価格ブレイクアウトに基づく適応型スイングトレード戦略

/*backtest
start: 2023-11-03 00:00:00
end: 2023-12-03 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// @version = 4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © TradingGroundhog



//  ||---   Cash & Date:
cash_amout = 10000
pyramid_val = 1
cash_given_per_lot = cash_amout/pyramid_val
startDate = input(title="Start Date",defval=13)
startMonth = input(title="Start Month",defval=9)
startYear = input(title="Start Year",defval=2021)
afterStartDate = (time >= timestamp(syminfo.timezone,startYear, startMonth, startDate, 0, 0))
//  ||------------------------------------------------------------------------------------------------------



//  ||---   Strategy:
strategy(title="TradingGroundhog - Strategy & Fractal V1 - Short term", overlay=true, max_bars_back = 4000, max_labels_count=500, commission_type=strategy.commission.percent, commission_value=0.00,default_qty_type=strategy.cash, default_qty_value= cash_given_per_lot, pyramiding=pyramid_val)
//  ||------------------------------------------------------------------------------------------------------



//  ||---   Fractal Recognition:
filterBW = input(true, title="filter Bill Williams Fractals:")
filterFractals = input(true, title="Filter fractals using extreme method:")
length = input(2, title="Extreme Window:")
regulartopfractal = high[4] < high[3] and high[3] < high[2] and high[2] > high[1] and high[1] > high[0]
regularbotfractal = low[4] > low[3] and low[3] > low[2] and low[2] < low[1] and low[1] < low[0]
billwtopfractal = filterBW ? false : (high[4] < high[2] and high[3] < high[2] and high[2] > high[1] and high[2] > high[0] ? true : false)
billwbotfractal = filterBW ? false : (low[4] > low[2] and low[3] > low[2] and low[2] < low[1] and low[2] < low[0] ? true : false)
ftop = filterBW ? regulartopfractal : regulartopfractal or billwtopfractal
fbot = filterBW ? regularbotfractal : regularbotfractal or billwbotfractal
topf = ftop ? high[2] >= highest(high, length) ? true : false : false
botf = fbot ? low[2] <= lowest(low, length) ? true : false : false
filteredtopf = filterFractals ? topf : ftop
filteredbotf = filterFractals ? botf : fbot
//  ||------------------------------------------------------------------------------------------------------



//  ||---   V1 : Added Swing High/Low Option
ShowSwingsHL = input(true)
highswings = filteredtopf == false ? na : valuewhen(filteredtopf == true, high[2], 2) < valuewhen(filteredtopf == true, high[2], 1) and valuewhen(filteredtopf == true, high[2], 1) > valuewhen(filteredtopf == true, high[2], 0)
lowswings = filteredbotf == false ? na : valuewhen(filteredbotf == true, low[2], 2) > valuewhen(filteredbotf == true, low[2], 1) and valuewhen(filteredbotf == true, low[2], 1) < valuewhen(filteredbotf == true, low[2], 0)
//---------------------------------------------------------------------------------------------------------



//  ||---   V2 : Plot Lines based on the fractals.
showchannel = input(true)
//---------------------------------------------------------------------------------------------------------



//  ||---   ZigZag:
showZigZag = input(true)
//----------------------------------------------------------------------------------------------------------



//  ||---   Fractal computation:
istop = filteredtopf ? true : false
isbot = filteredbotf ? true : false
topcount = barssince(istop)
botcount = barssince(isbot)
vamp = input(title="VolumeMA",  defval=2)
vam = sma(volume, vamp)
fractalup = 0.0
fractaldown = 0.0
up = high[3]>high[4] and high[4]>high[5] and high[2]<high[3] and high[1]<high[2] and volume[3]>vam[3]
down = low[3]<low[4] and low[4]<low[5] and low[2]>low[3] and low[1]>low[2] and volume[3]>vam[3]
fractalup :=  up ? high[3] : fractalup[1] 
fractaldown := down ? low[3] : fractaldown[1]
//----------------------------------------------------------------------------------------------------------



//  ||---   Fractal save:
fractaldown_save = array.new_float(0)
for i = 0 to 4000
    if array.size(fractaldown_save) < 3
        if array.size(fractaldown_save) == 0
            array.push(fractaldown_save, fractaldown[i])
        else 
            if fractaldown[i] != array.get(fractaldown_save, array.size(fractaldown_save)-1)
                array.push(fractaldown_save, fractaldown[i])
if array.size(fractaldown_save) < 3
    array.push(fractaldown_save, fractaldown)
    array.push(fractaldown_save, fractaldown)
fractalup_save = array.new_float(0)
for i = 0 to 4000
    if array.size(fractalup_save) < 3
        if array.size(fractalup_save) == 0
            array.push(fractalup_save, fractalup[i])
        else 
            if fractalup[i] != array.get(fractalup_save, array.size(fractalup_save)-1)
                array.push(fractalup_save, fractalup[i])
if array.size(fractalup_save) < 3
    array.push(fractalup_save, fractalup)
    array.push(fractalup_save, fractalup)
Bottom_1 = array.get(fractaldown_save,  0)
Bottom_2 = array.get(fractaldown_save,  1)
Bottom_3 = array.get(fractaldown_save,  2)
Top_1 = array.get(fractalup_save, 0)
Top_2 = array.get(fractalup_save, 1)
Top_3 = array.get(fractalup_save, 2)
//----------------------------------------------------------------------------------------------------------



//  ||---   Fractal Buy Sell Signal:
bool Signal_Test = false
bool Signal_Test_OUT_TEMP = false
var Signal_Test_TEMP = false
longLossPerc = input(title="Long Stop Loss (%)", minval=0.0, step=0.1, defval=0.01) * 0.01
if filteredbotf and open < Bottom_1 and (Bottom_1 - open) / Bottom_1 >= longLossPerc
    Signal_Test := true
if filteredtopf and open > Top_1
    Signal_Test_TEMP := true
if filteredtopf and Signal_Test_TEMP
    Signal_Test_TEMP := false
    Signal_Test_OUT_TEMP := true
//----------------------------------------------------------------------------------------------------------



//  ||---   Plotting:
//plotshape(filteredtopf, style=shape.triangledown, location=location.abovebar, color=color.red, text="•", offset=0)
//plotshape(filteredbotf, style=shape.triangleup, location=location.belowbar, color=color.lime, text="•", offset=0)
//plotshape(ShowSwingsHL ? highswings : na, style=shape.triangledown, location=location.abovebar, color=color.maroon, text="H", offset=0)
//plotshape(ShowSwingsHL ? lowswings : na, style=shape.triangleup, location=location.belowbar, color=color.green, text="L", offset=0)
plot(showchannel ? (filteredtopf ? high[2] : na) : na, color=color.black, offset=0)
plot(showchannel ? (filteredbotf ? low[2] : na) : na, color=color.black, offset=0)
plot(showchannel ? (highswings ? high[2] : na) : na, color=color.black, offset=-2)
plot(showchannel ? (lowswings ? low[2] : na) : na, color=color.black, offset=-2)
plotshape(Signal_Test, style=shape.flag, location=location.belowbar, color=color.yellow, offset=0)
plotshape(Signal_Test_OUT_TEMP, style=shape.flag, location=location.abovebar, color=color.white, offset=0)
//----------------------------------------------------------------------------------------------------------



//  ||---   Buy And Sell:
strategy.entry(id="Long", long=true, when = Signal_Test and afterStartDate)
strategy.close_all(when = Signal_Test_OUT_TEMP and afterStartDate)
//----------------------------------------------------------------------------------------------------------