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2. ATRとMAの組み合わせに基づいたスーパートレンド取引戦略

ATRとMAの組み合わせに基づいたスーパートレンド取引戦略

作者: リン・ハーンチャオチャン, 日付: 2023-12-01 16:40:27
タグ:

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/*backtest
start: 2022-11-30 00:00:00
end: 2023-11-30 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("Supertrend V1.0 - Buy or Sell Signal",overlay=true)
Factor=input(3, minval=1,maxval = 100)
Pd=input(7, minval=1,maxval = 100)
//Calculating ATR
atrLength = input(title="ATR Length:",  defval=14, minval=1)
Stop_Loss_Factor = input(1.5, minval=0,step=0.01)
factor_profit = input(1.0, minval=0,step=0.01)

// === INPUT BACKTEST RANGE ===
FromMonth = input(defval = 4, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 10, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2016, title = "From Year", minval = 2009)
ToMonth   = input(defval = 4, title = "To Month", minval = 1, maxval = 12)
ToDay     = input(defval = 10, title = "To Day", minval = 1, maxval = 31)
ToYear    = input(defval = 2039, title = "To Year", minval = 2017)

// === FUNCTION EXAMPLE ===
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
window()  => time >= start and time <= finish ? true : false // create function "within window of time"


// Calculate ATR
atrValue=atr(atrLength)
decimals = abs(log(syminfo.mintick) / log(10)) 
Atr = atrValue
if(decimals == 5)
    Atr := atrValue * 10000
if(decimals == 4)
    Atr := atrValue * 1000
if(decimals == 3)
    Atr := atrValue * 100
if(decimals == 2)
    Atr := atrValue * 10


//VJ2 Supertrend

Up=hl2-(Factor*atr(Pd))
Dn=hl2+(Factor*atr(Pd))

TrendUp = 0.0
TrendUp:=close[1]>TrendUp[1]? max(Up,TrendUp[1]) : Up
TrendDown = 0.0
TrendDown:=close[1]<TrendDown[1]? min(Dn,TrendDown[1]) : Dn

Trend = 0.0
Trend := close > TrendDown[1] ? 1: close< TrendUp[1]? -1: nz(Trend[1],1)
Tsl = 0.0
Tsl := Trend==1? TrendUp: TrendDown

linecolor = Trend == 1 ? green : red

plot(Tsl, color = linecolor , style = line , linewidth = 2,title = "SuperTrend")

plotshape(cross(close,Tsl) and close>Tsl , "Up Arrow", shape.triangleup,location.belowbar,green,0,0)
plotshape(cross(Tsl,close) and close<Tsl , "Down Arrow", shape.triangledown , location.abovebar, red,0,0)
//plot(Trend==1 and Trend[1]==-1,color = linecolor, style = circles, linewidth = 3,title="Trend")

plotarrow(Trend == 1 and Trend[1] == -1 ? Trend : na, title="Up Entry Arrow", colorup=lime, maxheight=60, minheight=50, transp=0)
plotarrow(Trend == -1 and Trend[1] == 1 ? Trend : na, title="Down Entry Arrow", colordown=red, maxheight=60, minheight=50, transp=0)




//Strategy 
Trend_buy = Trend == 1 
Trend_buy_prev = Trend[1] == -1
algo_buy_pre = Trend_buy and Trend_buy_prev
algo_buy = algo_buy_pre == 1 ? 1 : na
Trend_sell= Trend == -1 
Trend_sell_prev = Trend[1] == 1
algo_sell_pre = Trend_sell and Trend_sell_prev
algo_sell = algo_sell_pre == 1 ? 1:na

strategy.entry("Long1", strategy.long, when= window() and algo_buy==1)

strategy.entry("Short1", strategy.short, when=window() and algo_sell==1)

bought = strategy.position_size > strategy.position_size 
sold = strategy.position_size < strategy.position_size 

longStop = Stop_Loss_Factor * valuewhen(bought, Atr, 0) 
shortStop = Stop_Loss_Factor * valuewhen(sold, Atr, 0) 
longProfit = factor_profit * longStop 
shortProfit = factor_profit * shortStop 


if(decimals == 5) 
    longStop := longStop *100000 
    longProfit := longProfit *100000 
if(decimals == 4) 
    longStop := longStop * 10000 
    longProfit := longProfit * 10000 
if(decimals == 3) 
    longStop := longStop * 1000 
    longProfit := longProfit * 1000 
if(decimals == 2) 
    longStop := longStop * 100 
    longProfit := longProfit *100 
if(decimals == 5) 
    shortStop := shortStop * 100000 
    shortProfit := shortProfit * 100000 
if(decimals == 4) 
    shortStop := shortStop * 10000 
    shortProfit := shortProfit * 10000 
if(decimals == 3) 
    shortStop := shortStop * 1000 
    shortProfit := shortProfit * 1000 
if(decimals == 2) 
    shortStop := shortStop * 100 
    shortProfit := shortProfit * 100 

strategy.exit("Exit Long", from_entry = "Long1", loss =longStop, profit = longProfit) 
strategy.exit("Exit Short", from_entry = "Short1", loss =shortStop, profit = shortProfit) 

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