1. 사각형
2. 총기장단 전략

총기장단 전략

저자:차오장, 날짜: 2023-09-10 21:31:29
태그:

---

---

/*backtest
start: 2023-09-02 00:00:00
end: 2023-09-09 00:00:00
period: 3m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
// strategy("Gunbot - Bbands", shorttitle="Strategy", overlay=true, pyramiding=100, default_qty_value=100000000, precision=8)

/////////////// Component Code Start ///////////////
testStartYear = input(2016, "Backtest Start Year") 
testStartMonth = input(8, "Backtest Start Month")
testStartDay = input(10, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = input(2020, "Backtest Stop Year")
testStopMonth = input(9, "Backtest Stop Month")
testStopDay = input(29, "Backtest Stop Day")
// testStopDay = testStartDay + 1
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

testPeriod() =>
    true
/////////////// Component Code Stop ///////////////

length = input(15, minval=1)
src = input(close, title="Source")
mult = input(2.0, minval=0.001, maxval=50)
low_bb = input(25, title="LOW_BB")
high_bb = input(25, title="HIGH_BB")

basis = sma(src, length * (15 / timeframe.multiplier))
dev = mult * stdev(src, length * (15 / timeframe.multiplier))
upper = basis + dev
upper_high_bb = upper - ((upper-basis) * (high_bb / 100))
lower = basis - dev
lower_low_bb = lower + ((basis-lower) * (low_bb / 100))

bb_percent = ((upper/lower)-1)*100
bb_diff = (upper-lower)

/////////////// STRATEGY ///////////////
tsi = input(0, "Activate TS") / 100000000
ts = input(99999, "Trailing Stop") / 100000000
tp = input(99999, "Take Profit") / 100000000
sl = input(99999, "Stop Loss") / 100000000

pyrl = input(0, "Pyramiding <")
pyre = input(1, "Pyramiding =")
pyrg = input(100, "Pyramiding >")

long = ohlc4 < lower_low_bb
short = ohlc4 > upper_high_bb

sectionLongs = 0
sectionLongs := nz(sectionLongs[1])
sectionShorts = 0
sectionShorts := nz(sectionShorts[1])

if long
    sectionLongs := sectionLongs + 1
    sectionShorts := 0

if short
    sectionLongs := 0
    sectionShorts := sectionShorts + 1

longCondition = long and sectionLongs <= pyrl or long and sectionLongs >= pyrg or long and sectionLongs == pyre
shortCondition = short and sectionShorts <= pyrl or short and sectionShorts >= pyrg or short and sectionShorts == pyre

last_open_longCondition = na
last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])

sectionLongs2 = 0
sectionLongs2 := nz(sectionLongs2[1])
sectionShorts2 = 0
sectionShorts2 := nz(sectionShorts2[1])

if longCondition
    sectionLongs2 := sectionLongs2 + 1
    sectionShorts2 := 0

if shortCondition
    sectionLongs2 := 0
    sectionShorts2 := sectionShorts2 + 1

isAdding = input(false, "WIP Feature", bool)

stackingLongs = 100000000
stackingLongs := nz(stackingLongs[1])
stackingShorts = 100000000
stackingShorts := nz(stackingShorts[1])

if longCondition
    stackingLongs := stackingLongs * 2
    stackingShorts := 100000000
    
if shortCondition
    stackingLongs := 100000000 
    stackingShorts := stackingShorts * 2
    
totalLongs = 0.0
totalLongs := nz(totalLongs[1])
totalShorts = 0.0
totalShorts := nz(totalShorts[1])
totalMartingaleLongs = 0.0
totalMartingaleLongs := nz(totalMartingaleLongs[1])
totalMartingaleShorts = 0.0
totalMartingaleShorts := nz(totalMartingaleShorts[1])

if longCondition and sectionLongs2 >= 1
    totalMartingaleLongs := totalMartingaleLongs + (last_open_longCondition * stackingLongs)
    totalLongs := totalLongs + last_open_longCondition
    totalShorts := 0.0

if shortCondition and sectionShorts2 >= 1
    totalLongs := 0.0
    totalMartingaleShorts := totalMartingaleShorts + (last_open_shortCondition * stackingShorts)
    totalShorts := totalShorts + last_open_shortCondition

averageLongs = 0.0
averageLongs := nz(averageLongs[1])
averageShorts = 0.0
averageShorts := nz(averageShorts[1]) 
averageMartingaleLongs = 0.0
averageMartingaleLongs := nz(averageLongs[1])
averageMartingaleShorts = 0.0
averageMartingaleShorts := nz(averageShorts[1]) 

averageLongs := totalLongs / sectionLongs2
averageShorts := totalShorts / sectionShorts2
averageMartingaleLongs := totalMartingaleLongs / stackingLongs
averageMartingaleShorts := totalMartingaleShorts / stackingShorts

last_longCondition = na
last_shortCondition = na
last_longCondition := longCondition ? time : nz(last_longCondition[1])
last_shortCondition := shortCondition ? time : nz(last_shortCondition[1])

in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition

last_high = na
last_low = na
last_high := not in_longCondition ? na : in_longCondition and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low := not in_shortCondition ? na : in_shortCondition and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])

long_ts = not na(last_high) and high <= (last_high - ts) and longCondition == 0 and high >= (last_open_longCondition + tsi)
short_ts = not na(last_low) and low >= (last_low + ts) and shortCondition == 0 and low <= (last_open_shortCondition - tsi)

long_tp = high >= (last_open_longCondition + tp) and longCondition == 0
short_tp = low <= (last_open_shortCondition - tp) and shortCondition == 0

long_sl = low <= (last_open_longCondition - sl) and longCondition == 0
short_sl = high >= (last_open_shortCondition + sl) and shortCondition == 0

leverage = input(1, "Leverage")
long_call = last_open_longCondition - (0.8 + 0.2 * (1/leverage)) / leverage * last_open_longCondition
short_call = last_open_shortCondition + (0.78 + 0.2 * (1/leverage)) / leverage * last_open_shortCondition
long_call_signal = low <= long_call
short_call_signal = high >= short_call

longProfit = averageLongs > 0 and close >= averageLongs ? green : red
shortProfit = averageShorts > 0 and close <= averageShorts ? green : red

pl1 = plot(averageLongs > 0 ? averageLongs : na, color=white)
pl2 = plot(close, color=white)
pl3 = plot(averageShorts > 0 ? averageShorts : na, color=white)

fill(pl1, pl2, color=longProfit, transp=80)
fill(pl2, pl3, color=shortProfit, transp=80)

if testPeriod()
    
    if isAdding
        strategy.entry("Long", strategy.long, qty=stackingLongs, when=longCondition)
        strategy.entry("Short", strategy.short, qty=stackingShorts, when=shortCondition)
    else
        strategy.entry("Long", strategy.long, when=longCondition)
        strategy.entry("Short", strategy.short, when=shortCondition)
    
    strategy.close("Long", when=long_call_signal)
    strategy.close("Short", when=short_call_signal)
    strategy.close("Long", when=long_tp)
    strategy.close("Short", when=short_tp)
    strategy.close("Long", when=long_sl)
    strategy.close("Short", when=short_sl)
    strategy.close("Long", when=long_ts)
    strategy.close("Short", when=short_ts)

longAveragePlot = 0.0
longAveragePlot := nz(totalShorts[1])
shortAveragePlot = 0.0
shortAveragePlot := nz(shortAveragePlot[1])

if isAdding
    longAveragePlot := averageMartingaleLongs
    shortAveragePlot := averageMartingaleShorts
else
    longAveragePlot := averageLongs
    shortAveragePlot := averageShorts

plot(averageLongs > 0 ? averageLongs : na, "Long Average", style=3, color=green)
plot(averageShorts > 0 ? averageShorts : na, "Short Average", style=3, color=red)

---

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