この戦略は,SSLハイブリッドチャネル,QQE MOD,Waddah Attar Explosion指標を組み合わせて,戦略をフォローする強力なトレンドを構築する.中期から長期間の間にわたってBTCやETHなどの主要な暗号通貨で安定した利益を達成することができます.
長期入国条件:
短期入場条件:
長期出口条件:
ショートアウト条件:
この戦略の利点は
3つの指標の組み合わせは,取引信号の正確性と信頼性を保証します.
SSLベースラインとQQEMODは,効率的にトレンド方向を把握する
ワッダ・アッタール爆発は 偽の脱出を防ぐために 信号をさらに検証します
シンプルなコード構造,理解し変更が簡単
完全ストップ損失,利益とリスク管理システム,リスクを制御する
長い時間枠 (例えば1時間,4時間) で優れたバックテスト結果
この戦略のリスクは
短期間 (例えば5m) のバックテストの結果が不十分
ストップ・ロスは高波動の時に頻繁に発生する可能性があります.
結果は異なる暗号通貨によって異なります.
可能な解決策:
中期から長期間の使用のみ
停止損失を拡大し,頻繁すぎるトリガー防止
適したものを探すため,より多くの資産をテストします
改善の可能性:
最適な組み合わせを見つけるために異なるパラメータセットをテスト
機械学習を組み込み,適応性を向上させる
安定性を高めるために感情やその他の要因と組み合わせる
特定産業の特徴に基づいて調整する
アルゴリズム取引モジュールを追加して収益を上げます
この戦略は,健全な論理,完全なリスク管理,適切な資産と時間枠の安定性により,大きな利益の可能性を持っています.継続的な改善により,非常に効率的な取引ツールになります.
/*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/ // © fpemehd // Thanks to myncrypto, jason5480, kevinmck100 // @version=5 strategy(title = '[D] SSL Hybrid + QQE MOD + Waddah Attar Strategy', shorttitle = '[D] SQW Strategy', overlay = true, pyramiding = 0, currency = currency.USD, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_value = 0.1, initial_capital = 100000, max_bars_back = 500, max_lines_count = 150, max_labels_count = 300) // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Time, Direction, Etc - Basic Settings Inputs // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // 1. Time: Based on UTC +09:00 i_start = input (defval = timestamp("20 Jan 1990 00:00 +0900"), title = "Start Date", tooltip = "Choose Backtest Start Date", inline = "Start Date", group = "Time" ) i_end = input (defval = timestamp("20 Dec 2030 00:00 +0900"), title = "End Date", tooltip = "Choose Backtest End Date", inline = "End Date", group = "Time" ) inTime = true // 2. Inputs for direction: Long? Short? Both? i_longEnabled = input.bool (defval = true , title = "Long?", tooltip = "Enable Long Position Trade?", inline = "Long / Short", group = "Long / Short" ) i_shortEnabled = input.bool (defval = true , title = "Short?", tooltip = "Enable Short Position Trade?", inline = "Long / Short", group = "Long / Short" ) // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Filter - Inputs, Indicaotrs // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // 3. Use Filters? What Filters? //// 3-1. ATR Filter i_ATRFilterOn = input.bool (defval = false , title = "ATR Filter On?", tooltip = "ATR Filter On? Order will not be made unless filter condition is fulfilled", inline = "1", group = "Filters") i_ATRFilterLen = input.int (defval = 14, title = "Length for ATR Filter", minval = 1 , maxval = 100 , step = 1 , tooltip = "", inline = "2", group = "Filters") i_ATRSMALen = input.int (defval = 40, title = "SMA Length for ATR SMA", minval = 1 , maxval = 100000 , step = 1 , tooltip = "ATR should be bigger than this", inline = "2", group = "Filters") bool ATRFilter = ta.atr(i_ATRFilterLen) >= ta.sma(ta.atr(length = i_ATRFilterLen), i_ATRSMALen) ? true : false //// 3-2. EMA Filter i_EMAFilterOn = input.bool (defval = false , title = "EMA Filter On?", tooltip = "EMA Filter On? Order will not be made unless filter condition is fulfilled", inline = "3", group = "Filters") i_EMALen = input.int (defval = 200, title = "EMA Length", minval = 1 , maxval = 100000 , step = 1 , tooltip = "EMA Length", inline = "4", group = "Filters") bool longEMAFilter = close >= ta.ema(source = close, length = i_EMALen) ? true : false bool shortEMAFilter = close <= ta.ema(source = close, length = i_EMALen) ? true : false plot(i_EMAFilterOn ? ta.ema(source = close, length = i_EMALen) : na, title = "EMA Filter", color = color.new(color = color.orange , transp = 0), linewidth = 1) //// 3-3. ADX Filter //// 3-4. DMI Filter (Uses same ADX Length) i_ADXFilterOn = input.bool (defval = false , title = "ADX Filter On?", tooltip = "ADX Filter On? Order will not be made unless filter condition is fulfilled", inline = "5", group = "Filters") i_DMIFilterOn = input.bool (defval = false , title = "DMI Filter On?", tooltip = "DMI (Directional Moving Index) Filter On? Order will not be made unless filter condition is fulfilled", inline = "6", group = "Filters") i_ADXLength = input.int (defval = 20, title = "ADX Length", minval = 1 , maxval = 100000 , step = 1 , tooltip = "ADX Length", inline = "7", group = "Filters") i_ADXThreshold = input.int (defval = 25, title = "ADX Threshold", minval = 1 , maxval = 100000 , step = 1 , tooltip = "ADX should be bigger than threshold", inline = "8", group = "Filters") //// 3-5. SuperTrend Filter i_superTrendFilterOn = input.bool (defval = false , title = "Super Trend Filter On?", tooltip = "Super Trend Filter On? Order will not be made unless filter condition is fulfilled", inline = "9", group = "Filters") i_superTrendATRLen = input.int (defval = 10, title = "ATR Length", minval = 1 , maxval = 100000 , step = 1 , tooltip = "Super Trend ATR Length", inline = "10", group = "Filters") i_superTrendATRFactor = input.float (defval = 3, title = "Factor", minval = 1 , maxval = 100000 , step = 0.1 , tooltip = "Super Trend ATR Factor", inline = "11", group = "Filters") // ADX and DI Thanks to @BeikabuOyaji int len = i_ADXLength float th = i_ADXThreshold TR = math.max(math.max(high - low, math.abs(high - nz(close[1]))), math.abs(low - nz(close[1]))) DMPlus = high - nz(high[1]) > nz(low[1]) - low ? math.max(high - nz(high[1]), 0) : 0 DMMinus = nz(low[1]) - low > high - nz(high[1]) ? math.max(nz(low[1]) - low, 0) : 0 SmoothedTR = 0.0 SmoothedTR := nz(SmoothedTR[1]) - nz(SmoothedTR[1]) / len + TR SmoothedDMPlus = 0.0 SmoothedDMPlus := nz(SmoothedDMPlus[1]) - nz(SmoothedDMPlus[1]) / len + DMPlus SmoothedDMMinus = 0.0 SmoothedDMMinus := nz(SmoothedDMMinus[1]) - nz(SmoothedDMMinus[1]) / len + DMMinus DIPlus = SmoothedDMPlus / SmoothedTR * 100 DIMinus = SmoothedDMMinus / SmoothedTR * 100 DX = math.abs(DIPlus - DIMinus) / (DIPlus + DIMinus) * 100 ADX = ta.sma(source = DX, length = len) // plot(DIPlus, color=color.new(color.green, 0), title='DI+') // plot(DIMinus, color=color.new(color.red, 0), title='DI-') // plot(ADX, color=color.new(color.navy, 0), title='ADX') // hline(th, color=color.white) bool ADXFilter = ADX > th ? true : false bool longDMIFilter = DIPlus >= DIMinus ? true : false bool shortDMIFilter = DIPlus <= DIMinus ? true : false // Calculate Super Trend for Filter [supertrend, direction] = ta.supertrend(factor = i_superTrendATRFactor, atrPeriod = i_superTrendATRLen) bodyMiddle = plot((open + close) / 2, display=display.none) upTrend = plot(i_superTrendFilterOn ? direction < 0 ? supertrend : na : na, "Up Trend", color = color.green, style=plot.style_linebr) downTrend = plot(i_superTrendFilterOn ? direction < 0 ? na : supertrend : na, "Down Trend", color = color.red, style=plot.style_linebr) fill(bodyMiddle, upTrend, color.new(color.green, 90), fillgaps=false) fill(bodyMiddle, downTrend, color.new(color.red, 90), fillgaps=false) bool longSTFilter = direction <= 0 bool shortSTFilter = direction >= 0 // Filter bool longFilterFilled = (not i_ATRFilterOn or ATRFilter) and (not i_EMAFilterOn or longEMAFilter) and (not i_ADXFilterOn or ADXFilter) and (not i_DMIFilterOn or longDMIFilter) and (not i_superTrendFilterOn or longSTFilter) bool shortFilterFilled = (not i_ATRFilterOn or ATRFilter) and (not i_EMAFilterOn or shortEMAFilter) and (not i_ADXFilterOn or ADXFilter) and (not i_DMIFilterOn or shortDMIFilter) and (not i_superTrendFilterOn or shortSTFilter) // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Strategy Logic (Entry & Exit Condition) - Inputs, Indicators for Strategy // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ //// Indicators // Inputs for Strategy Indicators //// 1. SSL Hybrid Baseline i_useTrueRange = input.bool (defval = true, title = "use true range for Keltner Channel?", tooltip = "", inline = "1", group = "1: SSL Hybrid") i_maType = input.string (defval ='EMA', title='Baseline Type', options=['SMA', 'EMA', 'DEMA', 'TEMA', 'LSMA', 'WMA', 'VAMA', 'TMA', 'HMA', 'McGinley'], inline="2", group = "1: SSL Hybrid") i_len = input.int (defval =30, title='Baseline Length', inline="2", group = "1: SSL Hybrid") i_multy = input.float (defval = 0.2, title='Base Channel Multiplier', minval = 0, maxval = 100, step=0.05, inline="3", group = "1: SSL Hybrid") i_volatility_lookback = input.int (defval =10, title='Volatility lookback length(for VAMA)', inline='4',group="1: SSL Hybrid") tema(src, len) => ema1 = ta.ema(src, len) ema2 = ta.ema(ema1, len) ema3 = ta.ema(ema2, len) 3 * ema1 - 3 * ema2 + ema3 f_ma(type, src, len) => float result = 0 if type == 'TMA' result := ta.sma(ta.sma(src, math.ceil(len / 2)), math.floor(len / 2) + 1) result if type == 'LSMA' result := ta.linreg(src, len, 0) result if type == 'SMA' // Simple result := ta.sma(src, len) result if type == 'EMA' // Exponential result := ta.ema(src, len) result if type == 'DEMA' // Double Exponential e = ta.ema(src, len) result := 2 * e - ta.ema(e, len) result if type == 'TEMA' // Triple Exponential e = ta.ema(src, len) result := 3 * (e - ta.ema(e, len)) + ta.ema(ta.ema(e, len), len) result if type == 'WMA' // Weighted result := ta.wma(src, len) result if type == 'VAMA' // Volatility Adjusted /// Copyright © 2019 to present, Joris Duyck (JD) mid = ta.ema(src, len) dev = src - mid vol_up = ta.highest(dev, i_volatility_lookback) vol_down = ta.lowest(dev, i_volatility_lookback) result := mid + math.avg(vol_up, vol_down) result if type == 'HMA' // Hull result := ta.wma(2 * ta.wma(src, len / 2) - ta.wma(src, len), math.round(math.sqrt(len))) result if type == 'McGinley' mg = 0.0 mg := na(mg[1]) ? ta.ema(src, len) : mg[1] + (src - mg[1]) / (len * math.pow(src / mg[1], 4)) result := mg result result //// 1-1. SSL Hybrid Keltner Baseline Channel BBMC = f_ma (i_maType, close, i_len) // BaseLone Keltma = f_ma (i_maType, close, i_len) range_1 = i_useTrueRange ? ta.tr : high - low rangema = ta.ema(range_1, i_len) upperk = Keltma + rangema * i_multy lowerk = Keltma - rangema * i_multy //// 2. QQE MOD, thanks to Mihkel100 RSI_Period = input.int (defval = 6, title = 'RSI Length', inline = "1", group = "2: QQE MOD") SF = input.int (defval = 5, title = 'RSI Smoothing', inline = "2", group = "2: QQE MOD") QQE = input.float (defval = 3, title = 'Fast QQE Factor', inline = "3", group = "2: QQE MOD") ThreshHold = input.int (defval = 3, title = 'Thresh-hold', inline = "4", group = "2: QQE MOD") src = input (defval = close, title='RSI Source') Wilders_Period = RSI_Period * 2 - 1 Rsi = ta.rsi(src, RSI_Period) RsiMa = ta.ema(Rsi, SF) AtrRsi = math.abs(RsiMa[1] - RsiMa) MaAtrRsi = ta.ema(AtrRsi, Wilders_Period) dar = ta.ema(MaAtrRsi, Wilders_Period) * QQE longband = 0.0 shortband = 0.0 trend = 0 DeltaFastAtrRsi = dar RSIndex = RsiMa newshortband = RSIndex + DeltaFastAtrRsi newlongband = RSIndex - DeltaFastAtrRsi longband := RSIndex[1] > longband[1] and RSIndex > longband[1] ? math.max(longband[1], newlongband) : newlongband shortband := RSIndex[1] < shortband[1] and RSIndex < shortband[1] ? math.min(shortband[1], newshortband) : newshortband cross_1 = ta.cross(longband[1], RSIndex) trend := ta.cross(RSIndex, shortband[1]) ? 1 : cross_1 ? -1 : nz(trend[1], 1) FastAtrRsiTL = trend == 1 ? longband : shortband //////////////////// length = input.int (defval = 50, minval = 1, title = 'Bollinger Length', group = "2: QQE MOD") mult = input.float (defval = 0.35, minval = 0.01, maxval = 5, step = 0.1, title = 'BB Multiplier', group = "2: QQE MOD") basis = ta.sma(FastAtrRsiTL - 50, length) dev = mult * ta.stdev(FastAtrRsiTL - 50, length) upper = basis + dev lower = basis - dev color_bar = RsiMa - 50 > upper ? #00c3ff : RsiMa - 50 < lower ? #ff0062 : color.gray // // Zero cross QQEzlong = 0 QQEzlong := nz(QQEzlong[1]) QQEzshort = 0 QQEzshort := nz(QQEzshort[1]) QQEzlong := RSIndex >= 50 ? QQEzlong + 1 : 0 QQEzshort := RSIndex < 50 ? QQEzshort + 1 : 0 // // Zero = hline(0, color=color.white, linestyle=hline.style_dotted, linewidth=1) //////////////////////////////////////////////////////////////// RSI_Period2 = input.int (defval = 6, title = 'RSI 2 Length', group = "2: QQE MOD") SF2 = input.int (defval = 5, title = 'RSI Smoothing', group = "2: QQE MOD") QQE2 = input.float (defval = 1.61, title = 'Fast QQE2 Factor', group = "2: QQE MOD") ThreshHold2 = input.int (defval = 3, title = 'Thresh-hold', group = "2: QQE MOD") src2 = input (defval = close, title = 'RSI Source', group = "2: QQE MOD") // // Wilders_Period2 = RSI_Period2 * 2 - 1 Rsi2 = ta.rsi(src2, RSI_Period2) RsiMa2 = ta.ema(Rsi2, SF2) AtrRsi2 = math.abs(RsiMa2[1] - RsiMa2) MaAtrRsi2 = ta.ema(AtrRsi2, Wilders_Period2) dar2 = ta.ema(MaAtrRsi2, Wilders_Period2) * QQE2 longband2 = 0.0 shortband2 = 0.0 trend2 = 0 DeltaFastAtrRsi2 = dar2 RSIndex2 = RsiMa2 newshortband2 = RSIndex2 + DeltaFastAtrRsi2 newlongband2 = RSIndex2 - DeltaFastAtrRsi2 longband2 := RSIndex2[1] > longband2[1] and RSIndex2 > longband2[1] ? math.max(longband2[1], newlongband2) : newlongband2 shortband2 := RSIndex2[1] < shortband2[1] and RSIndex2 < shortband2[1] ? math.min(shortband2[1], newshortband2) : newshortband2 cross_2 = ta.cross(longband2[1], RSIndex2) trend2 := ta.cross(RSIndex2, shortband2[1]) ? 1 : cross_2 ? -1 : nz(trend2[1], 1) FastAtrRsi2TL = trend2 == 1 ? longband2 : shortband2 // // Zero cross QQE2zlong = 0 QQE2zlong := nz(QQE2zlong[1]) QQE2zshort = 0 QQE2zshort := nz(QQE2zshort[1]) QQE2zlong := RSIndex2 >= 50 ? QQE2zlong + 1 : 0 QQE2zshort := RSIndex2 < 50 ? QQE2zshort + 1 : 0 // hcolor2 = RsiMa2 - 50 > ThreshHold2 ? color.silver : RsiMa2 - 50 < 0 - ThreshHold2 ? color.silver : na Greenbar1 = RsiMa2 - 50 > ThreshHold2 Greenbar2 = RsiMa - 50 > upper Redbar1 = RsiMa2 - 50 < 0 - ThreshHold2 Redbar2 = RsiMa - 50 < lower //// 3. Waddah Attar Explosion V2 shayankm sensitivity = input.float (defval = 150, title='Sensitivity', inline = "1", group = "3: Waddah Attar Explosion") fastLength = input.int (defval = 20, title='FastEMA Length', inline = "2", group = "3: Waddah Attar Explosion") slowLength = input.int (defval = 40, title='SlowEMA Length', inline = "2", group = "3: Waddah Attar Explosion") channelLength = input.int (defval = 20, title='BB Channel Length', inline = "3", group = "3: Waddah Attar Explosion") w_mult = input.float (defval = 2.0, title='BB Stdev Multiplier', inline = "4", group = "3: Waddah Attar Explosion") // DEAD_ZONE = nz(ta.rma(ta.tr(true), 100)) * 3.7 calc_macd(source, fastLength, slowLength) => fastMA = ta.ema(source, fastLength) slowMA = ta.ema(source, slowLength) fastMA - slowMA calc_BBUpper(source, length, mult) => basis = ta.sma(source, length) dev = mult * ta.stdev(source, length) basis + dev calc_BBLower(source, length, mult) => basis = ta.sma(source, length) dev = mult * ta.stdev(source, length) basis - dev t1 = (calc_macd(close, fastLength, slowLength) - calc_macd(close[1], fastLength, slowLength)) * sensitivity e1 = calc_BBUpper(close, channelLength, w_mult) - calc_BBLower(close, channelLength, w_mult) trendUp = t1 >= 0 ? t1 : 0 trendDown = t1 < 0 ? -1 * t1 : 0 // Plot: Indicators //// 1. SSL Hybrid var bullSSLColor = #00c3ff var bearSSLColor = #ff0062 // color_bar = color.new(color = close > upperk ? bullSSLColor : close < lowerk ? bearSSLColor : color.gray, transp = 0) // i_show_color_bar = input.bool(defval = true , title = "Color Bars") // barcolor(i_show_color_bar ? color_bar : na) plot(series = BBMC, title = 'MA Baseline', color = color_bar, linewidth = 1, style = plot.style_line) up_channel = plot(upperk, color=color_bar, title='Baseline Upper Channel') low_channel = plot(lowerk, color=color_bar, title='Basiline Lower Channel') fill(up_channel, low_channel, color.new(color=color_bar, transp=90)) //// 2. QQE MOD: No Plotting because of overlay option // plot(FastAtrRsi2TL - 50, title='QQE Line', color=color.new(color.white, 0), linewidth=2) // plot(RsiMa2 - 50, color=hcolor2, title='Histo2', style=plot.style_columns, transp=50) // plot(Greenbar1 and Greenbar2 == 1 ? RsiMa2 - 50 : na, title='QQE Up', style=plot.style_columns, color=color.new(#00c3ff, 0)) // plot(Redbar1 and Redbar2 == 1 ? RsiMa2 - 50 : na, title='QQE Down', style=plot.style_columns, color=color.new(#ff0062, 0)) //// 3. Waddah Attar Explosion V2 shayankm // plot(trendUp, style=plot.style_columns, linewidth=1, color=trendUp < trendUp[1] ? color.lime : color.green, title='UpTrend', transp=45) // plot(trendDown, style=plot.style_columns, linewidth=1, color=trendDown < trendDown[1] ? color.orange : color.red, title='DownTrend', transp=45) // plot(e1, style=plot.style_line, linewidth=2, color=color.new(color.white, 0), title='ExplosionLine') // plot(DEAD_ZONE, color=color.new(color.blue, 0), linewidth=1, style=plot.style_cross, title='DeadZoneLine') ////// Entry, Exit // Long, Short Logic with Indicator bool longSSLCond = close > BBMC bool shortSSLCond = close < BBMC bool longQQECond = (Greenbar1[1] == false or Greenbar2[1] == false) and (Greenbar1 and Greenbar2) == 1 bool shortQQECond = (Redbar1[1] == false or Redbar2[1] == false) and (Redbar1 and Redbar2) == 1 bool longWAECond = trendUp > 0 and trendDown == 0 bool shortWAECond = trendDown > 0 and trendUp == 0 // Basic Cond + Long, Short Entry Condition bool longCond = (i_longEnabled and inTime) and (longSSLCond and longQQECond and longWAECond) bool shortCond = (i_shortEnabled and inTime) and (shortSSLCond and shortQQECond and shortWAECond) // Basic Cond + Long, Short Exit Condition bool closeLong = (i_longEnabled) and ((Redbar1[1] == false or Redbar2[1] == false) and (Redbar1 and Redbar2) == 1) bool closeShort = (i_shortEnabled) and ((Greenbar1[1] == false or Greenbar2[1] == false) and (Greenbar1 and Greenbar2) == 1) // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Position Control // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Long, Short Entry Condition + Not entered Position Yet bool openLong = longCond and not (strategy.opentrades.size(strategy.opentrades - 1) > 0) and longFilterFilled bool openShort = shortCond and not (strategy.opentrades.size(strategy.opentrades - 1) < 0) and shortFilterFilled bool enteringTrade = openLong or openShort float entryBarIndex = bar_index // Long, Short Entry Fulfilled or Already Entered bool inLong = openLong or strategy.opentrades.size(strategy.opentrades - 1) > 0 and not closeLong bool inShort = openShort or strategy.opentrades.size(strategy.opentrades - 1) < 0 and not closeShort // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Stop Loss - Inputs, Indicaotrs // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ //// Use SL? TSL? i_useSLTP = input.bool (defval = true, title = "Enable SL & TP?", tooltip = "", inline = "1", group = "Stop Loss") i_tslEnabled = input.bool (defval = false , title = "Enable Trailing SL?", tooltip = "Enable Stop Loss & Take Profit? \n\Enable Trailing SL?", inline = "1", group = "Stop Loss") // i_breakEvenAfterTP = input.bool (defval = false, title = 'Enable Break Even After TP?', tooltip = 'When Take Profit price target is hit, move the Stop Loss to the entry price (or to a more strict price defined by the Stop Loss %/ATR Multiplier).', inline = '2', group = 'Stop Loss / Take Profit') //// Sl Options i_slType = input.string (defval = "ATR", title = "Stop Loss Type", options = ["Percent", "ATR", "Previous LL / HH"], tooltip = "Stop Loss based on %? ATR?", inline = "3", group = "Stop Loss") i_slATRLen = input.int (defval = 14, title = "ATR Length", minval = 1 , maxval = 200 , step = 1, inline = "4", group = "Stop Loss") i_slATRMult = input.float (defval = 3, title = "ATR Multiplier", minval = 1 , maxval = 200 , step = 0.1, tooltip = "", inline = "4", group = "Stop Loss") i_slPercent = input.float (defval = 3, title = "Percent", tooltip = "", inline = "5", group = "Stop Loss") i_slLookBack = input.int (defval = 30, title = "Lowest Price Before Entry", group = "Stop Loss", inline = "6", minval = 1, step = 1, tooltip = "Lookback to find the Lowest Price. \nStopLoss is determined by the Lowest price of the look back period. Take Profit is derived from this also by multiplying the StopLoss value by the Risk:Reward multiplier.") // Functions for Stop Loss float openAtr = ta.valuewhen(condition = enteringTrade, source = ta.atr(i_slATRLen), occurrence = 0) float openLowest = ta.valuewhen(condition = openLong, source = ta.lowest(low, i_slLookBack), occurrence = 0) float openHighest = ta.valuewhen(condition = openShort, source = ta.highest(high, i_slLookBack), occurrence = 0) f_getLongSLPrice(source) => switch i_slType "Percent" => source * (1 - (i_slPercent/100)) "ATR" => source - (i_slATRMult * openAtr) "Previous LL / HH" => openLowest => na f_getShortSLPrice(source) => switch i_slType "Percent" => source * (1 + (i_slPercent/100)) "ATR" => source + (i_slATRMult * openAtr) "Previous LL / HH" => openHighest => na // Calculate Stop Loss var float longSLPrice = na var float shortSLPrice = na bool longTPExecuted = false bool shortTPExecuted = false longSLPrice := if (inLong and i_useSLTP) if (openLong) f_getLongSLPrice (close) else // 1. Trailing Stop Loss if i_tslEnabled stopLossPrice = f_getLongSLPrice (high) math.max(stopLossPrice, nz(longSLPrice[1])) // 2. Normal StopLoss else nz(source = longSLPrice[1], replacement = 0) else na shortSLPrice := if (inShort and i_useSLTP) if (openShort) f_getShortSLPrice (close) else // 1. Trailing Stop Loss if i_tslEnabled stopLossPrice = f_getShortSLPrice (low) math.min(stopLossPrice, nz(shortSLPrice[1])) // 2. Normal StopLoss else nz(source = shortSLPrice[1], replacement = 999999.9) else na // Plot: Stop Loss of Long, Short Entry var longSLPriceColor = color.new(color.maroon, 0) plot(series = longSLPrice, title = 'Long Stop Loss', color = longSLPriceColor, linewidth = 1, style = plot.style_linebr, offset = 1) var shortSLPriceColor = color.new(color.maroon, 0) plot(series = shortSLPrice, title = 'Short Stop Loss', color = shortSLPriceColor, linewidth = 1, style = plot.style_linebr, offset = 1) // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Take Profit - Inputs, Indicaotrs // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ i_useTPExit = input.bool (defval = true, title = "Use Take Profit?", tooltip = "", inline = "1", group = "Take Profit") i_RRratio = input.float (defval = 1.5, title = "R:R Ratio", minval = 0.1 , maxval = 200 , step = 0.1, tooltip = "R:R Ratio > Risk Reward Ratio? It will automatically set Take Profit % based on Stop Loss", inline = "2", group = "Take Profit") i_tpQuantityPerc = input.float (defval = 50, title = 'Take Profit Quantity %', minval = 0.0, maxval = 100, step = 1.0, tooltip = '% of position closed when tp target is met.', inline="34", group = 'Take Profit') var float longTPPrice = na var float shortTPPrice = na f_getLongTPPrice() => close + i_RRratio * math.abs (close - f_getLongSLPrice (close)) f_getShortTPPrice() => close - i_RRratio * math.abs(close - f_getShortSLPrice (close)) longTPPrice := if (inLong and i_useSLTP) if (openLong) f_getLongTPPrice () else nz(source = longTPPrice[1], replacement = f_getLongTPPrice ()) else na shortTPPrice := if (inShort and i_useSLTP) if (openShort) f_getShortTPPrice () else nz(source = shortTPPrice[1], replacement = f_getShortTPPrice ()) else na // Plot: Take Profit of Long, Short Entry var longTPPriceColor = color.new(color.teal, 0) plot(series = longTPPrice, title = 'Long Take Profit', color = longTPPriceColor, linewidth = 1, style = plot.style_linebr, offset = 1) var shortTPPriceColor = color.new(color.teal, 0) plot(series = shortTPPrice, title = 'Short Take Profit', color = shortTPPriceColor, linewidth = 1, style = plot.style_linebr, offset = 1) // Plot: Entry Price var posColor = color.new(color.white, 0) plot(series = strategy.opentrades.entry_price(strategy.opentrades - 1), title = 'Position Entry Price', color = posColor, linewidth = 1, style = plot.style_linebr) // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Quantity - Inputs // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ i_useRiskManangement = input.bool (defval = true, title = "Use Risk Manangement?", tooltip = "", inline = "1", group = "Quantity") i_riskPerTrade = input.float (defval = 3, title = "Risk Per Trade (%)", minval = 0, maxval = 100, step = 0.1, tooltip = "Use Risk Manangement by Quantity Control?", inline = "2", group = "Quantity") // i_leverage = input.float (defval = 2, title = "Leverage", minval = 0, maxval = 100, step = 0.1, tooltip = "Leverage", inline = "3", group = "Quantity") float qtyPercent = na float entryQuantity = na f_calQtyPerc() => if (i_useRiskManangement) riskPerTrade = (i_riskPerTrade) / 100 // 1번 거래시 3% 손실 stopLossPrice = openLong ? f_getLongSLPrice (close) : openShort ? f_getShortSLPrice (close) : na riskExpected = math.abs((close-stopLossPrice)/close) // 손절가랑 6% 차이 riskPerTrade / riskExpected // 0 ~ 1 else 1 f_calQty(qtyPerc) => math.min (math.max (0.000001, strategy.equity / close * qtyPerc), 1000000000) // TP Execution longTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) > 0 and (longTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) < strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and high >= longTPPrice) shortTPExecuted := strategy.opentrades.size(strategy.opentrades - 1) < 0 and (shortTPExecuted[1] or strategy.opentrades.size(strategy.opentrades - 1) > strategy.opentrades.size(strategy.opentrades - 1)[1] or strategy.opentrades.size(strategy.opentrades - 1)[1] == 0 and low <= shortTPPrice) // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Plot Label, Boxes, Results, Etc // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ i_showSimpleLabel = input.bool(false, "Show Simple Label for Entry?", group = "Strategy: Drawings", inline = "1", tooltip ="") i_showLabels = input.bool(true, "Show Trade Exit Labels", group = "Strategy: Drawings", inline = "1", tooltip = "Useful labels to identify Profit/Loss and cumulative portfolio capital after each trade closes.\n\nAlso note that TradingView limits the max number of 'boxes' that can be displayed on a chart (max 500). This means when you lookback far enough on the chart you will not see the TP/SL boxes. However you can check this option to identify where trades exited.") i_showDashboard = input.bool(false, "Show Dashboard", group = "Strategy: Drawings", inline = "2", tooltip = "Show Backtest Results. Backtest Dates, Win/Lose Rates, Etc.") // Plot: Label for Long, Short Entry var openLongColor = color.new(#2962FF, 0) var openShortColor = color.new(#FF1744, 0) var entryTextColor = color.new(color.white, 0) if (openLong and i_showSimpleLabel) label.new (x = bar_index, y = na, text = 'Open', yloc = yloc.belowbar, color = openLongColor, style = label.style_label_up, textcolor = entryTextColor) entryBarIndex := bar_index if (openShort and i_showSimpleLabel) label.new (x = bar_index, y = na, text = 'Close', yloc = yloc.abovebar, color = openShortColor, style = label.style_label_down, textcolor = entryTextColor) entryBarIndex := bar_index float prevEntryPrice = strategy.closedtrades.entry_price (strategy.closedtrades - 1) float pnl = strategy.closedtrades.profit (strategy.closedtrades - 1) float prevExitPrice = strategy.closedtrades.exit_price (strategy.closedtrades - 1) f_enteringTradeLabel(x, y, qty, entryPrice, slPrice, tpPrice, rrRatio, direction) => if i_showLabels labelStr = ("Trade Start" + "\nDirection: " + direction + "\nRisk Per Trade: " + str.tostring (i_useRiskManangement ? i_riskPerTrade : 100, "#.##") + "%" + "\nExpected Risk: " + str.tostring (math.abs((close-slPrice)/close) * 100, "#.##") + "%" + "\nEntry Position Qty: " + str.tostring(math.abs(qty * 100), "#.##") + "%" + "\nEntry Price: " + str.tostring(entryPrice, "#.##")) + "\nStop Loss Price: " + str.tostring(slPrice, "#.##") + "\nTake Profit Price: " + str.tostring(tpPrice, "#.##") + "\nRisk - Reward Ratio: " + str.tostring(rrRatio, "#.##") label.new(x = x, y = y, text = labelStr, color = color.new(color.blue, 60) , textcolor = color.white, style = label.style_label_up) f_exitingTradeLabel(x, y, entryPrice, exitPrice, direction) => if i_showLabels labelStr = ("Trade Result" + "\nDirection: " + direction + "\nEntry Price: " + str.tostring(entryPrice, "#.##") + "\nExit Price: " + str.tostring(exitPrice,"#.##") + "\nGain %: " + str.tostring(direction == 'Long' ? -(entryPrice-exitPrice) / entryPrice * 100 : (entryPrice-exitPrice) / entryPrice * 100 ,"#.##") + "%") label.new(x = x, y = y, text = labelStr, color = pnl > 0 ? color.new(color.green, 60) : color.new(color.red, 60), textcolor = color.white, style = label.style_label_down) f_fillCell(_table, _column, _row, _title, _value, _bgcolor, _txtcolor) => _cellText = _title + " " + _value table.cell(_table, _column, _row, _cellText, bgcolor=_bgcolor, text_color=_txtcolor, text_size=size.auto) // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Orders // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ if (inTime) if (openLong) qtyPercent := f_calQtyPerc() > 1 ? 1 : f_calQtyPerc() entryQuantity := f_calQty(qtyPercent) strategy.entry(id = "Long", direction = strategy.long, qty = entryQuantity, comment = 'Long(' + syminfo.ticker + '): Started', alert_message = 'Long(' + syminfo.ticker + '): Started') f_enteringTradeLabel(x = bar_index + 1, y = close-3*ta.tr, entryPrice = close, qty = qtyPercent, slPrice = longSLPrice, tpPrice = longTPPrice, rrRatio = i_RRratio, direction = "Long") if (openShort) qtyPercent := f_calQtyPerc() > 1 ? 1 : f_calQtyPerc() entryQuantity := f_calQty(qtyPercent) strategy.entry(id = "Short", direction = strategy.short, qty = entryQuantity, comment = 'Short(' + syminfo.ticker + '): Started', alert_message = 'Short(' + syminfo.ticker + '): Started') f_enteringTradeLabel(x = bar_index + 1, y = close-3*ta.tr, entryPrice = close, qty = qtyPercent, slPrice = shortSLPrice, tpPrice = shortTPPrice, rrRatio = i_RRratio, direction = "Short") if (closeLong) strategy.close(id = 'Long', comment = 'Close Long', alert_message = 'Long: Closed at market price') strategy.position_size > 0 ? f_exitingTradeLabel(x = bar_index, y = close+3*ta.tr, entryPrice = prevEntryPrice, exitPrice = prevExitPrice, direction = 'Long') : na if (closeShort) strategy.close(id = 'Short', comment = 'Close Short', alert_message = 'Short: Closed at market price') strategy.position_size < 0 ? f_exitingTradeLabel(x = bar_index, y = close+3*ta.tr, entryPrice = prevEntryPrice, exitPrice = prevExitPrice, direction = 'Short') : na if (inLong) strategy.exit(id = 'Long TP / SL', from_entry = 'Long', qty_percent = i_tpQuantityPerc, limit = longTPPrice, stop = longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Take Profit or Stop Loss executed') strategy.exit(id = 'Long SL', from_entry = 'Long', stop = longSLPrice, alert_message = 'Long(' + syminfo.ticker + '): Stop Loss executed') if (inShort) strategy.exit(id = 'Short TP / SL', from_entry = 'Short', qty_percent = i_tpQuantityPerc, limit = shortTPPrice, stop = shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Take Profit or Stop Loss executed') strategy.exit(id = 'Short SL', from_entry = 'Short', stop = shortSLPrice, alert_message = 'Short(' + syminfo.ticker + '): Stop Loss executed') if strategy.position_size[1] > 0 and strategy.position_size == 0 f_exitingTradeLabel(x = bar_index, y = close+3*ta.tr, entryPrice = prevEntryPrice, exitPrice = prevExitPrice, direction = 'Long') if strategy.position_size[1] < 0 and strategy.position_size == 0 f_exitingTradeLabel(x = bar_index, y = close+3*ta.tr, entryPrice = prevEntryPrice, exitPrice = prevExitPrice, direction = 'Short') // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // Backtest Result Dashboard // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ if i_showDashboard var bgcolor = color.new(color = color.black, transp = 100) var greenColor = color.new(color = #02732A, transp = 0) var redColor = color.new(color = #D92332, transp = 0) var yellowColor = color.new(color = #F2E313, transp = 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.top_right, 1, 15, border_width=1) if barstate.islastconfirmedhistory 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 ? greenColor : redColor, color.white) _numOfDaysInStrategy = (strategy.opentrades.entry_time(0) - strategy.closedtrades.entry_time(0)) / (1000 * 3600 * 24) _winRate = ( strategy.wintrades / strategy.closedtrades ) * 100 f_fillCell(dashTable, 0, 4, "Percent Profitable:", str.tostring(_winRate, '##.##') + "%", _winRate < 50 ? redColor : _winRate < 75 ? greenColor : yellowColor, color.white) f_fillCell(dashTable, 0, 5, "Profit Factor:", str.tostring(strategy.grossprofit / strategy.grossloss, '##.###'), strategy.grossprofit > strategy.grossloss ? greenColor : redColor, 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)