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2. डबल मूविंग एवरेज क्रॉसओवर ट्रेडिंग रणनीति

डबल मूविंग एवरेज क्रॉसओवर ट्रेडिंग रणनीति

लेखक:चाओझांग, दिनांक: 2023-10-13 15:40:49
टैगः

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/*backtest
start: 2023-10-05 00:00:00
end: 2023-10-05 22:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
// © sehweijun
//study( title="Arch1tect's New Toy", shorttitle="Arch1tect's New Toy", overlay=true, resolution="")
// strategy( title="Arch1tect's New Toy (Strategy Tester Version)", shorttitle="Arch1tect's New Toy (Strategy Tester Version)", overlay=true, initial_capital = 100000, commission_value=0.07, commission_type=strategy.commission.cash_per_contract)

maTypeChoice = input( "EMA", title="MA Type", options=["EMA", "WMA", "SMA"] )
maSrc = input( close, title="MA Source" )
maLen1 = input( 15, minval=1, title="MA Length" )
maLen2 = input( 95, minval=1, title="MA Length" )

maValue1 = if ( maTypeChoice == "EMA" )
    ema( maSrc, maLen1 )
else if ( maTypeChoice == "WMA" )
    wma( maSrc, maLen1 )
else if ( maTypeChoice == "SMA" )
    sma( maSrc, maLen1 )
else
    0
    
maValue2 = if ( maTypeChoice == "EMA" )
    ema( maSrc, maLen2 )
else if ( maTypeChoice == "WMA" )
    wma( maSrc, maLen2 )
else if ( maTypeChoice == "SMA" )
    sma( maSrc, maLen2 )
else
    0

buySignal = crossover( maValue1, maValue2 )
sellSignal = crossunder( maValue1, maValue2 )

mainMAColour = ( maValue1 > maValue2 ) ? color.green : color.red 

plot( maValue1, title="Arch1tect's New Toy", color=mainMAColour, offset=0, linewidth=4 )
//plot( maValue2, title="Arch1tect's Filter", color=color.black, offset=0, linewidth=2 )

var color buyCandleColour = #00ff0a
var color sellCandleColour = #ff1100

barcolor( buySignal ? buyCandleColour : sellSignal ? sellCandleColour : na, title="Signal Bar Colour" )
bgcolor( color=buySignal ? buyCandleColour : sellSignal ? sellCandleColour : na, transp=85, title="Signal Background Colour")

alertcondition( buySignal or sellSignal, title="Signal change!", message="Signal change!")
alertcondition( buySignal, title="Buy signal!", message="Buy signal!")
alertcondition( sellSignal, title="Sell signal!", message="Sell signal!")

// Strategy Tester
stratTesterOn    = input( title="Strategy Tester [ON/OFF]", group="Strategy Tester", type=input.bool, defval=true)
entryTime        = input( "2200-1200", title = "Daily trading time session (in Exchange GMT)", group="Strategy Tester", type = input.session )
startTime        = input( "2200-2201", title = "Start Time", group="Strategy Tester", type = input.session )
maxDailyLoss     = input( 2500, title = "Max daily loss", group="Strategy Tester", type = input.integer )
maxTotalDrawdown = input( 12000, title = "Max daily loss", group="Strategy Tester", type = input.integer )
contractSize     = input( 1, title = "Contract size", group="Strategy Tester", type = input.integer )

tradeOnStartSess = input( title="First trade on session start [ON/OFF]", group="Strategy Tester", type=input.bool, defval=true)

fixedTPSL        = input( title="Fixed TP/SL PIPS [ON/OFF]", group="Strategy Tester", type=input.bool, defval=false)
fixedTPValue     = input ( 10.00, minval=0.01, type=input.float, title="TP", group="Strategy Tester" )
fixedSLValue     = input ( 10.00, minval=0.01, type=input.float, title="SL", group="Strategy Tester" )

fromDay          = input(defval = 1,    title = "From Day", group="Date Range", type = input.integer, minval = 1, maxval = 31)
fromMonth        = input(defval = 1,    title = "From Month", group="Date Range", type = input.integer, minval = 1, maxval = 12)
fromYear         = input(defval = 2020, title = "From Year", group="Date Range", type = input.integer, minval = 1970)
thruDay          = input(defval = 1,    title = "Thru Day", group="Date Range", type = input.integer, minval = 1, maxval = 31)
thruMonth        = input(defval = 1,    title = "Thru Month", group="Date Range", type = input.integer, minval = 1, maxval = 12)
thruYear         = input(defval = 2112, title = "Thru Year", group="Date Range", 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()  => time >= start and time <= finish ? true : false       // create function "within window of time"

// strategy.risk.max_intraday_loss( maxDailyLoss, strategy.cash )
// strategy.risk.max_drawdown( maxTotalDrawdown, strategy.cash )

isTime(_position) =>
    range = time( timeframe.period, _position + ':1234567' )
bgcolor( color=isTime( entryTime ) and stratTesterOn and window() ? color.yellow : na, title="Daily trading time session (in Exchange GMT)", transp=75 )

if ( stratTesterOn and window() )
    if ( buySignal and isTime( entryTime ) )
        if ( not fixedTPSL )
            strategy.close_all()
            strategy.entry( "Buy", strategy.long, contractSize )
        
        if ( fixedTPSL and strategy.position_size == 0 )
            strategy.entry( "Buy", strategy.long, contractSize )
            strategy.exit( "TP/SL", "Buy", stop=close[0]-fixedSLValue, limit=close[0]+fixedTPValue )
        
    if ( sellSignal and isTime( entryTime ))
        if ( not fixedTPSL )
            strategy.close_all()
            strategy.entry( "Sell", strategy.short, contractSize )
        
        if ( fixedTPSL and strategy.position_size == 0  )
            strategy.entry( "Sell", strategy.short, contractSize )
            strategy.exit( "TP/SL", "Sell", stop=close[0]+fixedSLValue, limit=close[0]-fixedTPValue )
    
    if ( isTime( startTime ) and tradeOnStartSess and strategy.position_size == 0 )
        if ( maValue1 > maValue2 )
            strategy.entry( "Buy", strategy.long, contractSize )
            
            if ( fixedTPSL )
                strategy.exit( "TP/SL", "Buy", stop=close[0]-fixedSLValue, limit=close[0]+fixedTPValue )
        else
            strategy.entry( "Sell", strategy.short, contractSize ) 
            
            if ( fixedTPSL )
                strategy.exit( "TP/SL", "Sell", stop=close[0]+fixedSLValue, limit=close[0]-fixedTPValue )
    
    strategy.close_all( when=not isTime( entryTime ) )

plot( strategy.equity )

---

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