レンジボリュームでポジションを増やすDCA戦略

/*backtest
start: 2022-09-20 00:00:00
end: 2023-09-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["v_input_8",500]]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Ranged Volume DCA Strategy - R3c0nTrader ver 2022-04-19
// For backtesting with 3Commas DCA Bot settings
// Thank you "EvoCrypto" for granting me permission to use "Ranged Volume" to create this strategy
// Thank you "junyou0424" for granting me permission to use "DCA Bot with SuperTrend Emulator" which I used for adding bot inputs, calculations, and strategy
//@version=5
strategy("Ranged Volume DCA Strategy - R3c0nTrader", shorttitle="Ranged Vol DCA Strategy", format=format.volume, overlay=true, pyramiding=999, default_qty_type=strategy.cash, initial_capital=50000, commission_value=0.0)

// INPUTS {
// Start and End Dates
i_startTime = input(defval=timestamp('01 Jan 2015 00:00 +0000'), title='Start Time')
i_endTime = input(defval=timestamp('31 Dec 2050 23:59 +0000'), title='End Time')
inDateRange = true

//Ranged Volume Settings
Range_Length    =   input.int(5,        title="Volume Range Length",                       minval=1)

Heikin_Ashi     =   input(true,     title="Heikin Ashi  (Try toggling for different results)")
Display_Bars    =   input(true,     title="Show Bar Colors")
Display_Break   =   input(true,     title="Show Break-Out")
Display_Range   =   input(true,     title="Show Range")

truncate(number, decimals) =>
    factor = math.pow(10, decimals)
    int(number * factor) / factor

// Strategy Inputs
//sourceInput = input.source(close, "Source")
sourceInput = close
price_deviation = input.float(6.0, title='Price deviation to open safety orders (%)', step=0.25, minval=0.0) / 100
take_profit = input.float(22.0, title='Target Take Profit (%)', step=0.5, minval=0.0) / 100
trailing = input.float(0.0, title='Trailing deviation. Default= 0.0 (%)', step=0.5, minval=0.0) / 100
base_order = input(100.0, title='Base order')
safe_order = input(500.0, title='Safety order')
safe_order_volume_scale = input.float(2.0, step=0.5, title='Safety order volume scale')
safe_order_step_scale = input.float(1.4, step=0.1, title='Safety order step scale')
max_safe_order = input(5, title='Max safety orders')

var current_so = 0
var initial_order = 0.0
var previous_high_value = 0.0
var original_ttp_value = 0.0
// Calculate our key levels
take_profit_level = strategy.position_avg_price * (1 + take_profit)

// }


// SETTINGS {
Close = Heikin_Ashi ? request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close) : close
//Close = Heikin_Ashi ? request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close) : sourceInput
Open = Heikin_Ashi ? request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, open) : open


Positive        =    volume
Negative        =   -volume

Highest         =   ta.highest(volume, Range_Length)
Lowest          =   ta.lowest(-volume, Range_Length)

Up              =   Highest > Highest[1] and Close > Open
Dn              =   Highest > Highest[1] and Close < Open

Volume_Color = 
 Display_Break and Up ? color.new(#ffeb3b, 20) : 
 Display_Break and Dn ? color.new(#f44336, 20) : 
 Close > Open ? color.new(#00c0ff, 20) : 
 Close < Open ? color.new(#0001f6, 20) : na
// }

//Plot bar color for volume range indicator
barcolor(Volume_Color, title='Ranged Volume Bar Coloring: (You must disable bar coloring in any studies you added or this may not work properly)')
//barcolor(Display_Bars ? Volume_Color : na)

//

// First Position
if strategy.position_size == 0 and sourceInput > 0 and (Up) and inDateRange
    strategy.entry('Long @' + str.tostring(sourceInput)+'💎✋🤚', strategy.long, qty=base_order / sourceInput)
    initial_order := sourceInput
    current_so := 1
    previous_high_value := 0.0
    original_ttp_value := 0
    original_ttp_value

threshold = 0.0

if safe_order_step_scale == 1.0
    threshold := initial_order - initial_order * price_deviation * safe_order_step_scale * current_so
    threshold

else if current_so <= max_safe_order
    threshold := initial_order - initial_order * ((price_deviation * math.pow(safe_order_step_scale, current_so) - price_deviation) / (safe_order_step_scale - 1))
    threshold

else if current_so > max_safe_order
    threshold := initial_order - initial_order * ((price_deviation * math.pow(safe_order_step_scale, max_safe_order) - price_deviation) / (safe_order_step_scale - 1))
    threshold
    

// Average Down
if current_so > 0 and sourceInput <= threshold and current_so <= max_safe_order and previous_high_value == 0.0
    strategy.entry('😨🙏 SO ' + str.tostring(current_so) + '@' + str.tostring(sourceInput), direction=strategy.long, qty=safe_order * math.pow(safe_order_volume_scale, current_so - 1) / sourceInput)
    current_so += 1
    current_so

// Take Profit!
if take_profit_level <= sourceInput and strategy.position_size > 0 or previous_high_value > 0.0
    if trailing > 0.0
        if previous_high_value > 0.0
            if sourceInput >= previous_high_value
                previous_high_value := sourceInput
                previous_high_value
            else
                previous_high_percent = (previous_high_value - original_ttp_value) * 1.0 / original_ttp_value
                current_high_percent = (sourceInput - original_ttp_value) * 1.0 / original_ttp_value
                if previous_high_percent - current_high_percent >= trailing
                    strategy.close_all(comment='Close (trailing) @' + str.tostring(truncate(current_high_percent * 100, 3)) + '%')
                    current_so := 0
                    previous_high_value := 0
                    original_ttp_value := 0
                    original_ttp_value
        else
            previous_high_value := sourceInput
            original_ttp_value := sourceInput
            original_ttp_value
    else
        strategy.close_all(comment='💰 Close @' + str.tostring(sourceInput))
        current_so := 0
        previous_high_value := 0
        original_ttp_value := 0
        original_ttp_value

// Plot TP
plot(strategy.position_size > 0 ? take_profit_level : na, style=plot.style_linebr, color=color.green, linewidth=2, title="Take Profit")

// Plot All Safety Order lines except for last one as bright blue
plot(strategy.position_size > 0 and current_so <= max_safe_order and current_so > 0 ? threshold : na, style=plot.style_linebr, color=color.new(#00ffff,0), linewidth=2, title="Safety Order")

// Plot Last Safety Order Line as Red
plot(strategy.position_size > 0 and current_so > max_safe_order ? threshold : na, style=plot.style_linebr, color=color.red, linewidth=2, title="No Safety Orders Left")

// Plot Average Position Price Line as Orange
plot(strategy.position_size > 0 ? strategy.position_avg_price : na, style=plot.style_linebr, color=color.orange, linewidth=2, title="Avg Position Price")

// Fill TP Area and SO Area
h1 = plot(strategy.position_avg_price, color=color.new(#000000,100), title="Avg Price Plot Area", display=display.none, editable=false)
h2 = plot(take_profit_level, color=color.new(#000000,100), title="Take Profit Plot Area", display=display.none, editable=false)
h3 = plot(threshold, color=color.new(#000000,100), title="SO Plot Area", display=display.none, editable=false)

// TP Area
fill(h1,h2,color=color.new(#38761d,70), title="Take Profit Plot Area")
// Current SO Area
fill(h1,h3,color=color.new(#3d85c6,70), title="SO Plot Area")