ダイナミックストップロスとフィルターを組み合わせたデュアル移動平均トレンドキャプチャ戦略

/*backtest
start: 2024-06-30 00:00:00
end: 2024-07-30 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Moving Average Breakout with Filter and Dynamic Stop Loss", overlay=true)

// Параметры
maLength = input.int(14, "MA Length")
maType = input.string("SMA", "MA Type", options=["SMA", "EMA", "WMA"])
takeProfitPercent = input.float(1.0, "Take Profit (%)", step=0.1)
filterMaLength = input.int(50, "Filter MA Length")
filterMaType = input.string("SMA", "Filter MA Type", options=["SMA", "EMA", "WMA"])
useDynamicStopLoss = input.bool(false, "Use Dynamic Stop Loss")
dynamicStopLossPercent = input.float(1.0, "Dynamic Stop Loss (%)", step=0.1)

// Выбор типа основной скользящей средней
float ma = na
switch maType
    "SMA" => ma := ta.sma(close, maLength)
    "EMA" => ma := ta.ema(close, maLength)
    "WMA" => ma := ta.wma(close, maLength)

// Выбор типа скользящей средней фильтра
float filterMa = na
switch filterMaType
    "SMA" => filterMa := ta.sma(close, filterMaLength)
    "EMA" => filterMa := ta.ema(close, filterMaLength)
    "WMA" => filterMa := ta.wma(close, filterMaLength)

// Построение скользящих средних
plot(ma, color=color.blue, linewidth=2, title="Moving Average")
plot(filterMa, color=color.orange, linewidth=2, title="Filter Moving Average")

// Логика открытия позиций
longCondition = ta.crossover(close, ma) and close > filterMa
shortCondition = ta.crossunder(close, ma) and close < filterMa

var bool inPosition = false
var float entryPrice = na
var float takeProfitLevel = na
var float stopLossLevel = na

if (longCondition and not inPosition and strategy.position_size == 0)
    entryPrice := close
    takeProfitLevel := close * (1 + takeProfitPercent / 100)
    if (useDynamicStopLoss)
        stopLossLevel := close * (1 - dynamicStopLossPercent / 100)
    else
        stopLossLevel := low[1]
    strategy.entry("Long", strategy.long)
    strategy.exit("Take Profit/Stop Loss", from_entry="Long", limit=takeProfitLevel, stop=stopLossLevel)
    // line.new(bar_index, entryPrice, bar_index + 1, entryPrice, color=color.blue, width=2)
    // line.new(bar_index, takeProfitLevel, bar_index + 1, takeProfitLevel, color=color.green, width=2, style=line.style_dashed)
    // line.new(bar_index, stopLossLevel, bar_index + 1, stopLossLevel, color=color.red, width=2, style=line.style_dashed)
    inPosition := true

if (shortCondition and not inPosition and strategy.position_size == 0)
    entryPrice := close
    takeProfitLevel := close * (1 - takeProfitPercent / 100)
    if (useDynamicStopLoss)
        stopLossLevel := close * (1 + dynamicStopLossPercent / 100)
    else
        stopLossLevel := high[1]
    strategy.entry("Short", strategy.short)
    strategy.exit("Take Profit/Stop Loss", from_entry="Short", limit=takeProfitLevel, stop=stopLossLevel)
    // line.new(bar_index, entryPrice, bar_index + 1, entryPrice, color=color.blue, width=2)
    // line.new(bar_index, takeProfitLevel, bar_index + 1, takeProfitLevel, color=color.green, width=2, style=line.style_dashed)
    // line.new(bar_index, stopLossLevel, bar_index + 1, stopLossLevel, color=color.red, width=2, style=line.style_dashed)
    inPosition := true

// Проверка закрытия позиции по тейк-профиту или стоп-лоссу
if (strategy.position_size == 0)
    inPosition := false

// Отображение текущих линий стоп-лосса и тейк-профита
// if (strategy.position_size > 0)
    // line.new(bar_index[1], takeProfitLevel, bar_index, takeProfitLevel, color=color.green, width=2, style=line.style_dashed)
    // line.new(bar_index[1], stopLossLevel, bar_index, stopLossLevel, color=color.red, width=2, style=line.style_dashed)
    // line.new(bar_index[1], entryPrice, bar_index, entryPrice, color=color.blue, width=2)

// if (strategy.position_size < 0)
    // line.new(bar_index[1], takeProfitLevel, bar_index, takeProfitLevel, color=color.green, width=2, style=line.style_dashed)
    // line.new(bar_index[1], stopLossLevel, bar_index, stopLossLevel, color=color.red, width=2, style=line.style_dashed)
    // line.new(bar_index[1], entryPrice, bar_index, entryPrice, color=color.blue, width=2)