クロスオーバー移動平均ゴールデンクロスとデスクロス戦略

/*backtest
start: 2022-11-28 00:00:00
end: 2023-12-04 00:00:00
period: 1d
basePeriod: 1h
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/
// © mdeous

//@version=4
strategy(
     title="Ichimoku Kinko Hyo Strategy", 
     shorttitle="Ichimoku Strategy", 
     overlay=true,
     pyramiding=0,
     default_qty_type=strategy.percent_of_equity,
     default_qty_value=100,
     initial_capital=1000,
     currency="USD",
     commission_type=strategy.commission.percent,
     commission_value=0.0
     )

//
// SETTINGS
//

// Ichimoku

int TENKAN_LEN = input(title="Tenkan-Sen Length", defval=9, minval=1, step=1)
int KIJUN_LEN = input(title="Kijun-Sen Length", defval=26, minval=1, step=1)
int SSB_LEN = input(title="Senkou Span B Length", defval=52, minval=1, step=1)
int OFFSET = input(title="Offset For Chikou Span / Kumo", defval=26, minval=1, step=1)

// Strategy

int COOLDOWN = input(title="Orders Cooldown Period", defval=5, minval=0, step=1)
bool USE_CHIKOU = input(title="Use Imperfect Chikou Position Detection", defval=false)

//
// HELPERS
//

color _red = color.red
color _blue = color.blue
color _lime = color.lime
color _fuchsia = color.fuchsia
color _silver = color.silver
color _aqua = color.aqua

f_donchian(_len) => avg(lowest(_len), highest(_len))

//
// ICHIMOKU INDICATOR
//

float tenkan = f_donchian(TENKAN_LEN)
float kijun = f_donchian(KIJUN_LEN)
float ssa = avg(tenkan, kijun)
float ssb = f_donchian(SSB_LEN)

plot(tenkan, title="Tenkan", color=_silver)
plot(close, title="Chikou", offset=-OFFSET+1, color=_aqua)
_ssa = plot(ssa, title="SSA", offset=OFFSET-1, color=_lime)
_ssb = plot(ssb, title="SSB", offset=OFFSET-1, color=_red)
fill(_ssa, _ssb, color=ssa > ssb ? _lime : _fuchsia, transp=90)

//
// STRATEGY
//

// Check if price is "above or below" Chikou (i.e. historic price line):
// This detection is highly imperfect, as it can only know what Chikou position
// was 2*offset candles in the past, therefore if Chikou crossed the price
// line in the last 2*offset periods it won't be detected.
// Use of this detection is disabled by default,

float _chikou_val = close[OFFSET*2+1]
float _last_val = close[OFFSET+1]
bool above_chikou = USE_CHIKOU ? _last_val > _chikou_val : true
bool below_chikou = USE_CHIKOU ? _last_val < _chikou_val : true

// Identify short-term trend with Tenkan

bool _above_tenkan = min(open, close) > tenkan
bool _below_tenkan = max(open, close) < tenkan

// Check price position compared to Kumo

bool _above_kumo = min(open, close) > ssa
bool _below_kumo = max(open, close) < ssb

// Check if Kumo is bullish or bearish

bool bullish_kumo = ssa > ssb
bool bearish_kumo = ssa < ssb

// Correlate indicators to confirm the trend

bool bullish_trend = _above_tenkan and _above_kumo and bullish_kumo
bool bearish_trend = _below_tenkan and _below_kumo and bearish_kumo

// Build signals

bool buy1 = (close > open) and ((close > ssa) and (open < ssa)) // green candle crossing over SSA
bool buy2 = bullish_kumo and bearish_kumo[1] // bullish Kumo twist

bool sell1 = (close < open) and ((close < ssb) and (open > ssb)) // red candle crossing under SSB
bool sell2 = bearish_kumo and bullish_kumo[1] // bearish Kumo twist

bool go_long = below_chikou and (bullish_trend and (buy1 or buy2))
bool exit_long = above_chikou and (bearish_trend and (sell1 or sell2))

//
// COOLDOWN
//

f_cooldown() =>
    _cd_needed = false
    for i = 1 to COOLDOWN by 1
        if go_long[i]
            _cd_needed := true
            break
    _cd_needed

go_long := f_cooldown() ? false : go_long

//
// ORDERS
//

strategy.entry("buy", strategy.long, when=go_long)
strategy.close_all(when=exit_long)

//
// ALERTS
//

alertcondition(
     condition=go_long,
     title="Buy Signal",
     message="{{exchange}}:{{ticker}}: A buy signal for {{strategy.market_position_size}} units has been detected (last close: {{close}})."
     )
alertcondition(
     condition=exit_long,
     title="Sell Signal",
     message="{{exchange}}:{{ticker}}: A sell signal for {{strategy.market_position_size}} units has been detected (last close: {{close}})."
     )