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2. Стратегия отслеживания риска с низкой пирамидой

Стратегия отслеживания риска с низкой пирамидой

Автор:Чао Чжан, Дата: 2023-12-22 12:56:36
Тэги:

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/*backtest
start: 2022-12-15 00:00:00
end: 2023-12-21 00:00:00
period: 1d
basePeriod: 1h
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/
// © A3Sh
//@version=5

// Strategy that finds potential lows in the price action and spreads the risk by entering multiple positions at these lows.
// The low is detected based on the difference between MTF RSI and EMA based RSI, Moving Average and MTF Stochastic indicators.
// The size of each next position that is entered is multiplied by the sequential number of the position.
// Each separate position can exit when a specified take profit is triggered and re-open when detecting a new potential low.
// All positions are closed when the price action crosses over the dynamic blue stop level line.

// This strategy combines open-source code developed by fellow Tradingview community members: 
// The Lowfinder code is developed by RafaelZioni
// https://www.tradingview.com/script/GzKq2RVl-Low-finder/
// Both the MTF RSI code and the MTF Stochastic code are adapted from the MTFindicators libary written by Peter_O
// https://www.tradingview.com/script/UUVWSpXR-MTFindicators/

// The Stop Level calculation is inspired by the syminfo-mintick tutorial on Kodify.net
// https://kodify.net/tradingview/info/syminfo-mintick/

strategy("LowFinder_PyraMider", 
         overlay=true, pyramiding=99, 
         precision=2,
         initial_capital=10000, 
         default_qty_type=strategy.percent_of_equity, 
         default_qty_value=10,
         commission_type=strategy.commission.percent, 
         commission_value=0.06,
         slippage=1
         )


// Backtest Window
start_time   = input(defval=timestamp("01 April 2021 20:00"), group = "Backtest Window", title="Start Time")
end_time     = input(defval=timestamp("01 Aug 2030 20:00"),   group = "Backtest Window", title="End Time")
window() => true


// Inputs
portfolio_size  = input.float  (100,         group = 'Risk - Portfolio',       title = 'Portfolio %', step=1.0) / 100
leverage        = input.int    (1,           group = 'Risk - Portfolio',       title = 'Leverage', minval = 1)
q_mode          = input.string ('multiply',  group = 'Risk - Order Size',      title = 'Order Size Mode', options = ['base', 'multiply'], tooltip = 'Base mode: the base quantiy for each sequential order. Multiply mode: each quantity is multiplied by order number')
q_mode_m        = input.int    (1,           group = 'Risk - Order Size',      title = 'Order Size Divider (Multiply Mode)',  tooltip = 'Divide Multiply by this number to lower the sequential order sizes')
fixed_q         = input.bool   (false,       group = 'Risk - Order Size',      title = 'Fixed Order Size',     inline = '01', tooltip = 'Use with caution! Overrides all Risk calculations')
amount_q        = input.float  (1,           group = 'Risk - Order Size',      title = '. . Base Currency:',   inline = '01')
sl_on           = input.bool   (false,       group = 'Risk - Stop Loss',       title = 'StopLoss of',          inline = '03')
stopLoss        = input.float  (1.5,         group = 'Risk - Stop Loss',       title = '',   step=0.1,         inline = '03') / 100
sl_mode         = input.string ('equity',    group = 'Risk - Stop Loss',       title = '% of',  options = ['avg_price', 'equity'], inline = '03')
stop_len        = input.int    (100,         group = 'Risk - Stop Level',      title = 'Stop Level Length', tooltip = 'Lookback most recent highest high')
stop_deviation  = input.float  (0.3,         group = 'Risk - Stop Level',      title = 'Deviatation % above Stop Level', step=0.1) / 100
cond2_toggle    = input.bool   (true ,       group = 'Risk - Take Profit',     title = 'Take Profit/Trailing Stop', inline = '04')
tp_all          = input.float  (1.0,         group = 'Risk - Take Profit',     title = '..........%', step=0.1,     inline = '04') / 100
tp_on           = input.bool   (true,        group = 'Risk - Take Profit',     title = 'Exit Crossover Take Profit and .....', inline = '02')
exit_mode       = input.string ('stoplevel', group = 'Risk - Take Profit',     title = '',   options = ['close', 'stoplevel'], inline = '02')
takeProfit      = input.float  (10.0,        group = 'Risk - Take Profit',     title = 'Take Profit % per Order', tooltip = 'Each separate order exits when hit', step=0.1)
posCount        = input.int    (12,          group = 'Pyramiding Settings',    title = 'Max Number of Orders')
next_entry      = input.float  (0.2,         group = 'Pyramiding Settings',    title = 'Next Order % below Avg. Price', step=0.1)
oa_lookback     = input.int    (0,           group = 'Pyramiding Settings',    title = 'Next Order after X candles', tooltip = 'Prevents opening too much orders in a Row')
len_rsi         = input.int    (5,           group = 'MTF LowFinder Settings', title = 'Lookback of RSI')
mtf_rsi         = input.int    (1,           group = 'MTF LowFinder Settings', title = 'Higher TimeFrame Multiplier RSI',  tooltip='Multiplies the current timeframe by specified value')
ma_length       = input.int    (26,          group = 'MTF LowFinder Settings', title = 'MA Length / Sensitivity')
new_entry       = input.float  (0.1,         group = 'MTF LowFinder Settings', title = 'First Order % below Low',step=0.1, tooltip = 'Open % lower then the found low')/100
ma_signal       = input.int    (100,         group = 'Moving Average Filter',  title = 'Moving Average Length')
periodK         = input.int    (14,          group = 'MTF Stochastic Filter',  title = 'K',      minval=1)
periodD         = input.int    (3,           group = 'MTF Stochastic Filter',  title = 'D',      minval=1)
smoothK         = input.int    (3,           group = 'MTF Stochastic Filter',  title = 'Smooth', minval=1)
lower           = input.int    (30,          group = 'MTF Stochastic Filter',  title = 'MTF Stoch Filter (above gets filtered)')
mtf_stoch       = input.int    (10,          group = 'MTF Stochastic Filter',  title = 'Higher TimeFrame Multiplier', tooltip='Multiplies the current timeframe by specified value')
avg_on          = input.bool   (true,        group = 'Plots',                  title = 'Plot Average Price')
plot_ma         = input.bool   (false,       group = 'Plots',                  title = 'Plot Moving Average')
plot_ts         = input.bool   (false,       group = 'Plots',                  title = 'Plot Trailing Stop Level')


// variables //
var entry_price     = 0.0    // The entry price of the first entry
var previous_entry  = 0.0    // Stores the price of the previous entry
var iq              = 0.0    // Inititial order quantity before risk calculation
var nq              = 0.0    // Updated new quantity after the loop
var oq              = 0.0    // Old quantity at the beginning or the loop
var q               = 0.0    // Final calculated quantity used as base order size
var int order_after = 0



// Order size calaculations // 

// Order size based on max amount of pyramiding orders or fixed by user input ///
// Order size calculation based on 'base' mode or ' multiply' mode //
if fixed_q
    q := amount_q
else if q_mode == 'multiply'
    iq := (math.abs(strategy.equity * portfolio_size  / posCount) / open) * leverage
    oq := iq
    for i = 0 to posCount
        nq := oq + (iq * ( i/ q_mode_m + 1))
        oq := nq 
    q := (iq  * posCount /  oq) * iq

else
    q := (math.abs(strategy.equity * portfolio_size  / posCount) / open) * leverage

// Function to calcaulate final order size based on order size modes and round the result with 1 decimal //
quantity_mode(index,string q_mode) =>
    q_mode == 'base' ? math.round(q,1) : q_mode == 'multiply' ? math.round(q * (index/q_mode_m  + 1),1) : na



// LowFinder Calculations //
// MTF RSI by Peter_O //
rsi_mtf(float source, simple int mtf,simple int len) =>
    change_mtf=source-source[mtf]
    up_mtf = ta.rma(math.max(change_mtf, 0), len*mtf)
    down_mtf = ta.rma(-math.min(change_mtf, 0), len*mtf)
    rsi_mtf = down_mtf == 0 ? 100 : up_mtf == 0 ? 0 : 100 - (100 / (1 + up_mtf / down_mtf))

// Lowfinder by RafaelZioni //
vrsi = rsi_mtf(close,mtf_rsi,len_rsi)

pp=ta.ema(vrsi,ma_length)
dd=(vrsi-pp)*5
cc=(vrsi+dd+pp)/2

lows=ta.crossover(cc,0) 



// MTF Stoch Calcualation // MTF Stoch adapted from  Peter_O //
stoch_mtfK(source, mtf, len) =>

    k = ta.sma(ta.stoch(source, high, low, periodK * mtf), smoothK * mtf)
    
stoch_mtfD(source, mtf, len) =>

    k = ta.sma(ta.stoch(source, high, low, periodK * mtf), smoothK * mtf)
    d = ta.sma(k, periodD * mtf)
    
mtfK = stoch_mtfK(close, mtf_stoch, periodK)
mtfD = stoch_mtfD(close, mtf_stoch, periodK)



// Open next position % below average position price //
below_avg = close < (strategy.position_avg_price * (1 - (next_entry / 100)))



// Moving Average Filter //
moving_average_signal = ta.sma(close, ma_signal)
plot (plot_ma ? moving_average_signal : na, title = 'Moving Average', color = color.rgb(154, 255, 72))



// Buy Signal //
buy_signal = lows and close < moving_average_signal and mtfK < lower
// First Entry % Below lows //
if buy_signal
    entry_price := close * (1 - new_entry)



// Plot Average Price of Position//
plot (avg_on  ? strategy.position_avg_price : na, title = 'Average Price', style = plot.style_linebr, color = color.new(color.white,0), linewidth = 1)



// Take profit per Open Order //
take_profit_price = close * takeProfit / 100 / syminfo.mintick



// Calculate different Stop Level conditions to exit All //

// Stop Level Caculation //
stop_long1_level = ta.highest (high, stop_len)[1]  * (1 + stop_deviation)
stop_long2_level = ta.highest (high, stop_len)[2]  * (1 + stop_deviation)
stop_long3_level = ta.highest (high, stop_len)[3]  * (1 + stop_deviation)
stop_long4_level = ta.highest (high, stop_len)[1]  * (1 - 0.008) 
// Stop triggers //
stop_long1 = ta.crossover(close,stop_long1_level)
stop_long2 = ta.crossover(close,stop_long2_level)
stop_long4 = ta.crossunder(close,stop_long4_level)
// Exit Conditions, cond 1 only Stop Level, cond2 Trailing Stop option //
exit_condition_1 = close < strategy.position_avg_price ? stop_long1 : close > strategy.position_avg_price ? stop_long2 : na
exit_condition_2 = close < strategy.position_avg_price * (1 + tp_all) ? stop_long2 : 
                   close > strategy.position_avg_price * (1 + tp_all) ? stop_long4 :
                   close < strategy.position_avg_price ? stop_long1 : na
// Switch between conditions //
exit_conditions = cond2_toggle ? exit_condition_2 : exit_condition_1

// Exit when take profit //
ex_m = exit_mode == 'close' ? close : stop_long2_level
tp_exit = ta.crossover(ex_m, strategy.position_avg_price * (1 + tp_all)) and close > strategy.position_avg_price * 1.002

// Plot stoplevel, take profit level //
plot_stop_level    = strategy.position_size > 0 ? stop_long2_level : na
plot_trailing_stop = cond2_toggle and plot_ts and strategy.position_size > 0 and close > strategy.position_avg_price * (1 + tp_all) ? stop_long4_level : na

plot(plot_stop_level,    title = 'Stop Level',    style=plot.style_linebr, color = color.new(#41e3ff, 0), linewidth = 1)
plot(plot_trailing_stop, title = 'Trailing Stop', style=plot.style_linebr, color = color.new(#4cfca4, 0), linewidth = 1)

plot_tp_level = cond2_toggle and strategy.position_size > 0 ? strategy.position_avg_price * (1 + tp_all) : na
plot(plot_tp_level, title = 'Take Profit Level', style=plot.style_linebr, color = color.new(#ff41df, 0), linewidth = 1)



// Calculate Stop Loss based on equity and average price //
loss_equity = ((strategy.position_size * strategy.position_avg_price) - (strategy.equity * stopLoss)) / strategy.position_size
loss_avg_price = strategy.position_avg_price * (1 - stopLoss)
stop_loss = sl_mode == 'avg_price' ? loss_avg_price : loss_equity
plot(strategy.position_size > 0  and sl_on ? stop_loss : na, title = 'Stop Loss', color=color.new(color.red,0),style=plot.style_linebr, linewidth = 1)



// Enter first position //
if ta.crossunder(close,entry_price) and window() and strategy.position_size == 0
    strategy.entry('L_1', strategy.long, qty = math.round(q,1), comment = '+' + str.tostring(math.round(q,1)))
    previous_entry := close


// Enter next pyramiding positions //
if buy_signal and window() and strategy.position_size > 0 and below_avg
    order_after := order_after + 1
    for i = 1 to strategy.opentrades
        entry_comment = '+' + str.tostring((quantity_mode(i,q_mode))) // Comment with variable //
        if strategy.opentrades == i and i < posCount and order_after > oa_lookback
            entry_price := close
            entry_id = 'L_' + str.tostring(i + 1) 
            strategy.entry(id = entry_id, direction=strategy.long, limit=entry_price, qty= quantity_mode(i,q_mode), comment = entry_comment)
            previous_entry := entry_price
            order_after := 0


// Exit per Position //
if strategy.opentrades > 0 and window() 
    for i = 0 to strategy.opentrades 
        exit_comment = '-' + str.tostring(strategy.opentrades.size(i))
        exit_from = 'L_' + str.tostring(i + 1)
        exit_id = 'Exit_' + str.tostring(i + 1)
        strategy.exit(id= exit_id, from_entry= exit_from, profit = take_profit_price, comment = exit_comment)
            

// Exit All //
if exit_conditions or (tp_exit and tp_on and cond2_toggle) and window()
    strategy.close_all('Exti All')
    entry_price := 0

if ta.crossunder(close,stop_loss)  and sl_on and window()
    strategy.close_all('StopLoss')
    entry_price := 0
    

---

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