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SAR + 3SMMA với SL & TP

Tác giả:ChaoZhang, Ngày: 2022-05-13 12:53:21
Tags:TăngSMA

Kịch bản này là sự kết hợp của chiến lược SAR và 3 đường trung bình di chuyển trơn tru.

Chiến lược: SAR dài khi cả 3 SMMA đang tăng. SAR ngắn khi cả 3 SMMA đang giảm.

Hỗ trợ StopLoss và TakeProfit.

Nếu bạn đã tìm thấy một thiết lập có lợi cho nó, vui lòng chia sẻ trong các bình luận hoặc trò chuyện riêng tư.

backtest

img

/*backtest
start: 2022-04-12 00:00:00
end: 2022-05-11 23:59:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
//strategy(title="SAR + 3SMMA with SL & TP", overlay=true, calc_on_order_fills=false, calc_on_every_tick=false, default_qty_type=strategy.percent_of_equity, default_qty_value=100, currency=currency.USD, commission_type= strategy.commission.percent, commission_value=0.03)
start = input.float(0.02, step=0.01, group="SAR")
increment = input.float(0.02, step=0.01, group="SAR")
maximum = input.float(0.2, step=0.01, group="SAR")

//Take Profit Inputs     
take_profit = input.float(title="Take Profit (%)", minval=0.0, step=0.1, defval = 0.1, group="Stop Loss and Take Profit", inline="TP") * 0.01

//Stop Loss Inputs
stop_loss = input.float(title="StopLoss (%)", minval=0.0, step=0.1, defval=1, group="Stop Loss and Take Profit", inline="SL") * 0.01

// Smooth Moving Average
fastSmmaLen = input.int(21, minval=1, title="Fast Length", group = "Smooth Moving Average")
midSmmaLen = input.int(50, minval=1, title="Mid Length", group = "Smooth Moving Average")
slowSmmaLen = input.int(200, minval=1, title="Slow Length", group = "Smooth Moving Average")

src = input(close, title="Source", group = "Smooth Moving Average")

smma(ma, src, len) => 
    smma = 0.0
    smma := na(smma[1]) ? ma : (smma[1] * (len - 1) + src) / len
    smma

fastSma = ta.sma(src, fastSmmaLen)
midSma = ta.sma(src, midSmmaLen)
slowSma = ta.sma(src, slowSmmaLen)

fastSmma = smma(fastSma, src, fastSmmaLen)
midSmma = smma(midSma, src, midSmmaLen)
slowSmma = smma(slowSma, src, slowSmmaLen)

isSmmaUpward = ta.rising(fastSmma, 1) and ta.rising(midSmma, 1) and ta.rising(slowSmma, 1)

var bool uptrend = na
var float EP = na
var float SAR = na
var float AF = start
var float nextBarSAR = na

if bar_index > 0
	firstTrendBar = false
	SAR := nextBarSAR
	if bar_index == 1
		float prevSAR = na
		float prevEP = na
		lowPrev = low[1]
		highPrev = high[1]
		closeCur = close
		closePrev = close[1]
		if closeCur > closePrev
			uptrend := true
			EP := high
			prevSAR := lowPrev
			prevEP := high
		else
			uptrend := false
			EP := low
			prevSAR := highPrev
			prevEP := low
		firstTrendBar := true
		SAR := prevSAR + start * (prevEP - prevSAR)
	if uptrend
		if SAR > low
			firstTrendBar := true
			uptrend := false
			SAR := math.max(EP, high)
			EP := low
			AF := start
	else
		if SAR < high
			firstTrendBar := true
			uptrend := true
			SAR := math.min(EP, low)
			EP := high
			AF := start
	if not firstTrendBar
		if uptrend
			if high > EP
				EP := high
				AF := math.min(AF + increment, maximum)
		else
			if low < EP
				EP := low
				AF := math.min(AF + increment, maximum)
	if uptrend
		SAR := math.min(SAR, low[1])
		if bar_index > 1
			SAR := math.min(SAR, low[2])
	else
		SAR := math.max(SAR, high[1])
		if bar_index > 1
			SAR := math.max(SAR, high[2])
	nextBarSAR := SAR + AF * (EP - SAR)

sarIsUpTrend = uptrend ? true : false

sarFlippedDown = sarIsUpTrend and not sarIsUpTrend[1] ? true : false
sarFlippedUp = not sarIsUpTrend and sarIsUpTrend[1] ? true : false


longEntryCondition = isSmmaUpward and sarFlippedDown
shortEntryCondition = not isSmmaUpward and sarFlippedUp

if(longEntryCondition)
    strategy.entry("L", strategy.long, stop=nextBarSAR, comment="L")

if(shortEntryCondition)
    strategy.entry("S", strategy.short, stop=nextBarSAR, comment="S")


strategy.exit("CL", when=strategy.position_size > 0, limit=strategy.position_avg_price * (1+take_profit), stop=strategy.position_avg_price*(1-stop_loss))
strategy.exit("CS", when=strategy.position_size < 0, limit=strategy.position_avg_price * (1-take_profit), stop=strategy.position_avg_price*(1+stop_loss))


plot(SAR, style=plot.style_cross, linewidth=1, color=color.orange)
plot(nextBarSAR, style=plot.style_cross, linewidth=1, color=color.aqua)
plot(series = fastSmma, title="fastSmma", linewidth=1)
plot(series = midSmma, title="midSmma", linewidth=2)
plot(series = slowSmma, title="slowSmma", linewidth=3)
plotchar(series = isSmmaUpward, title="isSmmaUpward", char='')
plotchar(series=sarIsUpTrend, title="sarIsUpTrend", char='')
plotchar(series=sarFlippedUp, title="sarFlippedUp", char='')
plotchar(series=sarFlippedDown, title="sarFlippedDown", char='')
plotchar(series=longEntryCondition, title="longEntryCondition", char='')
plotchar(series=shortEntryCondition, title="shortEntryCondition", char='')
plotchar(series=strategy.position_size > 0, title="inLong", char='')
plotchar(series=strategy.position_size < 0, title="inShort", char='')


//plot(strategy.equity, title="equity", color=color.red, linewidth=2, style=plot.style_areabr)
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