偏差マトリックストレンドフォロー戦略

/*backtest
start: 2023-01-01 00:00:00
end: 2023-10-14 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("The Matrix 7.0 Strategy", overlay=false)

//Matrix Settings 
entry_size = input(title="Entry Size", defval = 1)
max_size = input(title="Max Size", defval = 10000)
matrix = input(title="Matrix Interval %", defval = 2)
matrix_price_overwrite = input(title="Matrix Overwrite $", defval = 0.0)
adjustment = input(title="Adjustment Size", defval = 1000)
trade_short = input(title="Trade Short", type=bool, defval = true)

//RSI Settings
periods = input(title="RSI Periods", defval = 14)
overbought_short = input(title="RSI Overbought", defval = 65)
oversold_short = input(title="RSI Oversold", defval = 30)

//RSI Trend Settings
resolution_long = input(title="Resolution Trend", defval = "D")
periods_long = input(title="RSI Trend Periods", defval = 14)
overbought_long = input(title="RSI Trend Overbought", defval = 64)
oversold_long = input(title="RSI Trend Oversold", defval = 30)

//Round Off to 2 decimals
round2(x) =>
    a = x * 10 * 10
    a := floor(a + 0.5)
    a := a / 10 / 10
    a

//RSI Function
RSI = rsi(close, periods)

//RSI Market Function
rsi_oversold = RSI < oversold_short
rsi_overbought = RSI > overbought_short

market_rsi = 0.0
market_rsi := if (rsi_oversold)
    RSI - oversold_short
else
    if (rsi_overbought)
        RSI - overbought_short
    else
        0

//RSI Trend Function
rsi_long = request.security(syminfo.tickerid,resolution_long,rsi(close,periods_long))
trend_rsi_long = rsi_long < oversold_long
trend_rsi_short = rsi_long > overbought_long
trend_rsi = 0
trend_rsi := if (trend_rsi_short)
    -1
else
    if (trend_rsi_long)
        1
    else
        trend_rsi[1] 

// // Shorter time resolution to make "close" crosses give faster positives.
// short_resolution = security(tickerid, "1", close)
// quick = round2(short_resolution) //ROUND OFF TO 2 DECIMAL PLACES.

//Declare Other Variables
entry_price = 0.0
entry_price := nz(entry_price[1])

position_size = 0.0
position_size := nz(position_size[1])

last_traded_price = 0.0
last_traded_price := nz(last_traded_price[1])


matrix_price = 0.0
if matrix_price_overwrite > 0.0
    matrix_price := matrix_price_overwrite
else
    matrix_price := round2((matrix/100) * entry_price)

level = 0
level := nz(level[1])

level_price = entry_price
if not na(level_price[1])
    level_price := level_price[1]

// Calculate Level
if close > level_price 
    level_change = floor((high - level_price)/matrix_price)
    level := level + level_change
else
    if close < level_price 
        level_change = ceil((low - level_price)/matrix_price)
        level := level + level_change
        
// Calculate Level Price   
level_price := (level * matrix_price) + entry_price

// Calculate Matrix Position
matrix_position = 0.0

if position_size > 0
    matrix_position :=  ((-1 * level) * adjustment) + entry_size
else
    if position_size < 0
        matrix_position :=  ((-1 * level) * adjustment) - entry_size
    
//Trend Entry or Reversal Conditions
trend_reversal_up = trend_rsi == 1 and (trend_rsi[1] == -1 or trend_rsi == 0) and position_size <= 0
trend_reversal_down = trend_rsi == -1 and (trend_rsi[1] == 1 or trend_rsi == 0) and position_size >= 0 and trade_short == true
flatten_position = trend_rsi == -1 and (trend_rsi[1] == 1 or trend_rsi == 0) and position_size >= 0 and trade_short == false

//Reset Conditions
reset_long = (position_size > 0) and (close - entry_price > matrix_price) and (market_rsi < 0) and (position_size != entry_size) 
reset_short = (position_size < 0) and (entry_price - close > matrix_price) and (market_rsi > 0) and (position_size != (-1 * entry_size)) 

//Adjustment Conditions
increase_long = (position_size > 0) and (matrix_position > position_size) and (market_rsi < 0) and (matrix_position <= max_size) 
decrease_long = (position_size > 0) and (matrix_position < position_size) and (market_rsi > 0) 
increase_short = (position_size < 0) and (matrix_position < position_size) and (market_rsi > 0) and (matrix_position >= (-1 * max_size)) 
decrease_short = (position_size < 0) and (matrix_position > position_size) and (market_rsi < 0)  

//Transactions
//Trend Reversals
if trend_reversal_up
    strategy.entry("OL", strategy.long, qty=entry_size)
    position_size := entry_size
    matrix_position := entry_size
    level := 0
else
    if trend_reversal_down 
        strategy.entry("OS", strategy.short, qty=entry_size)
        position_size := -1 * entry_size
        matrix_position := -1 * entry_size   
        level := 0
        
    //Reset Positions    
    else
        if reset_long
            order = entry_size - position_size[1]
            strategy.order("RL", strategy.long, qty=order)
            position_size := entry_size
            matrix_position := entry_size
            level := 0
        else
            if reset_short
                order = position_size[1] - (-1* entry_size)
                strategy.order("RS", strategy.short, qty=order)
                position_size := -1 * entry_size
                matrix_position := -1 * entry_size
                level := 0

    //Position Adjustments
            else    
                if increase_long
                    order = matrix_position - position_size[1]
                    strategy.order("IL", strategy.long, qty=order)
                    position_size := position_size[1] + order
                else
                    if decrease_long
                        order = position_size[1] - matrix_position
                        strategy.order("DL", strategy.short, qty=order)
                        position_size := position_size[1] - order
                    else
                        if increase_short
                            order = position_size[1] - matrix_position
                            strategy.order("IS", strategy.short, qty=order)
                            position_size := position_size[1] - order
                        else
                            if decrease_short
                                order = matrix_position - position_size[1]
                                strategy.order("DS", strategy.long, qty=order)
                                position_size := position_size[1] + order
                            else 
                                if flatten_position
                                    strategy.close_all()
                                    position_size := 0.0
                                    matrix_position := 0.0
                                    level := 0

//Grouped Actions
if trend_reversal_up or trend_reversal_down or reset_short or reset_long
    entry_price := round2(close)
    last_traded_price := round2(close)

if increase_long or decrease_long or increase_short or decrease_short
    last_traded_price := round2(close)

// //RSI Trend & Adjustment Moments. (strategy)
p1 = plot(market_rsi, color = trend_rsi > 0 ? green : red, linewidth = 4, title='Market', transp =0)
p2 = plot(trend_rsi, color = trend_rsi > 0 ? green : red, linewidth = 4, title='Trend', transp = 0)
fill(p1,p2, color=trend_rsi > 0 ? green : red, transp=0)
p3 = plot((rsi_long - 50) *2, color = white, title="Trend Index")
fill(p2,p3, color=white)
hline((overbought_long -50) * 2)
hline((oversold_long -50) * 2)

//Position Plots (strategy)
plot(matrix_position / 100, title='Matrix', color=white, linewidth = 4)
plot(position_size / 100, title='Position', color=blue, linewidth = 4)
plot(strategy.position_size / 100, title='Strategy', color=orange, linewidth = 4)

// //Price Plots (study)
// plot(level_price, title="Matrix Level Price", linewidth=4)
// plot(last_traded_price, title="Last Traded Price", linewidth=2, color=orange)
// plot(entry_price + (4 * matrix_price), title='Adjustment 4', color=white, linewidth = 1)
// plot(entry_price + (3 * matrix_price), title='Adjustment 3', color=white, linewidth = 1)
// plot(entry_price + (2 * matrix_price), title='Adjustment 2', color=white, linewidth = 1)
// plot(entry_price + matrix_price, title='Adjustment 1', color=white, linewidth = 1)
// plot(entry_price, title='Entry Price', color=white, linewidth = 3)
// plot(entry_price - matrix_price, title='Adjustment -1', color=white, linewidth = 1)
// plot(entry_price - (2 * matrix_price), title='Adjustment -2', color=white, linewidth = 1)
// plot(entry_price - (3 * matrix_price), title='Adjustment -3', color=white, linewidth = 1)
// plot(entry_price - (4 * matrix_price), title='Adjustment -4', color=white, linewidth = 1)


// //Alerts (study only)
// alertcondition(trend_reversal_up, title='Trend Reversal Up', message='Market Oversold, Lets Buy')
// alertcondition(trend_reversal_down, title='Trend Reversal Down', message='Market Overbought, Lets Sell')
// alertcondition(reset_long, title='Reset Long', message='Higher Bottom, Lets Buy')
// alertcondition(reset_short, title='Reset Short', message='Lower Top, Lets Sell')
// alertcondition(increase_long, title='Increase Long', message='Price Dropped, Lets Buy')
// alertcondition(decrease_long, title='Decrease Long', message='Price Spiked, Lets Sell')
// alertcondition(increase_short, title='Increase Short', message='Price Spiked, Lets Sell')
// alertcondition(decrease_short, title='Decrease Short', message='Price Dropped, Lets Buy')

// //Grouped Conditions
// condition_buy = trend_reversal_up or increase_long or decrease_short or reset_long
// condition_sell = trend_reversal_down or decrease_long or increase_short or reset_short
// adjustment_matrix = trend_reversal_up or increase_long or decrease_short or trend_reversal_down or decrease_long or increase_short or reset_long or reset_short

// //Grouped Alerts
// alertcondition(condition_buy, title='Condition Buy', message='You Need to Buy')
// alertcondition(condition_sell, title='Condition Sell', message='You Need to Sell!')
// alertcondition(adjustment_matrix, title='Adjustment Matrix', message='You Need to Adjust')