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移動平均値に基づくトレンド取引戦略

作者: リン・ハーンチャオチャン, 日付: 2023年10月30日 15:53:25
タグ:

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---

/*backtest
start: 2022-10-23 00:00:00
end: 2023-10-29 00:00:00
period: 1d
basePeriod: 1h
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/
// © Dannnnnnny

//@version=4
strategy(title="Quarterly Returns in Strategies vs Buy & Hold", initial_capital= 1000, overlay=true,default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, commission_value = 0.1)
maLength= input(400)

wma= vwma(hl2,maLength)
uptrend= rising(wma, 5)
downtrend= falling(wma,5)

plot(wma)

if uptrend
    strategy.entry("Buy", strategy.long)
else
    strategy.close("Buy")//

///////////////////
// QUARTERLY TABLE //
enableQuarterlyTable = input(title="Enable Quarterly Return table", type=input.bool, defval=false)
enableCompareWithMarket = input(title="Compare with Market Benchmark", type=input.bool, defval=false)
table_position = input(title="Table Position", type=input.string, defval='bottom_right', options=['bottom_right','bottom_left','top_right', 'top_left'])
precision = 2
new_quarter = ceil(month(time)/3)  != ceil(month(time[1])/3)
new_year  = year(time)  != year(time[1])

eq = strategy.equity

bar_pnl = eq / eq[1] - 1
bar_bh = (close-close[1])/close[1]

cur_quarter_pnl = 0.0
cur_year_pnl  = 0.0
cur_quarter_bh = 0.0
cur_year_bh  = 0.0

// Current Quarterly P&L
cur_quarter_pnl := new_quarter ? 0.0 : 
                 (1 + cur_quarter_pnl[1]) * (1 + bar_pnl) - 1 
cur_quarter_bh := new_quarter ? 0.0 : 
                 (1 + cur_quarter_bh[1]) * (1 + bar_bh) - 1

// Current Yearly P&L
cur_year_pnl := new_year ? 0.0 : 
                 (1 + cur_year_pnl[1]) * (1 + bar_pnl) - 1
cur_year_bh := new_year ? 0.0 : 
                 (1 + cur_year_bh[1]) * (1 + bar_bh) - 1

// Arrays to store Yearly and Quarterly P&Ls
var quarter_pnl  = array.new_float(0)
var quarter_time = array.new_int(0)
var quarter_bh  = array.new_float(0)

var year_pnl  = array.new_float(0)
var year_time = array.new_int(0)
var year_bh  = array.new_float(0)

end_time = false

end_time:= time_close + (time_close - time_close[1]) > timenow or barstate.islastconfirmedhistory

if (not na(cur_quarter_pnl[1]) and (new_quarter or end_time))
    if (end_time[1])
        array.pop(quarter_pnl)
        array.pop(quarter_time)
        
    array.push(quarter_pnl , cur_quarter_pnl[1])
    array.push(quarter_time, time[1])
    array.push(quarter_bh , cur_quarter_bh[1])

if (not na(cur_year_pnl[1]) and (new_year or end_time))
    if (end_time[1])
        array.pop(year_pnl)
        array.pop(year_time)
        
    array.push(year_pnl , cur_year_pnl[1])
    array.push(year_time, time[1])
    array.push(year_bh , cur_year_bh[1])

// Quarterly P&L Table    
var quarterly_table = table(na)

getCellColor(pnl, bh)  => 
    if pnl > 0
        if bh < 0 or pnl > 2 * bh
            color.new(color.green, transp = 20)
        else if pnl > bh
            color.new(color.green, transp = 50)
        else
            color.new(color.green, transp = 80)
    else
        if bh > 0 or pnl < 2 * bh
            color.new(color.red, transp = 20)
        else if pnl < bh
            color.new(color.red, transp = 50)
        else
            color.new(color.red, transp = 80)

if (end_time and enableQuarterlyTable)
    quarterly_table := table.new(table_position, columns = 14, rows = array.size(year_pnl) + 1, border_width = 1)

    table.cell(quarterly_table, 0,  0, "",     bgcolor = #cccccc)
    table.cell(quarterly_table, 1,  0, "Q1",  bgcolor = #cccccc)
    table.cell(quarterly_table, 2,  0, "Q2",  bgcolor = #cccccc)
    table.cell(quarterly_table, 3,  0, "Q3",  bgcolor = #cccccc)
    table.cell(quarterly_table, 4,  0, "Q4",  bgcolor = #cccccc)
    table.cell(quarterly_table, 5,  0, "Year", bgcolor = #999999)


    for yi = 0 to array.size(year_pnl) - 1
        table.cell(quarterly_table, 0,  yi + 1, tostring(year(array.get(year_time, yi))), bgcolor = #cccccc)
        
        y_color = getCellColor(array.get(year_pnl, yi), array.get(year_bh, yi))
        table.cell(quarterly_table, 5, yi + 1, enableCompareWithMarket ? tostring(round(array.get(year_pnl, yi) * 100, precision)) + " (" + tostring(round(array.get(year_bh, yi) * 100, precision)) + ")" : tostring(round(array.get(year_pnl, yi) * 100, precision)), bgcolor = y_color, text_color=#bfbfbf)
        
    for mi = 0 to array.size(quarter_time) - 1
        m_row   = year(array.get(quarter_time, mi))  - year(array.get(year_time, 0)) + 1
        m_col   = ceil(month(array.get(quarter_time, mi)) / 3)
        m_color = getCellColor(array.get(quarter_pnl, mi), array.get(quarter_bh, mi))
        
        table.cell(quarterly_table, m_col, m_row, enableCompareWithMarket ?  tostring(round(array.get(quarter_pnl, mi) * 100, precision)) + " (" + tostring(round(array.get(quarter_bh, mi) * 100,precision)) +")" : tostring(round(array.get(quarter_pnl, mi) * 100, precision)), bgcolor = m_color, text_color=#bfbfbf)

---

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