この戦略は,キャンドルスタイクパターンを特定することによって価格パターンの取引を実装する.最も近いピンバーパターンを探し,信号に基づいてロングまたはショートに行く.トレーダーは利益とストップ損失の倍数を設定することができます.トレンドが発達するにつれてトラッキングストップはより多くの利益をロックします.
現在のキャンドルがピンバーの要件を満たしているかどうかを特定します. 下半分にボディ,低近くで閉じ,低近くで開きます. ロング信号は反対です. 上半分にボディ,高近くで閉じ/開きます. 最後のシグナルキャンドルをみつけ,ボディの高さを計算します. 高さのN倍に利益を得て,高さのM倍にストップ損失を設定します (M < N).
入力後,ストップを追いかけて 動き続け,ストップ・ロスを維持しながら 利益に向かって利益を得ます.
パラメーターの最適化や指標の追加などによってリスクは軽減できます
この戦略は,良いバックテスト結果を持つパターン認識を通じて機会を特定する.合理的なストップは取引リスクを制御する.パラメータ最適化などのさらなる改良は,シンプルで実践的なシステムにする.
/*backtest
start: 2023-09-10 00:00:00
end: 2023-09-17 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
//
// Pinbar strategy script by samgozman (https://github.com/samgozman)
//
// Detailed instruction how to use this script: https://github.com/samgozman/pinbar-strategy-tradingview
//
// If you liked the script and want to support me: https://paypal.me/sgozman
//
// ++++++++++ Warning: The script is provided for educational purposes only. ++++++++++ //
strategy('Pinbar strategy', default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=10000)
profitMultiplier = input.float(2.0, "Profit multiplier", minval=0.1, step=0.1, group="Profit options", tooltip="X times signal candle size from high")
lossMultiplier = input.float(1.0, "Loss multiplier", minval=0.1, step=0.1, group="Profit options", tooltip="X times signal candle size from low")
isTrailingStop = input.bool(true, "Use trailing stops?", group="Trading options", tooltip="Highly recommended!")
isCloseOnOppositSignal = input.bool(false, "Close trade if opposit signal occures?", group="Trading options", tooltip="Close long on short signal")
isLongEligible = input.bool(true, "Enter long trades?", group="Trading options")
isShortEligible = input.bool(true, "Enter short trades?", group="Trading options")
useDateFilter = input.bool(true, title="Begin Backtest at Start Date", group="Backtest Time Period")
backtestStartDate = input(timestamp("1 Jan 2021"), title="Start Date", group="Backtest Time Period")
// Predefined time trading zone for back testing
inTradeWindow = true
// HELPER FUNCTIONS //
// calculate candle size for N bars back. Use 0 for current
calcCandle(int periods) =>
math.abs(high[periods] - low[periods])
// if body is below 50% and close/open below 30%
isBearishPinbar(float candle) =>
lower30 = low + candle * 0.30
bottomHalf1 = close < hl2
bottomHalf2 = open < hl2
lowerRegion1 = close < lower30
lowerRegion2 = open < lower30
con1 = bottomHalf1 and bottomHalf2
con2 = lowerRegion1 and lowerRegion2
con3 = high > high[1]
con1 and con2 and con3
// if body is above 50% and close/open above 30%
isBullishPinbar(float candle) =>
upper30 = high - candle * 0.30
topHalf1 = close > hl2
topHalf2 = open > hl2
upperRegion1 = close > upper30
upperRegion2 = open > upper30
con1 = topHalf1 and topHalf2
con2 = upperRegion1 and upperRegion2
con3 = low < low[1]
con1 and con2 and con3
barsSinceLastEntry() =>
strategy.opentrades > 0 ? bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1) : na
// Calculate trading signals
currentCandle = calcCandle(0)
longSignal = isBullishPinbar(currentCandle) and inTradeWindow
shortSignal = isBearishPinbar(currentCandle) and inTradeWindow
// ENTER THE TRADE //
if longSignal and isLongEligible
strategy.entry("buy", strategy.long, when = strategy.position_size == 0)
if shortSignal and isShortEligible
strategy.entry("sell", strategy.short, when = strategy.position_size == 0)
// CALCULATE STOPS //
barsSinceEntry = barsSinceLastEntry()
candleFromEntry = calcCandle(barsSinceEntry)
// long
long_take_limit = strategy.position_avg_price + (candleFromEntry*profitMultiplier)
long_target_percent_profit = long_take_limit / strategy.position_avg_price - 1
long_target_percent_loss = (long_target_percent_profit / profitMultiplier) * lossMultiplier
long_stop_limit = low[barsSinceEntry] * (1 - long_target_percent_loss)
//short
short_take_limit = strategy.position_avg_price - (candleFromEntry*profitMultiplier)
short_target_percent_profit = strategy.position_avg_price / short_take_limit - 1
short_target_percent_loss = (short_target_percent_profit / profitMultiplier) * lossMultiplier
short_stop_limit = high[barsSinceEntry] * (1 + short_target_percent_loss)
// EXIT THE TRADE //
if strategy.position_size > 0 or strategy.position_size < 0
if isTrailingStop
strategy.exit(id="exit", from_entry="buy", trail_price = long_take_limit, stop=long_stop_limit)
strategy.exit(id="exit", from_entry="sell", trail_price = short_take_limit, stop=short_stop_limit)
else
strategy.exit(id="exit", from_entry="buy", limit = long_take_limit, stop=long_stop_limit)
strategy.exit(id="exit", from_entry="sell", limit = short_take_limit, stop=short_stop_limit)
if isCloseOnOppositSignal
strategy.close("buy", when = shortSignal)
strategy.close("sell", when = longSignal)
// PLOT SIGNALS //
plotshape(longSignal, style=shape.arrowup, color=color.new(color.green, 0), size=size.large, location=location.belowbar)
plotshape(shortSignal, style=shape.arrowdown, color=color.new(color.red, 0), size=size.large, location=location.abovebar)