filter= ta.crossover(close,upperS) 
short_cci_filter= ta.crossunder(close,lowerS) 



var isLong = false
var isShort = false
long = (not use_LUX_trama_filter or long_LUX_trama_filter) and ( long_supertrend_filter) and (not use_ema200_filter or long_ema_filter) and (not isLong) and  (not use_stochastic_filter or long_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or long_mfi_filter) and (not use_cci_filter or long_cci_filter)
short= (not use_LUX_trama_filter or short_LUX_trama_filter) and ( short_supertrend_filter) and (not use_ema200_filter or short_ema_filter) and (not isShort)  and ( not use_stochastic_filter or short_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or short_mfi_filter) and (not use_cci_filter or short_cci_filter)


if long
    isLong := true
    isShort := false

if short
    isLong := false
    isShort := true

plotshape(long, title='Buy', text='Buy', style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), textcolor=color.new(color.white, 0), size=size.tiny)
plotshape(short, title='Sell', text='Sell', style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), textcolor=color.new(color.white, 0), size=size.tiny)


//bollinger
lengthss = input(20, title='bollinger lenght')

mult = input.float(2.0, minval=0.001, maxval=50, title="bollinger StdDev")
basiss = ta.sma(src, lengthss)
dev = mult * ta.stdev(src, lengthss)
upper = basiss + dev
lower = basiss - dev
offset = input.int(0, "bollinger Offset", minval = -500, maxval = 500)
plot(use_bollinger_exits ? basiss : na, "Basis", color=#FF6D00, offset = offset)
p1 = plot(use_bollinger_exits ? upper : na, "Upper", color=#2962FF, offset = offset)
p2 = plot(use_bollinger_exits ? lower: na, "Lower", color=#2962FF, offset = offset)

long_bollinger_exits= close > upper
short_bollinger_exits=close < lower
long_atr_exits = close > upline 
short_atr_exits = close < bottomline
takelong = (not use_atr_exits or long_atr_exits) and (not use_bollinger_exits or long_bollinger_exits)
takeshort = (not use_atr_exits or short_atr_exits) and (not use_bollinger_exits or short_bollinger_exits)

plotshape(use_atr_exits? takelong : na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)
plotshape(use_atr_exits ? takeshort : na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)
plotshape(use_bollinger_exits ? takelong: na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)
plotshape(use_bollinger_exits ? takeshort: na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)




alertcondition(long,'long','buy')
alertcondition(short,'short','short')
alertcondition(takeshort,'trail short close','short trailing take profit')
alertcondition(takelong ,'trail long close','long trailing take profit')


use_trailing_stop_loss=input.bool(title = 'use trailing stop loss (atr or bollinger)?', defval = true)

// Determine stop loss price
longStopPrice = strategy.position_avg_price * (1 - longLossPerc)
shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)
// Determine take profit price
longprofitPrice = strategy.position_avg_price * (1 + longprofitPerc)
shortprofitPrice = strategy.position_avg_price * (1 - shortprofitPerc)

// Plot stop loss values for confirmation
plot(series=strategy.position_size > 0 ? longStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Long Stop Loss')
plot(series=strategy.position_size < 0 ? shortStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Short Stop Loss')
plot(series=strategy.position_size > 0 ? longprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Long profit')
plot(series=strategy.position_size < 0 ? shortprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Short profit')




longCondition = long
if (longCondition)
    strategy.entry("Long Entry", strategy.long)

shortCondition = short
if (shortCondition)
    strategy.entry("Short Entry", strategy.short,stop = shortStopPrice)
if use_trailing_stop_loss
    if takelong or close < longStopPrice
        strategy.close("Long Entry")
    if takeshort or close > shortStopPrice
        strategy.close("Short Entry")
else
    if close < longStopPrice or close > longprofitPrice
        strategy.close("Long Entry")
    if close < shortprofitPrice or close > shortStopPrice
        strategy.close("Short Entry")

---

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