스톡 슈퍼트르드 ATR 200ma

저자:차오장, 날짜: 2022-05-10 10:53:25
태그:EMA
이 전략은 슈퍼트렌드, 200 EMA, 스토카스틱 및 ATR 스톱 로스 지표를 결합합니다. 구매 조건에서는 스토카스틱이 20 레벨 이하, 가격은 200 Ema 이상, 슈퍼트렌드는 녹색이어야합니다. 판매 조건에서는 반대로해야합니다. 스토카스틱은 80 레벨 이상, 가격은 200 Ema 이하, 슈퍼트렌드는 빨간색이 있어야합니다.
백테스트
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © araamas

//@version=5
strategy("stoch supertrd atr 200ma", overlay=true, shorttitle="STOCH SUPTR ATR MA", process_orders_on_close=true, max_bars_back=5000)
 
ema_condition = input.bool(defval=true, title="ema needed?", tooltip="You can choose whether to include the Ema in the buy and sell conditions")    
atrPeriod = input(10, "ATR Length")
factor = input.float(3.0, "Factor", step = 0.01)

[supertrend, direction] = ta.supertrend(factor, atrPeriod)

// bodyMiddle = plot((open + close) / 2, display=display.none)
// upTrend = plot(direction < 0 ? supertrend : na, "Up Trend", color = color.green, style=plot.style_linebr)
// downTrend = plot(direction < 0? na : supertrend, "Down Trend", color = color.red, style=plot.style_linebr)

period = input.int(defval=200, title="ema period")
ema = ta.ema(close, period)
// plot(ema, title="200 ema", color=color.yellow)

b = input.int(defval=14, title="length k%")
d = input.int(defval=3, title="smoothing k%")
s = input.int(defval=3, title="smoothing d%")
smooth_k = ta.sma(ta.stoch(close, high, low, b), d)
smooth_d = ta.sma(smooth_k, s)

////////////////////////////////////////////////////////////////////////////////
length = input.int(title="Length", defval=12, minval=1)
smoothing = input.string(title="Smoothing", defval="SMA", options=["RMA", "SMA", "EMA", "WMA"])
m = input(1.5, "Multiplier")
src1 = input(high)
src2 = input(low)
pline = input(true, "Show Price Lines")
col1 = input(color.blue, "ATR Text Color")
col2 = input(color.teal, "Low Text Color",inline ="1")
col3 = input(color.red, "High Text Color",inline ="2")

collong = input(color.teal, "Low Line Color",inline ="1")
colshort = input(color.red, "High Line Color",inline ="2")

ma_function(source, length) =>
	if smoothing == "RMA"
		ta.rma(source, length)
	else
		if smoothing == "SMA"
			ta.sma(source, length)
		else
			if smoothing == "EMA"
				ta.ema(source, length)
			else
				ta.wma(source, length)
				
a = ma_function(ta.tr(true), length) * m
x = ma_function(ta.tr(true), length) * m + src1
x2 = src2 - ma_function(ta.tr(true), length) * m

p1 = plot(x, title = "ATR Short Stop Loss", color=color.blue)
p2 = plot(x2, title = "ATR Long Stop Loss", color= color.blue)


///////////////////////////////////////////////////////////////////////////////////////////////

shortCondition = high < ema and direction == 1 and smooth_k > 80 or (ema_condition == false and direction == 1 and smooth_k > 80)
if (shortCondition) and strategy.position_size == 0
    strategy.entry("sell", strategy.short)

longCondition = low > ema and direction == -1 and smooth_k < 20 or (ema_condition == false and direction == -1 and smooth_k < 20)
if (longCondition) and strategy.position_size == 0
    strategy.entry("buy", strategy.long)

x2_val = x2[bar_index - strategy.opentrades.entry_bar_index(0)]
g = (strategy.opentrades.entry_price(0) - x2_val) * 2 // tp for buy

x_val = x[bar_index - strategy.opentrades.entry_bar_index(0)]
k = (x_val - strategy.opentrades.entry_price(0)) * 2 //tp for sell

activate_breakeven_sl_price = strategy.opentrades.entry_price(0) + (strategy.opentrades.entry_price(0) - x2_val) //price to activate sl for buy
sl_breakeven_price_activated = ta.highest(high, strategy.position_size == 0 ? nz(strategy.opentrades.entry_bar_index(0), 1):bar_index - strategy.opentrades.entry_bar_index(0)) > activate_breakeven_sl_price ? true:false //checks if 1:1 ratio has been reached

activate_breakeven_sl_price1 = strategy.opentrades.entry_price(0) - (x_val - strategy.opentrades.entry_price(0)) //price to activate sl for buy
sl_breakeven_price_activated1 = ta.lowest(high, strategy.position_size == 0 ? nz(strategy.opentrades.entry_bar_index(0), 1):bar_index - strategy.opentrades.entry_bar_index(0)) < activate_breakeven_sl_price1 ? true:false //checks if 1:1 ratio has been reached

if strategy.position_size > 0
    strategy.exit(id="buy exit", from_entry="buy",limit=strategy.opentrades.entry_price(0) + g, stop=sl_breakeven_price_activated ? strategy.opentrades.entry_price(0):x2_val) 

if strategy.position_size < 0
    strategy.exit(id="sell exit", from_entry="sell",limit=strategy.opentrades.entry_price(0) - k, stop=sl_breakeven_price_activated1 ? strategy.opentrades.entry_price(0):x_val) 


plot(strategy.position_size > 0 ? strategy.opentrades.entry_price(0) + g:na, color=color.green, style=plot.style_linebr, title="takeprofit line") //to plot tp line for buy
plot(strategy.position_size > 0 and sl_breakeven_price_activated == false ? x2_val:na, color=color.red, style=plot.style_linebr, title="stoploss line") //to plot sl line for buy
plot(sl_breakeven_price_activated and strategy.position_size > 0 ? strategy.opentrades.entry_price(0):na, color=color.maroon, style=plot.style_linebr, linewidth=2, title="stoploss line breakeven") //to plot breakeven sl for buy

plot(strategy.position_size < 0 ? strategy.opentrades.entry_price(0) - k:na, color=color.green, style=plot.style_linebr, title="takeprofit line") //to plot tp line for sell
plot(strategy.position_size < 0 and sl_breakeven_price_activated1 == false ? x_val:na, color=color.red, style=plot.style_linebr, title="stoploss line") //to plot sl line for sell
plot(sl_breakeven_price_activated1 and strategy.position_size < 0 ? strategy.opentrades.entry_price(0):na, color=color.maroon, style=plot.style_linebr, linewidth=2, title="stoploss line breakeven") //to plot breakeven sl for sell