変化率に基づく定量戦略

/*backtest
start: 2022-12-05 00:00:00
end: 2023-12-11 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/
// © gsanson66


//This strategy use the Rate of Change (ROC) of the closing price to send enter signal. 
//@version=5
strategy("RATE OF CHANGE BACKTESTING", shorttitle="ROC BACKTESTING", overlay=false, precision=3, initial_capital=1000, default_qty_type=strategy.cash, default_qty_value=950, commission_type=strategy.commission.percent, commission_value=0.18)


//--------------------------------FUNCTIONS-----------------------------------//

//@function Displays text passed to `txt` when called.
debugLabel(txt, color, loc) =>
    label.new(bar_index, loc, text = txt, color=color, style = label.style_label_lower_right, textcolor = color.black, size = size.small)

//@function which looks if the close date of the current bar falls inside the date range
inBacktestPeriod(start, end) => (time >= start) and (time <= end)


//----------------------------------USER INPUTS----------------------------------//

//Technical parameters
rocLength = input.int(defval=365, minval=0, title='ROC Length', group="Technical parameters")
bubbleValue = input.int(defval=200, minval=0, title="ROC Bubble signal", group="Technical parameters")
//Risk management
stopLossInput = input.float(defval=10, minval=0, title="Stop Loss (in %)", group="Risk Management")
//Money management
fixedRatio = input.int(defval=400, minval=1, title="Fixed Ratio Value ($)", group="Money Management")
increasingOrderAmount = input.int(defval=200, minval=1, title="Increasing Order Amount ($)", group="Money Management")
//Backtesting period
startDate = input(title="Start Date", defval=timestamp("1 Jan 2017 00:00:00"), group="Backtesting Period")
endDate = input(title="End Date", defval=timestamp("1 July 2024 00:00:00"), group="Backtesting Period")


//-------------------------------------VARIABLES INITIALISATION-----------------------------//

roc = (close/close[rocLength] - 1)*100
midlineConst = 0
var bool inBubble = na
bool shortBubbleCondition = na
equity = strategy.equity - strategy.openprofit
strategy.initial_capital = 50000
var float capital_ref = strategy.initial_capital
var float cashOrder = strategy.initial_capital * 0.95
bool inRange = na


//------------------------------CHECKING SOME CONDITIONS ON EACH SCRIPT EXECUTION-------------------------------//

//Checking if the date belong to the range
inRange := true

//Checking if we are in a bubble
if roc > bubbleValue and not inBubble
    inBubble := true

//Checking if the bubble is over
if roc < 0 and inBubble
    inBubble := false

//Checking the condition to short the bubble : The ROC must be above the bubblevalue for at least 1 week
if roc[1]>bubbleValue and roc[2]>bubbleValue and roc[3]>bubbleValue and roc[4]>bubbleValue and roc[5]>bubbleValue and roc[6]>bubbleValue and roc[7]>bubbleValue
    shortBubbleCondition := true

//Checking performances of the strategy
if equity > capital_ref + fixedRatio
    spread = (equity - capital_ref)/fixedRatio
    nb_level = int(spread)
    increasingOrder = nb_level * increasingOrderAmount
    cashOrder := cashOrder + increasingOrder
    capital_ref := capital_ref + nb_level*fixedRatio
if equity < capital_ref - fixedRatio
    spread = (capital_ref - equity)/fixedRatio
    nb_level = int(spread)
    decreasingOrder = nb_level * increasingOrderAmount
    cashOrder := cashOrder - decreasingOrder
    capital_ref := capital_ref - nb_level*fixedRatio

//Checking if we close all trades in case where we exit the backtesting period
if strategy.position_size!=0 and not inRange
    debugLabel("END OF BACKTESTING PERIOD : we close the trade", color=color.rgb(116, 116, 116), loc=roc)
    strategy.close_all()


//-------------------------------LONG/SHORT CONDITION-------------------------------//

//Long condition
//We reduce noise by taking signal only if the last roc value is in the same side as the current one
if (strategy.position_size<=0 and ta.crossover(roc, midlineConst)[1] and roc>0 and inRange)
    //If we were in a short position, we pass to a long position
    qty = cashOrder/close
    strategy.entry("Long", strategy.long, qty)
    stopLoss = close * (1-stopLossInput/100)
    strategy.exit("Long Risk Managment", "Long", stop=stopLoss)

//Short condition
//We take a short position if we are in a bubble and roc is decreasing
if (strategy.position_size>=0 and ta.crossunder(roc, midlineConst)[1] and roc<0 and inRange) or 
     (strategy.position_size>=0 and inBubble and ta.crossunder(roc, bubbleValue) and shortBubbleCondition and inRange)
    //If we were in a long position, we pass to a short position
    qty = cashOrder/close
    strategy.entry("Short", strategy.short, qty)
    stopLoss = close * (1+stopLossInput/100)
    strategy.exit("Short Risk Managment", "Short", stop=stopLoss)


//--------------------------------RISK MANAGEMENT--------------------------------------//

//We manage our risk and change the sense of position after SL is hitten
if strategy.position_size == 0 and inRange
    //We find the direction of the last trade
    id = strategy.closedtrades.entry_id(strategy.closedtrades-1)
    if id == "Short"
        qty = cashOrder/close
        strategy.entry("Long", strategy.long, qty)
        stopLoss = close * (1-stopLossInput/100)
        strategy.exit("Long Risk Managment", "Long", stop=stopLoss)
    else if id =="Long"
        qty = cashOrder/close
        strategy.entry("Short", strategy.short, qty)
        stopLoss = close * (1+stopLossInput/100)
        strategy.exit("Short Risk Managment", "Short", stop=stopLoss)


//---------------------------------PLOTTING ELEMENTS---------------------------------------//

//Plotting of ROC
rocPlot = plot(roc, "ROC", color=#7E57C2)
midline = hline(0, "ROC Middle Band", color=color.new(#787B86, 25))
midLinePlot = plot(0, color = na, editable = false, display = display.none)
fill(rocPlot, midLinePlot, 40, 0, top_color = strategy.position_size>0 ? color.new(color.green, 0) : strategy.position_size<0 ? color.new(color.red, 0) : na, bottom_color = strategy.position_size>0 ? color.new(color.green, 100) : strategy.position_size<0 ? color.new(color.red, 100) : na,  title = "Positive area")
fill(rocPlot, midLinePlot, 0,  -40,  top_color = strategy.position_size<0 ? color.new(color.red, 100) : strategy.position_size>0 ? color.new(color.green, 100) : na, bottom_color = strategy.position_size<0 ? color.new(color.red, 0) : strategy.position_size>0 ? color.new(color.green, 0) : na, title = "Negative area")