多均线裂缝双向交易策略

/*backtest
start: 2023-11-07 00:00:00
end: 2023-11-14 00:00:00
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/
// © B_L_A_C_K_S_C_O_R_P_I_O_N
// v 1.1

//@version=4
strategy("Williams Fractals Strategy by ȼhąţhµяąɲǥą", overlay=true, default_qty_type=strategy.cash, default_qty_value=1000, currency='USD')

// *************Appearance*************
theme = input(type=input.string, defval="dark", options=["light","dark"], group="Appearance")
show_fractals = input(false, "Show Fractals", group="Appearance")
show_ema = input(false, "Show EMAs", group="Appearance")

// *************colors*************
color_green = color.green
color_red = color.red
color_yellow = color.yellow
color_orange = color.orange
color_blue = color.blue
color_white = color.white

// *************WF*************
// Define "n" as the number of periods and keep a minimum value of 2 for error handling.
n = input(title="Fractal Periods", defval=2, minval=2, type=input.integer, group="Williams Fractals")

// UpFractal
bool upflagDownFrontier = true
bool upflagUpFrontier0 = true
bool upflagUpFrontier1 = true
bool upflagUpFrontier2 = true
bool upflagUpFrontier3 = true
bool upflagUpFrontier4 = true

for i = 1 to n
    upflagDownFrontier := upflagDownFrontier and (high[n-i] < high[n])
    upflagUpFrontier0 := upflagUpFrontier0 and (high[n+i] < high[n])
    upflagUpFrontier1 := upflagUpFrontier1 and (high[n+1] <= high[n] and high[n+i + 1] < high[n])
    upflagUpFrontier2 := upflagUpFrontier2 and (high[n+1] <= high[n] and high[n+2] <= high[n] and high[n+i + 2] < high[n])
    upflagUpFrontier3 := upflagUpFrontier3 and (high[n+1] <= high[n] and high[n+2] <= high[n] and high[n+3] <= high[n] and high[n+i + 3] < high[n])
    upflagUpFrontier4 := upflagUpFrontier4 and (high[n+1] <= high[n] and high[n+2] <= high[n] and high[n+3] <= high[n] and high[n+4] <= high[n] and high[n+i + 4] < high[n])
flagUpFrontier = upflagUpFrontier0 or upflagUpFrontier1 or upflagUpFrontier2 or upflagUpFrontier3 or upflagUpFrontier4

upFractal = (upflagDownFrontier and flagUpFrontier)

// downFractal
bool downflagDownFrontier = true
bool downflagUpFrontier0 = true
bool downflagUpFrontier1 = true
bool downflagUpFrontier2 = true
bool downflagUpFrontier3 = true
bool downflagUpFrontier4 = true

for i = 1 to n
    downflagDownFrontier := downflagDownFrontier and (low[n-i] > low[n])
    downflagUpFrontier0 := downflagUpFrontier0 and (low[n+i] > low[n])
    downflagUpFrontier1 := downflagUpFrontier1 and (low[n+1] >= low[n] and low[n+i + 1] > low[n])
    downflagUpFrontier2 := downflagUpFrontier2 and (low[n+1] >= low[n] and low[n+2] >= low[n] and low[n+i + 2] > low[n])
    downflagUpFrontier3 := downflagUpFrontier3 and (low[n+1] >= low[n] and low[n+2] >= low[n] and low[n+3] >= low[n] and low[n+i + 3] > low[n])
    downflagUpFrontier4 := downflagUpFrontier4 and (low[n+1] >= low[n] and low[n+2] >= low[n] and low[n+3] >= low[n] and low[n+4] >= low[n] and low[n+i + 4] > low[n])
flagDownFrontier = downflagUpFrontier0 or downflagUpFrontier1 or downflagUpFrontier2 or downflagUpFrontier3 or downflagUpFrontier4

downFractal = (downflagDownFrontier and flagDownFrontier)

plotshape(downFractal and show_fractals, style=shape.triangleup, location=location.belowbar, offset=-n, color=color_green)
plotshape(upFractal and show_fractals, style=shape.triangledown, location=location.abovebar, offset=-n, color=color_red)

// *************EMA*************
len_a = input(20, minval=1, title="EMA Length A", group="EMA")
src_a = input(close, title="EMA Source A", group="EMA")
offset_a = input(title="EMA Offset A", type=input.integer, defval=0, minval=-500, maxval=500, group="EMA")
out_a = ema(src_a, len_a)
plot(show_ema ? out_a : na, title="EMA A", color=color_green, offset=offset_a)

len_b = input(50, minval=1, title="EMA Length B", group="EMA")
src_b = input(close, title="EMA Source B", group="EMA")
offset_b = input(title="EMA Offset B", type=input.integer, defval=0, minval=-500, maxval=500, group="EMA")
out_b = ema(src_b, len_b)
ema_b_color = (theme == "dark") ? color_yellow : color_orange
plot(show_ema ? out_b : na, title="EMA B", color=ema_b_color, offset=offset_b)

len_c = input(100, minval=1, title="EMA Length C", group="EMA")
src_c = input(close, title="EMA Source C", group="EMA")
offset_c = input(title="EMA Offset C", type=input.integer, defval=0, minval=-500, maxval=500, group="EMA")
out_c = ema(src_c, len_c)
ema_c_color = (theme == "dark") ? color_white : color_blue
plot(show_ema ? out_c : na, title="EMA C", color=ema_c_color, offset=offset_c)

// *************RSI*************
rsi_len = input(14, minval=1, title="RSI Length", group="RSI")
rsi_src = input(close, "RSI Source", type = input.source, group="RSI")
up = rma(max(change(rsi_src), 0), rsi_len)
down = rma(-min(change(rsi_src), 0), rsi_len)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))

// *************Calculation*************
long = (out_a > out_b) and (out_a > out_c) and downFractal and low[2] > out_c and rsi[2] < rsi
short = (out_a < out_b) and (out_a < out_c) and upFractal and high[2] < out_c and rsi[2] > rsi

plotshape(long, style=shape.labelup, color=color_green, location=location.belowbar, title="long label", text= "L", textcolor=color_white)
plotshape(short, style=shape.labeldown, color=color_red, location=location.abovebar, title="short label", text= "S", textcolor=color_white)

// *************End of Signals calculation*************

// Make input options that configure backtest date range
startDate = input(title="Start Date", type=input.integer,
     defval=1, minval=1, maxval=31, group="Orders")
startMonth = input(title="Start Month", type=input.integer,
     defval=1, minval=1, maxval=12, group="Orders")
startYear = input(title="Start Year", type=input.integer,
     defval=2018, minval=1800, maxval=2100, group="Orders")

endDate = input(title="End Date", type=input.integer,
     defval=1, minval=1, maxval=31, group="Orders")
endMonth = input(title="End Month", type=input.integer,
     defval=12, minval=1, maxval=12, group="Orders")
endYear = input(title="End Year", type=input.integer,
     defval=2022, minval=1800, maxval=2100, group="Orders")

// Look if the close time of the current bar
// falls inside the date range
inDateRange =  true

// Make inputs that set the take profit % (optional)
longProfitPerc = input(title="Long Take Profit (%)",
     type=input.float, minval=0.0, step=0.1, defval=0.5, group="Orders") * 0.01

shortProfitPerc = input(title="Short Take Profit (%)",
     type=input.float, minval=0.0, step=0.1, defval=0.5, group="Orders") * 0.01

// Figure out take profit price
longExitPrice  = strategy.position_avg_price * (1 + longProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - shortProfitPerc)

// Plot take profit values for confirmation
plot(series=(strategy.position_size > 0) ? longExitPrice : na,
     color=color_green, style=plot.style_circles,
     linewidth=1, title="Long Take Profit")
plot(series=(strategy.position_size < 0) ? shortExitPrice : na,
     color=color_green, style=plot.style_circles,
     linewidth=1, title="Short Take Profit")

// Submit entry orders
if (inDateRange and long and strategy.opentrades == 0)
    strategy.entry(id="Long", long=true)

if (inDateRange and short and strategy.opentrades == 0)
    strategy.entry(id="Short", long=false)

// Submit exit orders based on take profit price
// if (strategy.position_size > 0)
//     strategy.exit(id="LTP", limit=longExitPrice)

// if (strategy.position_size < 0)
//     strategy.exit(id="STP", limit=shortExitPrice)
    
// Set stop loss level with input options (optional)
longLossPerc = input(title="Long Stop Loss (%)",
     type=input.float, minval=0.0, step=0.1, defval=3.1, group="Orders") * 0.01

shortLossPerc = input(title="Short Stop Loss (%)",
     type=input.float, minval=0.0, step=0.1, defval=3.1, group="Orders") * 0.01

// Determine stop loss price
longStopPrice  = strategy.position_avg_price * (1 - longLossPerc)
shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)

// Plot stop loss values for confirmation
plot(series=(strategy.position_size > 0) ? longStopPrice : na,
     color=color_red, style=plot.style_cross,
     linewidth=1, title="Long Stop Loss")
plot(series=(strategy.position_size < 0) ? shortStopPrice : na,
     color=color_red, style=plot.style_cross,
     linewidth=1, title="Short Stop Loss")

// Submit exit orders based on calculated stop loss price
if (strategy.position_size > 0)
    strategy.exit(id="ExL",limit=longExitPrice, stop=longStopPrice)

if (strategy.position_size < 0)
    strategy.exit(id="ExS", limit=shortExitPrice, stop=shortStopPrice)

// Exit open market position when date range ends
if (not inDateRange)
    strategy.close_all()

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