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- 飢えている人
飢えている人
作者: リン・ハーン
a624587332, 日時: 2022-08-02 14:30:19
タグ:
strategy(title='饥饿者~01', overlay=true,
pyramiding=0, default_qty_type=strategy.cash,
default_qty_value=1, initial_capital=100,
currency=currency.USD, commission_value=0.05,
commission_type=strategy.commission.percent,
process_orders_on_close=true)
//对上面这段话的解释：策略标题（名字）“”，显示在图表（主图），pyramiding=0只能在同一方向上开单，......
//-------------- fetch user inputs ------------------
gain = input.float(title="Kalman Gain:", defval=100.0, minval=1, maxval=10000.0, step=1)
src = input(defval=close, title='Source:')
stopPercentBase = input.float(title='Beginning Approach(%)', defval=5.0, minval=0.1, maxval=30.0, step=0.1)
stopPercentMin = input.float(title='Final Approach(%)', defval=1.0, minval=0.1, maxval=30.0, step=0.1)
downStep = input.float(title='Approach Decrease Step', defval=0.001, minval=0.0, maxval = 5, step=0.001)
//stopPercentDeviation = input.float(title="Approach Deviation", defval=1.0, minval=0.1, maxval = 5.0, step=0.1)
baseOrderQty = input.float(title="Base Order Quantity", defval=100.0, minval=0.001)
maxOrderCount = input.int(title="Max Safe Order Attemp", defval=4, minval=1)
priceDeviation = input.float(title="Safe Order Deviation", defval=3, minval=1.0, step=0.1)
profitDeviation = input.float(title="Profit Deviation", defval=1.0, minval=1.0, maxval=10, step=0.1)
maxTakeProfit = input.float(title="Max Take Profit(%)", defval=25.0, maxval=100, step=0.1)
maxOrderQty = input.float(title="Max Order Quantity", defval=10000.0, minval=0.01)
baseTP1 = input.float(title="TP1(%)", defval=1.0, minval=0.0, maxval=100.0, step=0.1, inline="0")
qt1 = input.int(title="QT1(%):", defval=40, minval=1, maxval=100, step=5, inline="0")
baseTP2 = input.float(title="TP2(%)", defval=3.0, minval=0.0, maxval=100.0, step=0.1, inline="1")
qt2 = input.int(title="QT2(%):", defval=30, minval=1, maxval=100, step=5, inline="1")
baseTP3 = input.float(title="TP3(%)", defval=5.0, minval=0.0, maxval=100.0, step=0.1, inline="2")
qt3 = input.int(title="QT3(%):", defval=30, minval=1, maxval=100, step=5, inline="2")
initialStopLoss = input.float(title="Stop Loss(%)", defval=0.0, minval=0.0, maxval=100.0, step=0.1)
longEntry = input.bool(defval=true, title= 'Long Entry', inline="3")
shortEntry = input.bool(defval=true, title='Short Entry', inline="3")
useSafeStop2 = input.bool(defval = true, title="Safe Stop After TP2", inline="6")
useSafeStop1 = input.bool(defval = false, title="Safe Stop After TP1", inline="6")
//---------- backtest range setup ------------
fromDay = input.int(defval = 1, title = "From Date:", minval = 1, maxval = 31, inline="4")
fromMonth = input.int(defval = 1, title = "/", minval = 1, maxval = 12, inline="4")
fromYear = input.int(defval = 2021, title = "/", minval = 2010, inline="4")
toDay = input.int(defval = 30, title = "To__ Date:", minval = 1, maxval = 31, inline="5")
toMonth = input.int(defval = 12, title = "/", minval = 1, maxval = 12, inline="5")
toYear = input.int(defval = 2022, title = "/", minval = 2010, inline="5")
//------------ time interval setup -----------
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(toYear, toMonth, toDay, 23, 59) // backtest finish window
window() => time >= start and time <= finish ? true : false // create function "within window of time"
//------- define the order comments ------
enterLongComment = ""
exitLongComment = ""
enterShortComment = ""
exitShortComment = ""
longTPSL = ""
longTP = ""
longSL = ""
shortTPSL = ""
shortTP = ""
shortSL = ""
//--------- Define global variables -----------
var bool long = true
var bool stoppedOutLong = false
var bool stoppedOutShort = false
var float kf = 0.0
var float velo = 0.0
var float orderQty = baseOrderQty
var float stopLoss = initialStopLoss
var bool isProfit = false
var int barindex = 1
var int winCounter = 0
var int winCounterBuffer = 0
var int failCounter = 0
var float tp1 = baseTP1
var float tp2 = baseTP2
var float tp3 = baseTP3
var bool isTakeTP1 = false
var bool isTakeTP2 = false
var bool isTakeTP3 = false
var bool isLastProfit = true
var float stopPercentMax = stopPercentBase
var float stopPercent = stopPercentBase
var float stopLine = 0.0
var labelColor = color.blue
//------ kalman filter calculation --------
dk = src - nz(kf[1], src)
smooth = nz(kf[1], src) + dk * math.sqrt(gain / 10000 * 2)
velo := nz(velo[1], 0) + gain / 10000 * dk
kf := smooth + velo
//--------- calculate the loft stopLoss line ---------
//stopPercentMax := isLastProfit ? stopPercentBase : (stopPercentBase * stopPercentDeviation)
if long == true
stopLine := kf - (kf * (stopPercent / 100))
if long[1] == true and stopLine <= stopLine[1]
stopLine := stopLine[1]
else if (long[1] == true)
stopPercent := stopPercent - downStep
if(stopPercent < stopPercentMin)
stopPercent := stopPercentMin
if(kf < stopLine)
long := false
stopPercent := stopPercentMax
stopLine := kf + (kf * (stopPercent / 100))
else
stopLine := kf + (kf * (stopPercent / 100))
if long[1] == false and stopLine >= stopLine[1]
stopLine := stopLine[1]
else if(long[1] == false)
stopPercent := stopPercent - downStep
if(stopPercent < stopPercentMin)
stopPercent := stopPercentMin
if(kf > stopLine)
long := true
stopPercent := stopPercentMax
stopLine := kf - (kf * (stopPercent / 100))
//------------------- determine buy and sell points ---------------------
buySignall = window() and long and (not stoppedOutLong)
sellSignall = window() and (not long) and (not stoppedOutShort)
if longEntry and shortEntry
if buySignall and baseTP1 <= 0.0
if strategy.position_size < 0
if close < strategy.position_avg_price
isLastProfit := true
else if strategy.position_size == 0
if strategy.wintrades > winCounter //strategy.wintrades[ barindex ]
isLastProfit := true
else
isLastProfit := false
else if sellSignall and baseTP1 <= 0.0
if strategy.position_size > 0
if close > strategy.position_avg_price
isLastProfit := true
else if strategy.position_size == 0
if strategy.wintrades > winCounter //strategy.wintrades[ barindex ]
isLastProfit := true
else
isLastProfit := false
else if isTakeTP2 == true
isLastProfit := true
else
isLastProfit := false
else if longEntry
if sellSignall
winCounterBuffer := winCounter
if buySignall
if winCounter > winCounterBuffer
isLastProfit := true
else
isLastProfit := false
else if shortEntry
if buySignall
winCounterBuffer := winCounter
if sellSignall
if winCounter > winCounterBuffer
isLastProfit := true
else
isLastProfit := false
//------------- set the deviations ------------
var float maxOrderSize = (baseOrderQty * math.pow(priceDeviation, maxOrderCount - 1))
if buySignall or sellSignall
if isLastProfit == false
orderQty := orderQty * priceDeviation
tp1 := tp1 * profitDeviation
tp2 := tp2 * profitDeviation
tp3 := tp3 * profitDeviation
tp1 := math.min(tp1, maxTakeProfit)
tp2 := math.min(tp2, maxTakeProfit)
tp3 := math.min(tp3, maxTakeProfit)
if orderQty > maxOrderSize
failCounter := failCounter + 1
orderQty := baseOrderQty
tp1 := baseTP1
tp2 := baseTP2
tp3 := baseTP3
else
orderQty := baseOrderQty
tp1 := baseTP1
tp2 := baseTP2
tp3 := baseTP3
// ----------------- put debug labels -------------------
if orderQty == maxOrderSize
labelColor := color.red
else
labelColor := isLastProfit ? color.lime : color.yellow
if longEntry and shortEntry
if buySignall or sellSignall
label.new( x=bar_index, y=high, text="Qty:"+str.tostring(math.min(orderQty, maxOrderQty))+" | Worst Case:"+str.tostring(failCounter) ,color = labelColor )
else if longEntry
if buySignall
label.new( x=bar_index, y=high, text="Qty:"+str.tostring(math.min(orderQty, maxOrderQty))+" | Worst Case:"+str.tostring(failCounter) ,color = labelColor )
else if shortEntry
if sellSignall
label.new( x=bar_index, y=high, text="Qty:"+str.tostring(math.min(orderQty, maxOrderQty))+" | Worst Case:"+str.tostring(failCounter) ,color = labelColor )
//---------- execute the strategy -----------------
nz(orderQty, baseOrderQty)
if longEntry and shortEntry
if long
strategy.close_all( when = buySignall, comment = exitShortComment)
strategy.entry("LONG", strategy.long, when = buySignall, qty=math.min(orderQty, maxOrderQty), comment = enterLongComment)
stoppedOutLong := true
stoppedOutShort := false
else
strategy.close_all(when=sellSignall, comment = exitLongComment)
strategy.entry("SHORT", strategy.short, when = sellSignall, qty=math.min(orderQty, maxOrderQty), comment = enterShortComment)
stoppedOutLong := false
stoppedOutShort := true
else if(longEntry)
strategy.entry("LONG", strategy.long, when = buySignall, qty=math.min(orderQty, maxOrderQty), comment = enterLongComment)
strategy.close("LONG", when = sellSignall, comment = exitLongComment)
if long
stoppedOutLong := true
stoppedOutShort := false
else
stoppedOutLong := false
stoppedOutShort := true
else if(shortEntry)
strategy.entry("SHORT", strategy.short, when = sellSignall, qty=math.min(orderQty, maxOrderQty), comment = enterShortComment)
strategy.close("SHORT", when = buySignall, comment = exitShortComment)
if not long
stoppedOutShort := true
stoppedOutLong := false
else
stoppedOutShort := false
stoppedOutLong := true
//--------- calculate the TP/SL entries -----------
longProfitPrice1 = strategy.position_avg_price * (1 + tp1 * 0.01)
longProfitPrice2 = strategy.position_avg_price * (1 + tp2 * 0.01)
longProfitPrice3 = strategy.position_avg_price * (1 + tp3 * 0.01)
shortProfitPrice1 = strategy.position_avg_price * (1 - tp1 * 0.01)
shortProfitPrice2 = strategy.position_avg_price * (1 - tp2 * 0.01)
shortProfitPrice3 = strategy.position_avg_price * (1 - tp3 * 0.01)
longStopPrice = strategy.position_avg_price * (1 - stopLoss * 0.01)
shortStopPrice = strategy.position_avg_price * (1 + stopLoss * 0.01)
shortSafeStopPrice2 = strategy.position_avg_price * (1 - 0.2 * 0.01)
longSafeStopPrice2 = strategy.position_avg_price * (1 + 0.2 * 0.01)
longSafeStopPrice1 = stopLine
shortSafeStopPrice1 = stopLine
//----------- calculate TP quantity values -----------
takeQty1 = math.min(orderQty, maxOrderQty) * qt1 / 100
takeQty2 = math.min(orderQty, maxOrderQty) * qt2 / 100
takeQty3 = math.min(orderQty, maxOrderQty) * qt3 / 100
//----------------- take profit and stop loss processes -----------------
if strategy.position_size > 0
if close > longProfitPrice1 and tp1 > 0 and isTakeTP1 == false
strategy.close(id="LONG", qty=takeQty1, comment = "longTP 1")
isTakeTP1 := true
if close > longProfitPrice2 and tp2 > 0 and isTakeTP2 == false
strategy.close(id="LONG", qty=takeQty2, comment = "longTP 2")
isTakeTP2 := true
if close > longProfitPrice3 and tp3 > 0 and isTakeTP3 == false
strategy.close(id="LONG", qty=takeQty3, comment = "longTP 3")
isTakeTP3 := true
if isTakeTP2 == true and useSafeStop2
strategy.exit(id="LONG", stop=longSafeStopPrice2, comment = "Long Safe Stop2")
if isTakeTP1 == true and useSafeStop1
strategy.exit(id="LONG", stop=longSafeStopPrice1, comment = "Long Safe Stop1")
if strategy.position_size < 0
if close < shortProfitPrice1 and tp1 > 0 and isTakeTP1 == false
strategy.close(id="SHORT", qty=takeQty1, comment = "Short TP 1")
isTakeTP1 := true
if close < shortProfitPrice2 and tp2 > 0 and isTakeTP2 == false
strategy.close(id="SHORT", qty=takeQty2, comment = "Short TP 2")
isTakeTP2 := true
if close < shortProfitPrice3 and tp3 > 0 and isTakeTP3 == false
strategy.close(id="SHORT", qty=takeQty3, comment = "Short TP 3")
isTakeTP3 := true
if isTakeTP2 == true and useSafeStop2
strategy.exit(id="SHORT", stop=shortSafeStopPrice2, comment = "Short Safe Stop2")
if isTakeTP1 == true and useSafeStop1
strategy.exit(id="SHORT", stop=shortSafeStopPrice1, comment = "Short Safe Stop1")
if(initialStopLoss>0.0)
if ( strategy.position_size > 0 )
strategy.exit(id="LONG", stop=longStopPrice, comment = "Long Stop Loss")
else if ( strategy.position_size < 0 )
strategy.exit(id="SHORT", stop=shortStopPrice, comment = "Short Stop Loss")
if buySignall or sellSignall
isTakeTP1 := false
isTakeTP2 := false
isTakeTP3 := false
winCounter := strategy.wintrades
//------------- plot charts ---------------------
lineColor1 = long ? color.green : color.red
lineColor2 = long ? color.aqua : color.fuchsia
kalmanPlot = plot(kf, color=lineColor1, linewidth=3, title = "Kalman Filter")
stopPlot = plot(stopLine, color=lineColor2, linewidth=2, title = "Stop Loss Line")
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