トレンドと振動の二重戦略
作者: リン・ハーンチャオチャン, 日付: 2024-01-04 17:32:26タグ:
概要
トレンドと振動のダブル戦略は,トレンドと振動を組み合わせる定量的な取引戦略である.トレンドの方向性と強さを特定し,トレンド振動中により良いエントリー機会を見つけるために2つの指標の組み合わせを使用する.
原則
この戦略は主に2つのオープンインジケーター:トレンドサーファーとMawreez
トレンドサーファーズ (Trend Surfers) は,トレンド追跡ストップ損失指標である.特定の期間の最高値と最低値を計算することによって,価格動きを判断し,ストップ損失ポジションを提示する.例えば,価格が最新の168Kラインの最高価格を突破すると,それは上昇信号である.価格が最新の168Kラインの最低価格を突破すると,それは下落信号である.
マウリーズ・トレンド・オシレーター (Mawreez
この戦略の取引規則は次のとおりです
ロングエントリー: トレンドサーファーが上位線を突破し,マウリーズ・トレンド・オシレーターが上昇信号を示したときに購入
短期入場: トレンドサーファーが最下位線を突破し,Mawreez
ストップ・ロスの方法は,トレンド追跡ストップ・ロスの組み合わせと固定ストップ・ロスの組み合わせです.
利点分析
この戦略は,トレンドと振動指標を組み合わせ,振動中にトレンドを把握し,よりよいエントリー価格を見つけることができます.主な利点は以下の通りです.
- 二重指標フィルタリングは,誤ったブレイクを効果的に防ぐことができます
- トレンドと振動の組み合わせは,低価格の価格帯を簡単に利用し,取引狩りまたは高価格の利益を得るために出口します.
- 複数のストップ・ロスの方法によりリスクは非常にうまくコントロールできます
リスク分析
この戦略にはいくつかのリスクもあります:
- 双重指標の組み合わせは,取引信号が欠落する可能性があります.
- トレンドインジケーターとオシレーションインジケーターの間には矛盾する信号が発生する可能性があります.
- 固定ストップ損失が早すぎる場合もあります.
これらのリスクを軽減するために,次の措置をとることができます.
- フィルタリング速度を減らすために適切に指標のパラメータをリラックス
- 傾向判断のルールを追加して指標の衝突を回避する
- ストップ・ロスのポジションを動的に調整する
オプティマイゼーションの方向性
この戦略をさらに最適化できる余地があります.
- 最適なパラメータを見つけるために異なるパラメータ組み合わせとサイクルパラメータをテスト
- 変動,取引量などに基づく補助規則を増やす
- 機械学習技術を採用し,指標やパラメータを動的に最適化する
概要
トレンドと振動のダブル戦略は,トレンド追跡と振動指標の利点を統合している.トレンド方向を特定し,振動の機会を掴むことができる.パラメータとルール最適化により,この戦略の収益性はさらに向上することができる.この戦略には発展の良い見通しがある.
/*backtest
start: 2023-12-27 00:00:00
end: 2024-01-03 00:00:00
period: 1m
basePeriod: 1m
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/
// © myn
//@version=5
strategy('Strategy Myth-Busting #8 - TrendSurfers+TrendOsc - [MYN]', max_bars_back=5000, overlay=true, pyramiding=0, initial_capital=20000, currency='USD', default_qty_type=strategy.percent_of_equity, default_qty_value=100.0, commission_value=0.075, use_bar_magnifier = false)
/////////////////////////////////////
//* Put your strategy logic below *//
/////////////////////////////////////
//cAe9It4ynO4
// Strategies
// Trend Surfers - Premium Indicator
// Mawreez' Trend Oscillator Indicator
// Trading Setup / Rules
// Long Condition
// Trend Surfers Trailing stop line goes below (Crosses) lowest low
// Bullish Candle (red)
// Mawreeze Trend Oscilator Indicator is green
// Short Condition
// Trend Surfers Trailing stop line goes above (Crosses) highest high
// Bearish Candle (red)
// Mawreeze Trend Oscilator Indicator is red
// Stop loss middle between high and low Risk 1:2
//@version=5
//strategy(shorttitle='Trend Surfers - Breakout', title='Trend Surfers - Premium Breakout', overlay=true, calc_on_every_tick=false, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type='percent', commission_value=0.04)
// Risk for position and pyramid
maxriskval = input.float(2, 'Max % risk', tooltip='Risk % over total equity / Position', group='Risk Management')
pairnumber = input.int(title='How many pairs', defval=1, tooltip='How many pairs are you trading with the strategy?', group='Risk Management')
// Emtry Exit
highPeriod = input.int(title='Highest High Period', defval=168, tooltip='Highest High of X bars - This will trigger a Long Entry when close is above. (Thin Green Line)', group='Entry Condition')
lowPeriod = input.int(title='Lowest Low Period', defval=168, tooltip='Lowest low of X bars - This will trigger a Short Entry when close is under. (Thin Red Line)', group='Entry Condition')
// Stoploss
trailingAtrPeriod = input.int(title='Trailing ATR Pediod', defval=10, tooltip='Average True Range for the Trailing Stop. (Thick Green Line) ', group='Exit Condition')
trailingAtrMultiplier = input.float(title='Trailing ATR Multiplier', defval=8, group='Exit Condition')
fixAtrPeriod = input.int(title='Fix ATR Pediod', defval=10, tooltip='Average True Range for the Fix Stoloss. (Thick Yellow Line)', group='Exit Condition')
fixAtrMultiplier = input.float(title='Fix ATR Multiplier', defval=2, group='Exit Condition')
// Pair info
pair = syminfo.basecurrency + syminfo.currency
// High Low Variable
highestHigh = ta.highest(high, highPeriod)[1]
lowestLow = ta.lowest(low, lowPeriod)[1]
trailingAtr = ta.atr(trailingAtrPeriod) * trailingAtrMultiplier
// Trade Condition
longConditionTrendSurfers = ta.crossover(close, highestHigh)
shortConditionTrendSurfers = ta.crossunder(close, lowestLow)
// Risk Variable
fixAtr = ta.atr(fixAtrPeriod) * fixAtrMultiplier
stopvaluelong = close[1] - fixAtr[1]
stopvalueshort = close[1] + fixAtr[1]
// Position size Long
maxpossize = strategy.equity / close
positionsizelong = maxriskval / 100 * strategy.equity / (close - stopvaluelong)
stopperclong = (close - stopvaluelong) / close * 100
leveragelong = math.max(1, math.ceil(positionsizelong / maxpossize)) * 2
posperclong = positionsizelong * close / strategy.equity * 100 / leveragelong / pairnumber
realposlong = posperclong / 100 * strategy.equity * leveragelong / close
// Position size Short
positionsizeshort = maxriskval / 100 * strategy.equity / (stopvalueshort - close)
stoppercshort = (close - stopvalueshort) / close * 100
leverageshort = math.max(1, math.ceil(positionsizeshort / maxpossize)) * 2
pospercshort = positionsizeshort * close / strategy.equity * 100 / leverageshort / pairnumber
realposshort = pospercshort / 100 * strategy.equity * leverageshort / close
// Alert Message
entry_long_message = '\nGo Long for ' + pair + 'NOW!' + '\nPosition Size % =' + str.tostring(posperclong) + '\nLeverage' + str.tostring(leveragelong) + '\nStoploss Price =' + str.tostring(stopvaluelong) + '\nClose any Short position that are open for ' + pair + '!' + '\n\nVisit TrendSurfersSignals.com' + '\nFor automated premium signals (FREE)'
entry_short_message = '\nGo Short for ' + pair + 'NOW!' + '\nPosition Size % =' + str.tostring(pospercshort) + '\nLeverage' + str.tostring(leverageshort) + '\nStoploss Price =' + str.tostring(stopvalueshort) + '\nClose any Long position that are open for ' + pair + '!' + '\n\nVisit TrendSurfersSignals.com' + '\nFor automated premium signals (FREE)'
exit_short_message = '\nExit Short for ' + pair + 'NOW!' + '\n\nVisit TrendSurfersSignals.com' + '\nFor automated premium signals (FREE)'
exit_long_message = '\nExit Long for ' + pair + 'NOW!' + '\n\nVisit TrendSurfersSignals.com' + '\nFor automated premium signals (FREE)'
// Order
// if longCondition
// strategy.entry('Long', strategy.long, stop=highestHigh, comment='Long', qty=realposlong, alert_message=entry_long_message)
// if shortCondition
// strategy.entry('Short', strategy.short, stop=lowestLow, comment='Short', qty=realposshort, alert_message=entry_short_message)
// Stoploss Trailing
longTrailing = close - trailingAtr
shortTrailing = close + trailingAtr
var longTrailingStop = 0.0
var shortTrailingStop = 999999.9
trailingStopLine = 0.0
trailingStopLine := na
fixedStopLine = 0.0
fixedStopLine := na
var inTrade = 0
if longConditionTrendSurfers or shortConditionTrendSurfers
if 0 == inTrade
if longConditionTrendSurfers
inTrade := 1
inTrade
else
inTrade := -1
inTrade
if 1 == inTrade and (shortConditionTrendSurfers or low <= math.max(fixedStopLine[1], longTrailingStop))
inTrade := 0
inTrade
if -1 == inTrade and (longConditionTrendSurfers or high >= math.min(fixedStopLine[1], shortTrailingStop))
inTrade := 0
inTrade
longTrailingStop := if 1 == inTrade
stopValue = longTrailing
math.max(stopValue, longTrailingStop[1])
else
0
shortTrailingStop := if -1 == inTrade
stopValue = shortTrailing
math.min(stopValue, shortTrailingStop[1])
else
999999
// Fix Stoploss
firstPrice = 0.0
firstFixAtr = 0.0
firstPrice := na
firstFixAtr := na
if 0 != inTrade
firstPrice := ta.valuewhen(inTrade != inTrade[1] and 0 != inTrade, close, 0)
firstFixAtr := ta.valuewhen(inTrade != inTrade[1] and 0 != inTrade, fixAtr, 0)
if 1 == inTrade
fixedStopLine := firstPrice - firstFixAtr
trailingStopLine := longTrailingStop
trailingStopLine
else
fixedStopLine := firstPrice + firstFixAtr
trailingStopLine := shortTrailingStop
trailingStopLine
// if strategy.position_size > 0
// strategy.exit(id='L Stop', stop=math.max(fixedStopLine, longTrailingStop), alert_message=exit_long_message)
// if strategy.position_size < 0
// strategy.exit(id='S Stop', stop=math.min(fixedStopLine, shortTrailingStop), alert_message=exit_short_message)
// Plot
plot(highestHigh, color=color.new(color.green, 0), linewidth=1, title='Highest High')
plot(lowestLow, color=color.new(color.red, 0), linewidth=1, title='Lowest Low')
plot(trailingStopLine, color=color.new(color.lime, 0), linewidth=2, offset=1, title='Trailing Stop')
plot(fixedStopLine, color=color.new(color.orange, 0), linewidth=2, offset=1, title='Fixed Stop')
// Trend Surfers Trailing stop line goes above (Crossesover) highest high
// Bearish Candle (red)
// Mawreeze Trend Oscilator Indicator is red
trendSurfersShortEntry = trailingStopLine > highestHigh and close < close[1]
trendSurfersLongEntry = trailingStopLine < lowestLow and close > close[1]
//@version=5
// Taken from the TradingView house rules regarding scripts:
// "All open source scripts that do not mention a specific open source license
// in their comments are licensed under the Mozilla Public License 2.0.
// Following the Mozilla License, any script reusing open source code originally
// published by someone else must also be open source, unless specific
// permission is granted by the original author."
//indicator('Mawreez\' Trend Oscillator', precision=3)
len = input.int(title='DI Length', minval=1, defval=14)
sens = input.float(title='Sensitivity', defval=25)
// Lag-free smoothing of a given series
smooth(series, len) =>
f28 = ta.ema(series, len)
f30 = ta.ema(f28, len)
vC = f28 * 1.5 - f30 * 0.5
f38 = ta.ema(vC, len)
f40 = ta.ema(f38, len)
v10 = f38 * 1.5 - f40 * 0.5
f48 = ta.ema(v10, len)
f50 = ta.ema(f48, len)
f48 * 1.5 - f50 * 0.5
// Constructing the +DI and -DI
up = ta.change(high)
down = -ta.change(low)
plus_dm = up > 0 and up > down ? up : 0
minus_dm = down > 0 and down > up ? down : 0
range_1 = ta.rma(ta.tr, len)
plus_di = smooth(ta.rma(plus_dm, len) / range_1, 3)
minus_di = smooth(ta.rma(minus_dm, len) / range_1, 3)
// Constructing and plotting the modified ADX
adj_adx = 100 * math.abs(plus_di - minus_di) / (plus_di + minus_di) - sens
adj_adx := (minus_di > plus_di ? -1 : 1) * (adj_adx < 0 ? 0 : adj_adx)
//plot(smooth(adj_adx, 3), color=plus_di > minus_di ? color.green : color.red, style=plot.style_columns)
trendOscShortEntry = plus_di < minus_di
trendOscLongEntry = plus_di > minus_di
//////////////////////////////////////
//* Put your strategy rules below *//
/////////////////////////////////////
longCondition = trendSurfersLongEntry and trendOscLongEntry
shortCondition = trendSurfersShortEntry and trendOscShortEntry
//define as 0 if do not want to use
closeLongCondition = 0
closeShortCondition = 0
// ADX
//░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
adxEnabled = input.bool(defval = false , title = "Average Directional Index (ADX)", tooltip = "", group ="ADX" )
adxlen = input(14, title="ADX Smoothing", group="ADX")
adxdilen = input(14, title="DI Length", group="ADX")
adxabove = input(25, title="ADX Threshold", group="ADX")
adxdirmov(len) =>
adxup = ta.change(high)
adxdown = -ta.change(low)
adxplusDM = na(adxup) ? na : (adxup > adxdown and adxup > 0 ? adxup : 0)
adxminusDM = na(adxdown) ? na : (adxdown > adxup and adxdown > 0 ? adxdown : 0)
adxtruerange = ta.rma(ta.tr, len)
adxplus = fixnan(100 * ta.rma(adxplusDM, len) / adxtruerange)
adxminus = fixnan(100 * ta.rma(adxminusDM, len) / adxtruerange)
[adxplus, adxminus]
adx(adxdilen, adxlen) =>
[adxplus, adxminus] = adxdirmov(adxdilen)
adxsum = adxplus + adxminus
adx = 100 * ta.rma(math.abs(adxplus - adxminus) / (adxsum == 0 ? 1 : adxsum), adxlen)
adxsig = adxEnabled ? adx(adxdilen, adxlen) : na
isADXEnabledAndAboveThreshold = adxEnabled ? (adxsig > adxabove) : true
//Backtesting Time Period (Input.time not working as expected as of 03/30/2021. Giving odd start/end dates
//░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
useStartPeriodTime = input.bool(true, 'Start', group='Date Range', inline='Start Period')
startPeriodTime = input(timestamp('1 Jan 2019'), '', group='Date Range', inline='Start Period')
useEndPeriodTime = input.bool(true, 'End', group='Date Range', inline='End Period')
endPeriodTime = input(timestamp('31 Dec 2030'), '', group='Date Range', inline='End Period')
start = useStartPeriodTime ? startPeriodTime >= time : false
end = useEndPeriodTime ? endPeriodTime <= time : false
calcPeriod = true
// Trade Direction
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tradeDirection = input.string('Long and Short', title='Trade Direction', options=['Long and Short', 'Long Only', 'Short Only'], group='Trade Direction')
// Percent as Points
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
per(pcnt) =>
strategy.position_size != 0 ? math.round(pcnt / 100 * strategy.position_avg_price / syminfo.mintick) : float(na)
// Take profit 1
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp1 = input.float(title='Take Profit 1 - Target %', defval=100, minval=0.0, step=0.5, group='Take Profit', inline='Take Profit 1')
q1 = input.int(title='% Of Position', defval=100, minval=0, group='Take Profit', inline='Take Profit 1')
// Take profit 2
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp2 = input.float(title='Take Profit 2 - Target %', defval=100, minval=0.0, step=0.5, group='Take Profit', inline='Take Profit 2')
q2 = input.int(title='% Of Position', defval=100, minval=0, group='Take Profit', inline='Take Profit 2')
// Take profit 3
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp3 = input.float(title='Take Profit 3 - Target %', defval=100, minval=0.0, step=0.5, group='Take Profit', inline='Take Profit 3')
q3 = input.int(title='% Of Position', defval=100, minval=0, group='Take Profit', inline='Take Profit 3')
// Take profit 4
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp4 = input.float(title='Take Profit 4 - Target %', defval=100, minval=0.0, step=0.5, group='Take Profit')
/// Stop Loss
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
stoplossPercent = input.float(title='Stop Loss (%)', defval=999, minval=0.01, group='Stop Loss') * 0.01
slLongClose = close < strategy.position_avg_price * (1 - stoplossPercent)
slShortClose = close > strategy.position_avg_price * (1 + stoplossPercent)
/// Leverage
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
leverage = input.float(1, 'Leverage', step=.5, group='Leverage')
contracts = math.min(math.max(.000001, strategy.equity / close * leverage), 1000000000)
/// Trade State Management
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
isInLongPosition = strategy.position_size > 0
isInShortPosition = strategy.position_size < 0
/// ProfitView Alert Syntax String Generation
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
alertSyntaxPrefix = input.string(defval='CRYPTANEX_99FTX_Strategy-Name-Here', title='Alert Syntax Prefix', group='ProfitView Alert Syntax')
alertSyntaxBase = alertSyntaxPrefix + '\n#' + str.tostring(open) + ',' + str.tostring(high) + ',' + str.tostring(low) + ',' + str.tostring(close) + ',' + str.tostring(volume) + ','
/// Trade Execution
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
longConditionCalc = (longCondition and isADXEnabledAndAboveThreshold)
shortConditionCalc = (shortCondition and isADXEnabledAndAboveThreshold)
if calcPeriod
if longConditionCalc and tradeDirection != 'Short Only' and isInLongPosition == false
strategy.entry('Long', strategy.long, qty=contracts)
alert(message=alertSyntaxBase + 'side:long', freq=alert.freq_once_per_bar_close)
if shortConditionCalc and tradeDirection != 'Long Only' and isInShortPosition == false
strategy.entry('Short', strategy.short, qty=contracts)
alert(message=alertSyntaxBase + 'side:short', freq=alert.freq_once_per_bar_close)
//Inspired from Multiple %% profit exits example by adolgo https://www.tradingview.com/script/kHhCik9f-Multiple-profit-exits-example/
strategy.exit('TP1', qty_percent=q1, profit=per(tp1))
strategy.exit('TP2', qty_percent=q2, profit=per(tp2))
strategy.exit('TP3', qty_percent=q3, profit=per(tp3))
strategy.exit('TP4', profit=per(tp4))
strategy.close('Long', qty_percent=100, comment='SL Long', when=slLongClose)
strategy.close('Short', qty_percent=100, comment='SL Short', when=slShortClose)
strategy.close_all(when=closeLongCondition or closeShortCondition, comment='Close Postion')
/// Dashboard
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Inspired by https://www.tradingview.com/script/uWqKX6A2/ - Thanks VertMT
showDashboard = input.bool(group="Dashboard", title="Show Dashboard", defval=false)
f_fillCell(_table, _column, _row, _title, _value, _bgcolor, _txtcolor) =>
_cellText = _title + "\n" + _value
table.cell(_table, _column, _row, _cellText, bgcolor=_bgcolor, text_color=_txtcolor, text_size=size.auto)
// Draw dashboard table
if showDashboard
var bgcolor = color.new(color.black,0)
// Keep track of Wins/Losses streaks
newWin = (strategy.wintrades > strategy.wintrades[1]) and (strategy.losstrades == strategy.losstrades[1]) and (strategy.eventrades == strategy.eventrades[1])
newLoss = (strategy.wintrades == strategy.wintrades[1]) and (strategy.losstrades > strategy.losstrades[1]) and (strategy.eventrades == strategy.eventrades[1])
varip int winRow = 0
varip int lossRow = 0
varip int maxWinRow = 0
varip int maxLossRow = 0
if newWin
lossRow := 0
winRow := winRow + 1
if winRow > maxWinRow
maxWinRow := winRow
if newLoss
winRow := 0
lossRow := lossRow + 1
if lossRow > maxLossRow
maxLossRow := lossRow
// Prepare stats table
var table dashTable = table.new(position.bottom_right, 1, 15, border_width=1)
if barstate.islastconfirmedhistory
// Update table
dollarReturn = strategy.netprofit
f_fillCell(dashTable, 0, 0, "Start:", str.format("{0,date,long}", strategy.closedtrades.entry_time(0)) , bgcolor, color.white) // + str.format(" {0,time,HH:mm}", strategy.closedtrades.entry_time(0))
f_fillCell(dashTable, 0, 1, "End:", str.format("{0,date,long}", strategy.opentrades.entry_time(0)) , bgcolor, color.white) // + str.format(" {0,time,HH:mm}", strategy.opentrades.entry_time(0))
_profit = (strategy.netprofit / strategy.initial_capital) * 100
f_fillCell(dashTable, 0, 2, "Net Profit:", str.tostring(_profit, '##.##') + "%", _profit > 0 ? color.green : color.red, color.white)
_numOfDaysInStrategy = (strategy.opentrades.entry_time(0) - strategy.closedtrades.entry_time(0)) / (1000 * 3600 * 24)
f_fillCell(dashTable, 0, 3, "Percent Per Day", str.tostring(_profit / _numOfDaysInStrategy, '#########################.#####')+"%", _profit > 0 ? color.green : color.red, color.white)
_winRate = ( strategy.wintrades / strategy.closedtrades ) * 100
f_fillCell(dashTable, 0, 4, "Percent Profitable:", str.tostring(_winRate, '##.##') + "%", _winRate < 50 ? color.red : _winRate < 75 ? #999900 : color.green, color.white)
f_fillCell(dashTable, 0, 5, "Profit Factor:", str.tostring(strategy.grossprofit / strategy.grossloss, '##.###'), strategy.grossprofit > strategy.grossloss ? color.green : color.red, color.white)
f_fillCell(dashTable, 0, 6, "Total Trades:", str.tostring(strategy.closedtrades), bgcolor, color.white)
f_fillCell(dashTable, 0, 8, "Max Wins In A Row:", str.tostring(maxWinRow, '######') , bgcolor, color.white)
f_fillCell(dashTable, 0, 9, "Max Losses In A Row:", str.tostring(maxLossRow, '######') , bgcolor, color.white)
もっと
- EMAとMACDをベースとした戦略をタイムフレームにわたってフォローする傾向
- 複数の指標による衝突逆転戦略
- EMAとSMAのクロスオーバーに基づくトレンド逆転戦略
- DMI DPO 警備戦略
- トレンド追跡 短期取引戦略
- RSI の 傾向 は 牛 の 戦略 に 続く
- RSインデックスと移動平均の組み合わせ戦略
- 複数のタイムフレームのMAトレンド 戦略をフォロー
- 二重指標の下位購入戦略
- 低迷の逆転戦略
- トレンドサーフィング - ダブル移動平均クロスオーバートレンド戦略
- DMIとHMAの組み合わせ戦略
- 比較強度指数に基づく改善されたRSIスカルピング戦略
- 双重逆転RSI ヒストアラート戦略
- ADXフィルターでモメントブレイク戦略
- ダイナミック平均コスト ドル平均コスト 複合戦略
- マルチEMAクロスオーバートレンド 戦略をフォローする
- カマリラ・ピボット・ブレークアウト戦略
- アダプティブ・ボトベンコ指標 ロング・ショート戦略
- ボリンジャーバンドとVWAPベースの定量取引戦略