基于订单块的动量突破策略

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 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/
// © TradingSecrets and wugamlo


// This experimental Indicator helps identifying instituational Order Blocks. 
// Often these blocks signal the beginning of a strong move, but there is a significant probability that these price levels will be revisited at a later point in time again. 
// Therefore these are interesting levels to place limit orders (Buy Orders for Bullish OB / Sell Orders for Bearish OB). 
//
// A Bullish Order block is defined as the last down candle before a sequence of up candles. (Relevant price range "Open" to "Low" is marked)  / Optionally full range "High" to "Low"
// A Bearish Order Block is defined as the last up candle before a sequence of down candles. (Relevant price range "Open" to "High" is marked) / Optionally full range "High" to "Low"
//
// In the settings the number of required sequential candles can be adjusted. 
// Furthermore a %-threshold can be entered. It defines which %-change the sequential move needs to achieve in order to identify a relevant Order Block. 
// Channels for the last Bullish/Bearish Block can be shown/hidden.
//
// In addition to the upper/lower limits of each Order Block, also the equlibrium (average value) is marked as this is an interesting area for price interaction.
//
// Alerts added: Alerts fire when an Order Block is detected. The delay is based on the "Relevant Periods" input. Means with the default setting "5" the alert will trigger after the 
// number of consecutive candles is reached.



//@version=4
strategy("[Backtest] Order Block Finder", overlay = true)               

colors    = input(title = "Color Scheme", defval="DARK", options=["DARK", "BRIGHT"])
periods   = input(5,     "Relevant Periods to identify OB")                // Required number of subsequent candles in the same direction to identify Order Block
threshold = input(0.0,   "Min. Percent move to identify OB", step = 0.1)   // Required minimum % move (from potential OB close to last subsequent candle to identify Order Block)
usewicks  = input(false, "Use whole range [High/Low] for OB marking?" )    // Display High/Low range for each OB instead of Open/Low for Bullish / Open/High for Bearish
showbull  = input(false,  "Show latest Bullish Channel?")                   // Show Channel for latest Bullish OB?
showbear  = input(false,  "Show latest Bearish Channel?")                   // Show Channel for latest Bearish OB?
showdocu  = input(false, "Show Label for documentation tooltip?")          // Show Label which shows documentation as tooltip?
info_pan  = input(false, "Show Latest OB Panel?")                          // Show Info Panel with latest OB Stats
//strategy inputs
plot_offset = input( type=input.bool,defval = false, title = 'Plot Offset?')
stoploss_percent = input(type=input.float, defval = 1, title = 'Stop Loss [%]')
takeprofit_percent = input(type=input.float, defval = 2, title = 'Take Profit [%]')
pyramiding = input( type=input.bool,defval = true, title = 'Pyramiding')

ob_period = periods + 1                                                    // Identify location of relevant Order Block candle
absmove   = ((abs(close[ob_period] - close[1]))/close[ob_period]) * 100    // Calculate absolute percent move from potential OB to last candle of subsequent candles
relmove   = absmove >= threshold                                           // Identify "Relevant move" by comparing the absolute move to the threshold

// Color Scheme
bullcolor = colors == "DARK"? color.white : color.green
bearcolor = colors == "DARK"? color.blue : color.red

// Bullish Order Block Identification
bullishOB = close[ob_period] < open[ob_period]                             // Determine potential Bullish OB candle (red candle)

int upcandles  = 0
for i = 1 to periods
    upcandles := upcandles + (close[i] > open[i]? 1 : 0)                   // Determine color of subsequent candles (must all be green to identify a valid Bearish OB)

OB_bull      = bullishOB and (upcandles == (periods)) and relmove          // Identification logic (red OB candle & subsequent green candles)
OB_bull_high = OB_bull? usewicks? high[ob_period] : open[ob_period] : na   // Determine OB upper limit (Open or High depending on input)
OB_bull_low  = OB_bull? low[ob_period]  : na                               // Determine OB lower limit (Low)
OB_bull_avg  = (OB_bull_high + OB_bull_low)/2                              // Determine OB middle line


// Bearish Order Block Identification
bearishOB = close[ob_period] > open[ob_period]                             // Determine potential Bearish OB candle (green candle)

int downcandles  = 0
for i = 1 to periods
    downcandles := downcandles + (close[i] < open[i]? 1 : 0)               // Determine color of subsequent candles (must all be red to identify a valid Bearish OB)

OB_bear      = bearishOB and (downcandles == (periods)) and relmove        // Identification logic (green OB candle & subsequent green candles)
OB_bear_high = OB_bear? high[ob_period] : na                               // Determine OB upper limit (High)
OB_bear_low  = OB_bear? usewicks? low[ob_period] : open[ob_period] : na    // Determine OB lower limit (Open or Low depending on input)
OB_bear_avg  = (OB_bear_low + OB_bear_high)/2                              // Determine OB middle line

//@TradingSecrets: Option to disable the offset in order to allign signals with Backtest
if not plot_offset
    ob_period := 0
// Plotting
plotshape(OB_bull, title="Bullish OB", style = shape.triangleup,   color = bullcolor, textcolor = bullcolor, size = size.tiny, location = location.belowbar, offset = -ob_period, text = "Bullish OB")     // Bullish OB Indicator
bull1 = plot(OB_bull_high, title="Bullish OB High", style = plot.style_linebr, color = bullcolor, offset = -ob_period, linewidth = 3)                                               // Bullish OB Upper Limit
bull2 = plot(OB_bull_low,  title="Bullish OB Low",  style = plot.style_linebr, color = bullcolor, offset = -ob_period, linewidth = 3)                                               // Bullish OB Lower Limit
fill(bull1, bull2, color=bullcolor, transp = 0, title = "Bullish OB fill")                                                                                                          // Fill Bullish OB
plotshape(OB_bull_avg, title="Bullish OB Average", style = shape.cross,   color = bullcolor, size = size.normal, location = location.absolute, offset = -ob_period)                 // Bullish OB Average


plotshape(OB_bear, title="Bearish OB", style = shape.triangledown, color = bearcolor, textcolor = bearcolor,  size = size.tiny, location = location.abovebar, offset = -ob_period, text = "Bearish OB")     // Bearish OB Indicator
bear1 = plot(OB_bear_low,  title="Bearish OB Low",  style = plot.style_linebr, color = bearcolor, offset = -ob_period, linewidth = 3)                                                // Bearish OB Lower Limit
bear2 = plot(OB_bear_high, title="Bearish OB High", style = plot.style_linebr, color = bearcolor, offset = -ob_period, linewidth = 3)                                                // Bearish OB Upper Limit
fill(bear1, bear2, color=bearcolor, transp = 0, title = "Bearish OB fill")                                                                                                           // Fill Bearish OB
plotshape(OB_bear_avg, title="Bearish OB Average", style = shape.cross,   color = bearcolor, size = size.normal, location = location.absolute, offset = -ob_period)                  // Bullish OB Average

var line linebull1 = na       // Bullish OB average 
var line linebull2 = na       // Bullish OB open
var line linebull3 = na       // Bullish OB low
var line linebear1 = na       // Bearish OB average
var line linebear2 = na       // Bearish OB high
var line linebear3 = na       // Bearish OB open


if OB_bull and showbull
    line.delete(linebull1)
    linebull1 := line.new(x1 = bar_index, y1 = OB_bull_avg, x2 = bar_index - 1, y2 = OB_bull_avg, extend = extend.left, color = bullcolor, style = line.style_solid, width = 1)
    
    line.delete(linebull2)
    linebull2 := line.new(x1 = bar_index, y1 = OB_bull_high, x2 = bar_index - 1, y2 = OB_bull_high, extend = extend.left, color = bullcolor, style = line.style_dashed, width = 1)
    
    line.delete(linebull3)
    linebull3 := line.new(x1 = bar_index, y1 = OB_bull_low, x2 = bar_index - 1, y2 = OB_bull_low, extend = extend.left, color = bullcolor, style = line.style_dashed, width = 1)

if OB_bear and showbear
    line.delete(linebear1)
    linebear1 := line.new(x1 = bar_index, y1 = OB_bear_avg, x2 = bar_index - 1, y2 = OB_bear_avg, extend = extend.left, color = bearcolor,  style = line.style_solid, width = 1)
    
    line.delete(linebear2)
    linebear2 := line.new(x1 = bar_index, y1 = OB_bear_high, x2 = bar_index - 1, y2 = OB_bear_high, extend = extend.left, color = bearcolor,  style = line.style_dashed, width = 1)
    
    line.delete(linebear3)
    linebear3 := line.new(x1 = bar_index, y1 = OB_bear_low, x2 = bar_index - 1, y2 = OB_bear_low, extend = extend.left, color = bearcolor,  style = line.style_dashed, width = 1)


// Alerts for Order Blocks Detection

alertcondition(OB_bull, title='New Bullish OB detected', message='New Bullish OB detected - This is NOT a BUY signal!')
alertcondition(OB_bear, title='New Bearish OB detected', message='New Bearish OB detected - This is NOT a SELL signal!')

// Print latest Order Blocks in Data Window

var latest_bull_high = 0.0         // Variable to keep latest Bull OB high
var latest_bull_avg  = 0.0         // Variable to keep latest Bull OB average
var latest_bull_low  = 0.0         // Variable to keep latest Bull OB low
var latest_bear_high = 0.0         // Variable to keep latest Bear OB high
var latest_bear_avg  = 0.0         // Variable to keep latest Bear OB average
var latest_bear_low  = 0.0         // Variable to keep latest Bear OB low

// Assign latest values to variables
if OB_bull_high > 0
    latest_bull_high := OB_bull_high

if OB_bull_avg > 0
    latest_bull_avg := OB_bull_avg

if OB_bull_low > 0
    latest_bull_low := OB_bull_low

if OB_bear_high > 0
    latest_bear_high := OB_bear_high
    
if OB_bear_avg > 0
    latest_bear_avg := OB_bear_avg
    
if OB_bear_low > 0
    latest_bear_low := OB_bear_low

// Plot invisible characters to be able to show the values in the Data Window
plotchar(latest_bull_high, char = ' ', location = location.abovebar, color = #777777, transp = 100, size = size.tiny, title = "Latest Bull High")
plotchar(latest_bull_avg,  char = ' ', location = location.abovebar, color = #777777, transp = 100, size = size.tiny, title = "Latest Bull Avg")
plotchar(latest_bull_low,  char = ' ', location = location.abovebar, color = #777777, transp = 100, size = size.tiny, title = "Latest Bull Low")
plotchar(latest_bear_high, char = ' ', location = location.abovebar, color = #777777, transp = 100, size = size.tiny, title = "Latest Bear High")
plotchar(latest_bear_avg,  char = ' ', location = location.abovebar, color = #777777, transp = 100, size = size.tiny, title = "Latest Bear Avg")
plotchar(latest_bear_low,  char = ' ', location = location.abovebar, color = #777777, transp = 100, size = size.tiny, title = "Latest Bear Low")


//InfoPanel for latest Order Blocks

draw_InfoPanel(_text, _x, _y, font_size)=>
    var label la_panel = na
    label.delete(la_panel)
    la_panel := label.new(
         x=_x, y=_y, 
         text=_text, xloc=xloc.bar_time, yloc=yloc.price, 
         color=color.new(#383838, 5), style=label.style_label_left, textcolor=color.white, size=font_size)

info_panel_x = time_close + round(change(time) * 100)
info_panel_y = close

title = "LATEST ORDER BLOCKS"
row0 = "-----------------------------------------------------"
row1 = ' Bullish - High: ' + tostring(latest_bull_high, '#.##')
row2 = ' Bullish - Avg: ' + tostring(latest_bull_avg, '#.##')
row3 = ' Bullish - Low: ' + tostring(latest_bull_low, '#.##')
row4 = "-----------------------------------------------------"
row5 = ' Bearish - High: ' + tostring(latest_bear_high, '#.##')
row6 = ' Bearish - Avg: ' + tostring(latest_bear_avg, '#.##')
row7 = ' Bearish - Low: ' + tostring(latest_bear_low, '#.##')

panel_text = '\n' + title + '\n' + row0 + '\n' + row1 + '\n' + row2 + '\n' + row3 + '\n' + row4 + '\n\n' + row5 + '\n' + row6 + '\n' + row7 + '\n'

if info_pan
    draw_InfoPanel(panel_text, info_panel_x, info_panel_y, size.normal)


// === Label for Documentation/Tooltip ===
chper = time - time[1]
chper := change(chper) > 0 ? chper[1] : chper

// === Tooltip text ===

var vartooltip = "Indicator to help identifying instituational Order Blocks. Often these blocks signal the beginning of a strong move, but there is a high probability, that these prices will be revisited at a later point in time again and therefore are interesting levels to place limit orders. \nBullish Order block is the last down candle before a sequence of up candles. \nBearish Order Block is the last up candle before a sequence of down candles. \nIn the settings the number of required sequential candles can be adjusted. \nFurthermore a %-threshold can be entered which the sequential move needs to achieve in order to validate a relevant Order Block. \nChannels for the last Bullish/Bearish Block can be shown/hidden."

// === Print Label ===
var label l_docu = na
label.delete(l_docu)

if showdocu
    l_docu := label.new(x = time + chper * 35, y = close, text = "DOCU OB", color=color.gray, textcolor=color.white, style=label.style_label_center, xloc = xloc.bar_time, yloc=yloc.price, size=size.tiny, textalign = text.align_left, tooltip = vartooltip)

// @TradingSecrets: Generate entry and exit orders based on the signals
entryLongSignal = OB_bull
entryShortSignal = OB_bear

if not pyramiding
    entryLongSignal := entryLongSignal and not strategy.position_size
    entryShortSignal := entryShortSignal and not strategy.position_size
if entryLongSignal
    strategy.entry("Long Entry", strategy.long)
    //strategy.exit("Long Exit Loss", "Long Entry", stop = close * (1 - stoploss_percent*0.01))

if entryShortSignal
    strategy.entry("Short Entry", strategy.short)
    //strategy.exit("Short Exit Loss", "Short Entry", stop = close * (1 + stoploss_percent*0.01))
strategy.initial_capital = 50000        
//Close Position by market order
if strategy.position_size > 0 and strategy.openprofit/nz(strategy.initial_capital + strategy.netprofit) >= takeprofit_percent*0.01
    //If I m in a long position and my take profit got hit close it by market order
    strategy.close("Long Entry", comment = "Long Exit Profit")
if strategy.position_size < 0 and strategy.openprofit/nz(strategy.initial_capital + strategy.netprofit) >= takeprofit_percent*0.01
    strategy.close("Short Entry", comment = "Short Exit Profit")

if strategy.position_size > 0 and strategy.openprofit/nz(strategy.initial_capital + strategy.netprofit) <= -stoploss_percent*0.01
    //If I m in a long position and my take profit got hit close it by market order
    strategy.close("Long Entry", comment = "Long Exit Loss")
if strategy.position_size < 0 and strategy.openprofit/nz(strategy.initial_capital + strategy.netprofit) <= -stoploss_percent*0.01
    strategy.close("Short Entry", comment = "Short Exit Loss")

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