Chiến lược đột phá ngắn hạn của Turtle

/*backtest
start: 2023-08-13 00:00:00
end: 2023-09-12 00:00:00
period: 5h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//  Copyright by Eugene v1.2 07/18/2019
// This is the short sell version of the strategy based on the famous turtle system.
// https://www.tradingblox.com/originalturtles/originalturtlerules.htm
//
// In a nutshell, it a trend trading system where you are shorting on strength (in the downtrend), selling on 
// weakness (that it might be reversing).
// positions should be entered when the price crosses under the 20-day low (S1 low) or 55-day low (S2 low).
// positions should be exited when the prices crosses over the 10-day high (S1 high) or 20-day high (S2 high)
// you can add positions at every unit (measured by multiple of n, where n=1 ATR)
// stops should be placed at 2*n above every position entered, when the stop is hit exit your entire position.
// positions should be entered everytime price crosses under S1 or S2, with one exception:
// if the last trade was an S1 trade and it was a winning trade, skip the next trade unless the price crosses
// under S2, if that is the case, you should take it.
// S1 and S2 levels are also configurable for high and lows.
// N multiple for stops and pyramid are also configurable

// To change this from a strateg to a study:
// 1) uncomment the next line and comment out the strategy line.
// 2) at the end of the file comment out the last 2 lines

// study(title="Turtle Study Short", overlay=true)
strategy(title="Turtle Strategy Short", overlay=true, initial_capital=50000, default_qty_type=strategy.percent_of_equity, commission_type=strategy.commission.percent, commission_value=0.1, pyramiding=5)

stopInput = input(2.0, "Stop N", step=.5)
pyramidInput = input(1, "Pyramid N", step=.5)
s1ShortInput = input(20, "S1 Short", minval=5)
s2ShortInput = input(55, "S2 Short", minval=5)
s1ShortExitInput = input (10, "S1 Short Exit", minval=5)
s2ShortExitInput = input (20, "S2 Short Exit", minval=5)

FromYear = input(2000, "From Year", minval=1900),   FromMonth = input(1, "From Month", minval=1, maxval=12),    FromDay = input(1, "From Day", minval=1, maxval=31)
ToYear = input(9999, "To Year", minval=1900),       ToMonth = input(1, "To Month", minval=1, maxval=12),        ToDay = input(1, "To Day", minval=1, maxval=31)
FromDate = timestamp(FromYear, FromMonth, FromDay, 00, 00),     ToDate = timestamp(ToYear, ToMonth, ToDay, 23, 59)
TradeDateIsAllowed() => time >= FromDate and time <= ToDate
s1Short = lowest(s1ShortInput)
s1ShortExit = highest(s1ShortExitInput)
s2Short = lowest(s2ShortInput)
s2ShortExit = highest(s2ShortExitInput)

bool win = false // tracks if last trade was winning trade of losing trade.
float totalPrice = 0.0  // tracks total price, used for calculating avgPrice
float buyPrice = 0.0 // tracks the buy price of the last short position.
float avgPrice = 0.0 // tracks the avg price of all currently held short positions.
float nextBuyPrice = 0.0  // tracks the next buy price
float stopPrice = na // tracks the stop price
int totalBuys = 0  // tracks the total # of pyramid buys
bool inBuy = false  // tracks if we are in a short position or not.
float s1ShortPlot = lowest(s1ShortInput)  // tracks the S1 price to display
float s2ShortPlot = lowest(s2ShortInput)  // tracks the S2 price to display
float n = atr(14)  // tracks the n used to calculate stops and pyramid buys
string mode = 'S1'  // tracks whether we are in a S1 position or S2 position.
bool fake = na // tracks if this is a fake trade, see comments below.
string shortLevel = na  // tracks where short positions, stops, pyramid buys occur.

// by default use the last value from the previous bar.
buyPrice := buyPrice[1]
totalBuys := totalBuys[1]
nextBuyPrice := nextBuyPrice[1]
stopPrice := stopPrice[1]
avgPrice := avgPrice[1]
totalPrice := totalPrice[1]
win := win[1]

// State to track if we are in a short positon or not.
inBuy := not inBuy[1] and (close < s1Short[1] or close < s2Short[1]) ? true : inBuy[1]
inBuy := inBuy[1] and close > stopPrice ? false : inBuy
inBuy := inBuy[1] and (close > s1ShortExit[1] or close > s2ShortExit[1])  ? false : inBuy

// State to track if we are ia a fake trade.  If the last trade was a winning, we need to skip the next trade.
// We still track it though as a fake trade (not counted against us). as the outcome determines if we can
// can take the next trade.
fake := close < s2Short[1] ? false : fake[1]
fake := not inBuy[1] and close < s1Short[1] and win[1] ? true : fake
fake := not inBuy[1] and close < s1Short[1] and not win[1] ? false : fake

// Series representing the s1 and s2 levels.   If we break out above the s1 or s2 level, we want the
// line to stay at the breakout level, not follow it up.
s1ShortPlot := iff(not inBuy or (inBuy and mode == 'S1' and fake),s1Short[1],s1ShortPlot[1])
s2ShortPlot := iff(not inBuy or (inBuy and mode == 'S1' and fake),s2Short[1],s2ShortPlot[1])


// Variable in the series is only set when it happens.   Possible values is S1, S2, SR 
// (stopped out with a loss), SG (exited with a gain), and 'P' for pyramid buy.
shortLevel := not inBuy[1] and close < s2Short[1] ? 'S2' : na
shortLevel := not inBuy[1] and close < s1Short[1] ? 'S1' : shortLevel
shortLevel := not inBuy[1] and close < s1Short[1] and close < s2Short[1]  and fake ? 'S2' : shortLevel
shortLevel := shortLevel == na and close < s2Short[1] and mode[1] == 'S1' ? na : shortLevel // don't switch to S2 if we are already in a S1
shortLevel := shortLevel == na and close < s2Short[1] and mode[1] == 'S1' and fake[1] ? 'S2' : shortLevel

// Either 'S1' or 'S2' depending on what breakout level we are in.
mode := shortLevel == na ? mode[1] : shortLevel

// Variables to track calculating avgPrice and nextBuyPrice for pyramiding.
if shortLevel == 'S1' or shortLevel == 'S2'
    buyPrice = close
    totalBuys := 1
    totalPrice := close
    avgPrice := buyPrice
    stopPrice := close + (stopInput*n)
    nextBuyPrice := low - (pyramidInput*n)

// Marks if we hit our next buy price, if so mark it with a 'P'
shortLevel := inBuy[1] and close < nextBuyPrice and TradeDateIsAllowed() and totalBuys < 5 ? 'P' : shortLevel

if shortLevel == 'P'
    buyPrice = close
    totalBuys := totalBuys[1] + 1
    totalPrice := totalPrice[1] + buyPrice
    avgPrice := totalPrice / totalBuys
    stopPrice := close + (stopInput*n)
    nextBuyPrice := low - (pyramidInput*n)

// Tracks stops and exits, marking them with SG or SR
shortLevel := shortLevel == na and inBuy[1] and close > stopPrice and close <= avgPrice ? 'SG' : shortLevel
shortLevel := shortLevel == na and inBuy[1] and close > stopPrice and close > avgPrice ? 'SR' : shortLevel
shortLevel := shortLevel == na and inBuy[1] and (close > s1ShortExit[1] or close > s2ShortExit[1]) and close <= avgPrice ? 'SG' : shortLevel
shortLevel := shortLevel == na and inBuy[1] and (close > s1ShortExit[1] or close > s2ShortExit[1]) and close > avgPrice ? 'SR' : shortLevel

// Tracks if the trade was a win or loss.
win := shortLevel == 'SG' ? true : win
win := shortLevel == 'SR' ? false : win

// Variables used to tell strategy when to enter/exit trade.
enterShort = (shortLevel == 'S1' or shortLevel == 'S2' or shortLevel == 'P') and not fake and TradeDateIsAllowed()
exitShort = (shortLevel == 'SG' or shortLevel == 'SR') and not fake and TradeDateIsAllowed()

p1 = plot(s1ShortPlot, title="s1 short", linewidth=3, style=plot.style_stepline, color=color.green)
p2 = plot(s1ShortExit[1], title="s1 exit", linewidth=3, style=plot.style_stepline, color=color.red)
p3 = plot(s2ShortPlot, title="s2 short", linewidth=2, style=plot.style_stepline, color=color.green)
p4 = plot(s2ShortExit[1], title="s2 exit", linewidth=2, style=plot.style_stepline, color=color.red)
color1 = color.new(color.black, 0)
color2 = color.new(color.black, 100)
col= (inBuy) ? color1 : color2
p5 = plot(stopPrice, title="stop", linewidth=2, style=plot.style_circles, join=true, color=col)
p6 = plot(nextBuyPrice, title="next buy", linewidth=2, style=plot.style_circles, join=true, color=col)

fill(p1, p3, color=color.green)
fill(p2, p4, color=color.red)

plotshape(shortLevel == 'S1' and not fake ? true : false, color=color.green, transp=40, style=shape.triangleup, text="S1") // up arrow for entering S1 trade
plotshape(fake and shortLevel == 'S1' ? true : false, color=color.gray, transp=40, style=shape.triangleup, text="S1") // up arrow for entering S1 trade
plotshape((mode == 'S2' or (mode == 'S1' and not fake)) and shortLevel == 'P' ? true : false, color=color.green, transp=40, style=shape.triangleup, text='P') // up arrow for entering S1 trade
plotshape(mode == 'S1' and fake and shortLevel == 'P' ? true : false, color=color.gray, transp=40, style=shape.triangleup, text='P') // up arrow for entering S1 trade
plotshape(shortLevel == 'S2' ? true : false, color=color.green, transp=40, style=shape.triangleup, text="S2") // up arrow for entering S2 trade

plotarrow(shortLevel == 'S1' ? 1 : 0, colordown=color.black, colorup=color.green, transp=40) // up arrow for entering S1 trade
plotarrow(shortLevel == 'S2' ? 1 : 0, colordown=color.black, colorup=color.green, transp=40) // up arrow for entering S2 trade
plotarrow(shortLevel == 'SR' ? -1 : 0, colordown=color.red, colorup=color.purple, transp=40) // down arrow for losing trade
plotarrow(shortLevel == 'SG' ? -1 : 0, colordown=color.green, colorup=color.purple, transp=40) // down arrow for winning trade

// plotarrow(mode == 'S1' ? -1 : 0, colordown=color.yellow, colorup=color.purple, transp=40) // down arrow for winning trade
// plotshape(inBuy[1], color=color.blue, transp=40, text='X') // down arrow for winning trade
// label.new(bar_index, high, style=label.style_none, text=tostring(avgPrice))

alertcondition(low < stopPrice, title="crosses over stop price", message="price croses over stop price")
alertcondition(high > s1Short, title="crosses under S1 price", message="price crossed under S1 price")
alertcondition(high > s2Short, title="crosses under S2 price", message="price crossed under S2 price")
alertcondition(low < s1ShortExit, title="crosses over S1 exit price", message="price crossed over S1 exit price")
alertcondition(low < s2ShortExit, title="crosses over S2 exit price", message="price crossed over S2 exit price")

strategy.entry("short", strategy.short, comment='short', when=enterShort)
strategy.close("short", when=exitShort)