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2. トレンドトラッキング ブレイクアウト戦略

トレンドトラッキング ブレイクアウト戦略

作者: リン・ハーンチャオチャン,日付: 2024-01-22 17:21:10
タグ:

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/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy(shorttitle="Trend Surfers - Breakout", title="Trend Surfers - Premium Breakout",
     overlay=true)

// Risk for position and pyramid
maxriskval = input(2, "Max % risk", type = input.float,
     tooltip="Risk % over total equity / Position", group = "Risk Management")
pairnumber = input(title = "How many pairs",type = input.integer, defval= 1,
     tooltip="How many pairs are you trading with the strategy?", group = "Risk Management")

// Emtry Exit
highPeriod = input(title="Highest High Period", type=input.integer, 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(title="Lowest Low Period", type=input.integer, 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(title="Trailing ATR Pediod", type=input.integer, defval=10,
     tooltip="Average True Range for the Trailing Stop. (Thick Green Line) "
     , group = "Exit Condition")
trailingAtrMultiplier = input(title="Trailing ATR Multiplier", type=input.float, defval=8
     , group = "Exit Condition")
fixAtrPeriod = input(title="Fix ATR Pediod", type=input.integer, defval=10,
     tooltip="Average True Range for the Fix Stoloss. (Thick Yellow Line)"
     , group = "Exit Condition")
fixAtrMultiplier = input(title="Fix ATR Multiplier", type=input.float, defval=2
     , group = "Exit Condition")
// Pair info 
pair = syminfo.basecurrency + syminfo.currency

// High Low Variable
highestHigh = highest(high, highPeriod)[1]
lowestLow = lowest(low, lowPeriod)[1]
trailingAtr = atr(trailingAtrPeriod) * trailingAtrMultiplier

// Trade Condition
longCondition = crossover(close, highestHigh) 
shortCondition = crossunder(close, lowestLow)

// Risk Variable
fixAtr = 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 = max(1, 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 = max(1, 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 % =' + tostring(posperclong) +
                     '\nLeverage' + tostring(leveragelong) +
                     '\nStoploss Price =' + 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 % =' + tostring(pospercshort) +
                     '\nLeverage' + tostring(leverageshort) +
                     '\nStoploss Price =' + 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 longCondition or shortCondition
    if 0 == inTrade
        if longCondition
            inTrade := 1
        else
            inTrade := -1
if 1 == inTrade and (shortCondition or low <= max(fixedStopLine[1], longTrailingStop))
    inTrade := 0
if -1 == inTrade and (longCondition or high >= min(fixedStopLine[1], shortTrailingStop))
    inTrade := 0

longTrailingStop := if (1 == inTrade)
    stopValue = longTrailing
    max(stopValue, longTrailingStop[1])
else
    0

shortTrailingStop := if (-1 == inTrade)
    stopValue = shortTrailing
    min(stopValue, shortTrailingStop[1])
else
    999999

// Fix Stoploss
firstPrice = 0.0
firstFixAtr = 0.0
firstPrice := na
firstFixAtr := na
if 0 != inTrade
    firstPrice := valuewhen(inTrade != inTrade[1] and 0 != inTrade, close, 0)
    firstFixAtr := valuewhen(inTrade != inTrade[1] and 0 != inTrade, fixAtr, 0)
    if 1 == inTrade
        fixedStopLine := firstPrice - firstFixAtr
        trailingStopLine := longTrailingStop
    else
        fixedStopLine := firstPrice + firstFixAtr
        trailingStopLine := shortTrailingStop

if (strategy.position_size > 0)
    strategy.exit(id="L Stop", stop=max(fixedStopLine, longTrailingStop)
     , alert_message = exit_long_message)

if (strategy.position_size < 0)
    strategy.exit(id="S Stop", stop=min(fixedStopLine, shortTrailingStop)
     , alert_message = exit_long_message)
    

// Plot
plot(highestHigh, color=color.green, linewidth=1, transp=0, title='Highest High')
plot(lowestLow, color=color.red, linewidth=1, transp=0, title='Lowest Low')
plot(trailingStopLine, color=color.lime, linewidth=2, transp=0, offset=1, title='Trailing Stop')
plot(fixedStopLine, color=color.orange, linewidth=2, transp=0, offset=1, title='Fixed Stop')

---

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