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बोलिंगर बैंड गति फटने की रणनीति

लेखक:चाओझांग, दिनांकः 2023-10-31 15:54:41
टैगः

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/*backtest
start: 2023-09-30 00:00:00
end: 2023-10-30 00:00:00
period: 1h
basePeriod: 15m
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/
// © kasaism
//@version=4
// strategy(title="[EURUSD60] BB Expansion Strategy", shorttitle="[EURUSD60] BBEXP",overlay=true, max_bars_back=5000, max_labels_count=500)

// === INPUTS === //
////BB
largeBbRes = input(title="Large BB Resolution", type=input.resolution, defval="", group="BB")
largeBbLength = input(title="Large BB Length", type=input.integer, defval=40, minval=1, group="BB")
smallBbRes = input(title="Small BB Resolution ", type=input.resolution, defval="", group="BB")
smallBbLength = input(title="Small BB Length", type=input.integer, defval=20, minval=1, group="BB")
multi = input(title="BB StdDev", type=input.float, defval=2.0, maxval=10, minval=0.01, group="BB")
validLen = input(title="BB expand valid length", defval=14, group="BB")

// 3 each EMA settings. EMA directions are as each time frame directions. 
resFirstTime = input(title="EMA Trend t/f", type=input.resolution, defval="240", group="SMT")
// resSecondTime = input(title="Second t/f", type=input.resolution, defval="30", group="SMT") 
// resThirdTime = input(title="Third t/f", type=input.resolution, defval="", group="SMT")
emaLen = input(14, minval=1, title="Length", group="SMT") 
smooth = input(3, minval=1, title="Smooth factor", group="SMT")

//Lisk Management
var riskManagementRule1 = "ATR"
var riskManagementRule2 = "Bracket"
riskManagementRule = input(riskManagementRule1, "Detect Risk Management Based On", options=[riskManagementRule1, riskManagementRule2, "No detection"], group="Trade")
atrMulti = input(3.0, title="ATR Multiple", type=input.float, minval = 1.0, group="ATR")
riskRewardRatio = input(1.5, title="Risk Reward Ratio for ATR", type=input.float, minval = 0.01, group="ATR")
stopLossPoint = input(100, title="Stop Loss Point for Braket(tick)", type=input.float, minval = 1.0, group="Bracket")
takeProfitPoint = input(200, title="Take Profit Point for Braket(tick)", type=input.float, minval = 1.0, group="Bracket")
// === /INPUTS/ === //

// === CONSTANT === //
//For barmerge.lookahead_off
index = barstate.isrealtime ? 1 : 0

//For Entry
NOENTRY=0
LONG=1
SHORT=2

//SMT color
int up=1
int dn=2
int up_HL=3
int dn_HL=4

//label color
color_bearish = color.red
color_bullish = color.blue
C_label_color_bearish = color.red
C_label_color_bullish = color.blue
// === /CONSTANT/ === //


// === FUNCTIONS === //
//BB trade direction
bbTradeDetection(lrgUpper, lrgLower, smlUpper, smlLower) =>
    if not(na(lrgUpper) or na(lrgLower) or na(smlUpper) or na(smlLower))
        if lrgUpper < smlUpper and lrgLower > smlLower
            true
        else
            false
    else
        na
// === /FUNCTIONS/ === //


// === CALCURATES === //
////BB
//large BB
lrgBbBasis = security(syminfo.tickerid, largeBbRes, sma(close[index], largeBbLength))
lrgBbDev = multi * security(syminfo.tickerid, largeBbRes, stdev(close[index], largeBbLength))
lrgBbUpper = lrgBbBasis + lrgBbDev
lrgBbLower = lrgBbBasis - lrgBbDev

//small BB
smlBbBasis = security(syminfo.tickerid, smallBbRes, sma(close[index], smallBbLength))
smlBbDev = multi * security(syminfo.tickerid, smallBbRes, stdev(close[index], smallBbLength))
smlBbUpper = smlBbBasis + smlBbDev
smlBbLower = smlBbBasis - smlBbDev

bbTrade = bbTradeDetection(lrgBbUpper, lrgBbLower, smlBbUpper, smlBbLower)

//EMA Trend
base=security(syminfo.tickerid, resFirstTime, ema(close[index],emaLen))
sig=security(syminfo.tickerid, resFirstTime, ema(base[index],smooth))
emaTrend = not(na(base) or na(sig)) ? base < sig ? dn : up : na

////LISK MANAGEMENT
float stopLossLineForLong = na
float stopLossLineForShort = na
float takeProfitLineForLong = na
float takeProfitLineForShort = na
atr_ = atr(14) * atrMulti

if riskManagementRule == riskManagementRule1
    stopLossLineForLong := strategy.position_size > 0 ? stopLossLineForLong[1] ? stopLossLineForLong[1] : round(close[index] - atr_,3) : na
    stopLossLineForShort := strategy.position_size < 0 ? stopLossLineForShort[1] ? stopLossLineForShort[1] : round(close[index] + atr_,3) : na
    takeProfitLineForLong := strategy.position_size > 0 ? takeProfitLineForLong[1] ? takeProfitLineForLong[1] : close[index] + atr_*riskRewardRatio : na
    takeProfitLineForShort := strategy.position_size < 0 ? takeProfitLineForShort[1] ? takeProfitLineForShort[1] :close[index] - atr_*riskRewardRatio : na

if riskManagementRule == riskManagementRule2
    stopLossLineForLong := strategy.position_size > 0 ? stopLossLineForLong[1] ? stopLossLineForLong[1] : close[index] - stopLossPoint * syminfo.mintick : na
    stopLossLineForShort := strategy.position_size < 0 ? stopLossLineForShort[1] ? stopLossLineForShort[1] : close[index] + stopLossPoint * syminfo.mintick : na
    takeProfitLineForLong := strategy.position_size > 0 ? takeProfitLineForLong[1] ? takeProfitLineForLong[1] : close[index] +takeProfitPoint * syminfo.mintick : na
    takeProfitLineForShort := strategy.position_size < 0 ? takeProfitLineForShort[1] ? takeProfitLineForShort[1] :close[index] - takeProfitPoint * syminfo.mintick : na
// === /CALCURATES/ === //


// === CONDITIONS === //
//BB
bool isBbEntry = na
for i=0 to validLen
    isBbEntry := bbTrade==true ? true : bbTrade[i]==true ? true : false
//plotshape(isBbEntry, style=shape.circle, location=location.bottom)

isBbLong = isBbEntry and open[index] < smlBbBasis[index] and close[index] > smlBbBasis[index]
isBbShort = isBbEntry and open[index] > smlBbBasis[index] and close[index] < smlBbBasis[index]  

//SMT
isEmaLong = emaTrend == up 
isEmaShort = emaTrend == dn

//ATR
isAtrLongStop = low[index] <= stopLossLineForLong
isAtrShortStop = high[index] >= stopLossLineForShort
isAtrLongLimit = high[index] >= takeProfitLineForLong
isAtrShortLimit = low[index] <= takeProfitLineForShort
// === /CONDITIONS/ === //


// === TRADE === //
//ENTRY
if (isBbLong and isEmaLong)
    strategy.entry("LongEntry", strategy.long,  comment="LongEntry")
    if riskManagementRule == riskManagementRule2
        strategy.exit("LongEntry", loss=stopLossPoint, profit=takeProfitPoint, comment="bracket")
if (isBbShort and isEmaShort)
    strategy.entry("ShortEntry", strategy.short,  comment="ShortEntry")
    if riskManagementRule == riskManagementRule2	        
        strategy.exit("ShortEntry", loss=stopLossPoint, profit=takeProfitPoint, comment="bracket")
//EXIT
if riskManagementRule == riskManagementRule1
    if(isAtrLongStop)
        strategy.close("LongEntry", when=isAtrLongStop, comment="ATR Stop")
    if(isAtrShortStop)
        strategy.close("ShortEntry", when=isAtrShortStop, comment="ATR Stop")
    if(isAtrLongLimit)
        strategy.close("LongEntry", when=isAtrLongLimit, comment="ATR Limit")
    if(isAtrShortLimit)
        strategy.close("ShortEntry", when=isAtrShortLimit, comment="ATR Limit")
//  === /TRADE/ === //


// === PLOTS === //
plot(lrgBbBasis, title="Large BB Basis", linewidth=2, color=color.gray)
plot(lrgBbUpper, title="Large BB Upper", linewidth=2, color=color.gray)
plot(lrgBbLower, title="Large BB Lower", linewidth=2, color=color.gray)
plot(smlBbBasis, title="Small BB Basis", color=color.white)
plot(smlBbUpper, title="Small BB Upper", color=color.white)
plot(smlBbLower, title="Small BB Lower", color=color.white)
plot(base, title="EMA Line", color= emaTrend==dn ? color_bearish : emaTrend==up ? color_bullish : color.gray)

plot(stopLossLineForLong ? stopLossLineForLong : na, title="S/L Line For Long", color=color.yellow, style=plot.style_circles)
plot(stopLossLineForShort ? stopLossLineForShort : na, title="S/L Line For Short", color=color.yellow, style=plot.style_circles)
plot(takeProfitLineForLong ? takeProfitLineForLong : na, title="T/P Line For Long", color=color.purple, style=plot.style_circles)
plot(takeProfitLineForShort ? takeProfitLineForShort : na, title="T/P Line For Short", color=color.purple, style=plot.style_circles)
// /=== PLOTS ===/ //

---

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