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2. Stratégie de la ligne de réversion moyenne

Stratégie de la ligne de réversion moyenne

Auteur:ChaoZhang est là., Date: 2023-12-29 à 11h33:04
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/*backtest
start: 2022-12-22 00:00:00
end: 2023-12-28 00:00:00
period: 1d
basePeriod: 1h
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/
// © sg1999

//@version=4


// >>>>>strategy name
strategy(title = "CCI-RSI MR", shorttitle = "CCI-RSI MR", overlay = true)

// >>>>input variables

// 1. risk per trade as % of initial capital
risk_limit = input(title="Risk Limit (%)", type=input.float, minval=0.1, defval=2.0, step=0.1)

// 2. drawdown
Draw_down = input(title="Max Drawdown (x ATR)", type=input.float, minval=0.5, maxval=10, defval=2.0, step=0.1)

// 3. type of stop loss to be used
original_sl_type  = input(title="SL Based on", defval="Close Price", options=["Close Price","Last Traded Price"])

// 4. entry signal validity for bollinger strategies
dist_from_signal= input(title="Entry distance from signal", type=input.integer, minval=1, maxval=20, defval=3, step=1)

// 5. multiple exit points
exit_1_pft_pct          = input(title="1st exit when reward is", type=input.float, minval=0.5, maxval=100, defval=1.0, step=0.1)
exit_1_qty_pct          = input(title="1st exit quantity %", type=input.float, minval=1, maxval=100, defval=100, step=5)
exit_2_pft_pct          = input(title="2nd exit when reward is", type=input.float, minval=0.5, maxval=100, defval=1.5, step=0.1)
sl_trail_pct            = input(title="Trailing SL compared to original SL", type=input.float, minval=0.5, maxval=100, defval=0.5, step=0.5)

//show signal bool
plotBB = input(title="Show BB", type=input.bool, defval=true)
plotSignals  = input(title="Show Signals", type=input.bool, defval=true)

// 6. date range to be used for backtesting
fromMonth = input(defval = 1,    title = "From Month",      type = input.integer, minval = 1, maxval = 12)
fromDay   = input(defval = 1,    title = "From Day",        type = input.integer, minval = 1, maxval = 31)
fromYear  = input(defval = 1990, title = "From Year",       type = input.integer, minval = 1970)
thruMonth = input(defval = 1,    title = "Thru Month",      type = input.integer, minval = 1, maxval = 12)
thruDay   = input(defval = 1,    title = "Thru Day",        type = input.integer, minval = 1, maxval = 31)
thruYear  = input(defval = 2022, title = "Thru Year",       type = input.integer, minval = 1970)

start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => true

// >>>>>strategy variables

//input variables 
current_high = highest(high, 5)     // swing high (5 period)
current_low = lowest(low, 5)        // swing low (5 period)
current_ma = sma(close, 5)          // Simple Moving average (5 period)
atr_length = atr(20)                // ATR (20 period)  
CCI = cci(close,20)                 // CCI (20 period)
RSI = rsi(close,14)                 // RSI (14 period)
RSI_5 = sma (RSI, 5)                // Simple moving average of RSI (5 period)


// 1. for current candle

long_entry              = false 
short_entry             = false
risk_reward_ok          = false
sl_hit_flag             = false
tsl_hit_flag            = false
sl_cross                = false

// 2. across candles

var RSI_short           = false     //short signal boolean
var RSI_long            = false     //long signal boolean
var cci_sell            = false     //sellsignal crossunder boolean
var cci_buy             = false     //buy signal crossover boolean
var bar_count_long      = 0         // Number of bars after a long signal 
var bar_count_short     = 0         // Number of bars after a short signal
var candles_on_trade    = 0         
var entry_price         = 0.00
var sl_price            = 0.00
var qty                 = 0
var exit_1_qty          = 0
var exit_2_qty          = 0
var exit_1_price        = 0.0
var exit_2_price        = 0.0
var hold_high           = 0.0       // variable used to calculate Trailing sl
var hold_low            = 0.0       // variable used to calculate Trailing sl
var tsl_size            = 0.0       // Trailing Stop loss size(xR)
var sl_size             = 0.0       // Stop loss size (R)
var tsl_price           = 0.0       //Trailing stoploss price


// >>>>>strategy conditions.
// Bollinger bands (2 std)
[mBB0,uBB0,lBB0] = bb(close,20,2)
uBB0_low= lowest(uBB0,3) // lowest among upper BB of past 3 periods
lBB0_high= highest(lBB0,3) //highest among upper BB of past 3 periods


//RSI and CCI may not necessarily crossunder on the same candle
t_sell_RSI = sum( crossunder(RSI,RSI_5)? 1 : 0, 2) == 1 // checks if crossunder has happened in the last 3 candles (including the current candle)
t_sell_CCI = sum( crossunder(CCI,100)? 1 : 0, 2) == 1 //and (CCI >50)
t_buy_RSI  = sum( crossover(RSI,RSI_5)? 1 : 0, 2) == 1  //checks if crossover has happened in the last 3 candles (including the current candle)
t_buy_CCI  = sum( crossover(CCI,-100) ? 1 : 0, 2) == 1 //and (CCI<-50)

// CONDITIONS FOR A SELL signal
if t_sell_RSI and t_sell_CCI and (current_high >= uBB0_low) 
    cci_sell := true
    bar_count_short := 0
 
if  cci_sell and strategy.position_size ==0 
    bar_count_short := bar_count_short + 1
    
if  cci_sell and bar_count_short<= dist_from_signal and close <= current_ma  and strategy.position_size ==0
    RSI_short := true

//conditions for a BUY signal
if t_buy_RSI and t_buy_CCI and (current_low <= lBB0_high) // or current_low_close <= lBB01_high)
    cci_buy := true
    bar_count_long := 0

if  cci_buy and strategy.position_size ==0 
    bar_count_long := bar_count_long + 1
    
if  cci_buy and  bar_count_long<= dist_from_signal and close >= current_ma and strategy.position_size ==0
    RSI_long := true

if RSI_long and RSI_short
    RSI_long := false
    RSI_short := false



// >>>>>entry and target specifications

if strategy.position_size == 0 and RSI_short 
    short_entry         := true
    entry_price         := close
    sl_price            := current_high + syminfo.mintick // (swing high + one tick) is the stop loss
    sl_size             := abs(entry_price - sl_price)
    candles_on_trade    := 0
    tsl_size            := abs(entry_price - sl_price)*sl_trail_pct // Here sl_trail_pct is the multiple of R which is used to calculate TSL size

if strategy.position_size == 0 and RSI_long 
    long_entry          := true
    entry_price         := close
    sl_price            := current_low -  syminfo.mintick //(swing low - one tick) is the stop loss
    candles_on_trade    := 0
    sl_size             := abs(entry_price - sl_price)
    tsl_size            := abs(entry_price - sl_price)*sl_trail_pct // Here sl_trail_pct is the multiple of R which is used to calculate TSL size
    
if long_entry and short_entry
    long_entry          := false
    short_entry         := false
    
    
// >>>>risk evaluation criteria
    
//>>>>> quantity determination and exit point specifications.
    
if (long_entry or short_entry) and strategy.position_size == 0 // Based on our risk (R), no.of lots is calculated by considering a risk per trade limit formula
    qty                 := round((strategy.equity) * (risk_limit/100)/(abs(entry_price - sl_price)*syminfo.pointvalue))
    exit_1_qty          := round(qty * (exit_1_qty_pct/100))
    exit_2_qty          := qty - (exit_1_qty)
    if long_entry
        exit_1_price    := entry_price + (sl_size * exit_1_pft_pct) 
        exit_2_price    := entry_price + (sl_size * exit_2_pft_pct)
    if short_entry
        exit_1_price    := entry_price - (sl_size * exit_1_pft_pct) 
        exit_2_price    := entry_price - (sl_size * exit_2_pft_pct)
        
        
// trail SL after 1st target is hit
if abs(strategy.position_size) == 0
    hold_high   := 0
    hold_low    := 0

if strategy.position_size > 0 and high > exit_1_price
    if high > hold_high or hold_high == 0
        hold_high    := high
    tsl_price        := hold_high - tsl_size
    

if strategy.position_size < 0 and low < exit_1_price
    if low  < hold_low or hold_low == 0
        hold_low     := low
    tsl_price        := hold_low + tsl_size

    
//>>>> entry conditons

if long_entry and strategy.position_size == 0
    strategy.cancel("BUY", window())   // add another window condition which considers day time (working hours)
    strategy.order("BUY", strategy.long, qty, comment="BUY @ "+ tostring(entry_price),when=window())

if short_entry and strategy.position_size == 0
    strategy.cancel("SELL", window()) // add another window condition which considers day time (working hours)
    strategy.order("SELL", strategy.short, qty, comment="SELL @ "+ tostring(entry_price),when=window())

//>>>> exit conditons

tsl_hit_flag     := false

//exit at tsl
if strategy.position_size > 0 and close < tsl_price  and abs(strategy.position_size)!=qty 
    strategy.order("EXIT at TSL", strategy.short, abs(strategy.position_size),  comment="EXIT TSL @ "+ tostring(close))
    RSI_short                := false   
    RSI_long                 := false
    bar_count_long            := 0
    bar_count_short           := 0
    tsl_hit_flag              := true
    cci_sell := false
    cci_buy := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL",true)

if strategy.position_size < 0 and close > tsl_price  and abs(strategy.position_size)!=qty 
    strategy.order("EXIT at TSL", strategy.long, abs(strategy.position_size), comment="EXIT TSL @ "+ tostring(close))
    RSI_short                := false   
    RSI_long                 := false
    bar_count_long            := 0
    bar_count_short           := 0   
    tsl_hit_flag              := true
    cci_sell := false
    cci_buy := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL",true)

//>>>>exit at sl
    
if strategy.position_size > 0 and original_sl_type == "Close Price" and close < sl_price and abs(strategy.position_size)==qty
    strategy.cancel("EXIT at SL", true)
    strategy.order("EXIT at SL", strategy.short, abs(strategy.position_size),stop= sl_price,  comment="EXIT SL @ "+ tostring(close))
    RSI_short                := false   
    RSI_long                 := false
    bar_count_long            := 0
    bar_count_short           := 0
    cci_buy := false
    cci_sell := false
    sl_hit_flag               := true
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)
    

if strategy.position_size < 0 and original_sl_type == "Close Price" and close > sl_price and abs(strategy.position_size)==qty
    strategy.cancel("EXIT at SL", true)
    strategy.order("EXIT at SL", strategy.long, abs(strategy.position_size), stop = sl_price, comment="EXIT SL @ "+ tostring(close))
    RSI_short               := false   
    RSI_long                := false
    bar_count_long           := 0
    bar_count_short          := 0   
    cci_buy := false
    cci_sell := false
    sl_hit_flag              := true
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)
    

    
//>>>>>for ltp sl setting

if strategy.position_size > 0 and original_sl_type == "Last Traded Price" and abs(strategy.position_size) ==qty
    strategy.order("EXIT at SL", strategy.short, abs(strategy.position_size),stop= sl_price,  comment="EXIT SL @ "+ tostring(close))
    RSI_short              := false   
    RSI_long               := false
    bar_count_long          := 0
    bar_count_short         := 0
    cci_buy := false
    cci_sell := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)
    
if strategy.position_size < 0 and original_sl_type == "Last Traded Price" and abs(strategy.position_size) ==qty
    strategy.order("EXIT at SL", strategy.long, abs(strategy.position_size), stop = sl_price, comment="EXIT SL @ "+ tostring(close))
    RSI_short              := false   
    RSI_long               := false
    bar_count_long          := 0
    bar_count_short         := 0   
    cci_buy := false
    cci_sell := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)

//>>>>>exit at target

if strategy.position_size > 0 and abs(strategy.position_size) == qty and not tsl_hit_flag
    strategy.order("EXIT 1", strategy.short, exit_1_qty, limit=exit_1_price, comment="EXIT TG1 @ "+ tostring(exit_1_price))
    strategy.cancel("Exit Drawd",true)
    cci_sell := false
    cci_buy := false

if strategy.position_size > 0 and abs(strategy.position_size) < qty and abs(strategy.position_size) != qty and not tsl_hit_flag
    strategy.order("EXIT 2", strategy.short, exit_2_qty, limit=exit_2_price, comment="EXIT TG2 @ "+ tostring(exit_2_price))
    RSI_short := false   
    RSI_long  := false
    bar_count_long := 0
    bar_count_short := 0
    cci_buy := false
    cci_sell := false
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL", true)

if strategy.position_size < 0 and abs(strategy.position_size) == qty and not tsl_hit_flag
    strategy.order("EXIT 1", strategy.long, exit_1_qty, limit=exit_1_price, comment="EXIT TG1 @ "+ tostring(exit_1_price))
    strategy.cancel("Exit Drawd",true)
    cci_buy := false
    cci_sell := false

if strategy.position_size < 0 and abs(strategy.position_size) < qty and abs(strategy.position_size) != qty 
    strategy.order("EXIT 2", strategy.long, exit_2_qty, limit=exit_2_price, comment="EXIT TG2 @ "+ tostring(exit_2_price))
    RSI_short := false   
    RSI_long  := false
    bar_count_long := 0
    bar_count_short := 0  
    cci_buy := false
    cci_sell := false
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL", true)
    
//>>>>>>drawdown execution

if strategy.position_size < 0 and original_sl_type == "Close Price" and not tsl_hit_flag  
    strategy.cancel("Exit Drawd",true)
    strategy.order("Exit Drawd", strategy.long, abs(strategy.position_size), stop= (entry_price + Draw_down*atr_length)  ,comment="Drawdown exit S")
    RSI_short            := false   
    RSI_long             := false
    bar_count_long        := 0
    bar_count_short       := 0
    cci_buy := false
    cci_sell := false
   
    
if strategy.position_size > 0 and original_sl_type == "Close Price" and not tsl_hit_flag and not sl_hit_flag 
    strategy.cancel("Exit Drawd",true)
    strategy.order("Exit Drawd", strategy.short, abs(strategy.position_size), stop= (entry_price - Draw_down*atr_length)  ,comment="Drawdown exit B")
    RSI_short           := false   
    RSI_long            := false
    bar_count_long       := 0
    bar_count_short      := 0
    cci_buy := false
    cci_sell := false
    
//>>>>to add sl hit sign  

if strategy.position_size != 0 and sl_hit_flag //For symbols on chart
    sl_cross := true

//>>>>>cancel all pending orders if the trade is booked

strategy.cancel_all(strategy.position_size == 0 and not (long_entry or short_entry))

//>>>>plot indicators
p_mBB = plot(plotBB ? mBB0 : na, color=color.teal)
p_uBB = plot(plotBB ? uBB0 : na, color=color.teal, style=plot.style_stepline)
p_lBB = plot(plotBB ? lBB0 : na, color=color.teal, style=plot.style_stepline)


plot(sma(close,5), color=color.blue, title="MA")





//>>>>plot signals

plotshape(plotSignals and RSI_short, style=shape.triangledown, location=location.abovebar, color=color.red)
plotshape(plotSignals and RSI_long, style=shape.triangleup, location=location.belowbar, color=color.green)
plotshape(sl_cross, text= "Stoploss Hit",size= size.normal,style=shape.xcross , location=location.belowbar, color=color.red)

//>>>>plot signal high low
if strategy.position_size != 0
    candles_on_trade := candles_on_trade + 1

if strategy.position_size != 0 and candles_on_trade == 1
    line.new(x1=bar_index[1], y1=high[1], x2=bar_index[0], y2=high[1], color=color.black, width=2)
    line.new(x1=bar_index[1], y1=low[1],  x2=bar_index[0], y2=low[1],  color=color.black, width=2)



//>>>>end of program

---

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