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2. 移動平均キャンドル回帰戦略

移動平均キャンドル回帰戦略

作者: リン・ハーンチャオチャン, 日付: 2023-09-14 17:50:14
タグ:

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/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 15m
basePeriod: 5m
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/
// © HeWhoMustNotBeNamed

//@version=4
strategy("MACandles-LinearRegression-Strategy", shorttitle="MALinReg - Strategy",
                     overlay=false, initial_capital = 100000, 
                     default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, 
                     commission_value = 0.01)
resolution = ""
MAType = input(title="Moving Average Type (MA Candles)", defval="hma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
LoopbackBars = input(60, title="Length (MA Candles)", step=10)

MMAType = input(title="Moving Average Type (Momentum)", defval="ema", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
MLength = input(20, title="MA Length (Momentum)", step=10)

lb = input(40  , title="Look Back Period Percentile High/Low", step=10, minval=10, maxval=100)
ph = input(.85, title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%")
pl = input(1.01, title="Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%")
mult = input(3.0    , minval=1, maxval=5, title="Bollinger Band Standard Devaition Up")

aggressiveLong = input(true)
longTrades = input(true)
useVixFix = input(false)
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "End Time", type = input.time)
inDateRange = true


f_getMovingAverage(source, MAType, length)=>
    ma = sma(source, length)
    if(MAType == "ema")
        ma := ema(source,length)
    if(MAType == "hma")
        ma := hma(source,length)
    if(MAType == "rma")
        ma := rma(source,length)
    if(MAType == "vwma")
        ma := vwma(source,length)
    if(MAType == "wma")
        ma := wma(source,length)
    ma

f_getMACandles(resolution, MAType, LoopbackBars)=>
    oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
    oClose = f_getMovingAverage(close, MAType, LoopbackBars)
    oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
    oLow = f_getMovingAverage(low, MAType, LoopbackBars)
    [oOpen, oClose, oHigh, oLow]

f_getVixFixLinReg(oClose, oLow, MLength)=>
    wvf = ((highest(oClose, MLength)-oLow)/(highest(oClose, MLength)))*100
    
    sDev = mult * stdev(wvf, MLength)
    midLine = sma(wvf, MLength)
    lowerBand = midLine - sDev
    upperBand = midLine + sDev
    
    rangeHigh = (highest(wvf, lb)) * ph
    rangeLow = (lowest(wvf, lb)) * pl
    
    
    col = wvf >= upperBand or wvf >= rangeHigh ? color.lime : color.gray
    
    val = linreg(wvf, MLength, 0)
    absVal = abs(val)
    linRegColor = val>val[1]? (val > 0 ? color.green : color.orange): (val > 0 ? color.lime : color.red)
    
    vixFixState = (col == color.lime) ? 1: 0
    vixFixState := strategy.position_size == 0? max(vixFixState, nz(vixFixState[1],0)) : vixFixState
    [val, absVal, wvf, col, linRegColor, vixFixState]
    
f_getMACandlesLinReg(oClose, MMAType, MLength, mult, lb, ph, pl)=>
    ma = f_getMovingAverage(oClose, MMAType, MLength)
    
    maDiff = oClose  -  ma
    val = linreg(maDiff, MLength,0)
    absVal = abs(val)
    linRegColor = iff( val > 0,
                 iff( val > nz(val[1]), color.green, color.lime),
                 iff( val < nz(val[1]), color.red, color.orange))
    
    
    sDev = mult * stdev(maDiff, MLength)
    midLine = sma(maDiff, MLength)
    lowerBand = midLine - sDev
    upperBand = midLine + sDev
    
    rangeHigh = (highest(maDiff, lb)) * ph
    rangeLow = (lowest(maDiff, lb)) * pl
    
    col = maDiff >= upperBand or maDiff >= rangeHigh ? color.lime : maDiff <= lowerBand or maDiff <= rangeLow ? color.orange : color.silver
    absMaDiff = abs(maDiff)
    [val, absVal, maDiff, absMaDiff, col, linRegColor]

f_getSupertrend(resolution, oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, AtrMult, wicks)=>
    truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
    
    averagetruerange = f_getMovingAverage(truerange, AtrMAType, AtrLength)
    atr = averagetruerange * AtrMult

    longWicks = wicks
    shortWicks = wicks
    longStop = oClose - atr
    longStopPrev = nz(longStop[1], longStop)
    longStop := (longWicks ? oLow[1] : oClose[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
    
    shortStop = oClose + atr
    shortStopPrev = nz(shortStop[1], shortStop)
    shortStop := (shortWicks ? oHigh[1] : oClose[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
    
    dir = 1
    dir := nz(dir[1], dir)
    dir := dir == -1 and (longWicks ? oHigh : oClose) > shortStopPrev ? 1 : dir == 1 and (shortWicks[1]? oLow : oClose) < longStopPrev ? -1 : dir
    
    [dir, longStop, shortStop]

f_getMACandlesAndSupertrend(MAType, LoopbackBars, AtrMult, wicks)=>
    oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
    oClose = f_getMovingAverage(close, MAType, LoopbackBars)
    oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
    oLow = f_getMovingAverage(low, MAType, LoopbackBars)
    [dir, longStop, shortStop] = f_getSupertrend(resolution, oOpen, oClose, oHigh, oLow, MAType, LoopbackBars, AtrMult, wicks)
    dir

[oOpen, oClose, oHigh, oLow] = f_getMACandles(resolution, MAType, LoopbackBars)
dir = f_getMACandlesAndSupertrend("sma", 200, 1, false)
colorByPreviousClose = false
candleColor = colorByPreviousClose ?
                 (oClose[1] < oClose ? color.green : oClose[1] > oClose ? color.red : color.silver) : 
                 (oOpen < oClose ? color.green : oOpen > oClose ? color.red : color.silver)


[vval, vabsVal, wvf, vcol, vlinRegColor, vixFixState] = f_getVixFixLinReg(oClose, oLow, MLength)
[val, absVal, maDiff, absMaDiff, col, linRegColor] = f_getMACandlesLinReg(oClose, MMAType, MLength, mult, lb, ph, pl)


plot(useVixFix?na:absMaDiff, title="Momentum", style=plot.style_histogram, linewidth = 4, color=col)
plot(useVixFix?wvf:na, title="VIX Fix", style=plot.style_histogram, linewidth = 4, color=vcol)
plot(useVixFix?na:-absVal, title="Linear Regression (Momentum)", style=plot.style_histogram, linewidth=4, color=linRegColor)
plot(useVixFix?-vabsVal:na, title="Linear Regression (VIX Fix)", style=plot.style_histogram, linewidth=4, color=vlinRegColor)

exitColor = longTrades? color.orange : color.silver
exitPreviousColor = longTrades? color.silver : color.lime
longCondition = (useVixFix? (vixFixState == 1 and vlinRegColor == color.lime) :
                     ((linRegColor == color.orange and linRegColor[1] == color.red) or (linRegColor == color.green and linRegColor[1] != color.green and aggressiveLong)))  and inDateRange and dir>0
exitLongCondition = (col == exitColor and col[1] == exitColor and col[2] == exitPreviousColor and (linRegColor != color.green or not aggressiveLong))

strategy.entry("Long", strategy.long, when=longCondition, oca_name="oca_buy")
strategy.close("Long", when=exitLongCondition)

---

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