複数の指標を融合した取引戦略
作成日:
2023-09-18 17:15:11
最終変更日:
2023-09-18 17:15:11
コピー:
0
クリック数:
767
ChaoZhang
1
フォロー
1617
フォロワー
概要
この戦略は,複数の技術指標を統合して価格取引を行う.スーパーシグナルス線,MACD指標,Laguerre RSI指標を組み合わせて,複数の指標が同時にシグナルを発信するときにのみ入場し,同時にリスクと利益の比率を制御するために停止と停止点を設定します.
戦略原則
スーパーシグナルズラインはベースライン,上下チャネルを構成する取引区間帯を含みます。MACD指標は空白傾向を判断する。Laguerre RSIは超買い超売りを判断する。価格がスーパーシグナルズチャネルを突破し,MACDが対応するシグナルを与え,RSIも確認するときにのみ,取引シグナルが生じます。入場後にストップ・ロスを設定し,ATRまたはパーセントに基づいてストップ・ロスを一定の倍数とする。
優位分析
- 信号の信頼性を保証する複数の指標の検証
- サポート/レジスタンスに関するスーパーシグナル線
- MACDは主要トレンドの方向を判断する
- RSIフィルターで偽の突破を回避する
- ストップ・ストップ・メカニズム 取引リスクを制御する
リスク分析
- 各指標パラメータの設定は,繰り返しテストして最適化する必要があります.
- 複数の条件が取引頻度を制限する
- ポジション保持時間は完璧に最適化できない
- 変化のポイントを正確に判断できない
パラメータの組み合わせ,保有時間,ストップ・ストップ・損失条件などの調整によりリスクを軽減できます.
最適化の方向
- 異なるパラメータの組み合わせをテストし,取引頻度と効果をバランスする
- 移動式停止などの他の止損方法を検討する
- 試合開始の指標をテストし,トレンドの逆転を判断する
- 複数の市場,複数の品種で戦略の強さをテストする
要約する
この戦略は,複数の指標の確認信号を利用して,反測のパフォーマンスを良好にしています.パラメータをさらに調整し,リスクを厳格に制御することで,安定した信頼性の高い定量取引システムになることができます.
ストラテジーソースコード
/*backtest
start: 2023-09-10 00:00:00
end: 2023-09-17 00:00:00
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/
// © DuDu95
// Thanks to myncrypto, jason5480, kevinmck100
// @version=5
// strategy(title = '[DuDu95] SSL 4C MACD Laugerre RSI Strategy',
// shorttitle = '[D] SMR Strategy',
// overlay = true,
// pyramiding = 0,
// currency = currency.USD,
// default_qty_type = strategy.percent_of_equity,
// default_qty_value = 100,
// commission_value = 0.1,
// initial_capital = 50000,
// max_bars_back = 500,
// max_lines_count = 150,
// max_labels_count = 300)
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Time, Direction, Etc - Basic Settings Inputs
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// 1. Time: Based on UTC +09:00
i_start = input (defval = timestamp("20 Jan 1990 00:00 +0900"), title = "Start Date", tooltip = "Choose Backtest Start Date", inline = "Start Date", group = "Time" )
i_end = input (defval = timestamp("20 Dec 2030 00:00 +0900"), title = "End Date", tooltip = "Choose Backtest End Date", inline = "End Date", group = "Time" )
inTime = true
// 2. Inputs for direction: Long? Short? Both?
i_longEnabled = input.bool (defval = true , title = "Long?", tooltip = "Enable Long Position Trade?", inline = "Long / Short", group = "Long / Short" )
i_shortEnabled = input.bool (defval = true , title = "Short?", tooltip = "Enable Short Position Trade?", inline = "Long / Short", group = "Long / Short" )
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Filter - Inputs, Indicaotrs
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// 3. Use Filters? What Filters?
i_ATRFilterOn = input.bool (defval = false , title = "ATR Filter On?", tooltip = "ATR Filter On? Order will not be made unless filter condition is fulfilled", inline = "1", group = "Filters")
i_ATRFilterLen = input.int (defval = 14 , title = "Length for ATR Filter", minval = 1 , maxval = 100 , step = 1 , tooltip = "", inline = "2", group = "Filters")
i_ATRSMALen = input.int (defval = 40 , title = "SMA Length for ATR SMA", minval = 1 , maxval = 100000 , step = 1 , tooltip = "ATR should be bigger than this", inline = "2", group = "Filters")
bool i_ATRFilter = ta.atr(i_ATRFilterLen) >= ta.sma(ta.atr(length = i_ATRFilterLen), i_ATRSMALen) ? true : false
bool filterFulfilled = not i_ATRFilterOn or i_ATRFilter
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Strategy Logic (Entry & Exit Condition) - Inputs, Indicators for Strategy
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Inputs for Strategy Indicators
//// 1. SSL Hybrid Baseline
i_useTrueRange = input.bool (defval = true, title = "use true range for Keltner Channel?", tooltip = "", inline = "1", group = "1: SSL Hybrid")
i_maType = input.string (defval ='EMA', title='Baseline Type', options=['SMA', 'EMA', 'DEMA', 'TEMA', 'LSMA', 'WMA', 'VAMA', 'TMA', 'HMA', 'McGinley'], inline="2", group = "1: SSL Hybrid")
i_len = input.int (defval =30, title='Baseline Length', inline="2", group = "1: SSL Hybrid")
i_multy = input.float (defval = 0.2, title='Base Channel Multiplier', minval = 0, maxval = 100, step=0.05, inline="3", group = "1: SSL Hybrid")
i_volatility_lookback = input.int (defval =10, title='Volatility lookback length(for VAMA)', inline='4',group="1: SSL Hybrid")
tema(src, len) =>
ema1 = ta.ema(src, len)
ema2 = ta.ema(ema1, len)
ema3 = ta.ema(ema2, len)
3 * ema1 - 3 * ema2 + ema3
f_ma(type, src, len) =>
float result = 0
if type == 'TMA'
result := ta.sma(ta.sma(src, math.ceil(len / 2)), math.floor(len / 2) + 1)
result
if type == 'LSMA'
result := ta.linreg(src, len, 0)
result
if type == 'SMA' // Simple
result := ta.sma(src, len)
result
if type == 'EMA' // Exponential
result := ta.ema(src, len)
result
if type == 'DEMA' // Double Exponential
e = ta.ema(src, len)
result := 2 * e - ta.ema(e, len)
result
if type == 'TEMA' // Triple Exponential
e = ta.ema(src, len)
result := 3 * (e - ta.ema(e, len)) + ta.ema(ta.ema(e, len), len)
result
if type == 'WMA' // Weighted
result := ta.wma(src, len)
result
if type == 'VAMA' // Volatility Adjusted
/// Copyright © 2019 to present, Joris Duyck (JD)
mid = ta.ema(src, len)
dev = src - mid
vol_up = ta.highest(dev, i_volatility_lookback)
vol_down = ta.lowest(dev, i_volatility_lookback)
result := mid + math.avg(vol_up, vol_down)
result
if type == 'HMA' // Hull
result := ta.wma(2 * ta.wma(src, len / 2) - ta.wma(src, len), math.round(math.sqrt(len)))
result
if type == 'McGinley'
mg = 0.0
mg := na(mg[1]) ? ta.ema(src, len) : mg[1] + (src - mg[1]) / (len * math.pow(src / mg[1], 4))
result := mg
result
result
//// 1-1. SSL Hybrid Keltner Baseline Channel
BBMC = f_ma (i_maType, close, i_len) // BaseLone
Keltma = f_ma (i_maType, close, i_len)
range_1 = i_useTrueRange ? ta.tr : high - low
rangema = ta.ema(range_1, i_len)
upperk = Keltma + rangema * i_multy
lowerk = Keltma - rangema * i_multy
//// 2. 4 Color MACD
i_fastMA = input.int (defval=12, title='MACD fast MA', minval=7, inline = '1' , group = '2: 4 Color MACD')
i_slowMA = input.int (defval=26, title='MACD slow MA', minval=7, inline = '1' , group = '2: 4 Color MACD')
i_signalLength = input.int (defval=9, title='MACD signal Length', minval=1, inline = '2' , group = '2: 4 Color MACD')
[currMacd, _, _] = ta.macd (source = close[0], fastlen = i_fastMA, slowlen = i_slowMA, siglen = 9)
[prevMacd, _, _] = ta.macd (source = close[1], fastlen = i_fastMA, slowlen = i_slowMA, siglen = 9)
signalLine = ta.sma (currMacd, i_signalLength)
//// 3. Laguerre RSI
i_src = input (defval=close, title='Laguerre RSI source', inline = '1' , group = '3: Laguerre RSI')
i_alpha = input.float (defval=0.2, title='Alpha', inline = '2', minval = 0, maxval = 1, step = 0.1, group = '3: Laguerre RSI')
i_overbought = input.int (defval=80, title='Overbought Level?', minval=50, maxval = 99, inline = '4' , group = '3: Laguerre RSI')
i_oversold = input.int (defval=20, title='Overbought Level?', minval=0, maxval = 50, inline = '4' , group = '3: Laguerre RSI')
// i_colorchange = input.bool (defval=false, title='Change Color?', inline = '3' , group = '3: Laguerre RSI')
float LaRSIResult = 0
gamma = 1 - i_alpha
L0 = 0.0
L0 := (1 - gamma) * i_src + gamma * nz(L0[1])
L1 = 0.0
L1 := -gamma * L0 + nz(L0[1]) + gamma * nz(L1[1])
L2 = 0.0
L2 := -gamma * L1 + nz(L1[1]) + gamma * nz(L2[1])
L3 = 0.0
L3 := -gamma * L2 + nz(L2[1]) + gamma * nz(L3[1])
cu = (L0 > L1 ? L0 - L1 : 0) + (L1 > L2 ? L1 - L2 : 0) + (L2 > L3 ? L2 - L3 : 0)
cd = (L0 < L1 ? L1 - L0 : 0) + (L1 < L2 ? L2 - L1 : 0) + (L2 < L3 ? L3 - L2 : 0)
temp = cu + cd == 0 ? -1 : cu + cd
LaRSI = temp == -1 ? 0 : cu / temp
LaRSIResult := LaRSI * 100
// Entry Condition for Long and Short
//// 1. Condition 1: SSL Hybrid
bool bullSSL = close > upperk
bool bearSSL = close < lowerk
//// 2. Condition 2: 4 Color MACD
bool bullSignalMACD = signalLine > 0
bool bearSignalMACD = signalLine < 0
bool bull4cMACD = currMacd > prevMacd and prevMacd > 0
bool bear4cMACD = currMacd < prevMacd and prevMacd < 0
//// 3. Condition 3
bool bullLaRSI = LaRSIResult < i_overbought
bool bearLaRSI = LaRSIResult > i_oversold
// Plot: Indicators
//// 1. SSL Hybrid
var bullSSLColor = #00c3ff
var bearSSLColor = #ff0062
color_bar = color.new(color = close > upperk ? bullSSLColor : close < lowerk ? bearSSLColor : color.gray, transp = 0)
plot(series = BBMC, title = 'MA Baseline', color = color_bar, linewidth = 1, style = plot.style_line)
i_show_color_bar = input.bool(defval = true , title = "Color Bars",inline = "2", group = "Strategy: Drawings")
barcolor(i_show_color_bar ? color_bar : na)
up_channel = plot(upperk, color=color_bar, title='Baseline Upper Channel')
low_channel = plot(lowerk, color=color_bar, title='Basiline Lower Channel')
fill(up_channel, low_channel, color.new(color=color_bar, transp=90))
//// 2. MACD Line
var bull4cMACDColor = color.lime
var bear4cMACDColor = color.orange
MACDbgColor = color.new (color = bull4cMACD and bullSignalMACD ? bull4cMACDColor : bear4cMACD and bearSignalMACD ? bear4cMACDColor : na, transp = not bull4cMACD and not bear4cMACD ? 100 : 80)
bgcolor(color = MACDbgColor, title = "MACD Condition")
// plotColor = currMacd > 0 ? currMacd > prevMacd ? color.lime : color.green : currMacd < prevMacd ? color.maroon : color.red
// plot(currMacd, style=plot.style_columns, color=color.new(plotColor,20), linewidth=3)
// plot(0, title='Zero line', linewidth=1, color=color.new(color.gray, 0))
// plot(signalLine, color=color.new(color.white, 0), title='Signal')
//// 3. Laguerre RSI
var overboughtColor = color.blue
var oversoldColor = color.aqua
LaRSIColor = color.new(color = LaRSIResult > i_overbought ? overboughtColor : LaRSIResult < i_oversold ? oversoldColor : na, transp = 90)
bgcolor (color = LaRSIColor, title = "LaRSI Condition")
// lineColor = i_colorchange ? LaRSI > LaRSI[1] ? color.green : color.red : color.teal
// plot(LaRSIResult, title='LaRSI', linewidth=2, color=color.new(color=lineColor,transp=0))
// plot(i_oversold, linewidth=1, color=color.new(color.maroon, 0))
// plot(i_overbought, linewidth=1, color=color.new(color.maroon, 0))
////// Entry, Exit
// Long, Short Logic with Indicator
// Basic Cond + Long, Short Entry Condition
bool longCond = (i_longEnabled and inTime) and (bullSSL and bullSignalMACD and bull4cMACD and bullLaRSI)
bool shortCond = (i_shortEnabled and inTime) and (bearSSL and bearSignalMACD and bear4cMACD and bearLaRSI)
// Basic Cond + Long, Short Exit Condition
bool closeLong = (i_longEnabled) and (bearSSL or bearSignalMACD)
bool closeShort = (i_shortEnabled) and (bullSSL or bullSignalMACD)
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Position Control
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Long, Short Entry Condition + Not entered Position Yet
bool openLong = longCond and not (strategy.opentrades.size(strategy.opentrades - 1) > 0) and filterFulfilled
bool openShort = shortCond and not (strategy.opentrades.size(strategy.opentrades - 1) < 0) and filterFulfilled
bool enteringTrade = openLong or openShort
float entryBarIndex = bar_index
// Long, Short Entry Fulfilled or Already Entered
bool inLong = openLong or strategy.opentrades.size(strategy.opentrades - 1) > 0 and not closeLong
bool inShort = openShort or strategy.opentrades.size(strategy.opentrades - 1) < 0 and not closeShort
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Stop Loss - Inputs, Indicaotrs
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
//// Use SL? TSL?
i_useSLTP = input.bool (defval = true, title = "Enable SL & TP?", tooltip = "", inline = "1", group = "Stop Loss")
i_tslEnabled = input.bool (defval = false , title = "Enable Trailing SL?", tooltip = "Enable Stop Loss & Take Profit? \n\Enable Trailing SL?", inline = "1", group = "Stop Loss")
// i_breakEvenAfterTP = input.bool (defval = false, title = 'Enable Break Even After TP?', tooltip = 'When Take Profit price target is hit, move the Stop Loss to the entry price (or to a more strict price defined by the Stop Loss %/ATR Multiplier).', inline = '2', group = 'Stop Loss / Take Profit')
//// Sl Options
i_slType = input.string (defval = "ATR", title = "Stop Loss Type", options = ["Percent", "ATR", "Previous LL / HH"], tooltip = "Stop Loss based on %? ATR?", inline = "3", group = "Stop Loss")
i_slATRLen = input.int (defval = 14, title = "ATR Length", minval = 1 , maxval = 200 , step = 1, inline = "4", group = "Stop Loss")
i_slATRMult = input.float (defval = 3, title = "ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "4", group = "Stop Loss")
i_slPercent = input.float (defval = 3, title = "Percent", tooltip = "", inline = "5", group = "Stop Loss")
i_slLookBack = input.int (defval = 30, title = "Lowest / Highest Price Before Entry", group = "Stop Loss", inline = "6", minval = 1, maxval=200, step = 1, tooltip = "Lookback to find the Lowest Price. \nStopLoss is determined by the Lowest price of the look back period. Take Profit is derived from this also by multiplying the StopLoss value by the Risk:Reward multiplier.")
// Functions for Stop Loss
float openAtr = ta.valuewhen(condition = enteringTrade, source = ta.atr(i_slATRLen), occurrence = 0)
float openLowest = ta.valuewhen(condition = openLong, source = ta.lowest(low, i_slLookBack), occurrence = 0)
float openHighest = ta.valuewhen(condition = openShort, source = ta.highest(high, i_slLookBack), occurrence = 0)
f_getLongSLPrice(source) =>
switch i_slType
"Percent" => source * (1 - (i_slPercent/100))
"ATR" => source - (i_slATRMult * openAtr)
"Previous LL / HH" => openLowest
=> na
f_getShortSLPrice(source) =>
switch i_slType
"Percent" => source * (1 + (i_slPercent/100))
"ATR" => source + (i_slATRMult * openAtr)
"Previous LL / HH" => openHighest
=> na
// Calculate Stop Loss
var float longSLPrice = na
var float shortSLPrice = na
bool longTPExecuted = false
bool shortTPExecuted = false
longSLPrice := if (inLong and i_useSLTP)
if (openLong)
f_getLongSLPrice (close)
else
// 1. Trailing Stop Loss
if i_tslEnabled
stopLossPrice = f_getLongSLPrice (high)
math.max(stopLossPrice, nz(longSLPrice[1]))
// 2. Normal StopLoss
else
nz(source = longSLPrice[1], replacement = 0)
else
na
shortSLPrice := if (inShort and i_useSLTP)
if (openShort)
f_getShortSLPrice (close)
else
// 1. Trailing Stop Loss
if i_tslEnabled
stopLossPrice = f_getShortSLPrice (low)
math.min(stopLossPrice, nz(shortSLPrice[1]))
// 2. Normal StopLoss
else
nz(source = shortSLPrice[1], replacement = 999999.9)
else
na
// Plot: Stop Loss of Long, Short Entry
var longSLPriceColor = color.new(color.maroon, 0)
plot(series = longSLPrice, title = 'Long Stop Loss', color = longSLPriceColor, linewidth = 1, style = plot.style_linebr, offset = 1)
var shortSLPriceColor = color.new(color.maroon, 0)
plot(series = shortSLPrice, title = 'Short Stop Loss', color = shortSLPriceColor, linewidth = 1, style = plot.style_linebr, offset = 1)
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Take Profit - Inputs, Indicaotrs
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
i_useTPExit = input.bool (defval = true, title = "Use Take Profit?", tooltip = "", inline = "1", group = "Take Profit")
i_RRratio = input.float (defval = 1.8, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "2", group = "Take Profit")
i_tpQuantityPerc = input.float (defval = 50, title = 'Take Profit Quantity %', minval = 0.0, maxval = 100, step = 1.0, tooltip = '% of position closed when tp target is met.', inline="34", group = 'Take Profit')
var float longTPPrice = na
var float shortTPPrice = na
f_getLongTPPrice() =>
close + i_RRratio * math.abs (close - f_getLongSLPrice (close))
f_getShortTPPrice() =>
close - i_RRratio * math.abs(close - f_getShortSLPrice (close))
longTPPrice := if (inLong and i_useSLTP)
if (openLong)
f_getLongTPPrice ()
else
nz(source = longTPPrice[1], replacement = f_getLongTPPrice ())
else
na
shortTPPrice := if (inShort and i_useSLTP)
if (openShort)
f_getShortTPPrice ()
else
nz(source = shortTPPrice[1], replacement = f_getShortTPPrice ())
else
na
// Plot: Take Profit of Long, Short Entry
var longTPPriceColor = color.new(color.teal, 0)
plot(series = longTPPrice, title = 'Long Take Profit', color = longTPPriceColor, linewidth = 1, style = plot.style_linebr, offset = 1)
var shortTPPriceColor = color.new(color.teal, 0)
plot(series = shortTPPrice, title = 'Short Take Profit', color = shortTPPriceColor, linewidth = 1, style = plot.style_linebr, offset = 1)
// Plot: Entry Price
var posColor = color.new(color.white, 0)
plot(series = strategy.opentrades.entry_price(strategy.opentrades - 1), title = 'Position Entry Price', color = posColor, linewidth = 1, style = plot.style_linebr)
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Quantity - Inputs
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
i_useRiskManangement = input.bool (defval = true, title = "Use Risk Manangement?", tooltip = "", inline = "1", group = "Quantity")
i_riskPerTrade = input.float (defval = 3, title = "Risk Per Trade (%)", minval = 0, maxval = 100, step = 0.1, tooltip = "Use Risk Manangement by Quantity Control?", inline = "2", group = "Quantity")
// i_leverage = input.float (defval = 2, title = "Leverage", minval = 0, maxval = 100, step = 0.1, tooltip = "Leverage", inline = "3", group = "Quantity")
float qtyPercent = na
float entryQuantity = na
f_calQtyPerc() =>
if (i_useRiskManangement)
riskPerTrade = (i_riskPerTrade) / 100 // 1번 거래시 3% 손실
stopLossPrice = openLong ? f_getLongSLPrice (close) : openShort ? f_getShortSLPrice (close) : na
riskExpected = math.abs((close-stopLossPrice)/close) // 손절가랑 6% 차이
riskPerTrade / riskExpected // 0 ~ 1
else
1
f_calQty(qtyPerc) =>
math.min (math.max (0.000001, strategy.equity / close * qtyPerc), 1000000000)
// TP Execution
longTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) > 0 and (longTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) < strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and high >= longTPPrice)
shortTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) < 0 and (shortTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) > strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and low <= shortTPPrice)
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Plot Label, Boxes, Results, Etc
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
i_showSimpleLabel = input.bool(false, "Show Simple Label for Entry?", group = "Strategy: Drawings", inline = "1", tooltip ="")
i_showLabels = input.bool(true, "Show Trade Exit Labels", group = "Strategy: Drawings", inline = "1", 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.")
i_showDashboard = input.bool(false, "Show Dashboard", group = "Strategy: Drawings", inline = "2", tooltip = "Show Backtest Results. Backtest Dates, Win/Lose Rates, Etc.")
// Plot: Label for Long, Short Entry
var openLongColor = color.new(#2962FF, 0)
var openShortColor = color.new(#FF1744, 0)
var entryTextColor = color.new(color.white, 0)
if (openLong and i_showSimpleLabel)
label.new (x = bar_index, y = na, text = 'Open', yloc = yloc.belowbar, color = openLongColor, style = label.style_label_up, textcolor = entryTextColor)
entryBarIndex := bar_index
if (openShort and i_showSimpleLabel)
label.new (x = bar_index, y = na, text = 'Close', yloc = yloc.abovebar, color = openShortColor, style = label.style_label_down, textcolor = entryTextColor)
entryBarIndex := bar_index
float prevEntryPrice = strategy.closedtrades.entry_price (strategy.closedtrades - 1)
float pnl = strategy.closedtrades.profit (strategy.closedtrades - 1)
float prevExitPrice = strategy.closedtrades.exit_price (strategy.closedtrades - 1)
f_enteringTradeLabel(x, y, qty, entryPrice, slPrice, tpPrice, rrRatio, direction) =>
if i_showLabels
labelStr = ("Trade Start"
+ "\nDirection: " + direction
+ "\nRisk Per Trade: " + str.tostring (i_useRiskManangement ? i_riskPerTrade : 100, "#.##") + "%"
+ "\nExpected Risk: " + str.tostring (math.abs((close-slPrice)/close) * 100, "#.##") + "%"
+ "\nEntry Position Qty: " + str.tostring(math.abs(qty * 100), "#.##") + "%"
+ "\nEntry Price: " + str.tostring(entryPrice, "#.##"))
+ "\nStop Loss Price: " + str.tostring(slPrice, "#.##")
+ "\nTake Profit Price: " + str.tostring(tpPrice, "#.##")
+ "\nRisk - Reward Ratio: " + str.tostring(rrRatio, "#.##")
label.new(x = x, y = y, text = labelStr, color = color.new(color.blue, 60) , textcolor = color.white, style = label.style_label_up)
f_exitingTradeLabel(x, y, entryPrice, exitPrice, direction) =>
if i_showLabels
labelStr = ("Trade Result"
+ "\nDirection: " + direction
+ "\nEntry Price: " + str.tostring(entryPrice, "#.##")
+ "\nExit Price: " + str.tostring(exitPrice,"#.##")
+ "\nGain %: " + str.tostring(direction == 'Long' ? -(entryPrice-exitPrice) / entryPrice * 100 : (entryPrice-exitPrice) / entryPrice * 100 ,"#.##") + "%")
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)
f_fillCell(_table, _column, _row, _title, _value, _bgcolor, _txtcolor) =>
_cellText = _title + " " + _value
table.cell(_table, _column, _row, _cellText, bgcolor=_bgcolor, text_color=_txtcolor, text_size=size.auto)
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Orders
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
if (inTime)
if (openLong)
qtyPercent := f_calQtyPerc()
entryQuantity := f_calQty(qtyPercent)
strategy.entry(id = "Long", direction = strategy.long, qty = entryQuantity, comment = 'Long(' + syminfo.ticker + '): Started', alert_message = 'Long(' + syminfo.ticker + '): Started')
f_enteringTradeLabel(x = bar_index + 1, y = close-3*ta.tr, entryPrice = close, qty = qtyPercent, slPrice = longSLPrice, tpPrice = longTPPrice, rrRatio = i_RRratio, direction = "Long")
if (openShort)
qtyPercent := f_calQtyPerc()
entryQuantity := f_calQty(qtyPercent)
strategy.entry(id = "Short", direction = strategy.short, qty = entryQuantity, comment = 'Short(' + syminfo.ticker + '): Started', alert_message = 'Short(' + syminfo.ticker + '): Started')
f_enteringTradeLabel(x = bar_index + 1, y = close-3*ta.tr, entryPrice = close, qty = qtyPercent, slPrice = shortSLPrice, tpPrice = shortTPPrice, rrRatio = i_RRratio, direction = "Short")
if (closeLong)
strategy.close(id = 'Long', comment = 'Close Long', alert_message = 'Long: Closed at market price')
strategy.position_size > 0 ? f_exitingTradeLabel(x = bar_index, y = close+3*ta.tr, entryPrice = prevEntryPrice, exitPrice = prevExitPrice, direction = 'Long') : na
if (closeShort)
strategy.close(id = 'Short', comment = 'Close Short', alert_message = 'Short: Closed at market price')
strategy.position_size < 0 ? f_exitingTradeLabel(x = bar_index, y = close+3*ta.tr, entryPrice = prevEntryPrice, exitPrice = prevExitPrice, direction = 'Short') : na
if (inLong)
strategy.exit(id = 'Long TP / SL', from_entry = 'Long', qty_percent = i_tpQuantityPerc, limit = longTPPrice, stop = longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Take Profit or Stop Loss executed')
strategy.exit(id = 'Long SL', from_entry = 'Long', stop = longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Stop Loss executed')
if (inShort)
strategy.exit(id = 'Short TP / SL', from_entry = 'Short', qty_percent = i_tpQuantityPerc, limit = shortTPPrice, stop = shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Take Profit or Stop Loss executed')
strategy.exit(id = 'Short SL', from_entry = 'Short', stop = shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Stop Loss executed')
if strategy.position_size[1] > 0 and strategy.position_size == 0
f_exitingTradeLabel(x = bar_index, y = close+3*ta.tr, entryPrice = prevEntryPrice, exitPrice = prevExitPrice, direction = 'Long')
if strategy.position_size[1] < 0 and strategy.position_size == 0
f_exitingTradeLabel(x = bar_index, y = close+3*ta.tr, entryPrice = prevEntryPrice, exitPrice = prevExitPrice, direction = 'Short')
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Backtest Result Dashboard
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
if i_showDashboard
var bgcolor = color.new(color = color.black, transp = 100)
var greenColor = color.new(color = #02732A, transp = 0)
var redColor = color.new(color = #D92332, transp = 0)
var yellowColor = color.new(color = #F2E313, transp = 0)
// Keep track of Wins/Losses streaks
newWin = (strategy.wintrades > strategy.wintrades[1]) and (strategy.losstrades == strategy.losstrades[1]) and (strategy.eventrades == strategy.eventrades[1])
newLoss = (strategy.wintrades == strategy.wintrades[1]) and (strategy.losstrades > strategy.losstrades[1]) and (strategy.eventrades == strategy.eventrades[1])
varip int winRow = 0
varip int lossRow = 0
varip int maxWinRow = 0
varip int maxLossRow = 0
if newWin
lossRow := 0
winRow := winRow + 1
if winRow > maxWinRow
maxWinRow := winRow
if newLoss
winRow := 0
lossRow := lossRow + 1
if lossRow > maxLossRow
maxLossRow := lossRow
// Prepare stats table
var table dashTable = table.new(position.top_right, 1, 15, border_width=1)
if barstate.islastconfirmedhistory
dollarReturn = strategy.netprofit
f_fillCell(dashTable, 0, 0, "Start:", str.format("{0,date,long}", strategy.closedtrades.entry_time(0)) , bgcolor, color.white) // + str.format(" {0,time,HH:mm}", strategy.closedtrades.entry_time(0))
f_fillCell(dashTable, 0, 1, "End:", str.format("{0,date,long}", strategy.opentrades.entry_time(0)) , bgcolor, color.white) // + str.format(" {0,time,HH:mm}", strategy.opentrades.entry_time(0))
_profit = (strategy.netprofit / strategy.initial_capital) * 100
f_fillCell(dashTable, 0, 2, "Net Profit:", str.tostring(_profit, '##.##') + "%", _profit > 0 ? greenColor : redColor, color.white)
_numOfDaysInStrategy = (strategy.opentrades.entry_time(0) - strategy.closedtrades.entry_time(0)) / (1000 * 3600 * 24)
f_fillCell(dashTable, 0, 3, "Percent Per Day", str.tostring(_profit / _numOfDaysInStrategy, '#########################.#####')+"%", _profit > 0 ? greenColor : redColor, color.white)
_winRate = ( strategy.wintrades / strategy.closedtrades ) * 100
f_fillCell(dashTable, 0, 4, "Percent Profitable:", str.tostring(_winRate, '##.##') + "%", _winRate < 50 ? redColor : _winRate < 75 ? greenColor : yellowColor, color.white)
f_fillCell(dashTable, 0, 5, "Profit Factor:", str.tostring(strategy.grossprofit / strategy.grossloss, '##.###'), strategy.grossprofit > strategy.grossloss ? greenColor : redColor, color.white)
f_fillCell(dashTable, 0, 6, "Total Trades:", str.tostring(strategy.closedtrades), bgcolor, color.white)
f_fillCell(dashTable, 0, 8, "Max Wins In A Row:", str.tostring(maxWinRow, '######') , bgcolor, color.white)
f_fillCell(dashTable, 0, 9, "Max Losses In A Row:", str.tostring(maxLossRow, '######') , bgcolor, color.white)