1. 사각형
2. 큰 파동, 큰 추락 전략

큰 파동, 큰 추락 전략

저자:차오장, 날짜: 2023-11-06 15:48:22
태그:

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---

/*backtest
start: 2023-10-06 00:00:00
end: 2023-11-05 00:00:00
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/
// © tweakerID

// This strategy detects and uses big bars to enter a position. When the Big Bar 
// is bearish (red candle) the position will be long and viceversa
// for short positions. The stop loss (optional) is placed on the low of the 
// candle used to trigger the position and user inputs allow you to modify the
// size of the SL. Take profit is placed on a reward ratio of 1. User can also modify 
// the size of the bar body used to determine if we have a real Big Bar and
// filter out Doji bars. Big Bars are determined relative to the previous X period size, 
// which can also be modified, as well as the required size of the Big Bar relative to this period average.

//@version=4
strategy("Big Bar Strategy", overlay=false)

direction = input(0, title = "Direction (Long=1, Both=0, Short=-1 ", type=input.integer, minval=-1, maxval=1)
strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long))

//Inputs
barsizemult=input(1, step=.1, title="SL Mult")
TPbarsizemult=input(1, step=.1, title="TP Mult")
barsizeThreshold=input(.5, step=.1, minval=.5, maxval=.9, title="Bar Body Size")
period=input(10)
mult=input(2, step=.2, title="Big Size Avg Mult to determine Big Bar")
i_reverse=input(false, title="Reverse Trades")
SLon=input(false, title="Use SL / TP")

//Calculations
barsize=high-low
barbodysize=close>open?(open-close)*-1:(open-close)
barsizeavg=sum(barsize, period)/period
bigbar=barsize >= barsizeavg*mult and barbodysize>barsize*barsizeThreshold

//Entry Logic
longCondition = close < open and bigbar //and strategy.position_size==0
shortCondition = close > open and bigbar //and strategy.position_size==0

//SL & TP Calculations
longTP=strategy.position_avg_price + (valuewhen(longCondition,barsize,0)*TPbarsizemult)
longSL=strategy.position_avg_price - (valuewhen(longCondition,barsize,0)*barsizemult)
shortTP=strategy.position_avg_price - (valuewhen(shortCondition,barsize,0)*TPbarsizemult)
shortSL=strategy.position_avg_price + (valuewhen(shortCondition,barsize,0)*barsizemult)
TP=strategy.position_size>0?longTP:shortTP
SL=strategy.position_size>0?longSL:shortSL

//Entries
if (longCondition)
    strategy.entry("long", long=not i_reverse?true:false)
    alert("Big Bar")
if (shortCondition)
    strategy.entry("short", long=not i_reverse?false:true)
    alert("Big Bar")
if SLon
    strategy.exit("SL & TP", "long", stop=SL, limit=TP)
    strategy.exit("SL & TP", "short", stop=SL, limit=TP)
    
// Plots
barcolor(bigbar ? color.white : na)
plot(barsizeavg, transp=100, title="Barsize Avg")
plot(barsize, transp=100, title="Bar Size")
plot(barbodysize, transp=100, title="Bar Body Size")
plot(SLon?TP:na, color=color.green, style=plot.style_cross, title="TP")
plot(SLon?SL:na, color=color.red, style=plot.style_cross, title="SL")
plotshape(longCondition ? 1 : na, style=shape.triangleup, location=location.belowbar, color=color.green, title="Bullish Setup")
plotshape(shortCondition ? 1 : na, style=shape.triangledown, location=location.abovebar, color=color.red, title="Bearish Setup")

---

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