1. 사각형
2. 이동 평균 크로스오버 전략

이동 평균 크로스오버 전략

저자:차오장, 날짜: 2023-10-10 10:44:25
태그:

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/*backtest
start: 2023-10-02 00:00:00
end: 2023-10-09 00:00:00
period: 3m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © gjfsdrtytru

//@version=4
strategy("Backtest Engine", "Backtest", overlay=true, commission_type=strategy.commission.percent, commission_value=0.07, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, currency = currency.USD)


// Start code here...
fastMA = sma(close,50)
slowMA = sma(close,200)

plot(fastMA, "Fast MA",  color.blue)
plot(slowMA, "Slow MA",  color.red)

// Long Enrty/Exit
longCondition = crossover(fastMA,slowMA)
closeLong = crossover(slowMA,fastMA)

// Short Enrty/Exit
shortCondition = crossover(slowMA,fastMA)
closeShort = crossover(fastMA,slowMA)


// Bot web-link alert - {{strategy.order.comment}}
botLONG = "ENTRY LONG ALERT"
botCLOSELONG = "CLOSE LONG ALERT"
botSHORT = "ENTRY SHORT ALERT"
botCLOSESHORT = "CLOSE SHORT ALERT"

//////////////////////////////////////////////////////////////////
//////////////////////// BACKTEST ENGINE \\\\\\\\\\\\\\\\\\\\\\\\\
/////////////////// [NO USER INPUT REQUIRED] /////////////////////
//////////////////////////////////////////////////////////////////

// Time period
testStartYear = input(2020, "Backtest Start Year")
testStartMonth = input(5, "Backtest Start Month")
testStartDay = input(11, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

periodLength = input(3650, "Backtest Period (days)", minval=0,tooltip="Days until strategy ends") * 86400000 // convert days into UNIX time
testPeriodStop = testPeriodStart + periodLength

testPeriod() =>
    time >= testPeriodStart and time <= testPeriodStop ? true : false

// Convert Take profit and Stop loss to percentage
longTP = input(title="Long Take Profit (%)", type=input.float, minval=0.0, step=0.1, defval=0) * 0.01 // Set levels with input options
longSL = input(title="Long Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=0) * 0.01 // Set levels with input options
shortTP = input(title="Short Take Profit (%)", type=input.float, minval=0.0, step=0.1, defval=0) * 0.01 // Set levels with input options
shortSL = input(title="Short Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=0) * 0.01 // Set levels with input options

// 0% TP/SL = OFF (a value of 0 turns off TP/SL feature)
longProfitPerc = longTP == 0 ? 1000 : longTP
longStopPerc = longSL == 0 ? 1 : longSL
shortProfitPerc = shortTP == 0 ? 1 : shortTP
shortStopPerc = shortSL == 0 ? 1000 : shortSL

// Determine TP/SL price based on percentage given
longProfitPrice  = strategy.position_avg_price * (1 + longProfitPerc)
longStopPrice  = strategy.position_avg_price * (1 - longStopPerc)
shortProfitPrice  = strategy.position_avg_price * (1 - shortProfitPerc)
shortStopPrice  = strategy.position_avg_price * (1 + shortStopPerc)

// Anti-overlap
isEntry_Long = false
isEntry_Long := nz(isEntry_Long[1], false)
isExit_Long = false
isExit_Long := nz(isExit_Long[1], false)
isEntry_Short = false
isEntry_Short := nz(isEntry_Short[1], false)
isExit_Short = false
isExit_Short := nz(isExit_Short[1], false)

entryLong = not isEntry_Long and longCondition
exitLong = not isExit_Long and closeLong
entryShort = not isEntry_Short and  shortCondition
exitShort = not isExit_Short and closeShort

if (entryLong)
    isEntry_Long := true
    isExit_Long := false
if (exitLong)
    isEntry_Long := false
    isExit_Long := true
if (entryShort)
    isEntry_Short := true
    isExit_Short := false
if (exitShort)
    isEntry_Short := false
    isExit_Short := true

// Order Execution
if testPeriod() 
    if entryLong
        strategy.entry(id="Long", long=true, when = entryLong, comment=botLONG) // {{strategy.order.comment}}
    if entryShort
        strategy.entry(id="Short", long=false, when = entryShort, comment=botSHORT) // {{strategy.order.comment}}


// TP/SL Execution
if (strategy.position_size > 0)
    strategy.exit(id="Long SL/TP", from_entry="Long", limit=longProfitPrice, stop=longStopPrice)
    strategy.close(id="Long", when=exitLong, comment=botCLOSELONG) // {{strategy.order.comment}}

if (strategy.position_size < 0)
    strategy.exit(id="Short TP/SL", from_entry="Short", limit=shortProfitPrice, stop=shortStopPrice)
    strategy.close(id="Short", when=exitShort, comment=botCLOSESHORT) // {{strategy.order.comment}}
    
// Draw Entry, TP and SL Levels for Long Positions
plot(strategy.position_size > 0 ? longTP == 0 ? na : longProfitPrice : na, style=plot.style_linebr, color=color.green, title="Long TP")
plot(strategy.position_size > 0 ? strategy.position_avg_price : na, style=plot.style_linebr, color=color.blue, title="Long Entry")
plot(strategy.position_size > 0 ? longSL == 0 ? na : longStopPrice : na, style=plot.style_linebr, color=color.red, title="Long SL")
// Draw Entry, TP and SL Levels for Short Positions
plot(strategy.position_size < 0 ? shortTP == 0 ? na : shortProfitPrice : na, style=plot.style_linebr, color=color.green, title="Short TP")
plot(strategy.position_size < 0 ? strategy.position_avg_price : na, style=plot.style_linebr, color=color.blue, title="Short Entry")
plot(strategy.position_size < 0 ? shortSL == 0 ? na : shortStopPrice : na, style=plot.style_linebr, color=color.red, title="Short SL")

---

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