Облачный график Ишимоку Количественная стратегия

/*backtest
start: 2023-01-25 00:00:00
end: 2024-01-31 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5

//  -----------------------------------------------------------------------------
//  Copyright © 2024 Skyrex, LLC. All rights reserved.
//  -----------------------------------------------------------------------------

//  Version: v2.1
//  Release:  Jan 22, 2024

strategy(title = "Advanced Ichimoku Clouds Strategy Long and Short", 
         shorttitle = "Ichimoku Strategy Long and Short", 
         overlay = true, 
         format = format.inherit, 
         pyramiding = 1, 
         calc_on_order_fills = false, 
         calc_on_every_tick = true, 
         default_qty_type = strategy.percent_of_equity, 
         default_qty_value = 100, 
         initial_capital = 10000, 
         currency = currency.NONE,  
         commission_type = strategy.commission.percent, 
         commission_value = 0.1,
         slippage = 5)

// Trading bot settings
sourceUuid = input.string(title = "sourceUuid:", defval = "yourBotSourceUuid", group = "Trading Bot Settings")
secretToken = input.string(title = "secretToken:", defval = "yourBotSecretToken", group = "Trading Bot Settings")

// Trading Period Settings
lookBackPeriodStart = input(title = "Trade Start Date/Time", defval = timestamp('2023-01-01T00:00:00'), group = "Trading Period Settings")
lookBackPeriodStop = input(title = "Trade Stop Date/Time", defval = timestamp('2025-01-01T00:00:00'), group = "Trading Period Settings")

// Trading Mode settings
tradingMode = input.string("Long", "Trading Mode", options = ["Long", "Short"], group = "Trading Mode Settings")

// Long Mode Signal Options
entrySignalOptionsLong = input.string("Bullish All", "Select Entry Signal (Long)", options = ["None", "Bullish Strong", "Bullish Neutral", "Bullish Weak", "Bullish Strong and Neutral", "Bullish Neutral and Weak", "Bullish Strong and Weak", "Bullish All"], group = "Long Mode Signals - set up if Trading Mode: Long")
exitSignalOptionsLong = input.string("Bearish Weak", "Select Exit Signal (Long)", options = ["None", "Bearish Strong", "Bearish Neutral", "Bearish Weak", "Bearish Strong and Neutral", "Bearish Neutral and Weak", "Bearish Strong and Weak", "Bearish All"], group = "Long Mode Signals - set up if Trading Mode: Long")

// Short Mode Signal Options
entrySignalOptionsShort = input.string("None", "Select Entry Signal (Short)", options = ["None", "Bearish Strong", "Bearish Neutral", "Bearish Weak", "Bearish Strong and Neutral", "Bearish Neutral and Weak", "Bearish Strong and Weak", "Bearish All"], group = "Short Mode Signals - set up if Trading Mode: Short")
exitSignalOptionsShort = input.string("None", "Select Exit Signal (Short)", options = ["None", "Bullish Strong", "Bullish Neutral", "Bullish Weak", "Bullish Strong and Neutral", "Bullish Neutral and Weak", "Bullish Strong and Weak", "Bullish All"], group = "Short Mode Signals - set up if Trading Mode: Short")

// Risk Management Settings
takeProfitPct = input.float(0, "Take Profit, % (0 - disabled)", minval = 0, step = 0.1, group = "Risk Management")
stopLossPct = input.float(0, "Stop Loss, % (0 - disabled)", minval = 0, step = 0.1, group = "Risk Management")

// Indicator Settings
tenkanPeriods = input.int(9, "Tenkan", minval=1, group="Indicator Settings")
kijunPeriods = input.int(26, "Kijun", minval=1, group="Indicator Settings")
chikouPeriods = input.int(52, "Chikou", minval=1, group="Indicator Settings")
displacement = input.int(26, "Offset", minval=1, group="Indicator Settings")

// Display Settings
showTenkan = input(false, "Show Tenkan Line", group = "Display Settings")
showKijun = input(false, "Show Kijun Line", group = "Display Settings")
showSenkouA = input(true, "Show Senkou A Line", group = "Display Settings")
showSenkouB = input(true, "Show Senkou B Line", group = "Display Settings")
showChikou = input(false, "Show Chikou Line", group = "Display Settings")

// Function to convert percentage to price points based on entry price
pctToPoints(pct) => 
    strategy.position_avg_price * pct / 100

// Colors and Transparency Level
transparencyLevel = 90
colorGreen = color.new(#36a336, 23)
colorRed = color.new(#d82727, 47)
colorTenkanViolet = color.new(#9400D3, 0)
colorKijun = color.new(#fdd8a0, 0)
colorLime = color.new(#006400, 0)
colorMaroon = color.new(#8b0000, 0)
colorGreenTransparent = color.new(colorGreen, transparencyLevel)
colorRedTransparent = color.new(colorRed, transparencyLevel)

// Ichimoku Calculations
donchian(len) => math.avg(ta.lowest(len), ta.highest(len))
tenkan = donchian(tenkanPeriods)
kijun = donchian(kijunPeriods)
senkouA = math.avg(tenkan, kijun)
senkouB = donchian(chikouPeriods)
displacedSenkouA = senkouA[displacement - 1]
displacedSenkouB = senkouB[displacement - 1]

// Plot Ichimoku Lines
plot(showTenkan ? tenkan : na, color=colorTenkanViolet, title = "Tenkan", linewidth=2)
plot(showKijun ? kijun : na, color=colorKijun, title = "Kijun", linewidth=2)
plot(showChikou ? close : na, offset=-displacement, color = colorLime, title = "Chikou", linewidth=1)
p1 = plot(showSenkouA ? senkouA : na, offset=displacement - 1, color=colorGreen, title = "Senkou A", linewidth=2)
p2 = plot(showSenkouB ? senkouB : na, offset=displacement - 1, color=colorRed, title = "Senkou B", linewidth=2)
fill(p1, p2, color=senkouA > senkouB ? colorGreenTransparent : colorRedTransparent)

// Signal Calculations
bullishSignal = ta.crossover(tenkan, kijun)
bearishSignal = ta.crossunder(tenkan, kijun)
bullishSignalValues = bullishSignal ? tenkan : na
bearishSignalValues = bearishSignal ? tenkan : na

strongBullishSignal = bullishSignalValues > displacedSenkouA and bullishSignalValues > displacedSenkouB
neutralBullishSignal = ((bullishSignalValues > displacedSenkouA and bullishSignalValues < displacedSenkouB) or (bullishSignalValues < displacedSenkouA and bullishSignalValues > displacedSenkouB))
weakBullishSignal = bullishSignalValues < displacedSenkouA and bullishSignalValues < displacedSenkouB

strongBearishSignal = bearishSignalValues < displacedSenkouA and bearishSignalValues < displacedSenkouB
neutralBearishSignal = ((bearishSignalValues > displacedSenkouA and bearishSignalValues < displacedSenkouB) or (bearishSignalValues < displacedSenkouA and bearishSignalValues > displacedSenkouB))
weakBearishSignal = bearishSignalValues > displacedSenkouA and bearishSignalValues > displacedSenkouB

// Functions to determine entry and exit conditions for Long and Short
isEntrySignalLong() =>
    entryCondition = false
    if entrySignalOptionsLong == "None"
        entryCondition := false
    else if entrySignalOptionsLong == "Bullish Strong"
        entryCondition := strongBullishSignal
    else if entrySignalOptionsLong == "Bullish Neutral"
        entryCondition := neutralBullishSignal
    else if entrySignalOptionsLong == "Bullish Weak"
        entryCondition := weakBullishSignal
    else if entrySignalOptionsLong == "Bullish Strong and Neutral"
        entryCondition := strongBullishSignal or neutralBullishSignal
    else if entrySignalOptionsLong == "Bullish Neutral and Weak"
        entryCondition := neutralBullishSignal or weakBullishSignal
    else if entrySignalOptionsLong == "Bullish Strong and Weak"
        entryCondition := strongBullishSignal or weakBullishSignal
    else if entrySignalOptionsLong == "Bullish All"
        entryCondition := strongBullishSignal or neutralBullishSignal or weakBullishSignal
    entryCondition

isExitSignalLong() =>
    exitCondition = false
    if exitSignalOptionsLong == "None"
        exitCondition := false
    else if exitSignalOptionsLong == "Bearish Strong"
        exitCondition := strongBearishSignal
    else if exitSignalOptionsLong == "Bearish Neutral"
        exitCondition := neutralBearishSignal
    else if exitSignalOptionsLong == "Bearish Weak"
        exitCondition := weakBearishSignal
    else if exitSignalOptionsLong == "Bearish Strong and Neutral"
        exitCondition := strongBearishSignal or neutralBearishSignal
    else if exitSignalOptionsLong == "Bearish Neutral and Weak"
        exitCondition := neutralBearishSignal or weakBearishSignal
    else if exitSignalOptionsLong == "Bearish Strong and Weak"
        exitCondition := strongBearishSignal or weakBearishSignal
    else if exitSignalOptionsLong == "Bearish All"
        exitCondition := strongBearishSignal or neutralBearishSignal or weakBearishSignal
    exitCondition

isEntrySignalShort() =>
    entryCondition = false
    if entrySignalOptionsShort == "None"
        entryCondition := false
    else if entrySignalOptionsShort == "Bearish Strong"
        entryCondition := strongBearishSignal
    else if entrySignalOptionsShort == "Bearish Neutral"
        entryCondition := neutralBearishSignal
    else if entrySignalOptionsShort == "Bearish Weak"
        entryCondition := weakBearishSignal
    else if entrySignalOptionsShort == "Bearish Strong and Neutral"
        entryCondition := strongBearishSignal or neutralBearishSignal
    else if entrySignalOptionsShort == "Bearish Neutral and Weak"
        entryCondition := neutralBearishSignal or weakBearishSignal
    else if entrySignalOptionsShort == "Bearish Strong and Weak"
        entryCondition := strongBearishSignal or weakBearishSignal
    else if entrySignalOptionsShort == "Bearish All"
        entryCondition := strongBearishSignal or neutralBearishSignal or weakBearishSignal
    entryCondition

isExitSignalShort() =>
    exitCondition = false
    if exitSignalOptionsShort == "None"
        exitCondition := false
    else if exitSignalOptionsShort == "Bullish Strong"
        exitCondition := strongBullishSignal
    else if exitSignalOptionsShort == "Bullish Neutral"
        exitCondition := neutralBullishSignal
    else if exitSignalOptionsShort == "Bullish Weak"
        exitCondition := weakBullishSignal
    else if exitSignalOptionsShort == "Bullish Strong and Neutral"
        exitCondition := strongBullishSignal or neutralBullishSignal
    else if exitSignalOptionsShort == "Bullish Neutral and Weak"
        exitCondition := neutralBullishSignal or weakBullishSignal
    else if exitSignalOptionsShort == "Bullish Strong and Weak"
        exitCondition := strongBullishSignal or weakBullishSignal
    else if exitSignalOptionsShort == "Bullish All"
        exitCondition := strongBullishSignal or neutralBullishSignal or weakBullishSignal
    exitCondition

// Strategy logic for entries and exits
if true
    if tradingMode == "Long"
        takeProfitLevelLong = strategy.position_avg_price * (1 + takeProfitPct / 100)
        stopLossLevelLong = strategy.position_avg_price * (1 - stopLossPct / 100)

        if isEntrySignalLong()
            strategy.entry(id = "entry1", direction = strategy.long, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
        if (takeProfitPct > 0 and close >= takeProfitLevelLong) or (stopLossPct > 0 and close <= stopLossLevelLong) or (exitSignalOptionsLong != "None" and isExitSignalLong())
            strategy.close(id = "entry1", alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')

    else if tradingMode == "Short"
        takeProfitLevelShort = strategy.position_avg_price * (1 - takeProfitPct / 100)
        stopLossLevelShort = strategy.position_avg_price * (1 + stopLossPct / 100)

        if isEntrySignalShort()
            strategy.entry(id = "entry1", direction = strategy.short, alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')
        if (takeProfitPct > 0 and close <= takeProfitLevelShort) or (stopLossPct > 0 and close >= stopLossLevelShort) or (exitSignalOptionsShort != "None" and isExitSignalShort())
            strategy.close(id = "entry1", alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '"\n}')