1. スクエア
2. Hull移動平均値とストカスティックRSIの組み合わせの取引戦略

Hull移動平均値とストカスティックRSIの組み合わせの取引戦略

作者: リン・ハーンチャオチャン, 日付: 2023年10月18日12時40分23秒
タグ:

---

---

/*backtest
start: 2023-10-16 00:00:00
end: 2023-10-17 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//Basic Hull Ma Pack tinkered by InSilico 
//Converted to Strategy by DashTrader
strategy("Hull Suite + Stoch RSI Strategy v1.1", overlay=true, pyramiding=1, initial_capital=100, default_qty_type= strategy.percent_of_equity, default_qty_value = 100, calc_on_order_fills=false, slippage=0,commission_type=strategy.commission.percent,commission_value=0.023)
strat_dir_input = input(title="Strategy Direction", defval="all", options=["long", "short", "all"])
strat_dir_value = strat_dir_input == "long" ? strategy.direction.long : strat_dir_input == "short" ? strategy.direction.short : strategy.direction.all
strategy.risk.allow_entry_in(strat_dir_value)
//////////////////////////////////////////////////////////////////////
// Testing Start dates
testStartYear = input(2016, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
//Stop date if you want to use a specific range of dates
testStopYear = input(2030, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(30, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

stoch_upper_input = input(88, "Stoch Upper Threshold", type=input.float)
stoch_lower_input = input(5, "Stoch Lower Threshold", type=input.float)
sl = input(0.7, "SL %", type=input.float, step=0.1)
tp = input(2.1, "TP %", type=input.float, step=0.1)
// slowEMA = ema(close, slowEMA_input)

// vwap = vwap(close)
// rsi = rsi(close, rsi_input)


// stoch rsi
smoothK = 3
smoothD = 3
lengthRSI = 14
lengthStoch = 14
rsi1 = rsi(close, 14)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = sma(k, smoothD)

testPeriod() =>
    time >= testPeriodStart and time <= testPeriodStop ? true : false
// Component Code Stop
//////////////////////////////////////////////////////////////////////
//INPUT
src = input(close, title="Source")
modeSwitch = input("Hma", title="Hull Variation", options=["Hma", "Thma", "Ehma"])
length = input(180, title="Length(180-200 for floating S/R , 55 for swing entry)")
switchColor = input(true, "Color Hull according to trend?")
candleCol = input(false,title="Color candles based on Hull's Trend?")
visualSwitch  = input(true, title="Show as a Band?")
thicknesSwitch = input(1, title="Line Thickness")
transpSwitch = input(40, title="Band Transparency",step=5)

//FUNCTIONS
//HMA
HMA(_src, _length) =>  wma(2 * wma(_src, _length / 2) - wma(_src, _length), round(sqrt(_length)))
//EHMA    
EHMA(_src, _length) =>  ema(2 * ema(_src, _length / 2) - ema(_src, _length), round(sqrt(_length)))
//THMA    
THMA(_src, _length) =>  wma(wma(_src,_length / 3) * 3 - wma(_src, _length / 2) - wma(_src, _length), _length)
    
//SWITCH
Mode(modeSwitch, src, len) =>
      modeSwitch == "Hma"  ? HMA(src, len) :
      modeSwitch == "Ehma" ? EHMA(src, len) : 
      modeSwitch == "Thma" ? THMA(src, len/2) : na
      
//OUT
HULL = Mode(modeSwitch, src, length)
MHULL = HULL[0]
SHULL = HULL[2]

//COLOR
hullColor = switchColor ? (HULL > HULL[2] ? #00ff00 : #ff0000) : #ff9800

//PLOT
///< Frame
Fi1 = plot(MHULL, title="MHULL", color=hullColor, linewidth=thicknesSwitch, transp=50)
Fi2 = plot(visualSwitch ? SHULL : na, title="SHULL", color=hullColor, linewidth=thicknesSwitch, transp=50)
///< Ending Filler
fill(Fi1, Fi2, title="Band Filler", color=hullColor, transp=transpSwitch)
///BARCOLOR
barcolor(color = candleCol ? (switchColor ? hullColor : na) : na)

bgcolor(color = k < stoch_lower_input  and crossover(k, d) ? color.green : na)
bgcolor(color = d > stoch_upper_input and crossover(d, k) ? color.red : na)

notInTrade = strategy.position_size == 0

if notInTrade and HULL[0] > HULL[2] and testPeriod() and k < stoch_lower_input and crossover(k, d)
// if HULL[0] > HULL[2] and testPeriod()
    stopLoss = close * (1 - sl / 100) 
    profit25 = close * (1 + (tp / 100) * 0.25)
    profit50 = close * (1 + (tp / 100) * 0.5)
    takeProfit = close * (1 + tp / 100)
    
    
    strategy.entry("long", strategy.long, alert_message="buy")
    strategy.exit("exit long 25%", "long", stop=stopLoss, limit=profit25, qty_percent=25, alert_message="profit_25")
    strategy.exit("exit long 50%", "long", stop=stopLoss, limit=profit50, qty_percent=25, alert_message="profit_50")
    strategy.exit("exit long", "long", stop=stopLoss, limit=takeProfit)
    
    // line.new(bar_index, profit25, bar_index + 4, profit25, color=color.green)
    // line.new(bar_index, profit50, bar_index + 4, profit50, color=color.green)
    // box.new(bar_index, stopLoss, bar_index + 4, close, border_color=color.red, bgcolor=color.new(color.red, 80))
    // box.new(bar_index, close, bar_index + 4, takeProfit, border_color=color.green, bgcolor=color.new(color.green, 80))

    
if notInTrade and HULL[0] < HULL[2] and testPeriod() and d > stoch_upper_input and crossover(d, k)
// if HULL[0] < HULL[2] and testPeriod()
    stopLoss = close * (1 + sl / 100)
    profit25 = close * (1 - (tp / 100) * 0.25)
    profit50 = close * (1 - (tp / 100) * 0.5)
    takeProfit = close * (1 - tp / 100)
    
    

    strategy.entry("short", strategy.short, alert_message="sell")
    strategy.exit("exit short 25%", "short", stop=stopLoss, limit=profit25, qty_percent=25, alert_message="profit_25")
    strategy.exit("exit short 50%", "short", stop=stopLoss, limit=profit50, qty_percent=25, alert_message="profit_50")
    strategy.exit("exit short", "short", stop=stopLoss, limit=takeProfit)
    
    // line.new(bar_index, profit25, bar_index + 4, profit25, color=color.green)
    // line.new(bar_index, profit50, bar_index + 4, profit50, color=color.green)
    // box.new(bar_index, stopLoss, bar_index + 4, close, border_color=color.red, bgcolor=color.new(color.red, 80))
    // box.new(bar_index, close, bar_index + 4, takeProfit, border_color=color.green, bgcolor=color.new(color.green, 80))

// var table winrateDisplay = table.new(position.bottom_right, 1, 1)
// table.cell(winrateDisplay, 0, 0, "Winrate: " + tostring(strategy.wintrades / strategy.closedtrades * 100, '#.##')+" %", text_color=color.white)

---

• 移動平均を追跡する戦略
• 振動バランス戦略
• 動向平均とスーパートレンドのトレンドフォロー戦略
• モメント・ダブル・ムービング・メアワー・クロスオーバー戦略
• ジグザグ 脱出戦略
• 量子量戦略
• 金 VWAP MACD SMO トレーディング戦略
• 123 逆転移動平均額戦略
• 交代時間枠パラボリックSAR戦略
• ATR トレイリングストップバンド戦略
• スーパートレンドV戦略
• 複数のタイムフレームの下方逆転戦略
• EMAの振動逆転システム戦略
• 複数のバーの方向戦略
• RSIのクロスオーバー戦略
• 増量オーダーサイズ フィボナッチリトレースメント トレンド 戦略をフォロー
• 複数の指標による買取・売却戦略
• オープン・ハイ・クロス・オーバー・トレーディング・戦略
• ダブル・K・クロスボウ戦略
• 相対体指数クロスオーバー戦略