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2. Hybride quantitative Handelsstrategie mit zwei Indikatoren

Hybride quantitative Handelsstrategie mit zwei Indikatoren

Schriftsteller:ChaoZhang, Datum: 2023-12-20 10:31:06
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/*backtest
start: 2023-11-19 00:00:00
end: 2023-12-19 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
// Indicator to combines:
//           Trend Channel[Gu5] (SMA 200) +
//           EMA's cross  (26, 50 ) +
//           Golden Cross (50, 200)
// Author: @gu5tavo71 08/2019
// v2.3.6, 2022.02.18
// Trend Channel [Gu5] // Author: @gu5tavo71 08/2019
//
// This source code is subject to these terms:
// Attribution-NonCommercial 4.0 International (CC BY-NC 4.0)
// https://www.safecreative.org/work/2202190517452-mix1-ema-cross-trend-channel-gu5-
// You are free to:
// Share, copy and redistribute this script
// Adapt, transform and build on this script
// Under the following terms:
// Non-commercial: You cannot sell my indicator. You can't sell my work.
// Attribution: If you post part of my code, you must give me proper credit
//
// I am using part of this code published by @PineCoders and Public Library
// Disclaimer: I am not a financial advisor.
//             For purpose educate only. Use at your own risk.
strategy(title = 'Mix1 : Ema Cross + Trend Channel [Gu5] - Backtest', shorttitle = 'Mix01', overlay = true,
  initial_capital = 100,
  default_qty_value = 100,
  default_qty_type = strategy.percent_of_equity,
  commission_value = 0.075,
  commission_type = strategy.commission.percent,
  format = format.price,
  precision = 2,
  process_orders_on_close = true)


// ---------   Inputs                       "=============================="           |
i_maSrc      = input.source     (close,     'MA Source'                     , group    = 'EMAs')
i_maFast1    = input.int        (26,        'EMA Fast'                      , group    = 'EMAs')
i_maFast2    = input.int        (50,        'EMA Medium'                    , group    = 'EMAs')
i_maLen      = input.int        (200,       'MA Trend'                      , group    = 'Trend Channel')
o_maLen1     =                              'EMA'
o_maLen2     =                              'SMA'
i_maLenSel   = input.string     (o_maLen2,  'MA Type'                       , group    = 'Trend Channel',
               options = [o_maLen1, o_maLen2],
               tooltip = "EMA or SMA")
i_htf        = input.timeframe  ('',        'Select Higher Timeframe'       , tooltip  = 'Only for MA Trend'  , group    = 'Trend Channel')
i_rangeLen   = input.float      (0.618,     'Channel Range Length'          , tooltip  = 'ATR of the MA Trend', group    = 'Trend Channel')
i_slOn       = input.bool       (false,     '■ Stop Loss On/Off'            , group    = 'Stop Loss')
i_sl         = input.float      (2.618,     'SL %'                          , step     = 0.1, group    = 'Stop Loss')
i_periodSw   = input.bool       (true,      '■ Period On/Off'               , group    = 'Period')
o_start      = timestamp        (           '2020-01-01 00:00 GMT-3'        )
o_end        = timestamp        (           '2099-12-31 00:00 GMT-3'        )
i_periodStar = input       (o_start,   'Start Time'                    , group    = 'Period')
i_periodEnd  = input       (o_end,     'End Time'                      , group    = 'Period')
o_posSel1    =                              'Only Long'
o_posSel2    =                              'Only Short'
o_posSel3    =                              'Both'
i_posSel     = input.string     (o_posSel3, 'Position Type'                 , group   = 'Strategy',
               options = [o_posSel1, o_posSel2, o_posSel3],
               tooltip = "Only Long, Only short or Both")
o_typeS1     =                              'Strategy 1'
o_typeS2     =                              'Strategy 2'
i_typeS      = input.string     (o_typeS2,  'Strategy Type'                 , group   = 'Strategy',
               options = [o_typeS1, o_typeS2],
               tooltip = "Strategy 1:\nLong, when the price (close) crosses the ema.\nStrategy 2:\nLong, only when ema goes up")
i_barColOn   = input.bool       (true,      '■ Bar Color On/Off'            , group   = 'Display')
i_alertOn    = input.bool       (false,     '■ Alert On/Off'                , group   = 'Display')
i_channelOn  = input.bool       (false,     '■ Channel Range On/Off'        , tooltip = 'If the price (close) is over than the channel, the trend is bullish. If the price is under, bearish. And if the price is in the channel, it is in range', group   = 'Display')
i_goldenOn   = input.bool       (false,     '■ Golden Cross On/Off'         )
o_alert      =                              '{{strategy.order.comment}}'
i_alert      = input.string     (o_alert,   'Setting alert'                 , tooltip = 'For Alerts, just copy {{strategy.order.comment}} and paste in alert window.', group   = 'Display')

// ---------   Calculations
maFast1      = ta.ema(i_maSrc, i_maFast1)
maFast2      = ta.ema(i_maSrc, i_maFast2)
maDir        = maFast1 > maFast2 ? 1 : -1
maTrend      = request.security(syminfo.tickerid, i_htf,
               i_maLenSel == "SMA" ? ta.sma(close, i_maLen)[1] : ta.ema(close, i_maLen)[1],
               lookahead = barmerge.lookahead_on)  //No repaint
maTrendDir   = i_maSrc >= maTrend ? 1 : -1
rangeAtr     = ta.atr(i_maLen) * i_rangeLen
rangeTop     = maTrend + rangeAtr
rangeBot     = maTrend - rangeAtr
rangeCh      = (open <= rangeTop or close <= rangeTop) and
               (open >= rangeBot or close >= rangeBot)
trendDir     = i_typeS  ==  'Strategy 1'                            ?
               rangeCh                                                ?  0 :
               maTrendDir ==  1 and maDir ==  1 and maTrend > maFast2 ?  0 :
               maTrendDir == -1 and maDir == -1 and maTrend < maFast2 ?  0 :
               maTrendDir ==  1 and maDir ==  1                       ?  1 :
               maTrendDir == -1 and maDir == -1                       ? -1 : 0 :
               rangeCh                                                ?  0 :
               maTrendDir ==  1 and maDir ==  1                       ?  1 :
               maTrendDir == -1 and maDir == -1                       ? -1 : 0
GCross       = i_goldenOn ? ta.crossover (maFast2, maTrend) : na
DCross       = i_goldenOn ? ta.crossunder(maFast2, maTrend) : na

period       = true
// Set initial values
condition    = 0.0
entryLong    = trendDir ==  1 and
               i_posSel != 'Only Short' and
               (i_periodSw ? period : true)
entryShort   = trendDir == -1 and
               i_posSel != 'Only Long' and
               (i_periodSw ? period : true)
exitLong     = (trendDir !=  1 or maDir == -1) and
               condition[1] == 1 and 
               i_posSel != 'Only Short' and
               (i_periodSw ? period : true)
exitShort    = (trendDir != -1 or maDir ==  1) and
               condition[1] == -1 and
               i_posSel != 'Only Long' and
               (i_periodSw ? period : true)
closeCond    = exitLong or exitShort
// Stop Loss (sl)
slEntry      = close * i_sl / 100
slTop        = close + slEntry
slBot        = close - slEntry
slTopBuff    = ta.valuewhen(condition[1] !=  1 and entryLong,  slBot, 0)
slBotBuff    = ta.valuewhen(condition[1] != -1 and entryShort, slTop, 0)
slLine       = condition[1] == -1 and entryLong  ? slTopBuff :
               condition[1] ==  1 and entryShort ? slBotBuff :
               condition[1] ==  1  or entryLong  ? slTopBuff :
               condition[1] == -1  or entryShort ? slBotBuff : na
slTopCross   = condition[1] ==  1 and ta.crossunder(close, slLine) or high > slLine and low < slLine
slBotCross   = condition[1] == -1 and ta.crossover (close, slLine) or high > slLine and low < slLine
slExit       = i_slOn ? slTopCross or slBotCross : na
// Conditions
condition   := condition[1] !=  1 and entryLong  ?  1 :
               condition[1] != -1 and entryShort ? -1 :
               condition[1] !=  0 and slExit     ?  0 :
               condition[1] !=  0 and exitLong   ?  0 :
               condition[1] !=  0 and exitShort  ?  0 : nz(condition[1])
long         = condition[1] !=  1 and condition ==  1
short        = condition[1] != -1 and condition == -1
xl           = condition[1] ==  1 and exitLong and not slExit
xs           = condition[1] == -1 and exitShort and not slExit
sl           = condition[1] !=  0 and slExit

// ---------   Colors
c_green      = #006400  //Green
c_greenLight = #388e3c  //Green Light
c_red        = #8B0000  //Red
c_redLight   = #b71c1c  //Red Light
c_emas       = xl                             ? color.new(color.orange, 99) :
               xs                             ? color.new(color.orange, 99) :
               trendDir ==  1 and maDir ==  1 ? color.new(c_green,      99) :
               trendDir == -1 and maDir == -1 ? color.new(c_red,        99) :
               color.new(color.orange, 99)
c_maFill     = xl                             ? color.new(color.orange, 70) :
               xs                             ? color.new(color.orange, 70) :
               trendDir ==  1 and maDir ==  1 ? color.new(c_green,      70) :
               trendDir == -1 and maDir == -1 ? color.new(c_red,        70) :
               color.new(color.orange, 70)
c_maTrend    = trendDir ==  0                           ? color.new(color.orange,  0) :
               trendDir ==  1 and maTrend[1]  < maTrend ? color.new(c_green,       0) :
               trendDir ==  1 and maTrend[1] >= maTrend ? color.new(c_greenLight,  0) :
               trendDir == -1 and maTrend[1]  < maTrend ? color.new(c_redLight,    0) :
               trendDir == -1 and maTrend[1] >= maTrend ? color.new(c_red,         0) : na
c_ch         = trendDir ==  0                           ? color.new(color.orange, 50) :
               trendDir ==  1                           ? color.new(c_green,      50) :
               trendDir == -1                           ? color.new(c_red,        50) : na
c_slLineUp   = ta.rising (slLine, 1)
c_slLineDn   = ta.falling(slLine, 1)
c_slLine     = c_slLineUp ? na :
               c_slLineDn ? na : color.red
c_barCol     = trendDir ==  0                   ? color.new(color.orange,  0) :
               trendDir ==  1 and open <= close ? color.new(c_green,       0) :
               trendDir ==  1 and open  > close ? color.new(c_greenLight,  0) :
               trendDir == -1 and open >= close ? color.new(c_red,         0) :
               trendDir == -1 and open  < close ? color.new(c_redLight,    0) :
               color.new(color.orange, 0)

// ---------   Plots
p_maFast1    = plot(
  maFast1,
  title      = 'EMA Fast 1',
  color      = c_emas,
  linewidth  = 1)
p_maFast2    = plot(
  maFast2,
  title      = 'EMA Fast 2',
  color      = c_emas,
  linewidth  = 2)
fill(
  p_maFast1, p_maFast2,
  title      = 'EMAs Fill',
  color      = c_maFill)
plot(
  maTrend,
  title      = 'SMA Trend',
  color      = c_maTrend,
  linewidth  = 3)
p_chTop      = plot(
  i_channelOn   ? rangeTop : na,
  title      = 'Top Channel',
  color      = c_maTrend,
  linewidth  = 1)
p_chBot      = plot(
  i_channelOn   ? rangeBot : na,
  title      = 'Bottom Channel',
  color      = c_maTrend,
  linewidth  = 1)
fill(
  p_chTop, p_chBot,
  title      = 'Channel',
  color      = c_ch)
plot(
  i_slOn and condition != 0 ? slLine : na,
  title      = 'Stop Loss Line',
  color      = c_slLine,
  linewidth  = 1,
  style      = plot.style_linebr)

// ---------   Alerts
barcolor(i_barColOn ? c_barCol : na)

plotshape(
  i_alertOn and long ? high : na,
  title      = 'Long Label',
  text       = 'Long',
  textcolor  = color.white,
  color      = color.new(c_green, 0),
  style      = shape.labelup,
  size       = size.normal,
  location   = location.belowbar)
plotshape(
  i_alertOn and short ? low : na,
  title      = 'Short Label',
  text       = 'Short',
  textcolor  = color.white,
  color      = color.new(c_red, 0),
  style      = shape.labeldown,
  size       = size.normal,
  location   = location.abovebar)
plotshape(
  i_alertOn and (xl or xs) ? close : na,
  title      = 'Close Label',
  text       = 'Close',
  textcolor  = color.orange,
  color      = color.new(color.orange, 0),
  style      = shape.xcross,
  size       = size.small,
  location   = location.absolute)
plotshape(
  i_alertOn and sl ? slLine : na,
  title      = 'Stop Loss',
  text       = 'Stop\nLoss',
  textcolor  = color.orange,
  color      = color.new(color.orange, 0),
  style      = shape.xcross,
  size       = size.small,
  location   = location.absolute)
plotshape(
  i_alertOn and i_goldenOn and GCross ? maTrend : na,
  title      = 'Golden Cross Label',
  text       = 'Golden\nCross',
  textcolor  = color.white,
  color      = color.new(color.orange, 0),
  style      = shape.labelup,
  size       = size.normal,
  location   = location.absolute)
plotshape(
  i_alertOn and i_goldenOn and DCross ? maTrend : na,
  title      = 'Death Cross Label',
  text       = 'Death\nCross',
  textcolor  = color.white,
  color      = color.new(color.orange, 0),
  style      = shape.labeldown,
  size       = size.normal,
  location   = location.absolute)

bgcolor(
  i_periodSw and not period ? color.new(color.gray, 90) : na,
  title      = 'Session')

// ---------   Backtest
if long  and strategy.position_size == 0 and barstate.isconfirmed
    strategy.entry('Long',  strategy.long,  comment = 'long')
if short and strategy.position_size == 0 and barstate.isconfirmed
    strategy.entry('Short', strategy.short, comment = 'short')
strategy.exit(
  id         = 'XL',
  from_entry = 'Long',
  stop       = i_slOn ? slLine : na)
strategy.exit(
  id         = 'XS',
  from_entry = 'Short',
  stop       = i_slOn ? slLine : na)
strategy.close(
  'Long',
  comment    = 'Close',
  when       = xl)
strategy.close(
  'Short',
  comment    = 'Close',
  when = xs)

---

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