モメントブレイク 移動平均取引戦略
作者: リン・ハーンチャオチャン, 日付: 2023-12-22 13:23:55タグ:
概要
この戦略は,スーパートレンド指標とハイキン・アシのキャンドルスタイクパターンを組み合わせて市場参入のための市場傾向の方向性を特定する.同時に,ストップ・ロストとテイク・プロフィート機能は,利益と損失をロックする戦略に事前に設定されています.
戦略の論理
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スーパートレンドインジケーターを使用して市場のトレンド方向を決定する.インジケーターは平均の真の範囲と上下帯を決定するための指定された倍数値に基づいています.上下帯を突破すると上昇傾向を示し,下下帯を突破すると下降傾向を示します.
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ハイキンアシのキャンドルスタイクパターンと組み合わせてエントリー信号をフィルタリングします.スーパートレンドが上昇傾向を示し,ハイキンアシが上昇傾向を示し,シグナルが下落傾向を示し,ハイキンアシが下落傾向を示し,ショートします.
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ストップ・ロストとテイク・プロフィートのレベルを設定します. ストラテジーは固定パーセント,固定価格,ATRトレーリング,ピボットポイントなどを含む複数のストップ・ロスト方法を提供します. 利益を得る方法には固定パーセント,固定価格,リスク・リターン比などが含まれます.
利点分析
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スーパートレンドインジケーターは,市場の動向を効果的に追跡し,取引機会を逃すことを避ける.
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ハイキン・アシ・フィルターは不要な取引を削減し 勝率を向上させます
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複数のストップ・ロスト・オプションと 利益を取れるオプションは 個人の好みに応じて リスクを効果的に制御します
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新しい信号で既存のポジションを閉じるオプションは,常に最新のトレンドに従うことを保証します.
リスク分析
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スーパートレンドは市場の変化にゆっくり反応し,トレンド逆転点を見逃す可能性があります.
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ハイキン・アシ・パターンのフィルターは 完全に取引を損なうのを 避けることはできません
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誤ったストップ損失設定は,早速終了または過度の損失につながる可能性があります.
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頻繁な再入荷は 取引コストとリスクが高くなります
上記のリスクは,スーパートレンドパラメータを最適化し,他のフィルター指標を組み合わせ,ストップ・ロスト/テイク・プロフィートを強化することで軽減できる.
オプティマイゼーションの方向性
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最高の組み合わせを見つけるためにスーパートレンドパラメータを調整します.
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Supertrend の計算源として異なる価格データを試す.例えば,閉じる価格,典型的な価格など.
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フィルター条件として他の指標を追加します.例えば,KDJ,移動平均等.
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ストップ・ロスを最適化して 利潤を取って 最良のリスク・リターン比を得る
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固定量と自己資本の割合をテストし,ポジションのサイズを決定する.
結論
この戦略は,市場動向を適切に追跡し,タイミングを正しく設定することで,スーパートレンドとハイキン・アシのテクニックを統合し,市場動向から効果的に利益を得ることができる.柔軟なストップ・ロスト/テイク・プロフィートはリスク管理も容易にする.パラメータチューニング,より多くのフィルターと最適化を追加することによって,安定性と収益性のさらなる向上を達成することができる.
/*backtest
start: 2022-12-15 00:00:00
end: 2023-12-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//# * —————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
//# *
//# * Script | [MT Trader] Backtest Template w/ Supertrend Strategy
//# * Description | Small template open source made in pinescript with the purpose of testing
//# * different strategies and how they could be improved
//# *
//# * Author | ©VertMT
//# *
//# * Pinescript | https://www.tradingview.com/pine-script-docs/en/v5/Introduction.html
//# * @version=5
//# *
//# * Revision History
//# * Release | Jul 30, 2022 | Initial Release
//# *
//# *
//# * Reference | https://tradingview.com/script/wzevYXew-TEMPLATE-Code-Block-Comments/
//# *
//# *
//# * ███▄ ▄███▓ ▄▄▄█████▓
//# * ▓██▒▀█▀ ██▒ ▓ ██▒ ▓▒
//# * ▓██ ▓██░ ▒ ▓██░ ▒░
//# * ▒██ ▒██ ░ ▓██▓ ░
//# * ▒██▒ ░██▒ ▒██▒ ░
//# * ░ ▒░ ░ ░ ▒ ░░
//# * ░ ░ ░ ░
//# * ░ ░ ░
//# *
//# * —————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
//@version=5
strategy("[MT Trader] Backtest template w/ SuperTrend Strategy", overlay=true, pyramiding = 0, calc_on_order_fills = false, commission_type = strategy.commission.percent, commission_value = 0.03, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital=100, currency=currency.USD, process_orders_on_close=true, backtest_fill_limits_assumption=0)
// ————————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
// —————————————————————————————————————— 1. 📆 Timeframe 📆 ——————————————————————————————————————————————————————————————
//# * —————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
//# *
//# * In this section you can configure the strategy so that it only runs between 2
//# * time periods, being also able to adjust to any time zone.
//# *
//# * En este apartado se puede configurar la estrategia para que solo se ejecute entre
//# * 2 periodos de tiempo, siendo capaz tambien de ajustarse a cualquier zona horaria.
//# *
// ————————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
dateFilter = input.bool(group='📆 Timeframe 📆', defval=false)
startTime = input(group='📆 Timeframe 📆', defval=timestamp('01 Jan 2022 00:00'), title='Start Time')
endTime = input(group='📆 Timeframe 📆', defval=timestamp('31 Dec 2022 23:45'), title='End Time')
zoneTime = input.string("UTC", options = ["UTC-10", "UTC-8", "UTC-7", "UTC-6", "UTC-5", "UTC-4", "UTC-3", "UTC", "UTC+1", "UTC+2", "UTC+3", "UTC+4", "UTC+4:30", "UTC+5", "UTC+5:30", "UTC+6", "UTC+7", "UTC+8", "UTC+9", "UTC+9:30", "UTC+10", "UTC+11", "UTC+12", "UTC+12:45", "UTC+13"], title='UTC', group='📆 Timeframe 📆', tooltip="Match this time zone with that of your graph so that all values are displayed correctly. \n\nHaga coincidir esta zona horaria con la de su gráfico para que todos los valores se muestren correctamente.")
cTime = timestamp(year(timenow), month(timenow), dayofmonth(timenow), hour(timenow), minute(timenow))
sTime = timestamp(year(startTime), month(startTime), dayofmonth(startTime), hour(startTime), minute(startTime), second(startTime))
eTime = timestamp(year(endTime), month(endTime), dayofmonth(endTime), hour(endTime), minute(endTime), second(endTime))
bgcolor(dateFilter and time == sTime or dateFilter and time == eTime?color.new(color.white, 80):na, title="Date Range")
plotshape(dateFilter and time == sTime, title="Start Time", style=shape.labelup, location=location.belowbar, color=color.white, text="Start", textcolor=color.black, size=size.tiny)
plotshape(dateFilter and time == eTime, title="End Time", style=shape.labelup, location=location.belowbar, color=color.white, text="End", textcolor=color.black, size=size.tiny)
zcTime = zoneTime == "UTC-10" ? cTime - 10*60*60000 : zoneTime == "UTC-8" ? cTime - 8*60*60000 : zoneTime == "UTC-7" ? cTime - 7*60*60000 : zoneTime == "UTC-6" ? cTime - 6*60*60000 : zoneTime == "UTC-5" ? cTime - 5*60*60000 : zoneTime == "UTC-4" ? cTime - 4*60*60000 : zoneTime == "UTC-3" ? cTime - 3*60*60000 : zoneTime == "UTC" ? cTime - 0*60*60000 : zoneTime == "UTC+1" ? cTime + 1*60*60000 : zoneTime == "UTC+2" ? cTime + 2*60*60000 : zoneTime == "UTC+3" ? cTime + 3*60*60000 : zoneTime == "UTC+4" ? cTime + 4*60*60000 : zoneTime == "UTC+4:30" ? cTime + 4*60*60000 + 30*60000 : zoneTime == "UTC+5" ? cTime + 5*60*60000 : zoneTime == "UTC+5" ? cTime + 5*60*60000 + 30*60000 : zoneTime == "UTC+6" ? cTime + 6*60*60000 : zoneTime == "UTC+7" ? cTime + 7*60*60000 : zoneTime == "UTC+8" ? cTime + 8*60*60000 : zoneTime == "UTC+9" ? cTime + 9*60*60000 : zoneTime == "UTC+9" ? cTime + 9*60*60000 + 30*60000 : zoneTime == "UTC+10" ? cTime + 10*60*60000 : zoneTime == "UTC+11" ? cTime + 11*60*60000 : zoneTime == "UTC+12" ? cTime + 12*60*60000 : zoneTime == "UTC+12:45" ? cTime + 12*60*60000 + 45*60000 : zoneTime == "UTC+13" ? cTime + 13*60*60000 : 0
zsTime = zoneTime == "UTC-10" ? sTime - 10*60*60000 : zoneTime == "UTC-8" ? sTime - 8*60*60000 : zoneTime == "UTC-7" ? sTime - 7*60*60000 : zoneTime == "UTC-6" ? sTime - 6*60*60000 : zoneTime == "UTC-5" ? sTime - 5*60*60000 : zoneTime == "UTC-4" ? sTime - 4*60*60000 : zoneTime == "UTC-3" ? sTime - 3*60*60000 : zoneTime == "UTC" ? sTime - 0*60*60000 : zoneTime == "UTC+1" ? sTime + 1*60*60000 : zoneTime == "UTC+2" ? sTime + 2*60*60000 : zoneTime == "UTC+3" ? sTime + 3*60*60000 : zoneTime == "UTC+4" ? sTime + 4*60*60000 : zoneTime == "UTC+4:30" ? sTime + 4*60*60000 + 30*60000 : zoneTime == "UTC+5" ? sTime + 5*60*60000 : zoneTime == "UTC+5" ? sTime + 5*60*60000 + 30*60000 : zoneTime == "UTC+6" ? sTime + 6*60*60000 : zoneTime == "UTC+7" ? sTime + 7*60*60000 : zoneTime == "UTC+8" ? sTime + 8*60*60000 : zoneTime == "UTC+9" ? sTime + 9*60*60000 : zoneTime == "UTC+9" ? sTime + 9*60*60000 + 30*60000 : zoneTime == "UTC+10" ? sTime + 10*60*60000 : zoneTime == "UTC+11" ? sTime + 11*60*60000 : zoneTime == "UTC+12" ? sTime + 12*60*60000 : zoneTime == "UTC+12:45" ? sTime + 12*60*60000 + 45*60000 : zoneTime == "UTC+13" ? sTime + 13*60*60000 : 0
zeTime = zoneTime == "UTC-10" ? eTime - 10*60*60000 : zoneTime == "UTC-8" ? eTime - 8*60*60000 : zoneTime == "UTC-7" ? eTime - 7*60*60000 : zoneTime == "UTC-6" ? eTime - 6*60*60000 : zoneTime == "UTC-5" ? eTime - 5*60*60000 : zoneTime == "UTC-4" ? eTime - 4*60*60000 : zoneTime == "UTC-3" ? eTime - 3*60*60000 : zoneTime == "UTC" ? eTime - 0*60*60000 : zoneTime == "UTC+1" ? eTime + 1*60*60000 : zoneTime == "UTC+2" ? eTime + 2*60*60000 : zoneTime == "UTC+3" ? eTime + 3*60*60000 : zoneTime == "UTC+4" ? eTime + 4*60*60000 : zoneTime == "UTC+4:30" ? eTime + 4*60*60000 + 30*60000 : zoneTime == "UTC+5" ? eTime + 5*60*60000 : zoneTime == "UTC+5" ? eTime + 5*60*60000 + 30*60000 : zoneTime == "UTC+6" ? eTime + 6*60*60000 : zoneTime == "UTC+7" ? eTime + 7*60*60000 : zoneTime == "UTC+8" ? eTime + 8*60*60000 : zoneTime == "UTC+9" ? eTime + 9*60*60000 : zoneTime == "UTC+9" ? eTime + 9*60*60000 + 30*60000 : zoneTime == "UTC+10" ? eTime + 10*60*60000 : zoneTime == "UTC+11" ? eTime + 11*60*60000 : zoneTime == "UTC+12" ? eTime + 12*60*60000 : zoneTime == "UTC+12:45" ? eTime + 12*60*60000 + 45*60000 : zoneTime == "UTC+13" ? eTime + 13*60*60000 : 0
tradeDateIsAllowed() =>
dateFilter ? time >= sTime and time <= eTime : true
dateRange = tradeDateIsAllowed()
// ————————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
// —————————————————————————————————————— 2. 🔰 Strategy 🔰 ———————————————————————————————————————————————————————————————
//# * —————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
//# *
//# * Here are located the options that you can use in this strategy.
//# *
//# * Aqui se encuentran ubicados las opciones que puedes utilizar en esta estrategia.
//# *
//# *
//# * Heikin Ashi | https://tradingview.com/script/U1QGgSOw-Heikin-Ashi-Source-Function-HTF/
//# *
// ————————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
superTrend = input.bool(group='🔰 Strategy 🔰', defval=true, title="Supertrend")
closeNewEntry = input.bool(group='🔰 Strategy 🔰', defval=true, title="Close Position on New Entry", tooltip="When it is active and a new alert is fired, the current position is closed to open a new one, otherwise, the operations only close when reach sl/tp \n\nCuando está activa y una nueva alerta es disparada se cierra la posicion actual para abrir una nueva, en caso contrario las operaciones solo se cierran al tocar sl/tp")
heikinPrice = input.bool(group='🔰 Strategy 🔰', defval=false, title="Heikin Ashi Entry", tooltip="When activated, entries will be based on Heikin Ashi candles but executed at Japanese candles prices. Disable the border of the candles from chart settings for a better experience. \n\nCuando se active, las entradas se basarán en velas heikin ashi pero se ejecutarán a precios de velas japonesas. Deshabilite el borde de las velas desde la configuración del gráfico para una mejor experiencia.")
// —————————————————————————————————————— 1. Heikin Ashi Entry —————————————————————————————————————————————————————————————————
heikin(_src) =>
Close = not heikinPrice ? close : ohlc4
Open = float(na)
Open := not heikinPrice ? open : na(Open[1]) ? (open + close) / 2 : (nz(Open[1]) + nz(Close[1])) / 2
High = not heikinPrice ? high : math.max(high, math.max(Open, Close))
Low = not heikinPrice ? low : math.min(low, math.min(Open, Close))
HL2 = not heikinPrice ? hl2 : math.avg(High, Low)
HLC3 = not heikinPrice ? hlc3 : math.avg(High, Low, Close)
OHLC4 = not heikinPrice ? ohlc4 : math.avg(Open, High, Low, Close)
HLCC4 = not heikinPrice ? ohlc4 : math.avg(High, Low, Close, Close)
Price = _src == 'close' ? Close : _src == 'open' ? Open : _src == 'high' ? High : _src == 'low' ? Low : _src == 'hl2' ? HL2 : _src == 'hlc3' ? HLC3 : _src == 'ohlc4' ? OHLC4 : HLCC4
Source = math.round(Price / syminfo.mintick) * syminfo.mintick
heikinColor = heikin('close') > heikin('open') ? #26a69a : #ef5350
plotcandle(heikin('open'), heikin('high'), heikin('low'), heikin('close'), title="Heikin Ashi", color=heikinColor, wickcolor=heikinColor, bordercolor=heikinColor)
barcolor(color=color.new(heikinPrice ? heikinColor:na, 100))
Open = heikinPrice ? heikin('open') : open
High = heikinPrice ? heikin('high') : high
Low = heikinPrice ? heikin('low') : low
Close = heikinPrice ? heikin('close') : close
HL2 = heikinPrice ? heikin('hl2') : hl2
HLC3 = heikinPrice ? heikin('hl3') : hlc3
OHLC4 = heikinPrice ? heikin('ohlc4') : ohlc4
HLCC4 = heikinPrice ? heikin('hlcc4') : hlcc4
// ————————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
// —————————————————————————————————————— 2-1. Indicators —————————————————————————————————————————————————————————————————
//# * —————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
//# *
//# * Here are the indicators used for the strategy
//# *
//# * Aqui se encuentran los indicadores usados para la estrategia.
//# *
//# *
//# * Supertrend | https://tradingview.com/script/P5Gu6F8k/
//# *
// ————————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
// —————————————————————————————————————— 1. Supertrend ———————————————————————————————————————————————————————————————————
stPeriods = input(group="Supertrend", title='ATR Period', defval=10)
stSourceX = input(group="Supertrend", title='Source', defval=hl2)
stMultiplier = input.float(group="Supertrend", title='ATR Multiplier', defval=3.0, step=0.1)
stChangeATR = input(group="Supertrend", title='Change ATR Calculation Method ?', defval=false)
showsignals = input(group="Supertrend", title='Plot Supertrend', defval=false)
varip float stSource = 0.0
stSource := stSourceX == close ? Close : stSourceX == open ? Open : stSourceX == high ? High : stSourceX == low ? Low : stSourceX == hl2 ? HL2 : stSourceX == hlc3 ? HLC3 : stSourceX == ohlc4 ? OHLC4 : HLCC4
tr = math.max(High - Low, math.abs(High - Close[1]), math.abs(Low - Close[1])) // The true range and functions that need olhc need to be calculated with the custom olhc values
atr2 = ta.sma(tr, stPeriods) // in lines 117-124 for the heikin ashi entries, otherwise the functions will be calculated with
atr = stChangeATR ? atr2 : ta.rma(tr, stPeriods) // Japanese values and the entries will be in Japanese candlesticks.
up = stSource - stMultiplier * atr
up1 = nz(up[1], up) // El rango verdadero y las funciones que necesitan olhc, necesitan ser calculados con los valores
up := Close[1] > up1 ? math.max(up, up1) : up // olhc personalizados en las líneas 117-124 para las entradas heikin ashi, de lo contrario las
dn = stSource + stMultiplier * atr // funciones serán calculadas con valores japoneses y las entradas estarán en velas japonesas.
dn1 = nz(dn[1], dn)
dn := Close[1] < dn1 ? math.min(dn, dn1) : dn
trend = 1
trend := nz(trend[1], trend)
trend := trend == -1 and Close > dn1 ? 1 : trend == 1 and Close < up1 ? -1 : trend
supertrend = trend == 1 ? true : false //🔵
supertrendBuy = trend == 1 and trend[1] == -1 //🟢
supertrendSell = trend == -1 and trend[1] == 1 //🔴
upPlot = plot(trend == 1 and showsignals ? up : na, title='Supertrend', style=plot.style_linebr, color=color.new(color.green, 0), linewidth=2)
dnPlot = plot(trend != 1 and showsignals ? dn : na, title='Supertrend', style=plot.style_linebr, color=color.new(color.red, 0), linewidth=2)
plotshape(supertrendBuy and showsignals ? up : na, title='Supertrend', style=shape.circle, color=color.new(color.green, 0), location=location.absolute, size=size.tiny)
plotshape(supertrendBuy and showsignals ? up : na, title='Supertrend', style=shape.labelup, color=color.new(color.green, 0), location=location.absolute, text='Buy', textcolor=color.new(color.white, 0))
plotshape(supertrendSell and showsignals ? dn : na, title='Supertrend', style=shape.circle, color=color.new(color.red, 0), location=location.absolute, size=size.tiny)
plotshape(supertrendSell and showsignals ? dn : na, title='Supertrend', style=shape.labeldown, color=color.new(color.red, 0), location=location.absolute, text='Sell', textcolor=color.new(color.white, 0))
mPlot = plot(ohlc4, title='Supertrend', style=plot.style_circles, linewidth=0, color=color.new(color.white, 100))
longFillColor = trend == 1 ? color.green : color.white
shortFillColor = trend == -1 ? color.red : color.white
fill(mPlot, upPlot, title='UpTrend Highligter', color=color.new(longFillColor, 90))
fill(mPlot, dnPlot, title='DownTrend Highligter', color=color.new(shortFillColor, 90))
// ————————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
// —————————————————————————————————————— 3. Stop Loss and Take Profit ————————————————————————————————————————————————————
//# * —————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
//# *
//# * Various options for stop loss and take profit are already pre-programmed to
//# * protect the investment from unexpected market movements.
//# *
//# * Diversas opciones para stop loss y take profit se encuentran ya pre-programadas
//# * para asi proteger la inversion de movimientos innesperados del mercado
//# *
//# *
// ————————————————————————————————————————————————————————————————————————————————————————————————————————————————————————
SL = input.bool( group="🔴 Stop Loss 🔴", title="Use Stop Loss", defval=true)
optionSL = input.string( group="🔴 Stop Loss 🔴", title="Type of Stop", defval="Last High/Low", options = ["Fixed %", "Fixed $", "ATR", "Last High/Low", "Custom"])
fixedPSL = input.float( group="🔴 Stop Loss 🔴", title="Fixed %", defval=1, minval = 0) / 100
fixedESL = input.float( group="🔴 Stop Loss 🔴", title="Fixed $", defval=100, minval = 0)
atrL = input.int( group="🔴 Stop Loss 🔴", title="ATR Lenght", defval=14, minval = 1)
atrM = input.float( group="🔴 Stop Loss 🔴", title="ATR Multiplier", defval=1, minval = 0)
leftBHL = input.int( group="🔴 Stop Loss 🔴", title="Last H/L Left", defval=5, minval = 1)
rightBHL = input.int( group="🔴 Stop Loss 🔴", title="last H/L Right", defval=5, minval = 1)
customSL = input.string( group="🔴 Stop Loss 🔴", title="Custom", defval="Custom", options = ["Custom"])
trailSL = input.bool( group="🔴 Stop Loss 🔴", title="Trailng Stop Loss", defval=false, tooltip="The maximum stop loss price will decrease as the closing price moves further away from the entry price. \n\nEl precio maximo de stop loss ira disminuyendo mientras el precio de cierre se aleje mas del precio de entrada")
TP = input.bool( group="🟢 Take Profit 🟢", title="Use Take Profit", defval=true)
optionTP = input.string( group="🟢 Take Profit 🟢", title="Type of Stop", defval="Ratio 1:#", options = ["Fixed %", "Fixed $", "Ratio 1:#", "Custom"])
fixedPTP = input.float( group="🟢 Take Profit 🟢", title="Fixed %", defval=1, minval = 0) / 100
fixedETP = input.float( group="🟢 Take Profit 🟢", title="Fixed $", defval=100, minval = 0)
ratioTP = input.float( group="🟢 Take Profit 🟢", title="Ratio 1:", defval=1, minval = 0)
customTP = input.string( group="🟢 Take Profit 🟢", title="Custom", defval="Custom", options = ["Custom"])
inOperationB = strategy.position_size > 0 ? true : false
inOperationS = strategy.position_size < 0 ? true : false
inOperation = strategy.position_size != 0 ? true : false
varip float stopLossB = 0
varip float takeProfitB = 0
varip float stopLossS = 0
varip float takeProfitS = 0
varip float entryPrice = 0
varip float entryPriceB = 0
varip float entryPriceS = 0
varip float trailingB = 0
varip float trailingS = 0
buy = superTrend and supertrendBuy //🟢
sell = superTrend and supertrendSell //🔴
// —————————————————————————————————————————— 1. ATR ————————————————————————————————————————————————————————————————————————
atrHigh = ta.rma(ta.tr(true), atrL) * atrM + high
atrLow = low - ta.rma(ta.tr(true), atrL) * atrM
atrHighPlot = plot(atrHigh, title='ATR Sell Stop Loss', color=color.new(color.red, not inOperation and optionSL == "ATR" ? 70 : 100), style=plot.style_stepline)
atrLowPlot = plot(atrLow, title='ATR Buy Stop Loss', color=color.new(color.green, not inOperation and optionSL == "ATR" ? 70 : 100), style=plot.style_stepline)
// —————————————————————————————————————— 2. Pivot Points ———————————————————————————————————————————————————————————————————
mb = leftBHL + rightBHL + 1
highestbars_1 = ta.highestbars(mb)
lowestbars_1 = ta.lowestbars(mb)
iff_1 = highestbars_1 == -leftBHL ? high[leftBHL] : na
iff_2 = lowestbars_1 == -leftBHL ? low[leftBHL] : na
lowest = not na(high[mb]) ? iff_1 : na
highest = not na( low[mb]) ? iff_2 : na
varip float highestHigh = 0
varip float lowestLow = 0
highestHigh := ta.valuewhen(lowest, high[leftBHL], 0)
lowestLow := ta.valuewhen(highest, low[leftBHL], 0)
plotshape(highest, title="Last Low", color=color.new(color.red, optionSL == "Last High/Low" ? 0 : 100), style=shape.triangleup, location=location.belowbar, size=size.tiny, offset=-leftBHL)
plotshape(lowest, title="Last High", color=color.new(color.lime, optionSL == "Last High/Low" ? 0 : 100), style=shape.triangledown, location=location.abovebar, size=size.tiny, offset=-leftBHL)
plot(lowestLow, title='Last Low', color=color.new(color.red, optionSL == "Last High/Low" ? 70 : 100), style=plot.style_stepline)
plot(highestHigh, title='Last High', color=color.new(color.green, optionSL == "Last High/Low" ? 70 : 100), style=plot.style_stepline)
// —————————————————————————————————————— 3. Stop Loss ——————————————————————————————————————————————————————————————————————
calculateSL() =>
varip float stopResult = 0
varip float stop = 0
if optionSL == "Fixed %" and buy
stop := entryPriceB - ( entryPriceB * fixedPSL)
if optionSL == "Fixed %" and sell
stop := entryPriceS + ( entryPriceS * fixedPSL)
if optionSL == "Fixed $" and buy
stop := entryPriceB - fixedESL
if optionSL == "Fixed $" and sell
stop := entryPriceS + fixedESL
if optionSL == "Last High/Low" and buy
stop := lowestLow
if optionSL == "Last High/Low" and sell
stop := highestHigh
if optionSL == "ATR" and buy
stop := atrLow
if optionSL == "ATR" and sell
stop := atrHigh
if optionSL == "Custom" and buy
stop := entryPriceB - ( entryPriceB * fixedPSL)
if optionSL == "Custom" and sell
stop := entryPriceS + ( entryPriceS * fixedPSL)
stopResult := stop
// —————————————————————————————————————— 4. Take Profit ————————————————————————————————————————————————————————————————————
calculateTP() =>
varip float takeResult = 0
varip float take = 0
if optionTP == "Fixed %" and buy
take := entryPriceB + ( entryPriceB * fixedPTP)
if optionTP == "Fixed %" and sell
take := entryPriceS - ( entryPriceS * fixedPTP)
if optionTP == "Fixed $" and buy
take := entryPriceB + fixedETP
if optionTP == "Fixed $" and sell
take := entryPriceS - fixedETP
if optionTP == "Ratio 1:#" and buy
take := entryPriceB + ( trailingB * ratioTP )
if optionTP == "Ratio 1:#" and sell
take := entryPriceS - ( trailingS * ratioTP )
if optionTP == "Custom" and buy
take := entryPriceB + ( entryPriceB * fixedPTP)
if optionTP == "Custom" and sell
take := entryPriceS - ( entryPriceS * fixedPTP)
takeResult := take
// —————————————————————————————————————— 5. BUY ————————————————————————————————————————————————————————————————————————————
if inOperationB and trailSL and not buy
stopLossBNew = close - trailingB
stopLossB := stopLossBNew > stopLossB ? stopLossBNew : stopLossB[1]
strategy.exit("Buy Exit", "Buy", stop=stopLossB, limit=takeProfitB)
if dateRange and buy and (((inOperation and closeNewEntry) or not inOperation))
entryPrice := close
entryPriceB := close
stopLossB := SL ? calculateSL() : na
trailingB := close - stopLossB
takeProfitB := TP ? calculateTP() : na
strategy.entry("Buy", strategy.long, limit=entryPriceB)
strategy.exit("Buy Exit", "Buy", stop=stopLossB, limit=takeProfitB)
if sell and inOperationB and not closeNewEntry
strategy.cancel("Buy")
// —————————————————————————————————————— 6. SELL ———————————————————————————————————————————————————————————————————————————
if inOperationS and trailSL and not sell
stopLossSNew = close + trailingS
stopLossS := stopLossSNew > stopLossS ? stopLossSNew : stopLossS[1]
strategy.exit("Sell Exit", "Sell", stop=stopLossS, limit=takeProfitS)
if dateRange and sell and (((inOperation and closeNewEntry) or not inOperation))
entryPrice := close
entryPriceS := close
stopLossS := SL ? calculateSL() : na
trailingS := stopLossS - close
takeProfitS := TP ? calculateTP() : na
strategy.entry("Sell", strategy.short, limit=entryPriceS)
strategy.exit("Sell Exit", "Sell", stop=stopLossS, limit=takeProfitS)
if sell and inOperationS and not closeNewEntry
strategy.cancel("Sell")
slbp = plot(stopLossB, color=color.new(color.red, inOperationB ? 0 : 100), style=plot.style_linebr, linewidth=3, title="Stop Loss B")
slsp = plot(stopLossS, color=color.new(color.red, inOperationS ? 0 : 100), style=plot.style_linebr, linewidth=3, title="Stop Loss S")
tpbp = plot(takeProfitB, color=color.new(color.green, inOperationB ? 0 : 100), style=plot.style_linebr, linewidth=3, title="Take Profit B")
tpsp = plot(takeProfitS, color=color.new(color.green, inOperationS ? 0 : 100), style=plot.style_linebr, linewidth=3, title="Take Profit S")
epbp = plot(entryPriceB, color=color.new(color.gray, inOperationB ? 50 : 100), style=plot.style_linebr, linewidth=3, title="Entry Price B")
epsp = plot(entryPriceS, color=color.new(color.gray, inOperationS ? 50 : 100), style=plot.style_linebr, linewidth=3, title="Entry Price S")
fill(epbp, slbp, color=color.new(color.red, inOperationB ? 75 : 100))
fill(epbp, tpbp, color=color.new(color.green, inOperationB ? 75 : 100))
fill(epsp, slsp, color=color.new(color.red, inOperationS ? 75 : 100))
fill(epsp, tpsp, color=color.new(color.green, inOperationS ? 75 : 100))
もっと
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- ダイナミックなピラミッド戦略
- YinYang RSI ボリュームトレンド トレーディング戦略
- クアッドMA トレンド スカルパー戦略
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- ゴールデンクロス デッドクロス ダブル移動平均MACDトレンド追跡戦略
- これは実験的な量的な取引戦略です
- 単一移動平均のクロスオーバー ボリンガーバンド戦略
- RSIのブレイクアウト戦略は定量的な取引戦略です
- 移動平均のクロスオーバー戦略は,定量的な取引戦略です.
- スローハイケンアシ 指数関数移動平均取引戦略
- 定量モデルに基づく高性能アルゴリズム取引戦略
- ボリンジャー・モメンタム・ブレイクアウト戦略
- パラボリックSARとEMAのトレンド追跡戦略
- 高低戦略が破綻した
- 低ピラミッドリスク追跡戦略
- TSLA 量的な取引システム 複数の時間枠
- カスタマイズ可能な非リペイント HTF MACD MFI スケーブルボット戦略
- ダブル指数関数移動平均値とALMA戦略
- 定量的な取引価格突破戦略