1. スクエア
2. 双重逆転取引戦略

双重逆転取引戦略

作者: リン・ハーンチャオチャン,日付: 2023-11-01 16:49:36
タグ:

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/*backtest
start: 2023-10-24 00:00:00
end: 2023-10-28 03:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 24/03/2021
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Evaluates for n number of consecutive lower closes. Returns a value 
// of 1 when the condition is true or 0 when false.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos


NBD(nLength) =>
    pos = 0.0
    nCounter = 0
    nCounter :=  iff(close[1] <= open[1], nz(nCounter[1],0)+1,
                   iff(close[1] > open[1], 0, nCounter))
    C2 = iff(nCounter >= nLength, 1, 0)
    posprice = 0.0
    posprice := iff(C2== 1, close, nz(posprice[1], 0)) 
    pos := iff(posprice > 0, -1, 0)
    pos

strategy(title="Combo Backtest 123 Reversal & N Bars Down", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- N Bars Down ----")
nLength = input(4, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posNBD = NBD(nLength)
pos = iff(posReversal123 == 1 and posNBD == 1 , 1,
	   iff(posReversal123 == -1 and posNBD == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1 ) 
    strategy.entry("Long", strategy.long)
if (possig == -1 )
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )

---

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