Стратегия комбинирования полос Боллинджера и индикатора RSI

/*backtest
start: 2023-09-24 00:00:00
end: 2023-10-24 00:00:00
period: 2h
basePeriod: 15m
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/
// © evillalobos1123

//@version=5
strategy("Villa Dinamic Pivot Supertrend Strategy", overlay=true, calc_on_every_tick = true, default_qty_type = strategy.fixed)

//INPUTS

ema_b = input.bool(false, "Use Simple EMA Filter", group = "Strategy Inputs")
ema_b_ang = input.bool(true, "Use DEMA Angle Filter", group = "Strategy Inputs")
dema_b = input.bool(true, "Use DEMA Filter", group = "Strategy Inputs")
st_sig = input.bool(false, "Take Every Supertrend Signal" , group = "Strategy Inputs")
take_p = input.bool(true, "Stop Loss at Supertrend", group = "Strategy Inputs")
din_tp = input.bool(false, "2 Steps Take Profit", group = "Strategy Inputs")
move_sl = input.bool(true, "Move SL", group = "Strategy Inputs")
sl_atr = input.float(2.5, "Stop Loss ATR Multiplier", group = "Strategy Inputs")
tp_atr = input.float(4, "Take Profit ATR Multiplier", group = "Strategy Inputs")
din_tp_qty = input.int(50, "2 Steps TP qty%", group = "Strategy Inputs")
dema_a_filter = input.float(0, "DEMA Angle Threshold (+ & -)", group = "Strategy Inputs")
dema_a_look = input.int(1, "DEMA Angle Lookback", group = "Strategy Inputs")
dr_test = input.string("Backtest", "Testing", options = ["Backtest", "Forwardtest", "All"], group = "Strategy Inputs")

not_in_trade = strategy.position_size == 0

//Backtesting date range

start_year = input.int(2021, "Backtesting start year", group = "BT Date Range")
start_month = input.int(1, "Backtesting start month", group = "BT Date Range")
start_date = input.int(1, "Backtesting start day", group = "BT Date Range")
end_year = input.int(2021, "Backtesting end year", group = "BT Date Range")
end_month = input.int(12, "Backtesting end month", group = "BT Date Range")
end_date = input.int(31, "Backtesting end day", group = "BT Date Range")

bt_date_range = (time >= timestamp(syminfo.timezone, start_year,
         start_month, start_date, 0, 0)) and
     (time < timestamp(syminfo.timezone, end_year, end_month, end_date, 0, 0))
     

//Forward testing date range

start_year_f = input.int(2022, "Forwardtesting start year", group = "FT Date Range")
start_month_f = input.int(1, "Forwardtesting start month", group = "FT Date Range")
start_date_f = input.int(1, "Forwardtesting start day", group = "FT Date Range")
end_year_f = input.int(2022, "Forwardtesting end year", group = "FT Date Range")
end_month_f = input.int(03, "Forwardtesting end month", group = "FT Date Range")
end_date_f = input.int(26, "Forwardtesting end day", group = "FT Date Range")

ft_date_range = (time >= timestamp(syminfo.timezone, start_year_f,
         start_month_f, start_date_f, 0, 0)) and
     (time < timestamp(syminfo.timezone, end_year_f, end_month_f, end_date_f, 0, 0))


//date condition
date_range_cond = if dr_test == "Backtest"
    bt_date_range
else if dr_test == "Forwardtest"
    ft_date_range
else
    true
    

//INDICATORS

//PIVOT SUPERTREND
prd = input.int(2, "PVT ST Pivot Point Period", group = "Pivot Supertrend")
Factor=input.float(3, "PVT ST ATR Factor", group = "Pivot Supertrend")
Pd=input.int(9 ,  "PVT ST ATR Period", group = "Pivot Supertrend")

// get Pivot High/Low
float ph = ta.pivothigh(prd, prd)
float pl = ta.pivotlow(prd, prd)

// calculate the Center line using pivot points
var float center = na
float lastpp = ph ? ph : pl ? pl : na
if lastpp
    if na(center)
        center := lastpp
    else
        //weighted calculation
        center := (center * 2 + lastpp) / 3

// upper/lower bands calculation
Up = center - (Factor * ta.atr(Pd))
Dn = center + (Factor * ta.atr(Pd))

// get the trend
float TUp = na
float TDown = na
Trend = 0
TUp := close[1] > TUp[1] ? math.max(Up, TUp[1]) : Up
TDown := close[1] < TDown[1] ? math.min(Dn, TDown[1]) : Dn
Trend := close > TDown[1] ? 1: close < TUp[1]? -1: nz(Trend[1], 1)
Trailingsl = Trend == 1 ? TUp : TDown

// check and plot the signals
bsignal = Trend == 1 and Trend[1] == -1
ssignal = Trend == -1 and Trend[1] == 1

//get S/R levels using Pivot Points
float resistance = na
float support = na
support := pl ? pl : support[1]
resistance := ph ? ph : resistance[1]

//DEMA

dema_ln = input.int(200, "DEMA Len", group = 'D-EMAs')
dema_src = input.source(close, "D-EMAs Source", group = 'D-EMAs')
ema_fd = ta.ema(dema_src, dema_ln)
dema = (2*ema_fd)-(ta.ema(ema_fd,dema_ln))

//EMA

ema1_l = input.int(21, "EMA 1 Len", group = 'D-EMAs')
ema2_l = input.int(50, "EMA 2 Len", group = 'D-EMAs')
ema3_l = input.int(200, "EMA 3 Len", group = 'D-EMAs')

ema1 = ta.ema(dema_src, ema1_l)
ema2 = ta.ema(dema_src, ema2_l)
ema3 = ta.ema(dema_src, ema3_l)

//Supertrend
Periods = input.int(21, "ST ATR Period", group = "Normal Supertrend")
src_st = input.source(hl2, "ST Supertrend Source", group = "Normal Supertrend")
Multiplier = input.float(2.0 , "ST ATR Multiplier", group = "Normal Supertrend")
changeATR= true
atr2 = ta.sma(ta.tr, Periods)
atr3= changeATR ? ta.atr(Periods) : atr2
up=src_st-(Multiplier*atr3)
up1 = nz(up[1],up)
up := close[1] > up1 ? math.max(up,up1) : up
dn=src_st+(Multiplier*atr3)
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
buySignal = trend == 1 and trend[1] == -1
sellSignal = trend == -1 and trend[1] == 1

//ATR

atr = ta.atr(14)

///CONDITIONS

//BUY 
/// ema simple
ema_cond_b = if ema_b
    ema1 > ema2 and ema2 > ema3
else
    true

///ema angle

dema_angle_rad = math.atan((dema - dema[dema_a_look])/0.0001)
dema_angle = dema_angle_rad * (180/math.pi)

dema_ang_cond_b = if ema_b_ang
    if dema_angle >= dema_a_filter
        true
    else
        false
else
    true
    


///ema distance

dema_cond_b = if dema_b
    close > dema
else 
    true
    

//supertrends
///if pivot buy sig or (st buy sig and pivot. trend = 1)

pvt_cond_b = bsignal

st_cond_b = if st_sig
    buySignal and Trend == 1
else
    false

st_entry_cond = pvt_cond_b or st_cond_b

///stop loss tp

sl_b = if take_p
    if trend == 1
        up
    else
        close - (atr * sl_atr)
else
    close - (atr * sl_atr)

tp_b = if take_p
    if trend == 1
        close + ((close - up) * (tp_atr / sl_atr))
    else
        close + (atr * tp_atr)
else
    close + (atr * tp_atr)
    
//position size 
init_cap = strategy.equity
pos_size_b = math.round((init_cap * .01) / (close - sl_b))
ent_price = strategy.opentrades.entry_price(strategy.opentrades - 1)
var sl_b_n = 0.0
var tp_b_n = 0.0
longCondition = (ema_cond_b and dema_cond_b and dema_ang_cond_b and st_entry_cond and date_range_cond and not_in_trade)
if (longCondition)
    
    strategy.entry("Long", strategy.long, qty = pos_size_b)
    sl_b_n := sl_b
    tp_b_n := tp_b
    ent_price := strategy.opentrades.entry_price(strategy.opentrades - 1)

if (up[1] < ent_price and up >= ent_price and trend[0] == 1)
    if din_tp
        strategy.close("Long", qty_percent = din_tp_qty)
    if move_sl
        sl_b_n := ent_price

strategy.exit("Exit", "Long", stop =sl_b_n, limit = tp_b_n)   


    

//sell

///ema simple
ema_cond_s = if ema_b
    ema1 < ema2 and ema2 < ema3
else
    true

//ema distance
dema_cond_s = if dema_b
    close < dema
else 
    true

//dema angle
dema_ang_cond_s = if ema_b_ang
    if dema_angle <= (dema_a_filter * -1)
        true
    else
        false
else
    true

//supertrends
///if pivot buy sig or (st buy sig and pivot. trend = 1)

pvt_cond_s = ssignal

st_cond_s = if st_sig
    sellSignal and Trend == -1
else
    false

st_entry_cond_s = pvt_cond_s or st_cond_s

///stop loss tp


sl_s = if take_p
    if trend == -1
        dn
    else
        close + (atr * sl_atr)
else
    close + (atr * sl_atr)

tp_s = if take_p
    if trend == -1
        close - ((dn - close) * (tp_atr / sl_atr))
    else
        close - (atr * tp_atr)
else
    close - (atr * tp_atr)


shortCondition = (ema_cond_s and dema_cond_s and dema_ang_cond_s and st_entry_cond_s and not_in_trade)

pos_size_s = math.round((init_cap * .01) / (sl_s - close))
var sl_s_n = 0.0
var tp_s_n = 0.0
if (shortCondition)
    strategy.entry("Short", strategy.short, qty = pos_size_s)
    sl_s_n := sl_s
    tp_s_n := tp_s
    
if (dn[1] > ent_price and dn <= ent_price and trend[0] == -1)
    if din_tp
        strategy.close("Short", qty_percent = din_tp_qty)
    if move_sl
        sl_s_n := ent_price

strategy.exit("Exit", "Short", stop = sl_s_n, limit = tp_s_n)