1. スクエア
2. 相対体指数クロスオーバー戦略

相対体指数クロスオーバー戦略

作者: リン・ハーンチャオチャン,日付: 2023年10月18日 11:16:53
タグ:

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/*backtest
start: 2022-10-11 00:00:00
end: 2023-10-17 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("RBI Backtest /w TSSL", shorttitle="RBI Strategy", overlay=false, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital = 10000, slippage = 5)
// RBI:
//  The EMA of the relative body (RB) of Japanese candles is evaluated.
//  The RB of a candle (my definition) is simply the ratio of the body with respect to its full length
//  and taken positive for bull candles and negative for bear candles:
//      e.g. a bull "marubozo" has RB=1 a bear "marubozo" has RB=-1;
//      a "doji" has RB=0.
//  This simple indicator grasps the essence of the market by filtering out a great deal of noise.
//
//  A flag can be selected to calculate its very basic binary version, where a bull candle counts as a one
//  and a bear candle counts as a minus one.
//
//  Enter (or exit) the market when the signal line crosses the base line.
//  When the market is choppy we have a kind of alternating bear and bull candles so that
//  RBI is FLAT and usually close to zero. 
//  Therefore avoid entering the market when RBI is FLAT and INSIDE the Exclusion level.
//  The exclusion level is to be set by hand: go back in history and check when market was choppy; a good
//  way to set it is to frame the oscillations of RBI whe price was choppy.
//
//  RBI is more effective when an EMA of price is used as filtering. I found EMA(13) to be
//  a decent filter: go long when base crosses signal upwards AND closing price is above EMA(13);
//  same concept for going short.
//
//  As any other indicator, use it with responsibility: THERE CAN'T BE A SINGLE MAGIC INDICATOR winning
//  all trades.
//
//  Above all, have fun.
//
// Vitelot/Yanez/Vts March 31, 2019

par1 = input(5, title="MA1 Period")
par2 = input(5, title="Signal Period")
exclusion = input(0.2, title="Exclusion level")

useBin = input(false, title="Calculate the binary version")

treshold_long = input(0, title="Treshold Long")
treshold_short = input(0, title="Treshold Short")

fixedSL = input(title="SL Activation", defval=300)
trailSL = input(title="SL Trigger", defval=1)
fixedTP = input(title="TP Activation", defval=120)
trailTP = input(title="TP Trigger", defval=1)

FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2019, title = "From Year", minval = 2017)
ToMonth   = input(defval = 6, title = "To Month", minval = 1, maxval = 12)
ToDay     = input(defval = 19, title = "To Day", minval = 1, maxval = 31)
ToYear    = input(defval = 2020, title = "To Year", minval = 2017)
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
startTimeOk()  => true // create function "within window of time" if statement true

ynSimple(t) =>
    s = (close>open)? 1: -1
    ema(sum(s,t),t)

ynRel(t) =>
    s = (close-open)/(high-low)
    ema(sum(s,t),t)

yn = useBin? ynSimple(par1): ynRel(par1) 
sig = ema(yn,par2)


plot(yn, color=aqua, title="RBI", linewidth=3, transp=0)
plot(sig, color=orange, title="Signal", linewidth=2, transp=0)

hline(0, color=white, title="Zero level", editable=false)
hline(exclusion, color=yellow, title="Exclusion level +", editable=true, linestyle=line)
hline( 0-exclusion, color=yellow, title="Exclusion level -", editable=true, linestyle=line)

long = crossover(yn,sig) and yn < treshold_long
short = crossover(sig,yn)  and yn > treshold_short

// === STRATEGY - LONG POSITION EXECUTION ===
strategy.entry("Long", strategy.long, when= long and startTimeOk())
strategy.exit("Exit", qty_percent = 100, loss=fixedSL, trail_offset=trailTP, trail_points=fixedTP) 
strategy.exit("Exit", when= short)
// === STRATEGY - SHORT POSITION EXECUTION ===
strategy.entry("Short", strategy.short, when= short and startTimeOk())
strategy.exit("Exit", qty_percent = 100, loss=fixedSL, trail_offset=trailTP, trail_points=fixedTP)
strategy.exit("Exit", when= long)

---

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