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2. 内部幅ストップ損失に基づくモメントブレイク戦略

内部幅ストップ損失に基づくモメントブレイク戦略

作者: リン・ハーンチャオチャン,日付: 2023年11月23日 14:14:58
タグ:

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/*backtest
start: 2023-11-15 00:00:00
end: 2023-11-22 08:00:00
period: 3m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// LOVE JOY PEACE PATIENCE KINDNESS GOODNESS FAITHFULNESS GENTLENESS SELF-CONTROL 
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © JoshuaMcGowan
// I needed to test/verify the functionality for canceling an open limit order in a strategy and also work thru the pieces needed to set the position sizing so each loss is a set amount. 
// This is not meant to be dropped into a chart but rather gives the code/logic in order to use in your own script w/alerts or strategy. Hope it helps. 
 
//@version=4
strategy("Strategy Test - Cancel Limit Order and Position Sizing", overlay=true, precision=4)
 
/////////////////
// Backtest Period Selection
 
testStartYear = input(2020, "Backtest Start Year",minval=1980)
testStartMonth = input(2, "Backtest Start Month",minval=1,maxval=12)
testStartDay = input(1, "Backtest Start Day",minval=1,maxval=31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
 
testStopYear = input(2020, "Backtest Stop Year",minval=1980)
testStopMonth = input(12, "Backtest Stop Month",minval=1,maxval=12)
testStopDay = input(31, "Backtest Stop Day",minval=1,maxval=31)
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
 
testPeriod() => time >= true
 
//////////////
// Inside Bar
bull_inside_bar = close>open and high<high[1] and low>low[1]

// Set Levels
bull_inside_bar_sl = valuewhen(bull_inside_bar, low[1], 0) - (1*syminfo.mintick)
bull_breakout_price = valuewhen(bull_inside_bar, high, 0) + (1*syminfo.mintick)
entry_buy   = high
inside_bar_dist = entry_buy - bull_inside_bar_sl
inside_bar_be = entry_buy + (inside_bar_dist * 1)
inside_bar_tgt = entry_buy + (inside_bar_dist * 2)

///////////////////
// Position Sizing 
//////////////////
// For each trade setup that fires in this scenario we want to set our total loss amount in USD, so every trade that loses is lets say $1 and the 2:1 target would be $2 in this example. 
// The math logic for this take the risk amount and divide by the stop percentage, take that number and divide by leverage amount chosen. Stop percentage is a variable below if questions on that. 
//
// Taken from @JoshuaMorris (shout out to the UK peeps) position sizing google doc so thank you sir. 
// Would be used if risking based on percentage of a portfolio. Leaving code snippets here in case that's the direction someone wants to go. 
// xbt_price = security("BITMEX:XBTUSD", "D", close)
// account_size_xbt = input(1, "Account Size (XBT)", type=input.float)
// account_size_usd = (account_size_xbt * xbt_price)
// percentage_risk = input(0.01, "Personal Risk Percent - Default is 1%", type=input.float)
// personal_risk = (account_size_usd * percentage_risk)
// position_size_usd = (personal_risk) / risk_percent
// leverage_req = position_size_usd / account_size_usd

// Will want to hard code leverage as 1x, 5x, 10x etc and dont need it to automagically be set as is above. If you're doing 100x you are gnarly haha. 
leverage_amount = input(title="Leverage Amount Desired", type=input.integer, defval=10, options=[1, 2, 3, 5, 10, 25, 50, 100])
risk_amount = input(title="Risk Total Per Trade in USD", type=input.integer, defval=1, minval=1, step=1)

// Reminder this is for Longs. Math needs to be changed a bit for Shorts. This is the information using the long/short tool would give us if doing manually. 
stop_percent = inside_bar_dist / (entry_buy)
pos_size_no_lev = risk_amount / stop_percent
pos_size_with_lev = pos_size_no_lev / leverage_amount 

//////////////
// Strategy Section

if testPeriod()
    strategy.entry(id="Long", long=true, qty=1, limit=9320.00, when=bull_inside_bar)
    strategy.cancel(id="Long", when = low < 9310)
// as a test swap the price to be above the limit or below to see the cancel in play.
 
//////////////
// Plot Section
plotchar(bull_inside_bar, title="bull_inside_bar", char="🐂", location=location.belowbar, offset=-0, color=color.green, transp=25)
plot(bull_inside_bar_sl, title="bull_inside_bar_sl", transp=100)
plot(entry_buy, title="entry_buy", transp=100)
plot(inside_bar_dist, title="inside_bar_dist", transp=100)
plot(stop_percent, title="stop_percent", transp=100)
plot(pos_size_no_lev, title="pos_size_no_lev", transp=100)
plot(pos_size_with_lev, title="pos_size_with_lev", transp=100)

// Hidden Plots // For Data Window Eyes Only // 
// plot(longCondition==true?1:0, title="Long Condition", transp=100)
// plot(xbt_price, title="XBT Price", transp=100)
// plot(account_size_usd, title="Account Size USD", transp=100)
// plot(risk_percent, title="risk_percent", transp=100)
// plot(position_size_usd, title="position_size_usd", transp=100)
// plot(leverage_req, title="leverage_req", transp=100)

// END //

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