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動的位置再バランス傾向追跡システム

作者: リン・ハーンチャオチャン,日付: 2024-01-26 14:41:08
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"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Crunchster1

//@version=5
strategy(title="Crunchster's Turtle and Trend System", shorttitle="Turtle Trend", overlay=true, slippage=10, pyramiding=1, precision = 4, calc_on_order_fills = false, calc_on_every_tick = false, default_qty_value = 0.1, initial_capital = 1000, commission_value = 0.06, process_orders_on_close = true)

// Inputs and Parameters
src = input(close, 'Source', group='Strategy Settings')
length = input.int(title="Lookback period for fast EMA", defval=10, minval=2, group='Strategy Settings', tooltip='This sets the lookback period for the fast exponential moving average. The slow EMA is 5x the fast EMA length')
blength = input.int(title="Lookback period for Breakout", defval=20, minval=5, step=5, group='Strategy Settings')

long = input(true, 'Long', inline='08', group='Strategy toggle')
short = input(true, 'Short', inline='08', group='Strategy toggle', tooltip='Toggle long/short strategy on/off')

EMAwt = input(false, 'Trend', inline='01', group='Strategy toggle')
breakwt = input(true, 'Breakout', inline='01', group='Strategy toggle', tooltip='Toggle trend/breakout strategy on/off')

stopMultiple = input.float(2, 'Stop multiple', step=0.5, group='Risk Management Settings', tooltip='Multiple for ATR, setting hard stop loss from entry price')
trail = input.int(10, 'Trail lookback', step=5, group='Risk Management Settings', tooltip='Lookback period for the trailing stop')
lev = input.float(1, 'Max Leverage', step=0.5, group='Risk Management Settings', tooltip='Max leverage sets maximum allowable leverage of total capital (initial capital + any net profit), capping maximum volatility adjusted position size')
riskT = input.float(15, maxval=75, title='Annualised Volatility Target %', group='Risk Management Settings', tooltip='Specify annual risk target, used to determine volatility adjusted position size. Annualised daily volatility is referenced to this value and position size adjusted accordingly')
comp = input(true, 'Compounding', inline='09', group='Risk Management Settings')
Comppct = input.float(50, '%', step=5, inline='09', group='Risk Management Settings', tooltip='Toggle compounding of profit, and set % of profit to compound')

// Backtesting period
FromDay = input.int(defval=1, title='From Day', minval=1, maxval=31, inline='04', group='Backtest range')
FromMonth = input.int(defval=1, title='From Mon', minval=1, maxval=12, inline='04', group='Backtest range')
FromYear = input.int(defval=2018, title='From Yr', minval=1900, inline='04', group='Backtest range', tooltip='Set start of backtesting period')
ToDay = input.int(defval=1, title='To Day', minval=1, maxval=31, inline='05', group='Backtest range')
ToMonth = input.int(defval=1, title='To Mon', minval=1, maxval=12, inline='05', group='Backtest range')
ToYear = input.int(defval=9999, title='To Yr', minval=1900, inline='05', group='Backtest range', tooltip='Set end of backtesting period')

start = timestamp(FromYear, FromMonth, FromDay, 00, 00)
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59)
window = time >= start and time <= finish

// Breakout strategy
lower = ta.lowest(low[1], blength)
upper = ta.highest(high[1], blength)
basis = math.avg(upper, lower)
signal = 20*(close - basis) / (upper - lower)

// Trend strategy
fEMA = ta.ema(close[1], length)
sEMA = ta.ema(close[1], length*5)
emadiff = fEMA - sEMA
nemadiff = 5*emadiff/(ta.stdev(close - close[1], 252))

//Risk Management formulae
strategy.initial_capital = 50000
tr = math.max(high - low, math.abs(high - close), math.abs(low - close)) //True range
stopL = ta.sma(tr, 14) //Average true range
stdev = ta.stdev(close-close[1], 14) //volatility of recent returns
maxcapital = strategy.initial_capital+strategy.netprofit //Maximum capital available to invest - initial capital net of profit
annvol = 100*math.sqrt(365)*stdev/close //converts recent volatility of returns into annualised volatility of returns - assumes daily timeframe

risk = 1.1
if comp
    risk := (strategy.initial_capital+(Comppct*strategy.netprofit/100))//adjust investment capital to include compounding
else
    risk := strategy.initial_capital

shares = (risk * (riskT/annvol)) / close //calculates volatility adjusted position size, dependent on user specified annualised risk target
if ((shares*close) > lev*maxcapital) //ensures position size does not exceed available capital multiplied by user specified maximum leverage
    shares := lev*maxcapital/close

//To set the price at the entry point of trade
Posopen() =>
    math.abs(strategy.position_size[1]) <= 0 and math.abs(strategy.position_size) > 0

var float openN = na
if Posopen()
    openN := stopL

// Trailing stop
tlower = ta.lowest(low[1], trail)
tupper = ta.highest(high[1], trail)
tbasis = math.avg(tupper, tlower)
tsignal = 20*(close - tbasis) / (tupper - tlower)

// Strategy Rules
if EMAwt
    if long
        longCondition2 = (nemadiff >2 and nemadiff[1] <2) and window
        exitlong = tsignal <= -10
        if (longCondition2)
            strategy.entry('Trend Long!', strategy.long, qty=shares)
        if strategy.position_size > 0    
            strategy.exit('Stop Long', from_entry = 'Trend Long!', stop=(strategy.opentrades.entry_price(0) - (openN * stopMultiple)))
        if (exitlong)
            strategy.close('Trend Long!', immediately = true)

    if short
        shortCondition2 = (nemadiff <-1 and nemadiff[1] >-1) and window
        exitshort = tsignal >= 10
        if (shortCondition2)
            strategy.entry('Trend Short!', strategy.short, qty=shares)
        if strategy.position_size < 0   
            strategy.exit('Stop Short', from_entry = 'Trend Short!', stop=(strategy.opentrades.entry_price(0) + (openN * stopMultiple)))
        if (exitshort)
            strategy.close('Trend Short!', immediately = true)

if breakwt
    if long
        longCondition1 = (signal >= 10) and window
        exitlong = tsignal <= -10
        if (longCondition1)
            strategy.entry('Break Long!', strategy.long, qty=shares)
        if strategy.position_size > 0    
            strategy.exit('Stop Long', from_entry = 'Break Long!', stop=(strategy.opentrades.entry_price(0) - (openN * stopMultiple)))
        if (exitlong)
            strategy.close('Break Long!', immediately = true)

    if short
        shortCondition1 = (signal <= -10) and window
        exitshort = tsignal >= 10
        if (shortCondition1)
            strategy.entry('Break Short!', strategy.short, qty=shares)
        if strategy.position_size < 0   
            strategy.exit('Stop Short', from_entry = 'Break Short!', stop=(strategy.opentrades.entry_price(0) + (openN * stopMultiple)))
        if (exitshort)
            strategy.close('Break Short!', immediately = true)

// Visuals of trend and direction
plot(nemadiff, title='EMA Forecast', color=color.black, display=display.none)
plot(ta.sma(ta.median(math.sqrt(math.pow(nemadiff,2)), 700), 350), 'Forecast mean', color=color.rgb(245, 0, 0), display=display.none)

MAColor = fEMA > sEMA ? #00ff00 : #ff0000
MA1 = plot(fEMA, title='Fast EMA', color=MAColor)
MA2 = plot(sEMA, title='Slow EMA', color=MAColor)
fill(MA1, MA2, title='Band Filler', color=MAColor)

---

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