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2. 多指標ボリンジャーバンド取引戦略

多指標ボリンジャーバンド取引戦略

作者: リン・ハーンチャオチャン開催日:2023年11月15日 15時30分43秒
タグ:

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/*backtest
start: 2023-10-15 00:00:00
end: 2023-11-14 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
// Bollinger Bands: Madrid : 14/SEP/2014 11:07 : 2.0
// This displays the traditional Bollinger Bands, the difference is 
// that the 1st and 2nd StdDev are outlined with two colors and two
// different levels, one for each Standard Deviation

strategy(shorttitle='MBB', title='Bollinger Bands', overlay=true, currency=currency.NONE, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_value = 0.05)
src = input(close)
length = input.int(34, minval=1)
mult = input.float(2.0, minval=0.001, maxval=50)

basis = ta.sma(src, length)
dev = ta.stdev(src, length)
dev2 = mult * dev

upper1 = basis + dev
lower1 = basis - dev
upper2 = basis + dev2
lower2 = basis - dev2

colorBasis = src >= basis ? color.blue : color.orange

pBasis = plot(basis, linewidth=2, color=colorBasis)
pUpper1 = plot(upper1, color=color.new(color.blue, 0), style=plot.style_circles)
pUpper2 = plot(upper2, color=color.new(color.blue, 0))
pLower1 = plot(lower1, color=color.new(color.orange, 0), style=plot.style_circles)
pLower2 = plot(lower2, color=color.new(color.orange, 0))

fill(pBasis, pUpper2, color=color.new(color.blue, 80))
fill(pUpper1, pUpper2, color=color.new(color.blue, 80))
fill(pBasis, pLower2, color=color.new(color.orange, 80))
fill(pLower1, pLower2, color=color.new(color.orange, 80))


//Strategy code starts here

long_entry = ta.crossover(src, upper1)
short_entry = ta.crossunder(src, lower1)

strategy.entry("Long", strategy.long, when=long_entry)
strategy.entry("Short", strategy.short, when=short_entry)

if long_entry or close < basis
    strategy.close("Long", "Long") 

if short_entry or close > basis
    strategy.close("Short", "Short") 


//Calculate RSI
rsiLength = input(14)
rsiValue = ta.rsi(src, rsiLength)

// Define RSI conditions for entering and exiting trades
rsiLong = rsiValue > 70
rsiShort = rsiValue < 30


//Enter long position when RSI crosses above 50 and Bollinger Bands long entry condition is met
strategy.entry("Long", strategy.long, when=long_entry and rsiLong)

//Exit long position when RSI crosses below 50 or Bollinger Bands exit condition is met
strategy.close("Long Exit", when=rsiShort or close < basis)

//Enter short position when RSI crosses below 50 and Bollinger Bands short entry condition is met
strategy.entry("Short", strategy.short, when=short_entry and rsiShort)

//Exit short position when RSI crosses above 50 or Bollinger Bands exit condition is met
strategy.close("Short Exit", when=rsiLong or close > basis)



//Calculate MACD
fastLength = input(12)
slowLength = input(26)
macdLength = input(9)
macdValue = ta.macd(src, fastLength, slowLength, macdLength)

// Define MACD conditions for entering and exiting trades
macdLong = ta.crossover(src, macdLength)
macdShort = ta.crossunder(src, macdLength)

//Enter long position when MACD crosses above signal line and RSI and Bollinger Bands long entry condition is met
strategy.entry("Long", strategy.long, when=long_entry and rsiLong and macdLong)

//Exit long position when MACD crosses below signal line or RSI crosses below 50 or Bollinger Bands exit condition is met
strategy.close("Long Exit", when=macdShort or rsiShort or close < basis)

//Enter short position when MACD crosses below signal line and RSI crosses below 50 and Bollinger Bands short entry condition is met
strategy.entry("Short", strategy.short, when=short_entry and rsiShort and macdShort)

//Exit short position when MACD crosses above signal line or RSI crosses above 50 or Bollinger Bands exit condition is met
strategy.close("Short Exit", when=macdLong or rsiLong or close > basis)

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