RePaNoCHa 量的な取引戦略

作者: リン・ハーンチャオチャン, 日付: 2023-09-25 18:29:33
タグ:

概要

RePaNoCHa戦略は,数値取引のための複数の指標とリスク管理技術を統合している.主にトレンド方向と潜在的な逆転点を特定することによって購入・売却シグナルを生成する.この戦略には,トライリングストップ損失,固定ストップ損失,利益をロックし,リスクを制御する利益も含まれている.

戦略の論理

戦略は以下の指標を統合しています.

T3 移動平均: 価格動向を測定する.
平均レンジフィルター: 価格変動ゾーンを識別する.
ADX:トレンド強さを決定する
SAR: 潜在的逆転点をマークする
RSI: 過剰購入/過剰販売のレベルを特定する.
MACD: 価格の勢いを表示する

インディケーターが配線信号を出すとき,戦略はトレンドが始まっていることを決定し,エントリー信号を生成する.エントリー後,最も高い/最も低い価格のパーセントを追うために線形トレーリングストップ損失を使用し,利益が増加するにつれて徐々に上昇し,利益をロックする.固定パーセントストップ損失は,取引毎の最大損失を制限するためにも使用されます.

価格がレンジ上位帯を超えると,T3が上昇し,ADXが上昇し,SARが上昇し,RSIがミッドポイントを超え,MACDが正し,ロング信号が生成される.逆条件はショート信号を生成する.取利益とストップロスはエントリー価格の1%と3%で固定される.トレーリングストップ距離はエントリー価格との関係で現在の利益に基づいて線形的に設定される.

利点分析

複数の指標により正確性が向上しますトレンド・インパルス・リバース・インディケーターを組み合わせることで単一インディケーターの罠を回避できます
利回りの柔軟なストップロック
トレイリングストップレベルは価格変動をより良く追跡し利益を確保するために変化する利益に合わせて調整されます
固定停止制御最大損失固定ストップ損失率は,取引ごとに最大損失を制限し,損失拡大を防ぐ.
設定可能なパラメータインディケーターのパラメータは,異なる取引製品で最適化するために自由に調整できます.

リスク分析

より多くの指標で意思決定の難易度は高まる過剰な指標は矛盾を引き起こし,意思決定の困難を高めます.指標の有効性は適切に評価する必要があります.
高波動時のストップ・ロッド・トリガー急激な変動動向は,ウィップソーと頻繁なストップ損失を誘発し,利益を取ることは役に立たない状態になります
高頻度による取引コストの増加より短期的な信号は取引頻度とスライドコストを増加させ,実際の収益性に影響を与えます.
複数のパラメータで難しい最適化様々な指標のパラメータ組み合わせをテストすることで,最適化は困難になり,十分な履歴が必要です.

改善の方向

冗長性を避けるために実際の指標効果を評価するテスト結果を比較して,各指標の実際のインクリメンタルメリットを調べ,余分なメリットを削除します.
トレイリングストップアルゴリズムを最適化
利益を追跡するためのより良い方法を見つけるために異なるトライリングストップアルゴリズムをテストします
実際のスライドと手数料の計算入国決定を助けるため,実際の取引コストをバックテストに組み込む.
波動性によるパラメータの個別最適化安定性を高めるため,高/低波動性セッションのパラメータを別々に最適化する.

概要

RePaNoCHa戦略は,複数の指標とストップメカニズムを統合することで,比較的安定した自動化された取引決定と利益管理を実現する.しかし,高い取引頻度と複雑な最適化プロセスはさらなる改善を必要としている.比較的活発な取引アプローチから一貫した長期的収益を達成するために,バックテストにより多くの実世界の要因を導入し,ベンチマークテストのような技術を採用し,モデルを簡素化し,オーバーフィッティングリスクを軽減する必要があります.

/*backtest
start: 2022-09-18 00:00:00
end: 2023-09-24 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

strategy(title = "RePaNoCHa V4 [Backtest]", overlay = true, initial_capital = 1000, pyramiding = 100,
   calc_on_order_fills = false, calc_on_every_tick = false, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_value = 0.075)

//study(title="RePaNoCHa V4 [Alerts]", overlay=true)

// 
// Copyright by XaviZ v1.0 26/07/2019 
//
// Script for automatic trading with Alerts (Use Backtest to customize your own settings)
//
// LG --> Long (green:not confirmed) (lime: confirmed)
// ST --> Short (maroon: not confirmed) (red: confirmed)
// TS --> Trailing Stop
// xL --> Close Long Position
// xS --> Close Short Position
// SL --> Stop Loss
//
// The trailing stop closes the trade if the price changes direction by a specified percentage or offset. 
// There is no ideal distance because markets and price are always changing and we know that is impossible to exit on the top or bottom. 
// This script interpolate the trailing Stop Offset with profit, higher profit --> higher Trailing Stop Offset. Despite this, it's difficult to catch the price but not impossible.
// It has a TS delay too. It take a snapshot every X seconds, if the TS is activated the alert is triggered, otherwise the price keeps fluctuating until a new snapshot. 
//
// Thanks...
//
// BTC: 3LEUP3WjQctdbFjBavcmRGUVRBje8bptCd
// ETH: 0x518AAD4746912ae506c82B747488306186c4d546
// 

// INITIAL SETTINGS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

Position = input("BOTH", "POSITIONS", options = ["BOTH","LONG","SHORT"])
src = input(hlc3, "SOURCE", type = input.source)

// T3
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

T3_len = input(3, "T3 LENGTH", minval = 2)
a1 = input(0.4, "T3 VOLUME FACTOR", step = 0.1, minval = 0.1)

T3(_src,_T3_len,_a1)=>
    e1=ema(_src, _T3_len)
    e2=ema(e1,_T3_len)
    e3=ema(e2,_T3_len)
    e4=ema(e3,_T3_len)
    e5=ema(e4,_T3_len)
    e6=ema(e5,_T3_len)
    c1=-_a1*_a1*_a1
    c2=3*_a1*_a1+3*_a1*_a1*_a1
    c3=-6*_a1*_a1-3*_a1-3*_a1*_a1*_a1
    c4=1+3*_a1+_a1*_a1*_a1+3*_a1*_a1
    _T3=c1*e6+c2*e5+c3*e4+c4*e3
    _T3

T3_Rising = T3(src,T3_len,a1) > T3(src,T3_len,a1)[1]
T3_Falling = T3(src,T3_len,a1) < T3(src,T3_len,a1)[1]

T3_color = T3_Rising ? color.green : T3_Falling ? color.red : color.yellow

plot(T3(src,T3_len,a1), color=T3_color, linewidth = 3, title= "T3")

// RANGE FILTER
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

per = input(defval=23, title="SAMPLING PERIOD", minval=1)
mult = input(defval=1.5, title="RANGE MULTIPLIER", minval=0.1, step = 0.1)

Range_filter(_src, _per, _mult)=>
    var float _upward = 0.0
    var float _downward = 0.0
    wper      = (_per*2) - 1
    avrng     = ema(abs(_src - _src[1]), _per)
    _smoothrng = ema(avrng, wper)*_mult
    _filt  = _src
    _filt := _src > nz(_filt[1]) ? ((_src-_smoothrng) < nz(_filt[1]) ? nz(_filt[1]) : (_src-_smoothrng)) : ((_src+_smoothrng) > nz(_filt[1]) ? nz(_filt[1]) : (_src+_smoothrng))
    _upward := _filt > _filt[1] ? nz(_upward[1]) + 1 : _filt < _filt[1] ? 0 : nz(_upward[1])
    _downward := _filt < _filt[1] ? nz(_downward[1]) + 1 : _filt > _filt[1] ? 0 : nz(_downward[1])
    [_smoothrng,_filt,_upward,_downward]

[smoothrng, filt, upward, downward] = Range_filter(src, per, mult)

hband = filt + smoothrng
lband = filt - smoothrng

filtcolor = upward > 0 ? color.lime : downward > 0 ? color.red : color.orange
filtplot = plot(filt, color = filtcolor, linewidth = 3, title="Range Filter", editable = false)

hbandplot = plot(hband, color = color.aqua, transp = 60, title = "High Target", editable = false)
lbandplot = plot(lband, color = color.aqua, transp = 60, title = "Low Target", editable = false)

fill(hbandplot, filtplot, color = color.aqua, title = "High Target Range", editable = false)
fill(lbandplot, filtplot, color = color.aqua, title = "Low Target Range", editable = false)

// ADX MasaNakamura version
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

ADX_len = input(12, title="ADX LENGTH", type=input.integer, minval = 1)
th = input(8, title="ADX THRESHOLD", type=input.integer, minval = 0)

calcADX(_ADX_len)=>
    var float SmoothedTrueRange = 0.0
    var float SmoothedDirectionalMovementPlus = 0.0
    var float SmoothedDirectionalMovementMinus = 0.0
    TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1])))
    DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0
    DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0
    SmoothedTrueRange := nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/_ADX_len) + TrueRange
    SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/_ADX_len) + DirectionalMovementPlus
    SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/_ADX_len) + DirectionalMovementMinus
    _DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
    _DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
    DX = abs(_DIPlus-_DIMinus) / (_DIPlus+_DIMinus)*100
    _ADX = sma(DX, _ADX_len)
    [_DIPlus,_DIMinus,_ADX]
 
[DIPlus, DIMinus, ADX] = calcADX(ADX_len)

macol = DIPlus > DIMinus and ADX > th ? color.lime : DIPlus < DIMinus and ADX > th ? color.red : color.orange
barcolor(color = macol, title = "ADX")

// SAR
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

Sst = input (0.07, "SAR STAR", step=0.01, minval = 0.01)
Sinc = input (0.05, "SAR INC", step=0.01, minval = 0.01)
Smax = input (0.15, "SAR MAX", step=0.05, minval = 0.01)

CalcSARwithoutSAR(_Sst, _Sinc, _Smax)=>
    P = 1
    EP = max(high, high[1])
    _SAR = min(low, low[1])
    AF = _Sst
    EPnew = 0.0
    AFnew = _Sst
    if nz(P[1]) == 0
        P := 1
    else
        if (P[1] == 1)
            EPnew := max(high, EP[1])
        else
            EPnew := min(low, EP[1]) 
    
        if EPnew != EP[1]
            AFnew := min(_Smax, AF[1] + _Sinc)
        else
            AFnew := AF[1]
        
    if nz(P[1]) == 0
        P := 1
    else 
        if P[1] == 1 and _SAR[1] + AF[1] * (EPnew - _SAR[1]) <= low
            P := 1
            _SAR := _SAR[1] + AFnew * (EPnew - _SAR[1])
            EP := EPnew
            AF := AFnew
        else        
            if P[1] == 1 and _SAR[1] + AF[1] * (EPnew - _SAR[1]) > low
                if low >= _SAR[1]
                    P := 1
                    _SAR := low
                    EP := EPnew
                    AF := AFnew
                else
                    P := -1
                    _SAR := max(high, EP[1])
                    EP := min(low, low[1])
                    AF := _Sst
            else 
                if P[1] == -1 and _SAR[1] - AF[1] * (_SAR[1] - EPnew) >= high
                    P := -1
                    _SAR := _SAR[1] - AFnew * (_SAR[1] - EPnew)
                    EP := EPnew
                    AF := AFnew
                else
                    if P[1] == -1 and _SAR[1] - AF[1] * (_SAR[1] - EPnew) < high
                        if high <= _SAR[1]
                            P := -1
                            _SAR := high
                            EP := EPnew
                            AF := AFnew
                        else
                            P := 1
                            _SAR := min(low, EP[1])
                            EP := max(high, high[1])
                            AF := _Sst
    _SAR

SAR = CalcSARwithoutSAR(Sst, Sinc, Smax)
plot(SAR, color = macol, style = plot.style_cross, title = "SAR") 

// RSI 
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

RSI_len = input(14, "RSI LENGHT", minval = 1)
RSI_obos = input(52,title="RSI CENTER LINE", type=input.integer, minval = 1)

RSI(len)=>
    up_rsi = rma(max(change(close), 0), len)
    down_rsi = rma(-min(change(close), 0), len)
    rsi = down_rsi == 0 ? 100 : up_rsi == 0 ? 0 : 100 - (100 / (1 + up_rsi / down_rsi))
    rsi

// MACD
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

fast_length = input(title="MACD FAST LENGTH", type=input.integer, minval = 1, defval=10)
slow_length = input(title="MACD SLOW LENGTH", type=input.integer, minval = 1, defval=19)
signal_length = input(title="MACD SIGNAL SMOOTHING", type=input.integer, minval = 1, maxval = 50, defval = 9)
sma_source = input(title="MACD SIMPLE MA(Oscillator)", type=input.bool, defval=false)

MACD(_src,_fast_length,_slow_length)=>
    fast_ma = sma_source ? sma(_src, _fast_length) : ema(_src, _fast_length)
    slow_ma = sma_source ? sma(_src, _slow_length) : ema(_src, _slow_length)
    macd = fast_ma - slow_ma
    signal = sma_source ? sma(macd, signal_length) : ema(macd, signal_length)
    _hist = macd - signal
    _hist

hist = MACD(src,fast_length,slow_length)
    
// STRATEGY
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

var bool longCond = na
var bool shortCond = na
longCond := (high > hband and upward > 0) and not (DIPlus < DIMinus and ADX > th) and (SAR < close) and (T3_Rising) and (RSI(RSI_len) > RSI_obos) and (hist > 0) and (timenow > time + 10000)
shortCond := (low < lband and downward > 0) and not (DIPlus > DIMinus and ADX > th) and (SAR > close) and (T3_Falling) and (RSI(RSI_len) < RSI_obos) and (hist < 0) and (timenow > time + 10000)

var bool XlongCond = na
var bool XshortCond = na
XlongCond := (low < hband and downward > 0) and (DIPlus > DIMinus and ADX > th) and (SAR > close) and (T3_Falling) and (timenow > time + 10000)
XshortCond := (high > lband and upward > 0) and (DIPlus < DIMinus and ADX > th) and (SAR < close) and (T3_Rising) and (timenow > time + 10000)

var int CondIni_long = 0
CondIni_long := longCond ? 1 : shortCond ? -1 : CondIni_long[1]

var int CondIni_short = 0
CondIni_short := longCond ? 1 : shortCond ? -1 : CondIni_short[1]

longCondition = (longCond and CondIni_long[1] == -1)
shortCondition = (shortCond and CondIni_short[1] == 1)

var int CondIniX = 0
CondIniX := XlongCond ? 1 : XshortCond ? -1 : CondIniX[1]
XlongCondition = XlongCond and CondIniX[1] == -1
XshortCondition = XshortCond and CondIniX[1] == 1

// Get the price of the last opened long or short

var float last_open_longCondition = na
var float last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])

// Check if your last postion was a long or a short

var int last_longCondition = na
var int last_shortCondition = na
last_longCondition := longCondition ? time : nz(last_longCondition[1])
last_shortCondition := shortCondition ? time : nz(last_shortCondition[1])

in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition

var int last_XlongCondition = na
var int last_XshortCondition = na
last_XlongCondition := XlongCondition ? time : nz(last_XlongCondition[1])
last_XshortCondition := XshortCondition ? time : nz(last_XshortCondition[1])

in_longConditionX = last_longCondition > last_XlongCondition
in_shortConditionX = last_shortCondition > last_XshortCondition

// TRAILING STOP
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

isTSl = Position == "SHORT" ? na : true
isTSs = Position == "LONG" ? na : true
tsi = input(0.5, "TRAILING STOP ACTIVATION %", type = input.float, step = 0.1) 
ts_low_profit = input(0.25, "TRAILING STOP OFFSET % --> WHEN PROFIT=0.5% (MINIMUM)", type = input.float, step = 0.05, minval = 0.01)
ts_high_profit = input(1.0, "TRAILING STOP OFFSET % --> WHEN PROFIT=10% (LINEAR_EXTRAPOLATION)", type = input.float, step = 0.1, minval = 0.1)
delay = input(120, "TRAILING STOP DELAY (SECONDS BETWEEN SNAPSHOTS)", type = input.integer, minval = 30, maxval = 300, step = 30)*1000

// Dynamic Trailing Stop linear extrapolation / interpolation according with profit

ts_dynamic(x)=> 
    ts_dynamic = 0.0
    ts_dynamic := max(((((ts_high_profit-ts_low_profit)/9.5)*(x-0.5)) + ts_low_profit), ts_low_profit)

long_profit = abs(((high-last_open_longCondition)/last_open_longCondition)*100)
short_profit = abs(((low-last_open_shortCondition)/last_open_shortCondition)*100)

var float ts = 0.0
ts := in_longCondition ? ts_dynamic(long_profit) : ts_dynamic(short_profit)

// Time between snapshots

round = (floor(timenow/(delay)))*(delay)

var bool ts_delay = 0
if timenow < (time + (timeframe.multiplier*60000) - 60000)
    ts_delay := (timenow >= round + (delay)-7500) ? 1 : 0
else
    if timenow > (time + (timeframe.multiplier*60000) - 60000) 
       or ((in_longCondition and high > ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))) and (close < (last_open_longCondition*(1+(tsi/100))))) 
       or ((in_shortCondition and low < (last_open_shortCondition*(1-(tsi/100)))) and (close > (last_open_shortCondition*(1-(tsi/100)))))
        ts_delay := 1

// TS Conditions

var bool long_ts = na
var bool short_ts = na

if high > ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))
    long_ts := isTSl and high >= (close*(1+(ts/100))) and high >= (last_open_longCondition*(1+(tsi/100))) and (high >= hband*(1+(ts/100))) and in_longCondition and in_longConditionX and not longCondition
else
    if high <= ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))
        long_ts := isTSl and high >= (close*(1+(ts/100))) and high >= (last_open_longCondition*(1+(tsi/100))) and close >= (last_open_longCondition*(1+(tsi/100))) and (high >= hband*(1+(ts/100)))
           and in_longCondition and in_longConditionX and not longCondition

if (timenow > (time + (timeframe.multiplier*60000) - 60000)) and high < (close*(1+(ts/100))) and (high > ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))) and (high >= hband*(1+(ts/100)))
    long_ts := isTSl and in_longCondition and in_longConditionX and not longCondition

if low < ((last_open_shortCondition*(1-(tsi/100)))*(1-(ts/100)))      
    short_ts := isTSs and low <= (close*(1-(ts/100))) and low <= (last_open_shortCondition*(1-(tsi/100))) and (low <= lband*(1-(ts/100))) and in_shortCondition and in_shortConditionX and not shortCondition
else
    if low >= ((last_open_shortCondition*(1-(tsi/100)))*(1-(ts/100)))
        short_ts := isTSs and low <= (close*(1-(ts/100))) and low <= (last_open_shortCondition*(1-(tsi/100))) and close <= (last_open_shortCondition*(1-(tsi/100))) and (low <= lband*(1-(ts/100)))
           and in_shortCondition and in_shortConditionX and not shortCondition

if (timenow > (time + (timeframe.multiplier*60000) - 60000)) and low > (close*(1-(ts/100))) and (low < ((last_open_shortCondition*(1-(tsi/100)))*(1-(ts/100)))) and (low <= lband*(1-(ts/100)))
    short_ts := isTSs and in_shortCondition and in_shortConditionX and not shortCondition
    
// Ts Antiliquidation. For pumps on same candle of entry.

last_open_long = max(SAR[1],hband)
last_open_short = min(SAR[1],lband)

ts_antiliq_long_profit = abs(((high-last_open_long)/last_open_long)*100)
ts_antiliq_short_profit = abs(((low-last_open_short)/last_open_short)*100)

ts_antiliq = in_longCondition ? ts_dynamic(ts_antiliq_long_profit) : ts_dynamic(ts_antiliq_short_profit)

var bool long_ts_antiliq = na
var bool short_ts_antiliq = na

Act_ts_antiliq = input(2.0, "TRAILING STOP ANTI-LIQUIDATION ACTIVATION % ", type = input.float, step = 0.1)

long_ts_antiliq := isTSl and longCondition and high > ((last_open_long*(1+(Act_ts_antiliq/100)))*(1+(ts_antiliq/100))) and high > last_open_long*(1+(Act_ts_antiliq/100)) and (DIPlus > DIMinus and ADX > th) 
   and high >= (close*(1+(ts_antiliq/100))) and in_longCondition and in_longConditionX

short_ts_antiliq := isTSs and shortCondition and low < ((last_open_short*(1-(Act_ts_antiliq/100)))*(1-(ts_antiliq/100))) and low < last_open_short*(1-(Act_ts_antiliq/100)) and (DIPlus < DIMinus and ADX > th) 
   and low <= (close*(1-(ts_antiliq/100))) and in_shortCondition and in_shortConditionX
    
// Get the time of the last ts close

var int last_long_ts = na
var int last_short_ts = na
last_long_ts := long_ts ? time : nz(last_long_ts[1])
last_short_ts := short_ts ? time : nz(last_short_ts[1])

Final_Long_ts = (long_ts and last_longCondition > nz(last_long_ts[1]))
Final_Short_ts = (short_ts and last_shortCondition > nz(last_short_ts[1]))

var int last_long_ts_antiliq = na
var int last_short_ts_antiliq = na
last_long_ts_antiliq := long_ts_antiliq ? time : nz(last_long_ts_antiliq[1])
last_short_ts_antiliq := short_ts_antiliq ? time : nz(last_short_ts_antiliq[1])

Final_Long_ts_antiliq = (long_ts_antiliq and last_longCondition > nz(last_long_ts_antiliq[1]))
Final_Short_ts_antiliq = (short_ts_antiliq and last_shortCondition > nz(last_short_ts_antiliq[1]))

// STOP LOSS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

Act_sl = input(false, "STOP LOSS")
isSLl = Position == "SHORT" ? na : true
isSLs = Position == "LONG" ? na : true
sl = input(3.0, "STOP LOSS %", type = input.float, step = 0.1)

long_sl = Act_sl and isSLl and low <= ((1-(sl/100))*last_open_longCondition) and not (open < ((1-(sl/100))*last_open_longCondition)) and in_longCondition and not longCondition
short_sl = Act_sl and isSLs and high >= ((1+(sl/100))*last_open_shortCondition) and not (open > ((1+(sl/100))*last_open_shortCondition)) and in_shortCondition and not shortCondition

// Get the time of the last sl close

var int last_long_sl = na
var int last_short_sl = na
last_long_sl := long_sl ? time : nz(last_long_sl[1])
last_short_sl := short_sl ? time : nz(last_short_sl[1])

// Sl counter

var int CondIni_long_sl = 0
CondIni_long_sl := long_sl or Final_Long_ts ? 1 : longCondition ? -1 : CondIni_long_sl[1]

var int CondIni_short_sl = 0
CondIni_short_sl := short_sl or Final_Short_ts ? 1 : shortCondition ? -1 : CondIni_short_sl[1]

Final_Long_sl = long_sl and CondIni_long_sl[1] == -1 and in_longConditionX and not XlongCondition and not Final_Long_ts
Final_Short_sl = short_sl and CondIni_short_sl[1] == -1 and in_shortConditionX and not XshortCondition and not Final_Short_ts

// Final Long & Short Counter

if Final_Long_ts or Final_Long_sl or XlongCondition
    CondIni_long := -1

if Final_Short_ts or Final_Short_sl or XshortCondition
    CondIni_short := 1

// SIGNALS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

// long & short

Final_longCondition_notconfirmed = Position == "SHORT" ? na : longCondition and (DIPlus > DIMinus and ADX > th)
Final_shortCondition_notconfirmed = Position == "LONG" ? na : shortCondition and (DIPlus < DIMinus and ADX > th)

//plotshape(Final_longCondition_notconfirmed, title = "Long Signal", text = "LG", style=shape.triangleup, location=location.belowbar, color = #2E8B57, transp = 0, size=size.tiny)
//plotshape(Final_shortCondition_notconfirmed, title = "Short Signal", text = "ST", style=shape.triangledown, location=location.abovebar, color = #B22222, transp = 0, size=size.tiny)

Final_longCondition = Position == "SHORT" ? na : longCondition[1] and not (shortCondition and (DIPlus < DIMinus and ADX > th))
Final_shortCondition = Position == "LONG" ? na : shortCondition[1] and not (longCondition and (DIPlus > DIMinus and ADX > th))

//plotshape(Final_longCondition, title = "Long Signal", text = "LG", style=shape.triangleup, location=location.belowbar, color = color.lime, transp = 0, size=size.tiny)
//plotshape(Final_shortCondition, title = "Short Signal", text = "ST", style=shape.triangledown, location=location.abovebar, color = color.red, transp = 0, size=size.tiny)

// Xlong & Xshort

var int CondIni_Xlong = 0
CondIni_Xlong := Final_Long_ts or XlongCondition or Final_shortCondition ? 1 : Final_longCondition ? -1 : CondIni_Xlong[1]

var int CondIni_Xshort = 0
CondIni_Xshort := Final_Short_ts or XshortCondition or Final_longCondition ? 1 : Final_shortCondition ? -1 : CondIni_Xshort[1]

var bool Final_XlongCondition = na
var bool Final_XshortCondition = na

Final_XlongCondition := Position == "SHORT" ? na : 
   ((shortCondition and last_longCondition > last_shortCondition[1]) or (XlongCondition and last_longCondition > last_XlongCondition[1])) and CondIni_Xlong[1] == -1 
   and not Final_shortCondition_notconfirmed and not Final_shortCondition
Final_XshortCondition := Position == "LONG" ? na : 
   ((longCondition and last_shortCondition > last_longCondition[1]) or (XshortCondition and last_shortCondition > last_XshortCondition[1])) and CondIni_Xshort[1] == -1 
   and not Final_longCondition_notconfirmed and not Final_longCondition
   
F_XLONG = Final_XlongCondition[1] and not Final_shortCondition and not Final_shortCondition_notconfirmed and not Final_longCondition_notconfirmed
F_XSHORT = Final_XshortCondition[1] and not Final_longCondition and not Final_longCondition_notconfirmed and not Final_shortCondition_notconfirmed

//plotshape(F_XLONG, title = "xL Signal", text = "xL", style=shape.triangledown, location=location.abovebar, color = color.orange, transp = 0, size=size.tiny)
//plotshape(F_XSHORT, title = "xS Signal", text = "xS", style=shape.triangleup, location=location.belowbar, color = color.aqua, transp = 0, size=size.tiny)

// Ts

//plotshape(Final_Long_ts, text ="TS", title="Trailing Stop Long", style=shape.triangledown, location=location.abovebar, color = color.red, editable = false, transp = 0) 
//plotshape(Final_Short_ts, text ="TS", title="Trailing Stop Short", style=shape.triangleup, location=location.belowbar, color = color.lime, editable = false, transp = 0) 

//lts = iff(Final_Long_ts, high*(1-(ts/100)), na), plot(lts, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
//sts = iff(Final_Short_ts, low*(1+(ts/100)), na), plot(sts, style = plot.style_cross, linewidth=3, color = color.white, editable = false)

// Ts anti-liquidation

//plotshape(Final_Long_ts_antiliq, text ="TSA", title="Trailing Stop Long Antiliq", style=shape.triangledown, location=location.abovebar, color = color.red, editable = false, transp = 0) 
//plotshape(Final_Short_ts_antiliq, text ="TSA", title="Trailing Stop Short Antiliq", style=shape.triangleup, location=location.belowbar, color = color.lime, editable = false, transp = 0) 

//lts_antiliq = iff(Final_Long_ts_antiliq, high*(1-(ts_antiliq/100)), na), plot(lts_antiliq, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
//sts_antiliq = iff(Final_Short_ts_antiliq, low*(1+(ts_antiliq/100)), na), plot(sts_antiliq, style = plot.style_cross, linewidth=3, color = color.white, editable = false)

// Sl

//plotshape(Final_Long_sl, text ="SL", title="Stop Loss Long", style=shape.triangledown, location=location.abovebar, color = color.fuchsia, editable = false, transp = 0) 
//plotshape(Final_Short_sl, text ="SL", title="Stop Loss Short", style=shape.triangleup, location=location.belowbar, color = color.fuchsia, editable = false, transp = 0) 

//lsl = iff(Final_Long_sl, (1-(sl/100))*last_open_longCondition, na), plot(lsl, style = plot.style_cross, linewidth=2, color = color.white, editable = false)
//ssl = iff(Final_Short_sl, (1+(sl/100))*last_open_shortCondition, na), plot(ssl, style = plot.style_cross, linewidth=2, color = color.white, editable = false)

// Levels

plot(isTSl and in_longCondition == 1 ? (last_open_longCondition*(1+(tsi/100))) : na, "Long Trailing", color = color.white, style=3, linewidth=1, editable = false)
plot(isTSs and in_shortCondition == 1 ? (last_open_shortCondition*(1-(tsi/100))) : na, "Short Trailing", color = color.white, style=3, linewidth=1, editable = false)

//plot(isTSl and longCondition and high > last_open_long*(1+(Act_ts_antiliq/100)) and (DIPlus > DIMinus and ADX > th) ? 
//   last_open_long*(1+(Act_ts_antiliq/100)) : na, "Long TSA", color = color.lime, style=3, linewidth=2, editable = false)
//plot(isTSs and shortCondition and low < last_open_short*(1-(Act_ts_antiliq/100)) and (DIPlus < DIMinus and ADX > th) ? 
//   last_open_short*(1-(Act_ts_antiliq/100)) : na, "Short TSA", color = color.red, style=3, linewidth=2, editable = false)

// Weekend

Weekend = input(true, "SHOW WEEKEND")
W_color = Weekend and (dayofweek == dayofweek.sunday or dayofweek == dayofweek.saturday) ? color.teal : na
bgcolor(W_color, title = "WEEKEND")

// ALERTS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

// or Final_longCondition_notconfirmed (green signals)
//alertcondition(
//   Final_longCondition,  
//   title="Long Alert", 
//   message = "LONG"
//   )
   
// or Final_shortCondition_notconfirmed (maroon signals)
//alertcondition(
//   Final_shortCondition, 
//   title="Short Alert", 
//   message = "SHORT"
//   )

//alertcondition(
//   (Final_Long_ts and ts_delay)
//   or F_XLONG 
//   or Final_Long_sl 
//   or (Final_Long_ts_antiliq and close >= (last_open_long*(1+(Act_ts_antiliq/100)))), 
//   title="XLong TS/XL/SL Alert", 
//   message = "XLONG TS/XL/SL"
//   )

//alertcondition(
//   (Final_Short_ts and ts_delay) 
//   or F_XSHORT 
//   or Final_Short_sl 
//   or (Final_Short_ts_antiliq and close <= (last_open_short*(1-(Act_ts_antiliq/100)))), 
//   title="XShort TS/XL/SL Alert", 
//   message = "XSHORT TS/XL/SL"
//   )

// BOT SYNTAX (DERIBIT EXAMPLE)
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

// message = "LONG | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=1 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=short t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL b=long q=50% t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=long sl=-3.1% p=-3%"
// message = "SHORT | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=1 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=long t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL b=short q=50% t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=short sl=3% p=3.1%"
// message = "XSHORT/TS/SL | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=short t=market"
// message = "XLONG/TS/SL | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=long t=market"
//
// Using t=limit on entries --> comission_value = 0.025

// BACKTESTING
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

BT_Final_longCondition = Position == "SHORT" ? na : longCondition
BT_Final_shortCondition = Position == "LONG" ? na : shortCondition

testStartYear = input(2019, "BACKTEST START YEAR", minval = 1, maxval = 2222) 
testStartMonth = input(01, "BACKTEST START MONTH", minval = 1, maxval = 12)
testStartDay = input(01, "BACKTEST START DAY", minval = 1, maxval = 31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

if (BT_Final_longCondition)
    strategy.entry("long", strategy.long, when = time >= testPeriodStart)
if (BT_Final_shortCondition) 
    strategy.entry("short", strategy.short, when = time >= testPeriodStart)
    
pips_corection = input(2, "(TICKS/PIPS CORRECTION)")

strategy.exit("Tsl", "long", trail_points = (abs((last_open_longCondition*(1+(tsi/100)))-last_open_longCondition)*pips_corection),
   trail_offset = (high*(ts/100))*pips_corection, loss = Act_sl ? (abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)*pips_corection) : na) 
strategy.exit("Tss", "short", trail_points = (abs((last_open_shortCondition*(1-(tsi/100)))-last_open_shortCondition)*pips_corection),
   trail_offset = (low*(ts/100))*pips_corection, loss = Act_sl ? (abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)*pips_corection) : na) 

strategy.close_all(when = Final_XlongCondition or Final_XshortCondition or Final_Long_sl or Final_Short_sl)

もっと

2019 FMZ - すべての権利は保護されています.

RePaNoCHa 量的な取引戦略

概要

戦略の論理

利点分析

リスク分析

改善 の 方向

概要

改善の方向