1. スクエア
2. ゴールデンクロスとボリンジャー帯のモメンタム戦略

ゴールデンクロスとボリンジャー帯のモメンタム戦略

作者: リン・ハーンチャオチャン開催日:2023年11月21日 12:01:25
タグ:

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/*backtest
start: 2022-11-14 00:00:00
end: 2023-11-20 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/
// © mohanee

//@version=4
strategy(title="VWAP and BB strategy [$$]", overlay=true,pyramiding=2, default_qty_value=1, default_qty_type=strategy.fixed,    initial_capital=10000, currency=currency.USD)


fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 6, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2020, title = "From Year", minval = 1970)
 
// To Date Inputs
toDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 8, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2020, title = "To Year", minval = 1970)
 
// Calculate start/end date and time condition
DST = 1 //day light saving for usa
//--- Europe
London = iff(DST==0,"0000-0900","0100-1000")
//--- America
NewYork = iff(DST==0,"0400-1300","0500-1400")
//--- Pacific
Sydney = iff(DST==0,"1300-2200","1400-2300")
//--- Asia
Tokyo = iff(DST==0,"1500-2400","1600-0100")

//-- Time In Range
timeinrange(res, sess) => time(res, sess) != 0

london = timeinrange(timeframe.period, London)
newyork = timeinrange(timeframe.period, NewYork)

startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = time >= startDate and time <= finishDate 


is_price_dipped_bb(pds,source1) =>
    t_bbDipped=false
    for i=1 to pds
        t_bbDipped:=  (t_bbDipped   or  close[i]<source1) ? true : false
        if t_bbDipped==true
            break
        else
            continue
            
    t_bbDipped


is_bb_per_dipped(pds,bbrSrc) =>
    t_bbDipped=false
    for i=1 to pds
        t_bbDipped:=  (t_bbDipped   or  bbrSrc[i]<=0) ? true : false
        if t_bbDipped==true
            break
        else
            continue
            
    t_bbDipped
    

// variables  BEGIN
shortEMA = input(50, title="fast EMA", minval=1)
longEMA = input(200, title="slow EMA", minval=1)

//BB

smaLength = input(7, title="BB SMA Length", minval=1)
bbsrc = input(close, title="BB Source")

strategyCalcOption = input(title="strategy to use", type=input.string, options=["BB", "BB_percentageB"],      defval="BB")



//addOnDivergence = input(true,title="Add to existing on Divergence")
//exitOption = input(title="exit on RSI or BB", type=input.string, options=["RSI", "BB"],      defval="BB")

//bbSource = input(title="BB  source", type=input.string, options=["close", "vwap"],      defval="close")
     
//vwap_res = input(title="VWAP Resolution", type=input.resolution, defval="session")
stopLoss = input(title="Stop Loss%", defval=1, minval=1)

//variables  END

longEMAval= ema(close, longEMA)
shortEMAval= ema(close, shortEMA)
ema200val = ema(close, 200)


vwapVal=vwap(close)



// Drawings

//plot emas
plot(shortEMAval, color = color.green, linewidth = 1, transp=0)
plot(longEMAval, color = color.orange, linewidth = 1, transp=0)
plot(ema200val, color = color.purple, linewidth = 2, style=plot.style_line ,transp=0)



//bollinger calculation 
mult = input(2.0, minval=0.001, maxval=50, title="StdDev")
basis = sma(bbsrc, smaLength)
dev = mult * stdev(bbsrc, smaLength)
upperBand = basis + dev
lowerBand = basis - dev
offset = input(0, "Offset", type = input.integer, minval = -500, maxval = 500)

bbr = (bbsrc - lowerBand)/(upperBand - lowerBand) 
//bollinger calculation 

//plot bb
//plot(basis, "Basis", color=#872323, offset = offset)
p1 = plot(upperBand, "Upper", color=color.teal, offset = offset)
p2 = plot(lowerBand, "Lower", color=color.teal, offset = offset)
fill(p1, p2, title = "Background", color=#198787, transp=95)


plot(vwapVal, color = color.purple, linewidth = 2, transp=0)


// Colour background

//barcolor(shortEMAval>longEMAval and close<=lowerBand ? color.yellow: na)
  

//longCondition=  shortEMAval > longEMAval and  close>open and  close>vwapVal
longCondition=  ( shortEMAval > longEMAval  and close>open and close>vwapVal and close<upperBand ) //and time_cond //     and  close>=vwapVal 



//Entry
strategy.entry(id="long", comment="VB LE" , long=true,  when= longCondition and ( strategyCalcOption=="BB"? is_price_dipped_bb(10,lowerBand) : is_bb_per_dipped(10,bbr)  )   and strategy.position_size<1 )   //is_price_dipped_bb(10,lowerBand))  //and strategy.position_size<1       is_bb_per_dipped(15,bbr) 


//add to the existing position
strategy.entry(id="long", comment="Add" , long=true,  when=strategy.position_size>=1 and close<strategy.position_avg_price and close>vwapVal) //and time_cond)

barcolor(strategy.position_size>=1  ? color.blue: na)



strategy.close(id="long", comment="TP Exit",   when=crossover(close,upperBand) )

//stoploss
stopLossVal =   strategy.position_avg_price * (1-(stopLoss*0.01) )
//strategy.close(id="long", comment="SL Exit",   when= close < stopLossVal)

//strategy.risk.max_intraday_loss(stopLoss, strategy.percent_of_equity)

---

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