振動Kライン定量取引戦略

/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 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/
// © HeWhoMustNotBeNamed

//@version=4
strategy("Oscilator candles - strategy", overlay=false, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01, calc_on_order_fills = true)

oscilatorType = input(title="Oscliator Type", defval="stoch", options=["rsi", "stoch", "cog", "macd", "tsi", "cci", "cmo", "mfi"])
length = input(3)
shortlength = input(3)
longlength = input(9)

showSupertrend = input(true)
AtrMAType = input(title="Moving Average Type", defval="rma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
AtrLength = input(30, step=10)
stopMultiplier  = input(4)
targetMultiplier  = input(3)
wicks = input(true)
considerWicksForDelayByStep = input(false)
colorByPreviousClose = input(true)

useHTFPivot = input(false)
resolution = input("12M", type=input.resolution)
HTFMultiplier = input(4, title="Higher Timeframe multiplier (Used when resolution is set to Same as Symbol)", minval=2, step=1)
PivotLength = input(2, step=1)

tradeDirection = input(title="Trade Direction", defval=strategy.direction.long, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Backtest Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "Backtest End Time", type = input.time)
inDateRange = true

f_getOscilatorValues(oscilatorType, length, shortlength, longlength)=>
    oOpen = rsi(open, length)
    oClose = rsi(close, length)
    oHigh = rsi(high, length)
    oLow = rsi(low, length)
    if(oscilatorType == "tsi")
        oOpen := tsi(open, shortlength, longlength)
        oClose := tsi(close, shortlength, longlength)
        oHigh := tsi(high, shortlength, longlength)
        oLow := tsi(low, shortlength, longlength)
    if(oscilatorType == "stoch")
        oOpen := stoch(open, longlength, shortlength, length)
        oClose := stoch(close, longlength, shortlength, length)
        oHigh := stoch(high, longlength, shortlength, length)
        oLow := stoch(low, longlength, shortlength, length)
    if(oscilatorType == "cci")
        oOpen := cci(open, length)
        oClose := cci(close, length)
        oHigh := cci(high, length)
        oLow := cci(low, length)
    if(oscilatorType == "cog")
        oOpen := cog(open, length)
        oClose := cog(close, length)
        oHigh := cog(high, length)
        oLow := cog(low, length)
    if(oscilatorType == "cmo")
        oOpen := cmo(open, length)
        oClose := cmo(close, length)
        oHigh := cmo(high, length)
        oLow := cmo(low, length)
    if(oscilatorType == "mfi")
        oOpen := mfi(open, length)
        oClose := mfi(close, length)
        oHigh := mfi(high, length)
        oLow := mfi(low, length)
    if(oscilatorType == "macd")
        [macdLineOpen, signalLineOpen, histLineOpen] = macd(open, shortlength, longlength, length)
        [macdLineClose, signalLineClose, histLineClose] = macd(close, shortlength, longlength, length)
        [macdLineHigh, signalLineHigh, histLineHigh] = macd(high, shortlength, longlength, length)
        [macdLineLow, signalLineLow, histLineLow] = macd(low, shortlength, longlength, length)
        oOpen := macdLineOpen
        oClose := macdLineClose
        oHigh := macdLineHigh
        oLow := macdLineLow
    [oOpen, oClose, oHigh, oLow]

f_getMovingAverage(source, MAType, length)=>
    ma = sma(source, length)
    if(MAType == "ema")
        ma := ema(source,length)
    if(MAType == "hma")
        ma := hma(source,length)
    if(MAType == "rma")
        ma := rma(source,length)
    if(MAType == "vwma")
        ma := vwma(source,length)
    if(MAType == "wma")
        ma := wma(source,length)
    ma

f_getSupertrend(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, stopMultiplier, wicks)=>
    truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
    
    averagetruerange = f_getMovingAverage(truerange, AtrMAType, AtrLength)
    atr = averagetruerange * stopMultiplier

    longStop = oClose - atr
    longStopPrev = nz(longStop[1], longStop)
    longStop := (wicks ? oLow[1] : oClose[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
    
    shortStop = oClose + atr
    shortStopPrev = nz(shortStop[1], shortStop)
    shortStop := (wicks ? oHigh[1] : oClose[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
    
    dir = 1
    dir := nz(dir[1], dir)
    dir := dir == -1 and (wicks ? oHigh : oClose) > shortStopPrev ? 1 : dir == 1 and (wicks ? oLow : oClose) < longStopPrev ? -1 : dir
    
    trailingStop = dir == 1? longStop : shortStop
    
    [dir, trailingStop]


f_getBuySellStops(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, considerWicks, considerWicksForDelayByStep, stopMultiplier, targetMultiplier)=>
    barState = 0
    source = oClose
    
    truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
    
    atr = f_getMovingAverage(truerange, AtrMAType, AtrLength)

    buyStop = source - atr * stopMultiplier
    sellStop = source + atr * stopMultiplier
    buyStopDerived = buyStop
    sellStopDerived = sellStop
    highTarget = considerWicks ? oHigh : source
    lowTarget = considerWicks ? oLow : source
    
    highTargetDelayByStep = considerWicksForDelayByStep ? oHigh : source
    lowTargetDelayByStep = considerWicksForDelayByStep ? oLow : source
    
    barState := highTarget > sellStopDerived[1] ? 1 : lowTarget < buyStopDerived[1] ? -1 : nz(barState[1],0)
    
    buyMultiplier = (barState == 1)? stopMultiplier : targetMultiplier
    sellMultiplier = (barState == -1)? stopMultiplier : targetMultiplier
    buyStop := source - atr * buyMultiplier
    sellStop := source + atr * sellMultiplier
    buyStop := barState == 1? max(buyStop, buyStop[1]) : barState == -1? min(buyStop, buyStop[1]) : buyStop
    sellStop := barState == 1? max(sellStop, sellStop[1]) : barState == -1? min(sellStop, sellStop[1]) : sellStop
    
    buyStopDerived := buyStop
    sellStopDerived := sellStop
    
    buyStopDerived := highTargetDelayByStep < sellStopDerived[1] and lowTargetDelayByStep > buyStopDerived[1] ? buyStopDerived[1] : buyStopDerived
    sellStopDerived := highTargetDelayByStep < sellStopDerived[1] and lowTargetDelayByStep > buyStopDerived[1] ? sellStopDerived[1] : sellStopDerived

    [buyStopDerived, sellStopDerived, barState]


f_secureSecurity(_symbol, _res, _src) => security(_symbol, _res, _src[1], lookahead = barmerge.lookahead_on, gaps=barmerge.gaps_off)

f_multiple_resolution(HTFMultiplier) => 
    target_Res_In_Min = timeframe.multiplier * HTFMultiplier * (
      timeframe.isseconds   ? 1. / 60. :
      timeframe.isminutes   ? 1. :
      timeframe.isdaily     ? 1440. :
      timeframe.isweekly    ? 7. * 24. * 60. :
      timeframe.ismonthly   ? 30.417 * 24. * 60. : na)

    target_Res_In_Min     <= 0.0417       ? "1S"  :
      target_Res_In_Min   <= 0.167        ? "5S"  :
      target_Res_In_Min   <= 0.376        ? "15S" :
      target_Res_In_Min   <= 0.751        ? "30S" :
      target_Res_In_Min   <= 1440         ? tostring(round(target_Res_In_Min)) :
      tostring(round(min(target_Res_In_Min / 1440, 365))) + "D"
    
f_getPivotHighLow(oOpen, oClose, oHigh, oLow, HTFMultiplier, resolution, PivotLength)=>
    derivedResolution = resolution == ""? f_multiple_resolution(HTFMultiplier) : resolution
    HTFHigh = f_secureSecurity(syminfo.tickerid, derivedResolution, oHigh)
    HTFLow = f_secureSecurity(syminfo.tickerid, derivedResolution, oLow)
    CLOSEprev = f_secureSecurity(syminfo.tickerid, derivedResolution, oClose)
    pivothi = pivothigh(HTFHigh, PivotLength, PivotLength)
    pivotlo = pivotlow(HTFLow, PivotLength, PivotLength)
    pivothi := na(pivothi)? nz(pivothi[1]) : pivothi
    pivotlo := na(pivotlo)? nz(pivotlo[1]) : pivotlo
    [pivothi, pivotlo]
    
[oOpen, oClose, oHigh, oLow] = f_getOscilatorValues(oscilatorType, length, shortlength, longlength)
[dir, trailingStop] = f_getSupertrend(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, stopMultiplier, wicks)

candleColor = colorByPreviousClose ?
                 (oClose[1] < oClose ? color.green : oClose[1] > oClose ? color.red : color.silver) : 
                 (oOpen < oClose ? color.green : oOpen > oClose ? color.red : color.silver)
plotcandle(oOpen, oHigh, oLow, oClose, 'Oscilator Candles', color = candleColor)

[buyStopDerived, sellStopDerived, barState] = f_getBuySellStops(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, wicks, considerWicksForDelayByStep, stopMultiplier, targetMultiplier)

trailingStopDerived = barState == 1? buyStopDerived : sellStopDerived

plot(showSupertrend?trailingStopDerived:na, title="TrailingStop", style=plot.style_linebr, linewidth=1, color= barState == 1 ? color.green : color.red)

[pivotHigh, pivotLow] = f_getPivotHighLow(open, close, high, low, HTFMultiplier, resolution, PivotLength)

buyCondition = (barState == 1) and (close > pivotHigh or not useHTFPivot)
exitBuyConditin = (barState == -1)
sellCondition = (barState == -1) and (close < pivotLow or not useHTFPivot)
exitSellCondition = (barState == 1)

// strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Buy", strategy.long, when=buyCondition and inDateRange, oca_name="oca")
strategy.entry("Sell", strategy.short, when=sellCondition and inDateRange, oca_name="oca")
strategy.close("Buy", when = exitBuyConditin)
strategy.close( "Sell", when = exitSellCondition)