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ダイナミック平均コスト ドル平均コスト 複合戦略

作者: リン・ハーンチャオチャン,日付: 2024-01-04 16:34:10
タグ:

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/*backtest
start: 2023-12-04 00:00:00
end: 2024-01-03 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///
// © A3Sh
//@version=5

// Study of a Simple RSI based, PA (priceaveraging) and DCA strategy that opens a new position everytime it hits a specified price level below the first entry.
// The first entry is opened when the specified rsi and moving average conditions are met. 
// The following DCA levels are calculated exponentially and set, starting with a specified % of price drop. 
// The disctance between the dca levels can be changed with the exponential scale.
// Each position closes individually when it reaches a specified take profit.
// The position can re-open again when it hits the price level again.
// Each time a position is closed and reopened, the average price drops a little.
// The position stays open until the first entry closes or when the price reaches the Stop level.
// When the price reaches the Stop level, all positions will close at once.

// The RSI and MA code for opening the entry is adapted from the Optimized RSI Buy the Dips strategy, by Coinrule.
// This code is used for study purposes, but any other low/ dip finding indicator can be used.
// https://www.tradingview.com/script/Pm1WAtyI-Optimized-RSI-Strategy-Buy-The-Dips-by-Coinrule/

// Dynamic DCA layers are inspired by the Backtesting 3commas DCA Bot v2, by rouxam
// This logic gives more flexibility because you can dyanically change the amount of dca entries.
// https://www.tradingview.com/script/8d6Auyst-Backtesting-3commas-DCA-Bot-v2/

// The use of for loops to (re)open and close different entries separately is based on the Simple_Pyramiding strategy.
// https://www.tradingview.com/script/t6cNLqDN-Simple-Pyramiding/


strategy('Simple_RSI+PA+DCA', overlay=true, pyramiding=20, initial_capital=500, calc_on_order_fills=true, default_qty_type=strategy.percent_of_equity, commission_type=strategy.commission.percent, commission_value=0.075, close_entries_rule='FIFO')

// Backtest Window //
start_time   = input(defval=timestamp("01 April 2021 20:00"), group = "Backtest Window", title="Start Time")
end_time     = input(defval=timestamp("01 Aug 2030 20:00"),   group = "Backtest Window", title="End Time")
window() => true

// Inputs //
takeProfit      = input.float  (3,           group = 'Risk',           title = 'Take Profit %', step=0.1)
takeProfitAll   = input.float  (6,           group = "Risk",           title = 'Close All %',   step=0.1)
posCount        = input.int    (8,           group = 'DCA Settings',   title = 'Max Amount of Entries')
increment       = input.float  (2,           group = 'DCA Settings',   title = 'Price Drop % to open First DCA Order', step=0.5)/100 
exponent_scale  = input.float  (1.4,         group = 'DCA Settings',   title = 'Exponential Scale DCA levels', step=0.1, minval=1.1) 
bar_lookback    = input.int    (4999,        group = 'DCA Settings',   title = 'Lines Bar Lookback', maxval = 4999)
plotMA          = input.bool   (false,       group = 'Moving Average', title = 'Plot Moving Average')
moving_average  = input.int    (100,         group = 'Moving Average', title = 'MA Length' )
rsiLengthInput  = input.int    (14,          group = 'RSI Settings',   title = "RSI Length", minval=1)
rsiSourceInput  = input.source (close,       group = 'RSI Settings',   title = 'Source')
overSold        = input.int    (29,          group = 'RSI Settings',   title = 'Oversold, Trigger to Enter First Position')

// variables //
var open_position    = true   // true when there are open positions
var entry_price      = 0.0    // the entry price of the first entry
var dca_price        = 0.0    // the price of the different dca layers
var int count        = 0      // bar counter since first open position
var int max_bar      = 0      // max bar buffer variable for DCA lines, stop lines, average price
var line dca_line    = na     // lines variable for creating dca lines

// arrays //
linesArray = array.new_float(posCount,na)  // array to store different dca price levels for creating the dca lines

// Create max bar buffer for DCA lines, Stop and average price lines //
max_bar := count >= bar_lookback ? bar_lookback : count

// Order size based on first entry and amount of DCA layers
q = (strategy.equity  / posCount + 1) / open


// Calculate Moving Averages
movingaverage_signal = ta.sma(close ,moving_average)
plot (plotMA ? movingaverage_signal : na, color = color.new(#f5ff35, 0))


// RSI calculations //
up   = ta.rma(math.max(ta.change(rsiSourceInput), 0), rsiLengthInput)
down = ta.rma(-math.min(ta.change(rsiSourceInput), 0), rsiLengthInput)
rsi  = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))


// Buy Signal (co)
co = ta.crossover(rsi, overSold) and close < movingaverage_signal


// Create a white line for average price, since the last opened position //
// average_price = line.new(x1 = bar_index - max_bar, y1 = strategy.position_avg_price, x2 = bar_index, y2 = strategy.position_avg_price, color = color.white)
    

// Stop //
// Create a red Stop level line based on a specified % above the average price //
stop_level = strategy.position_avg_price + (strategy.position_avg_price / 100 * takeProfitAll)
// stop_line  = line.new(x1 = bar_index - max_bar, y1 = stop_level, x2 = bar_index, y2 = stop_level, color = color.red)
    

// Take profit definition per open position //
take_profit_price = close * takeProfit / 100 / syminfo.mintick


// Make sure the Stop level and average price level don't excied the bar buffer to avoid errors //
// if count <= bar_lookback
//     line.set_x1(stop_line,     strategy.opentrades.entry_bar_index(strategy.opentrades - 1))
//     line.set_x1(average_price, strategy.opentrades.entry_bar_index(strategy.opentrades - 1))


// Exponential DCA Layer Calculation fucntion --> First try, needs more experimentation //
dca_price_level(index,entry_price) =>   
    entry_price * (1 - (increment * math.pow(exponent_scale, index)))


// Set  Entries //
// Open the first entry and set the entry price //
if co and strategy.position_size == 0 and window() 
    open_position := true
    entry_price   := close
    strategy.entry(id = 'FE1', direction = strategy.long, qty = q)  
    
// first_entry_line = line.new(x1 = bar_index - max_bar, y1 = entry_price, x2 = bar_index, y2 = entry_price, color = color.blue)


// Start bar counting since the position is open //
if open_position == true
    count := count + 1


// Set the DCA entries //
// Prices below 1 are not set to avoid negative prices //
if strategy.position_size > 0 and window()
    for i = 0 to strategy.opentrades
        if strategy.opentrades == i and i < posCount
            dca_price := dca_price_level(i,entry_price) > 1 ? dca_price_level(i,entry_price) : na
            entry_id = 'DCA' + str.tostring(i + 1) 
            strategy.entry(id = entry_id, direction = strategy.long, limit = dca_price, qty = q)  


// Store the values of the different dca price levels in an array and create the dca lines // 
// Prices below 1 are not stored//
if open_position==true and window() 
    for i = 1 to posCount -1
        array.push(linesArray, dca_price_level(i,entry_price) > 1 ? dca_price_level(i,entry_price) : na) 
    
    // for i = 1 to array.size(linesArray) - 1
    //     dca_line := line.new(x1 = bar_index - max_bar, y1 = array.get(linesArray, i), x2 = bar_index, y2 = array.get(linesArray, i),color = color.blue)


// Create thick line to show the last Entry price //
// last_entry_price = line.new(x1 = bar_index[5], y1 = strategy.opentrades.entry_price(strategy.opentrades - 1), x2 = bar_index, y2 = strategy.opentrades.entry_price(strategy.opentrades - 1),color = color.rgb(255, 0, 204), width = 5)


// Exit the first entry when the take profit triggered //   
if strategy.opentrades > 0 and window() 
    strategy.exit(id = 'Exit FE', from_entry = 'FE1', profit = take_profit_price)


// Exit DCA entries when take profit is triggered //
if strategy.opentrades > 0 and window() 
    for i = 0 to strategy.opentrades 
        exit_from = 'DCA' + str.tostring(i + 1)
        exit_id = 'Exit_' + str.tostring(i + 1)
        strategy.exit(id = exit_id, from_entry = exit_from, profit = take_profit_price)


// Close all positions at once when Stop is crossed //
if strategy.opentrades > 0 and ta.crossover(close,stop_level) and window() 
    strategy.close_all()


// Make sure nothing is open after alle positions are closed and set the condiftion back to be open for new entries //
if strategy.position_size[1] > 0 and strategy.position_size == 0
    strategy.cancel_all()
    strategy.close_all()
    // line.delete(average_price)
    // line.delete(stop_line)
    // line.delete(dca_line)
    open_position := false   // All position are closed, so back to false
    count := 0               // Reset bar counter

---

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