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)
ldh=plot(donchianHi, "donchianHi")
ldl=plot(donchianLow, "donchianLow")
fill(ldh, ldl)
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