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2. 2つの移動平均のクロスオーバー戦略

2つの移動平均の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11月16日 17:50:52
タグ:

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/*backtest
start: 2023-10-16 00:00:00
end: 2023-11-15 00:00:00
period: 1h
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/
// © TradingMentalist

//@version=4
strategy("Initial template",initial_capital=1000, overlay=true, pyramiding=0, commission_type=strategy.commission.percent, commission_value=0.04, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, currency = currency.USD)

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////inputs
//turn on/off longs/shorts / extraneous conditions
longinc=input(true, title="include longs?")
lConSw2=input(true, title="condition two?")
lConSw3=input(true, title="condition three?")
shotinc=input(true, title="include shorts?")
sConSw2=input(true, title="condition two?")
sConSw3=input(true, title="condition three?")

//turn on/off / adjust trade filters (average range/average equity)
sidein2     = input(200, step=10, title='lookback for average range (bars)')
sidein      = input(1, title='filter trades if range is less than (%)')/100
equityIn    = input(40, title='filter trades if equity is below ema()')
sidewayssw  = input(true, title='sideways filter?')
equitysw    = input(true, title='equity filter?')
longtpin    = input(1,step=0.1, title='long TP %')/100
longslin    = input(0.4,step=0.1, title='long SL %')/100
shorttpin   = input(1,step=0.1, title='short TP %')/100
shortslin   = input(0.4,step=0.1, title='short SL %')/100

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////filters
//(leave as is)
side1       = (close[1] + close[sidein2]) / 2
side2       = close[1] - close[sidein2] 
side3       = side2 / side1
notsideways = side3 > sidein
equityMa    = equitysw ? ema(strategy.equity, equityIn) : 0
equityCon   = strategy.equity >= equityMa

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////indicators
ma1 = ema(close, 9)
ma2 = ema(close, 21)
ma3 = ema(close, 50)

plot(ma1, color=color.new(#E8B6B0,50))
plot(ma2, color=color.new(#B0E8BE,50))
plot(ma3, color=color.new(#00EEFF,50))

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////conditions
//adjust conditions
//-------------------------------------------
longCondition1  = crossover(ma2,ma3)
longCondition2  = close[5] > close[10]
longCondition3  = close[1] > close[2]

shortCondition1 = crossover(ma3,ma2)
shortCondition2 = close[5] < close[10]
shortCondition3 = close[1] < close[2]

closelong       = shortCondition1
closeshort      = longCondition1
//-------------------------------------------

//(leave as is)
longCondition1in  = longCondition1
longCondition2in  = lConSw2 ? longCondition2 : true
longCondition3in  = lConSw3 ? longCondition3 : true
shortCondition1in = shortCondition1
shortCondition2in = sConSw2 ? shortCondition2: true
shortCondition3in = sConSw3 ? shortCondition3: true
longConditions    = longCondition1in and longCondition2in and longCondition3in
shortConditions   = shortCondition1in and shortCondition2in and shortCondition3in

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////execution
//(leave as is)
long            = sidewayssw ? notsideways and equityCon and longConditions : equityCon and longConditions
short           = sidewayssw ? notsideways and equityCon and shortConditions : equityCon and shortConditions

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////risk
//(leave as is)
longtplevel     = strategy.position_avg_price * (1 + longtpin)
longsllevel     = strategy.position_avg_price * (1 - longslin)
shorttplevel    = strategy.position_avg_price * (1 - shorttpin)
shortsllevel    = strategy.position_avg_price * (1 + shortslin)

///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////timeframe
//adjust timeframe
//-------------------------------------------
startyear   = 2000
startmonth  = 1
startday    = 1

stopyear    = 9999
stopmonth   = 12
stopday     = 31
//-------------------------------------------

//(leave as is)
startperiod = timestamp(startyear,startmonth,startday,0,0)
periodstop  = timestamp(stopyear,stopmonth,stopday,0,0)
timeframe()    =>
    time >= startperiod and time <= periodstop ? true : false

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////orders
//comments are empty characters for clear chart
if timeframe()
    if longinc
        if strategy.position_size == 0 or strategy.position_size > 0 
            strategy.entry(id="long", long=true, when=long, comment=" ")
            strategy.exit("stop","long", limit=longtplevel, stop=longsllevel,comment=" ")
            strategy.close(id="long", when=closelong, comment = " ")
    if shotinc
        if strategy.position_size == 0 or strategy.position_size < 0 
            strategy.entry(id="short", long=false, when=short, comment = " ")
            strategy.exit("stop","short", limit=shorttplevel, stop=shortsllevel,comment = " ")
            strategy.close(id="short", when=closeshort, comment = " ")

---

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