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Turtles strategy

Author: 发明者量化, Date: 2022-04-30 21:50:59
Tags: 海龟交易法

Demonstrate how to increase positions in pine language


/*backtest
start: 2021-04-29 00:00:00
end: 2022-04-28 23:59:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Bitfinex","currency":"BTC_USD"}]
*/

strategy("Turtles strategy", overlay=true, pyramiding=4)
// inputs
RiskRatio = input(1)                   // % Risk Per N ( 0 - 100)
ATRLength = input(20)                  // 平均波动周期 ATR Length
BOLength = input(20)                   // 短周期 BreakOut Length
FSLength = input(55)                   // 长周期 FailSafe Length
TELength = input(10)                   // 离市周期 Trailing Exit Length
ContractUnit = input(1)
MinStock = input(0.01)
LastProfitableTradeFilter = input(true, "LastProfitableTradeFilter")              // 使用入市过滤条件

// var
var float PreEntryPrice = na
var PreBreakoutFailure = false
var SendOrderThisBar = true
var CurrentBarIndex = -1
    
// body
if CurrentBarIndex != bar_index
    CurrentBarIndex := bar_index
    SendOrderThisBar := false
    if bar_index == 0
        PreEntryPrice := na
        PreBreakoutFailure := false

N = ta.atr(ATRLength)
plot(N, "N", join=false)
turtelUnits = math.round((strategy.equity*RiskRatio/100) /(N * ContractUnit), 3)
donchianHi = ta.highest(high[1], BOLength)
donchianLow = ta.lowest(low[1], BOLength)
fsDonchianHi = ta.highest(high[1], FSLength)
fsDonchianLo = ta.lowest(low[1], FSLength)
exitLowestPrice = ta.lowest(low[1], TELength)
exitHighestPrice = ta.highest(high[1], TELength)
plot(donchianHi, "donchianHi")
plot(donchianLow, "donchianLow")
plot(fsDonchianHi, "fsDonchianHi")
plot(fsDonchianLo, "fsDonchianLo")


if strategy.position_size == 0 and ((not LastProfitableTradeFilter) or (PreBreakoutFailure))
    if high > donchianHi and turtelUnits >= MinStock
        PreEntryPrice := high
        strategy.entry("breakout long", strategy.long, qty=turtelUnits)
        SendOrderThisBar := true
        PreBreakoutFailure := false

    if low < donchianLow and turtelUnits >= MinStock
        PreEntryPrice := low
        strategy.entry("breakout short", strategy.short, qty=turtelUnits)
        SendOrderThisBar := true
        PreBreakoutFailure := false

if strategy.position_size == 0
    if high > fsDonchianHi and turtelUnits >= MinStock
        PreEntryPrice := high
        strategy.entry("breakout long", strategy.long, qty=turtelUnits)
        SendOrderThisBar := true
        PreBreakoutFailure := false

    if low < fsDonchianLo and turtelUnits >= MinStock
        // 开仓价格取突破下轨-一个价位和最低价之间的较大值,这样能更接近真实情况,并能尽量保证成交
        PreEntryPrice := low
        strategy.entry("breakout short", strategy.short, qty=turtelUnits)
        SendOrderThisBar := true
        PreBreakoutFailure := false

if strategy.position_size > 0
    if low < ta.lowest(low[1], TELength)
        strategy.close_all()
    else
        if not na(PreEntryPrice) and turtelUnits >= MinStock
            if high >= PreEntryPrice + 0.5*N 
                PreEntryPrice := high
                strategy.entry("B1", strategy.long, qty=turtelUnits)
                SendOrderThisBar := true

        // StopLoss
        if low <= PreEntryPrice - (2 * N) and SendOrderThisBar == false
            alert("stop loss #ff0000")
            strategy.close_all()
            PreBreakoutFailure := true
else if strategy.position_size < 0
    if high > exitHighestPrice
        strategy.close_all()
    else
        if not na(PreEntryPrice) and turtelUnits >= MinStock
            if low <= PreEntryPrice - 0.5*N
                PreEntryPrice := low
                strategy.entry("S1", strategy.short, qty=turtelUnits)
                SendOrderThisBar := true

        // STOPLOSS
        if high >= PreEntryPrice + (2 * N) and SendOrderThisBar==false
            alert("stop loss #ff0000")
            strategy.close_all()
            PreBreakoutFailure := true


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