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Meilleure stratégie de super-tendance

Auteur:ChaoZhang est là., Date: 2023-09-09 22:18:31 Je suis désolé
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---

/*backtest
start: 2023-08-09 00:00:00
end: 2023-09-08 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["v_input_4",2]]
*/

//@version=4
//@author=Daveatt

// strategy(title="BEST Supertrend Strategy", shorttitle="Supertrend Strategy", overlay=true, 
//  pyramiding=0, default_qty_value=100, precision=7, currency=currency.USD,
//  commission_value=0.2,commission_type=strategy.commission.percent, initial_capital=1000000)


///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
/////////////////////////// Strategy Component /////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

orderType = input("Longs+Shorts",title="What type of Orders", options=["Longs+Shorts","LongsOnly","ShortsOnly"])
isLong   = (orderType != "ShortsOnly")
isShort  = (orderType != "LongsOnly")

// SMA
fastLength = input(7, title="Fast Length SMA")
slowLength = input(20, title="Slow Length SMA")

///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////// SUPERTREND /////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

Factor=input(3,title="[ST] Factor", minval=1,maxval = 100, type=input.float)
Pd=input(3, title="[ST] PD", minval=1,maxval = 100)
TF=input("daily", title="Supertrend timeframe", options=["daily","weekly","monthly","quartly","yearly"])

//////////////////////////
//* COLOR CONSTANTS *//
//////////////////////////

AQUA = #00FFFFFF
BLUE = #0000FFFF
RED  = #FF0000FF
LIME = #00FF00FF
GRAY = #808080FF
DARKRED   = #8B0000FF
DARKGREEN = #006400FF
GOLD = #FFD700
WHITE = color.white

// Plots
GREEN_LIGHT     = color.new(color.green, 40)
RED_LIGHT       = color.new(color.red, 40) 
BLUE_LIGHT      = color.new(color.aqua, 40)
PURPLE_LIGHT    = color.new(color.purple, 40) 


///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
/////////////////////// SUPERTREND DETECTION //////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

f_supertrend(Factor, Pd) =>

    Up=hl2-(Factor*atr(Pd))
    Dn=hl2+(Factor*atr(Pd))
    
    TrendUp = 0.0
    TrendUp := close[1]>TrendUp[1] ? max(Up,TrendUp[1]) : Up
    TrendDown = 0.0
    TrendDown := close[1]<TrendDown[1]? min(Dn,TrendDown[1]) : Dn
    Trend = 0.0
    Trend := close > TrendDown[1] ? 1: close< TrendUp[1]? -1: nz(Trend[1],1)
    Tsl = Trend==1? TrendUp: TrendDown

    Tsl

st_tsl = f_supertrend(Factor, Pd)

///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
////////////////////////// MULTI TIMEFRAMES CALCS /////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////


f_securitys(_ticker, _source)=>

    daily = security(_ticker, 'D', _source[1], lookahead=true)
    weekly = security(_ticker, 'W', _source[1], lookahead=true)
    montly = security(_ticker, 'M', _source[1], lookahead=true)
    quarterly = security(_ticker, '3M', _source[1], lookahead=true)
    yearly = security(_ticker, '12M', _source[1], lookahead=true)

    [daily, weekly, montly, quarterly, yearly]


[st_daily, st_weekly, st_monthly, st_quarterly, st_yearly] = f_securitys(syminfo.tickerid, st_tsl)

lapos_x = timenow + round(change(time)*50)
lapos_y = close

down_arrows_text = "▼" + " " + "▼" + " " + "▼" + " " + "▼" + " " + "▼" + " " + "▼" + " " + "▼" + "\n"

// Drawing function designed by RicardoSantos.
f_draw_infopanel(_x, _y, _color, _line, _text)=>
    _rep_text = ""
    for _l = 0 to _line
        _rep_text := _rep_text + "\n"
    _rep_text := _rep_text + _text

    var label _la = na
    label.delete(_la)
    _la := label.new(x=_x, y=_y, text=_rep_text, xloc=xloc.bar_time, yloc=yloc.price, 
     color=#C1CADE,  textcolor=_color, size=size.normal)

// Using the JustUncleL reverse order trick
f_draw_infopanel(lapos_x, lapos_y, color.olive,                 12, "╚═══════════════════════╝")
f_draw_infopanel(lapos_x, lapos_y, color.new(color.red, 20),    10,  "Yearly : " + tostring(round(st_yearly)))
f_draw_infopanel(lapos_x, lapos_y, color.new(color.purple, 20), 8,  "Quarterly : " + tostring(round(st_quarterly)))
f_draw_infopanel(lapos_x, lapos_y, color.new(color.green, 20),  6,  "Monthly : " + tostring(round(st_monthly)))
f_draw_infopanel(lapos_x, lapos_y, color.new(color.blue, 20),   4,  "Weekly : " +  tostring(round(st_weekly)))
f_draw_infopanel(lapos_x, lapos_y, color.new(color.green, 20),  2,  "Daily : " +  tostring(round(st_daily)))
f_draw_infopanel(lapos_x, lapos_y, color.olive,                 0,  "╔═════ Supertrend (" + tostring(Factor) + "," + tostring(Pd) + ") ═════╗")

IS_DAILY = TF == "daily"
IS_WEEKLY = TF == "weekly"
IS_MONTHLY = TF == "monthly"
IS_QUARTERLY = TF == "quarterly"
IS_YEARLY = TF == "yearly"

// select right supertrend
st_tsl_TF = iff(IS_DAILY, st_daily,
 iff(IS_WEEKLY, st_weekly,
 iff(IS_MONTHLY, st_monthly,
 iff(IS_QUARTERLY, st_quarterly,
 iff(IS_YEARLY, st_yearly, st_daily)))))



// hard exit
sma_fast = sma(close, fastLength)
sma_slow = sma(close, slowLength)
long_exit     = crossunder(sma_fast,sma_slow)
short_exit    = crossover(sma_fast,sma_slow)

// MA Cross
curr = 0 - barssince(long_exit) + barssince(short_exit)
cross_buy = curr < 0 ?  1 : 0
cross_sell = curr > 0 ? 1  : 0

bull = close >= st_tsl_TF and cross_buy
bear = close <= st_tsl_TF and cross_sell
entry_price = valuewhen(bull or bear, close, 0)

plot(sma_fast, "SMA fastLength", color=color.aqua, linewidth=2)
plot(sma_slow, "SMA slowLength", color=color.purple, linewidth=2)
plotshape(crossover(sma_fast,sma_slow), color=color.aqua, style=shape.circle, size=size.small)
plotshape(crossunder(sma_fast,sma_slow), color=color.purple, style=shape.circle, size=size.small)

// Plot the ST
linecolor = close >= st_tsl_TF ? color.green : color.red
plot(st_tsl_TF, color = linecolor , linewidth = 4,title = "SuperTrend", transp=0)

// Strategy entries/exits
if isLong
    strategy.entry("Long", 1, when=bull)
    strategy.close("Long", when=long_exit)

if isShort
    strategy.entry("Short", 0,  when=bear)
    strategy.close("Short", when=short_exit )

---

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