インテリジェントなトレーリングストップロス戦略

/*backtest
start: 2024-01-17 00:00:00
end: 2024-01-24 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Lucid SAR Strategy", shorttitle="Lucid SAR Strategy", overlay=true)

// Full credit to Sawcruhteez, Lucid Investment Strategies LLC and Casey Bowman.
// This is a strategy version of the Lucid SAR indicator created by the above-mentioned parties.
// Original version of the indicator: https://www.tradingview.com/script/OkACQQgL-Lucid-SAR/

// Branded under the name "Lucid SAR" 
// As agreed to with Lucid Investment Strategies LLC on July 9, 2019
// https://lucidinvestmentstrategies.com/


// Created by Casey Bowman on July 4, 2019

// MIT License

// Copyright (c) 2019 Casey Bowman

// Permission is hereby granted, free of charge, to any person obtaining a copy
// of this software and associated documentation files (the "Software"), to deal
// in the Software without restriction, including without limitation the rights
// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
// copies of the Software, and to permit persons to whom the Software is
// furnished to do so, subject to the following conditions:

// The above copyright notice and this permission notice shall be included in all
// copies or substantial portions of the Software.

// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
// SOFTWARE.


AF_initial = input(0.02)
AF_increment = input(0.02)
AF_maximum = input(0.2)


// start with uptrend
uptrend = true
newtrend = false
EP = high
SAR = low
AF = AF_initial

if not na(uptrend[1]) and not na(newtrend[1])
    if uptrend[1]
        EP := max(high, EP[1])
    else
        EP := min(low, EP[1])
    if newtrend[1]
        AF := AF_initial
    else
        if EP != EP[1]
            AF := min(AF_maximum, AF[1] + AF_increment)
        else
            AF := AF[1]
    SAR := SAR[1] + AF * (EP - SAR[1])
    if uptrend[1]
        if newtrend
            SAR := max(high, EP[1])
            EP := min(low, low[1])
        else
            SAR := min(SAR, low[1])
            if not na(low[2])
                SAR := min(SAR, low[2])
            if SAR > low
                uptrend := false
                newtrend := true
                SAR := max(high, EP[1])
                EP := min(low, low[1])
            else
                uptrend := true
                newtrend := false
    else
        if newtrend
            SAR := min(low, EP[1])
            EP := max(high, high[1])
        else
            SAR := max(SAR, high[1])
            if not na(high[2])
                SAR := max(SAR, high[2])
            if SAR < high
                uptrend := true
                newtrend := true
                SAR := min(low, EP[1])
                EP := max(high, high[1])
            else
                uptrend := false
                newtrend := false
            
        

plot(SAR, color = color.blue, style = plot.style_cross, linewidth = 2)

if (uptrend)
    strategy.entry("PBSARLE", strategy.long, comment="PBSARLE")
if (newtrend)
    strategy.entry("PBSARSE", strategy.short, comment="PBSARSE")