Chiến lược giao dịch động lượng lọc khoảng thời gian kép

/*backtest
start: 2024-03-01 00:00:00
end: 2024-03-31 23:59:59
period: 1h
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/
//@version=5
strategy(title='2"Twin Range Filter', overlay=true)
strat_dir_input = input.string(title='İşlem Yönü', defval='Alis', options=['Alis', 'Satis', 'Tum'])
strat_dir_value = strat_dir_input == 'Alis' ? strategy.direction.long : strat_dir_input == 'Satis' ? strategy.direction.short : strategy.direction.all
strategy.risk.allow_entry_in(strat_dir_value)

////////////////////////////

// Backtest inputs
BaslangicAy = input.int(defval=1, title='İlk ay', minval=1, maxval=12)
BaslangicGun = input.int(defval=1, title='İlk Gün', minval=1, maxval=31)
BaslangicYil = input.int(defval=2023, title='İlk Yil', minval=2000)
SonAy = input.int(defval=1, title='Son Ay', minval=1, maxval=12)
SonGun = input.int(defval=1, title='Son Gün', minval=1, maxval=31)
SonYil = input.int(defval=9999, title='Son Yıl', minval=2000)

start = timestamp(BaslangicYil, BaslangicAy, BaslangicGun, 00, 00)  // backtest start window
finish = timestamp(SonYil, SonAy, SonGun, 23, 59)  // backtest finish window
window() => true

source = input(defval=close, title='Source')
showsignals = input(title='Show Buy/Sell Signals ?', defval=true)
per1 = input.int(defval=27, minval=1, title='Fast period')
mult1 = input.float(defval=1.6, minval=0.1, title='Fast range')
per2 = input.int(defval=55, minval=1, title='Slow period')
mult2 = input.float(defval=2, minval=0.1, title='Slow range')
smoothrng(x, t, m) =>
    wper = t * 2 - 1
    avrng = ta.ema(math.abs(x - x[1]), t)
    smoothrng = ta.ema(avrng, wper) * m
    smoothrng
smrng1 = smoothrng(source, per1, mult1)
smrng2 = smoothrng(source, per2, mult2)
smrng = (smrng1 + smrng2) / 2
rngfilt(x, r) =>
    rngfilt = x
    rngfilt := x > nz(rngfilt[1]) ? x - r < nz(rngfilt[1]) ? nz(rngfilt[1]) : x - r : x + r > nz(rngfilt[1]) ? nz(rngfilt[1]) : x + r
    rngfilt
filt = rngfilt(source, smrng)
upward = 0.0
upward := filt > filt[1] ? nz(upward[1]) + 1 : filt < filt[1] ? 0 : nz(upward[1])
downward = 0.0
downward := filt < filt[1] ? nz(downward[1]) + 1 : filt > filt[1] ? 0 : nz(downward[1])
STR = filt + smrng
STS = filt - smrng
FUB = 0.0
FUB := STR < nz(FUB[1]) or close[1] > nz(FUB[1]) ? STR : nz(FUB[1])
FLB = 0.0
FLB := STS > nz(FLB[1]) or close[1] < nz(FLB[1]) ? STS : nz(FLB[1])
TRF = 0.0
TRF := nz(TRF[1]) == FUB[1] and close <= FUB ? FUB : nz(TRF[1]) == FUB[1] and close >= FUB ? FLB : nz(TRF[1]) == FLB[1] and close >= FLB ? FLB : nz(TRF[1]) == FLB[1] and close <= FLB ? FUB : FUB
al = ta.crossover(close, TRF)
sat = ta.crossunder(close, TRF)
plotshape(showsignals and al, title='Long', text='BUY', style=shape.labelup, textcolor=color.white, size=size.tiny, location=location.belowbar, color=color.rgb(0, 19, 230))
plotshape(showsignals and sat, title='Short', text='SELL', style=shape.labeldown, textcolor=color.white, size=size.tiny, location=location.abovebar, color=color.rgb(0, 19, 230))
alertcondition(al, title='Long', message='Long')
alertcondition(sat, title='Short', message='Short')
Trfff = plot(TRF)
mPlot = plot(ohlc4, title='', style=plot.style_circles, linewidth=0)
longFillColor = close > TRF ? color.green : na
shortFillColor = close < TRF ? color.red : na
fill(mPlot, Trfff, title='UpTrend Highligter', color=longFillColor, transp=90)
fill(mPlot, Trfff, title='DownTrend Highligter', color=shortFillColor, transp=90)

//////////////////////



renk1 = input(true, "Mum Renk Ayarları?")
mumrenk = input(true,title="Trend Bazlı Mum Rengi Değişimi?")
htaColor = renk1 ? (al ? color.rgb(224, 230, 57) : #E56337) : #c92626
barcolor(color = mumrenk ? (renk1 ? htaColor : na) : na)
if (al) and window()
    strategy.entry("Al", strategy.long)
if (sat) and window()
    strategy.entry("Sat", strategy.short)


per1(pcnt) =>
    strategy.position_size != 0 ? math.round(pcnt / 100 * strategy.position_avg_price / syminfo.mintick) : float(na)
zarkesmgb = input.float(title='Zarar Kes Yüzdesi', defval=100, minval=0.01)
zarkeslos = per1(zarkesmgb)
q1 = input.int(title='Satış Lot Sayısı 1.Kısım %', defval=5, minval=1)
q2 = input.int(title='Satış Lot Sayısı 2.Kısım %', defval=8, minval=1)
q3 = input.int(title='Satış Lot Sayısı 3.Kısım %', defval=13, minval=1)
q4 = input.int(title='Satış Lot Sayısı 4.Kısım %', defval=21, minval=1)
tp1 = input.float(title='Kar Yüzdesi 1.Kısım', defval=13, minval=0.01)
tp2 = input.float(title='Kar Yüzdesi 2.Kısım', defval=21, minval=0.01)
tp3 = input.float(title='Kar Yüzdesi 3.Kısım', defval=29, minval=0.01)
tp4 = input.float(title='Kar Yüzdesi 4.Kısım', defval=34, minval=0.01)
strategy.exit('✨KS1', qty_percent=q1, profit=per1(tp1), loss=zarkeslos)
strategy.exit('✨KS2', qty_percent=q2, profit=per1(tp2), loss=zarkeslos)
strategy.exit('✨KS3', qty_percent=q3, profit=per1(tp3), loss=zarkeslos)
strategy.exit('✨KS4', qty_percent=q4, profit=per1(tp4), loss=zarkeslos)