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2. 定量戦略 PSAR,ZigZag,MACD,ART 多指標組み合わせに基づいた

定量戦略 PSAR,ZigZag,MACD,ART 多指標組み合わせに基づいた

作者: リン・ハーンチャオチャン, 日付: 2023-09-14 20:17:43
タグ:

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/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-08 09:00:00
period: 1m
basePeriod: 1m
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/
// © Rolan_Kruger

//@version=5
strategy("PSAR BBPT ZLSMA","PBZ", overlay=true,default_qty_type = strategy.percent_of_equity, default_qty_value = 100)

///////////////////////////////////////////////////////////////////////////////////////////////////////
// PSAR BUY/SELL

start = input.float(title='Start', step=0.00005, defval=0.05, group = "PSAR")
increment = input.float(title='Increment', step=0.00005, defval=0.05, group = "PSAR")
maximum = input.float(title='Maximum', step=0.01, defval=0.13, group = "PSAR")
width = input.int(title='Point Width', minval=1, defval=20, group = "PSAR")
highlightStartPoints = input(title='Highlight Start Points ?', defval=false, group = "PSAR")

psar = ta.sar(start, increment, maximum)
dir = psar < close ? 1 : -1

psarColor = psar < close ? #3388bb : #fdcc02


plotshape(dir == 1 and dir[1] == -1 and highlightStartPoints ? psar : na, title='Buy', style=shape.labelup, location=location.absolute, size=size.normal, text='Buy', textcolor=color.new(color.white, 0), color=color.new(color.green, 0))
plotshape(dir == -1 and dir[1] == 1 and highlightStartPoints ? psar : na, title='Sell', style=shape.labeldown, location=location.absolute, size=size.normal, text='Sell', textcolor=color.new(color.white, 0), color=color.new(color.red, 0))

barcolor(dir == 1 ? color.green : color.red, display = display.none)
PSAR_Buy = dir == 1 and dir[1] == -1
PSAR_Sell = dir == -1 and dir[1] == 1

////////////////////////////////////////////////////////////////////////////////////////////////////////
// ZLSMA

length = input(title='Length', defval=50,group = "ZLSMA")
offset = input(title='Offset', defval=0,group = "ZLSMA")
src = input(close, title='Source',group = "ZLSMA")
lsma = ta.linreg(src, length, offset)
lsma2 = ta.linreg(lsma, length, offset)
eq = lsma - lsma2
zlsma = lsma + eq

plot(zlsma, color=color.new(color.yellow, 0), linewidth=3)

ZLSMA_Buy = close > zlsma and open > zlsma and low > zlsma and high > zlsma
ZLSMA_Sell = close < zlsma and open < zlsma and low < zlsma and high < zlsma

////////////////////////////////////////////////////////////////////////////////////////////////////////
// BBPT


//
switch_bbpt = input.bool(false, "Switch BBPT conditionals",group ="Bull Bear Power Trend")
length1 = 8
//
BullTrend_hist = 0.0
BearTrend_hist = 0.0

BullTrend = (close - ta.lowest(low, 50)) / ta.atr(5)
BearTrend = (ta.highest(high, 50) - close) / ta.atr(5)
BearTrend2 = -1 * BearTrend

Trend = BullTrend - BearTrend

if BullTrend < 2
    BullTrend_hist := BullTrend - 2
    BullTrend_hist

if BearTrend2 > -2
    BearTrend_hist := BearTrend2 + 2
    BearTrend_hist

//alexgrover-Regression Line Formula
x = bar_index
y = Trend
x_ = ta.sma(x, length1)
y_ = ta.sma(y, length1)
mx = ta.stdev(x, length1)
my = ta.stdev(y, length1)
c = ta.correlation(x, y, length1)
slope = c * (my / mx)
inter = y_ - slope * x_
reg_trend = x * slope + inter
//

BBPT_Buy = BearTrend_hist
BBPT_Sell = BullTrend_hist

if switch_bbpt
    BBPT_Buy := BullTrend_hist
    BBPT_Sell := BearTrend_hist

///////////////////////////////////////////////////////////////////////////////////////////////////////
// Sessions

enable_sessions = input.bool(false, "Enable Sessions for strategy", group = "Sessions")
bgColor = input.bool(false, "Activate High/Low View", group = "Sessions")

LondonColor = color.new(color.green, 90)
NYColor = color.new(color.red, 90)
AsiaColor = color.new(color.yellow, 90)
SydneyColor = color.new(color.blue, 90)

///Sessions

res = input.timeframe("D", "Resolution", ["D","W","M"], group = "Sessions")
london = input("0300-1200:1234567", "London Session", group = "Sessions")
ny = input("0800-1700:1234567", "New York Session", group = "Sessions")
tokyo = input("2000-0400:1234567", "Tokyo Session", group = "Sessions")
sydney = input("1700-0200:1234567", "Sydney Session", group = "Sessions")

//Bars

is_newbar(sess) =>
    t = time(res, sess, "America/New_York")
    na(t[1]) and not na(t) or t[1] < t

is_session(sess) =>
    not na(time(timeframe.period, sess, "America/New_York"))
    

//London

London = input.bool(false, "London Session")

londonNewbar = is_newbar(london)
londonSession = is_session(london)

float londonLow = na
londonLow := if londonSession
    if londonNewbar
        low
    else
        math.min(londonLow[1],low)
else
    londonLow

float londonHigh = na
londonHigh := if londonSession
    if londonNewbar
        high
    else
        math.max(londonHigh[1],high)
else
    londonHigh


plotLL = plot(londonLow, color=color.new(#000000, 100))
plotLH = plot(londonHigh, color=color.new(#000000, 100))
fill(plotLL, plotLH, color = londonSession and London and bgColor ? LondonColor : na)

bgcolor(londonSession and London and not bgColor ? LondonColor : na)



//New York

NY = input.bool(false, "New York Session")

nyNewbar = is_newbar(ny)
nySession = is_session(ny)

float nyLow = na
nyLow := if nySession
    if nyNewbar
        low
    else
        math.min(nyLow[1],low)
else
    nyLow

float nyHigh = na
nyHigh := if nySession
    if nyNewbar
        high
    else
        math.max(nyHigh[1],high)
else
    nyHigh


plotNYL = plot(nyLow, color=color.new(#000000, 100))
plotNYH = plot(nyHigh, color=color.new(#000000, 100))
fill(plotNYL, plotNYH, color = nySession and NY and bgColor ? NYColor : na)

bgcolor(nySession and NY and not bgColor ? NYColor : na)


//Tokyo

Tokyo = input.bool(false, "Tokyo Session")

tokyoNewbar = is_newbar(tokyo)
tokyoSession = is_session(tokyo)

float tokyoLow = na
tokyoLow := if tokyoSession
    if tokyoNewbar
        low
    else
        math.min(tokyoLow[1],low)
else
    tokyoLow

float tokyoHigh = na
tokyoHigh := if tokyoSession
    if tokyoNewbar
        high
    else
        math.max(tokyoHigh[1],high)
else
    tokyoHigh


plotTL = plot(tokyoLow, color=color.new(#000000, 100))
plotTH = plot(tokyoHigh, color=color.new(#000000, 100))
fill(plotTL, plotTH, color = tokyoSession and Tokyo and bgColor ? AsiaColor : na)

bgcolor(tokyoSession and Tokyo and not bgColor ? AsiaColor : na)



//Sydney

Sydney = input.bool(false, "Sydney Session")

sydneyNewbar = is_newbar(sydney)
sydneySession = is_session(sydney)

float sydneyLow = na
sydneyLow := if sydneySession
    if sydneyNewbar
        low
    else
        math.min(sydneyLow[1],low)
else
    sydneyLow

float sydneyHigh = na
sydneyHigh := if sydneySession
    if sydneyNewbar
        high
    else
        math.max(sydneyHigh[1],high)
else
    sydneyHigh


plotSL = plot(sydneyLow, color=color.new(#000000, 100))
plotSH = plot(sydneyHigh, color=color.new(#000000, 100))
fill(plotSL, plotSH, color = sydneySession and Sydney and bgColor ? SydneyColor : na)

bgcolor(sydneySession and Sydney and not bgColor ? SydneyColor : na)

London_ok = London and londonSession
NY_ok = NY and nySession
Tokyo_ok = Tokyo and tokyoSession
Sydney_ok = Sydney and sydneySession

in_session = true

if London_ok or NY_ok or Tokyo_ok or Sydney_ok and enable_sessions
    in_session := true

else if enable_sessions == true
    in_session := false

///////////////////////////////////////////////////////////////////////////////////////////////////////
// EMA Filter

ema_filter = input.bool(false, "Enable EMA filter", group = "EMA")
ema_lenght = input.int(50, "EMA lenght", group = "EMA")

ema1 = ta.ema(close, ema_lenght)
plot(ema1, "EMA", color.white, 3)

EMA_Buy = true
EMA_Sell = true

if ema_filter == true
    EMA_Buy := close > ema1
    EMA_Sell := ema1 > close

///////////////////////////////////////////////////////////////////////////////////////////////////////
// ZLSMA angle calc


zlsma_angle_filter = input.bool(true, "ZLSMA angle filter", group = "ZLSMA")

ZLSMA_Up = true
ZLSMA_Down = true

if zlsma_angle_filter == true
    ZLSMA_Up := 1 < (zlsma - zlsma[1])
    ZLSMA_Down := -1 > (zlsma - zlsma[1])

///////////////////////////////////////////////////////////////////////////////////////////////////////
// SL/TP

// Assumes quote currency is FIAT as with BTC/USDT pair

max_sl = input.float(0.2, "Max SL size in %", group = "SL/TP", minval = 0.1, tooltip = "Cancels trade if SL is too big" )
zlsma_offset = input.float(0.02, title="ZLSMA SL offset in %", group = "SL/TP",maxval = 1)
tp1_multi = input.float(1, title="TP 1 multiplier", group = "SL/TP")
tp2_multi = input.float(2, title="TP 2 multiplier", group = "SL/TP")
tp1_persentage = input.float(0.001, "Persentage of trade close on TP1", group ="SL/TP", maxval = 100, minval = 0.001)

// SL too big check
sl_check = ((math.abs(close - zlsma))/close * 100) + zlsma_offset
sl_ok = true
if sl_check > max_sl
    sl_ok := false

// ZLSMA SL and TP
not_in_trade = strategy.position_size == 0
check_if_long = PSAR_Buy and ZLSMA_Buy and BBPT_Buy and EMA_Buy and ZLSMA_Up and sl_ok and in_session
check_if_short = PSAR_Sell and ZLSMA_Sell and BBPT_Sell and EMA_Sell and ZLSMA_Down and sl_ok and in_session

var float sl = 0.0
var float tp1 = 0.0
var float tp2 = 0.0

if check_if_long and not_in_trade
    sl := ((close - zlsma)/close * 100) + zlsma_offset
    tp1 := (((close - zlsma)/close * 100) + zlsma_offset)*tp1_multi
    tp2 := (((close - zlsma)/close * 100) + zlsma_offset)*tp2_multi

if check_if_short and not_in_trade
    sl := ((zlsma - close)/close * 100) + zlsma_offset
    tp1 := (((zlsma - close)/close * 100) + zlsma_offset)*tp1_multi
    tp2 := (((zlsma - close)/close * 100) + zlsma_offset)*tp2_multi

// FUNCTIONS
// Stochastic
f_stochastic() =>
    stoch = ta.stoch(close, high, low, 14)
    stoch_K = ta.sma(stoch, 3)
    stoch_D = ta.sma(stoch_K, 3)
    stRD = ta.crossunder(stoch_K, stoch_D)
    stGD = ta.crossover(stoch_K, stoch_D)
    [stoch_K, stoch_D, stRD, stGD]


// VARIABLES
[bbMiddle, bbUpper, bbLower] = ta.bb(close, 20, 2)
[stoch_K, stoch_D, stRD, stGD] = f_stochastic()


// ORDERS
// Active Orders
// Check if strategy has open positions
inLong = strategy.position_size > 0
inShort = strategy.position_size < 0
// Check if strategy reduced position size in last bar
longClose = strategy.position_size < strategy.position_size[1]
shortClose = strategy.position_size > strategy.position_size[1]

// Entry Conditions
// Enter long when during last candle these conditions are true:
// Candle high is greater than upper Bollinger Band
// Stochastic K line crosses under D line and is oversold
longCondition = PSAR_Buy and ZLSMA_Buy and BBPT_Buy and EMA_Buy and ZLSMA_Up and sl_ok and in_session

// Enter short when during last candle these conditions are true:
// Candle low is lower than lower Bollinger Band
// Stochastic K line crosses over D line and is overbought
shortCondition = PSAR_Sell and ZLSMA_Sell and BBPT_Sell and EMA_Sell and ZLSMA_Down and sl_ok and in_session

// Exit Conditions
// Calculate Take Profit 
longTP1 = strategy.position_avg_price * ((100 + tp1)/100)
longTP2 = strategy.position_avg_price * ((100 + tp2)/100)
shortTP1 = strategy.position_avg_price * ((100 - tp1)/100)
shortTP2 = strategy.position_avg_price * ((100 - tp2)/100)

// Calculate Stop Loss
// Initialise variables
var float longSL = 0.0
var float shortSL = 0.0

// When not in position, set stop loss using close price which is the price used during backtesting
// When in a position, check to see if the position was reduced on the last bar
// If it was, set stop loss to position entry price. Otherwise, maintain last stop loss value
longSL := if inLong and ta.barssince(longClose) < ta.barssince(longCondition)
    strategy.position_avg_price
else if inLong
    longSL[1]
else
    close * ((100 - sl)/100)

shortSL := if inShort and ta.barssince(shortClose) < ta.barssince(shortCondition)
    strategy.position_avg_price
else if inShort
    shortSL[1]
else
    close * ((100 + sl)/100)

////////////////////////////////////////////////////////////////////////////////////////////////////////
// STRATEGY EXECUTION

// Manage positions
if not_in_trade and longCondition
    strategy.entry("Long", strategy.long)
strategy.exit("TP1/SL", from_entry="Long", qty_percent=tp1_persentage, limit=longTP1, stop=longSL)
strategy.exit("TP2/SL", from_entry="Long", limit=longTP2, stop=longSL)

if not_in_trade and shortCondition
    strategy.entry("Short", strategy.short)
strategy.exit("TP1/SL", from_entry="Short", qty_percent=tp1_persentage, limit=shortTP1, stop=shortSL)
strategy.exit("TP2/SL", from_entry="Short", limit=shortTP2, stop=shortSL)

---

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