1. Quadrat
2. Keltner Channel Trendbasierte Strategie

Keltner Channel Trendbasierte Strategie

Schriftsteller:ChaoZhang, Datum: 2023-11-03 16:59:39
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/*backtest
start: 2022-10-27 00:00:00
end: 2023-11-02 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Original Idea by: Wunderbit Trading

//@version=4
strategy("Keltner Channel ETH/USDT 1H", overlay=true, initial_capital=1000,pyramiding = 0, currency="USD", default_qty_type=strategy.percent_of_equity, default_qty_value=100,  commission_type=strategy.commission.percent,commission_value=0.07)


/// TREND
ribbon_period = input(46, "Period", step=1)

leadLine1 = ema(close, ribbon_period)
leadLine2 = sma(close, ribbon_period)

// p3 = plot(leadLine1, color= #53b987, title="EMA", transp = 50, linewidth = 1)
// p4 = plot(leadLine2, color= #eb4d5c, title="SMA", transp = 50, linewidth = 1)
// fill(p3, p4, transp = 60, color = leadLine1 > leadLine2 ? #53b987 : #eb4d5c)

//Upward Trend
UT=leadLine2 < leadLine1
DT=leadLine2>leadLine1

///////////////////////////////////////INDICATORS

// KELTNER //
source       = close
useTrueRange = input(true)
length       = input(81, step=1, minval=1)
mult         = input(2.5, step=0.1)

// Calculate Keltner Channel
ma      = sma(source, length)
range   = useTrueRange ? tr : high - low
rangema = sma(range, length)
upper = ma + rangema * mult
lower = ma - rangema * mult

plot(ma, title="Middle", color=color.orange)
p1=plot(upper, title="Upper", color=color.orange)
p2=plot(lower, title="Lower", color=color.orange)
fill(p1,p2)


// DMI INDICATOR //
adxlen = 10 // input(10, title="ADX Smoothing")
dilen = input(19, title="DI Length")
keyLevel = 23// input(23, title="key level for ADX")
dirmov(len) =>
	up = change(high)
	down = -change(low)
	truerange = rma(tr, len)
	plus = fixnan(100 * rma(up > down and up > 0 ? up : 0, len) / truerange)
	minus = fixnan(100 * rma(down > up and down > 0 ? down : 0, len) / truerange)
	[plus, minus]

adx(dilen, adxlen) =>
	[plus, minus] = dirmov(dilen)
	sum = plus + minus
	adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
	[adx, plus, minus]

[sig, up, down] = adx(dilen, adxlen)

benchmark=input(title="DMI Benchmark", defval=27, minval=1,step=1)

// plot(sig, color=color.red, title="ADX")
// plot(up, style=plot.style_histogram, color=color.green, title="+DI")
// plot(down, style=plot.style_histogram, color=color.red, title="-DI")
// plot(keyLevel, color=color.white, title="Key Level")

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


////////////////////////////////////////////////////Component Code Start

testStartYear = input(2019, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = input(9999, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

testPeriod() => true
///// Component Code Stop //////////////////////////////////////////

//////////////// STRATEGY EXECUTION //////////////////////////

//LONG SET UP
// Take Profit / Stop Loss
long_tp1_inp = input(4.5, title='Long Take Profit 1 %', step=0.1)/100
long_tp1_qty = input(15, title="Long Take Profit 1 Qty", step=1)

long_tp2_inp = input(20, title='Long Take Profit 2%', step=0.1)/100
long_tp2_qty = input(100, title="Long Take Profit 2 Qty", step=1)

long_take_level_1 = strategy.position_avg_price * (1 + long_tp1_inp)
long_take_level_2 = strategy.position_avg_price * (1 + long_tp2_inp)

long_sl_inp = input(4, title='Long Stop Loss %', step=0.1)/100
long_stop_level = strategy.position_avg_price * (1 - long_sl_inp)


// STRATEGY CONDITION
// LONG
entry_long = ((open > lower and open < upper) and close > upper) and up > down and up > benchmark //  and volume[0] > volume[1]
entry_price_long=valuewhen(entry_long,close,0)
SL_long = entry_price_long * (1 - long_sl_inp)
exit_long = (close < lower) or low < SL_long


// STRATEGY EXECUTION
if testPeriod()

    // LONG
    if UT
        strategy.entry(id="Long", long=true, when=entry_long, comment = "INSERT ENTER LONG COMMAND")
    strategy.exit("TP1","Long", qty_percent=long_tp1_qty, limit=long_take_level_1) // PLACE TAKE PROFIT IN WBT BOT SETTINGS 
    strategy.exit("TP2","Long", qty_percent=long_tp2_qty, limit=long_take_level_2) // PLACE TAKE PROFIT IN WBT BOT SETTINGS
    strategy.close(id="Long", when=exit_long, comment= "INSERT EXIT LONG COMMAND")


//PLOT FIXED SLTP LINE
// LONG POSITION
plot(strategy.position_size > 0 ? long_take_level_1 : na, style=plot.style_linebr, color=color.green, linewidth=1, title="1st Long Take Profit")
plot(strategy.position_size > 0 ? long_take_level_2 : na, style=plot.style_linebr, color=color.green, linewidth=1, title="2nd Long Take Profit")
plot(strategy.position_size > 0 ? long_stop_level : na, style=plot.style_linebr, color=color.red, linewidth=1, title="Long Stop Loss")

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