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2. モメント・リバーサル・トレーディング・戦略

モメント・リバーサル・トレーディング・戦略

作者: リン・ハーンチャオチャン,日付: 2023年10月7日 16:52:05
タグ:

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/*backtest
start: 2023-09-06 00:00:00
end: 2023-10-06 00:00:00
period: 2h
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/
// © jwitt98
//The PowerX strategy - based on the rules outlined in the book "The PowerX Strategy: How to Trade Stocks and Options in Only 15 Minutes a Day" by Markus Heitkoetter

//@version=5
strategy("PowerX", overlay=true)
strategy.initial_capital = 50000
longEntry = "Enter long"
shortEntry = "Enter short"
longExit = "Exit long"
shortExit = "Exit short"

//*********************************Begin inputs*********************************

//get time range inputs and set time range bool
timeRangeGroup = "Select the trading range"
startDate = input(timestamp("1 Jan 2021 00:00 +0000"), "Start date", "Select the start date for the trading range", "", timeRangeGroup)
endDate = input(timestamp("1 Jan 2050 00:00 +0000"), "End date", "Select the end date for the trading range", "", timeRangeGroup)
isInTimeRange = true

//get long/short inputs
positionsAllowedGroup = "Select the direction(s) of trades to allow"
isLongsAllowed = input.bool(true, "Allow long positions", "Check the box if you want to allow long positions", "", positionsAllowedGroup)
isShortsAllowed = input.bool(true, "Allow short positions", "Check the box if you want to allow short positions", "", positionsAllowedGroup)

//get the stop loss and profit target multiples.  Per the PowerX rules the ratio shoud be 1:2.  1.5 and 3 are defaults
adrMultuplesGroup="Select the multipliers for the stop loss and profit targets"
stopLossMultiple = input.float(1.5, "Stop loss multiple", 0.1, 10, 0.1, "The ADR is multiplied by the stop loss multiple to calculate the stop loss", group=adrMultuplesGroup)
profitTargetMultiple=input.float(3.0, "Profit target multiple", 0.1, 10, 0.1, "The ADR is multiplied by the profit target multiple to calculate the profit target", group=adrMultuplesGroup)

//get the option to use the money management stategy or not.  This is a fixed ratio type management system
moneyManagementGroup="Money management"
isUsingMoneyManagement=input.bool(false, "Use money management", "Check the box if you want to use a fixed ratio type money management system, such as the type described in PowerX", group=moneyManagementGroup)
initial_riskPercent=input.float(2.0, "Percent risk per trade", .1, 100, .1, "The percentage of capital you want to risk when starting out.  This will increase or decrease base on the money management rules.  Only applicable if money managent is used", group=moneyManagementGroup)/100
isRiskDowsideLimited=input.bool(false, "Keep risk at or above the set point", "Check the box if you don't want the risk to fall below the set \"risk per trade\" percentage, for example, when your equity is underwater. Only applicable if money management is used", "", moneyManagementGroup)
initial_riskPerTrade=initial_riskPercent * strategy.initial_capital 
riskFactor = 0.0
currentProfit = 0.0
currentRisk = 0.0

//*********************************End inputs*********************************

//*********************************Begin money management*********************************

if(isUsingMoneyManagement)
    currentProfit := strategy.equity - strategy.initial_capital
    if(currentProfit < 0)
        currentProfit:=math.abs(currentProfit)
        riskFactor := 0.5*(math.pow(1+8*currentProfit/(2*initial_riskPerTrade), 0.5)+1)
        currentRisk := 1/riskFactor * initial_riskPercent * strategy.initial_capital
        if(isRiskDowsideLimited)
            currentRisk := initial_riskPerTrade
    else
        riskFactor := 0.5*(math.pow(1+8*currentProfit/(2*initial_riskPerTrade), 0.5)+1)
        currentRisk := riskFactor * initial_riskPercent * strategy.initial_capital
        
plot(strategy.equity, "Strategy equity")
plot(currentRisk, "Current risk")
plot(riskFactor, "Risk Factor")

//*********************************End money management*********************************


//*********************************Begin indicators*********************************
//4 indicators are used in this strategy, RSI(7), Stochastics(14, 3, 3), MACD(12, 26, 9), and ADR(7)

rsiVal = ta.rsi(close, 7)//this checks out
plot(rsiVal, "RSI(7)", color.lime)

stochKVal = ta.sma(ta.sma(ta.stoch(close, high, low, 14),3),3)//this formula checks out
plot(stochKVal, "Stoch %K", color.lime)

[macdLine, signalLine, histLine] = ta.macd(close, 12, 26, 9)
plot(histLine, "MACD Hist", color.lime)

adr = ta.sma(high, 7) - ta.sma(low, 7)
plot(adr, "Average daily range", color.orange)


//*********************************End indicators*********************************

//*********************************Define the bar colors*********************************

greenBar = rsiVal > 50 and stochKVal > 50 and histLine > 0
redBar = rsiVal < 50 and stochKVal < 50 and histLine < 0
blackBar = not greenBar and not redBar

color currentBarColor = switch
    greenBar => color.green
    redBar => color.red
    blackBar => color.gray //because black is too hard to see in dark mmode
    => color.yellow
    
barcolor(currentBarColor)

//*********************************End defining the bar colors*********************************

//*********************************Define the entry, stop loss and profit target*********************************

longStopLimit = high + .01
longProfitTarget = high + (profitTargetMultiple * adr)
longStopLoss = high - (stopLossMultiple * adr)

shortStopLimit = low - .01
shortProfitTarget = low - (profitTargetMultiple * adr)
shortStopLoss = low + (stopLossMultiple * adr)

qtyToTrade= math.floor(currentRisk / (stopLossMultiple * adr))//only if using money management
if(qtyToTrade * high > strategy.equity)
    qtyToTrade := math.floor(strategy.equity / high)

//*********************************End defining stop loss and profit targets*********************************

//*********************************Execute trades, set rules, stop loss and profit targets*********************************

if (greenBar and not greenBar[1] and isInTimeRange and isLongsAllowed)
    if(isUsingMoneyManagement)
        strategy.order(longEntry, strategy.long, qtyToTrade, limit=longStopLimit, stop=longStopLimit)
        //strategy.order(longEntry, strategy.long, qtyToTrade, stop=longStopLimit)
    else
        strategy.order(longEntry, strategy.long, limit=longStopLimit,stop=longStopLimit)
        //strategy.order(longEntry, strategy.long, stop=longStopLimit)
    strategy.exit("Long limit/stop", from_entry=longEntry, limit=longProfitTarget, stop=longStopLoss)
    

if(blackBar or redBar)
    strategy.cancel(longEntry)
    strategy.close(longEntry, longExit)
    

if (redBar and not redBar[1] and isInTimeRange and isShortsAllowed)
    if(isUsingMoneyManagement)
        strategy.order(shortEntry, strategy.short, qtyToTrade, limit=shortStopLimit, stop=shortStopLimit)
        //strategy.order(shortEntry, strategy.short, qtyToTrade, stop=shortStopLimit)
    else
        strategy.order(shortEntry, strategy.short, limit=shortStopLimit, stop=shortStopLimit)
        //strategy.order(shortEntry, strategy.short, stop=shortStopLimit)
    strategy.exit("Short limit/stop", from_entry=shortEntry, limit=shortProfitTarget, stop=shortStopLoss)

if(blackBar or greenBar)
    strategy.cancel(shortEntry)
    strategy.close(shortEntry, shortExit)
    

//*********************************End execute trades, set rules, stop loss and profit targets*********************************

---

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