1. 사각형
2. 스토카스틱 오TT 거래 전략

스토카스틱 오TT 거래 전략

저자:차오장, 날짜: 2023-11-22 10:11:33
태그:

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/*backtest
start: 2022-11-21 00:00:00
end: 2023-11-21 00:00:00
period: 1d
basePeriod: 1h
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/
// © BigCoinHunter

//@version=5
strategy(title='OTT-Stoch-TP/SL', overlay=true, 
     pyramiding=0, default_qty_type=strategy.percent_of_equity, 
     default_qty_value=100, initial_capital=1000, 
     currency=currency.USD, commission_value=0.05, 
     commission_type=strategy.commission.percent, 
     process_orders_on_close=true)

//-------------- fetch user inputs ------------------
src = input(defval=close, title='OTT source')
src1 = input(defval=close, title="Stoch OTT source")

ottFastPercent = input.float(title='OTT Fast Percent(%):', defval=3.0, minval=0.1, maxval=30.0, step=0.1)
ottSlowPercent = input.float(title='OTT Slow Percent(%):', defval=10.0, minval=0.1, maxval=30.0, step=0.1)

ottFastLength = input.int(title="OTT Fast Length:", defval=1, minval=1)
ottSlowLength = input.int(title="OTT Slow Length:", defval=1, minval=1)

periodK = input.int(defval=500, title="%K Length", minval=1, step=10)
smoothK = input.int(defval=200, title="%K Smoothing", minval=1, step=10)
stochLength=input.int(defval=2, title="Stoch OTT Period", minval=1)
stochPercent=input.float(defval=0.5, title="Stoch OTT Percent", step=0.1, minval=0)

mav = input.string(title="Moving Average Type", defval="SMA", options=["SMA", "EMA", "WMA", "TMA", "VAR", "WWMA", "ZLEMA", "TSF"])

tp = input.float(title="Take Profit:", defval=0.0, minval=0.0, maxval=100.0, step=0.1) * 0.01
sl = input.float(title="Stop Loss:  ", defval=0.0, minval=0.0, maxval=100.0, step=0.1) * 0.01

//showsupport = input.bool(title="Show Support Line?", defval=true)
stoch = input.bool(title="evaluate Stoch OTT", defval=false)

longEntry = input.bool(defval=true, title= 'Long Entry', inline="11")
shortEntry = input.bool(defval=true, title='Short Entry', inline="11")


//---------- backtest range setup ------------
fromDay   = input.int(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input.int(defval = 1, title = "From Month", minval = 1, maxval = 12)
fromYear  = input.int(defval = 2021, title = "From Year", minval = 2010)
toDay     = input.int(defval = 30, title = "To Day", minval = 1, maxval = 31)
toMonth   = input.int(defval = 12, title = "To Month", minval = 1, maxval = 12)
toYear    = input.int(defval = 2022, title = "To Year", minval = 2010)


//------------ time interval setup -----------
start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)  // backtest start window
finish    = timestamp(toYear, toMonth, toDay, 23, 59)        // backtest finish window
window()  => time >= start and time <= finish ? true : false // create function "within window of time"


//-------- calculate the OTT lines ----------
Var_Func(src,length)=>
    valpha=2/(length+1)
    vud1=src>src[1] ? src-src[1] : 0
    vdd1=src<src[1] ? src[1]-src : 0
    vUD=math.sum(vud1,9)
    vDD=math.sum(vdd1,9)
    vCMO=nz((vUD-vDD)/(vUD+vDD))
    VAR=0.0
    VAR:=nz(valpha*math.abs(vCMO)*src)+(1-valpha*math.abs(vCMO))*nz(VAR[1])
    
//VAR=Var_Func(src,length)

Wwma_Func(src,length)=>
    wwalpha = 1/ length
    WWMA = 0.0
    WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1])
    
//WWMA=Wwma_Func(src,length)

Zlema_Func(src,length)=>
    zxLag = length/2==math.round(length/2) ? length/2 : (length - 1) / 2
    zxEMAData = (src + (src - src[zxLag]))
    ZLEMA = ta.ema(zxEMAData, length)
    
//ZLEMA=Zlema_Func(src,length)

Tsf_Func(src,length)=>
    lrc = ta.linreg(src, length, 0)
    lrc1 = ta.linreg(src,length,1)
    lrs = (lrc-lrc1)
    TSF = ta.linreg(src, length, 0)+lrs
    
//TSF=Tsf_Func(src,length)

getMA(src, length) =>
    ma = 0.0
    if mav == "SMA"
        ma := ta.sma(src, length)
        ma

    if mav == "EMA"
        ma := ta.ema(src, length)
        ma

    if mav == "WMA"
        ma := ta.wma(src, length)
        ma

    if mav == "TMA"
        ma := ta.sma(ta.sma(src, math.ceil(length / 2)), math.floor(length / 2) + 1)
        ma

    if mav == "VAR"
        ma := Var_Func(src,length)
        ma

    if mav == "WWMA"
        ma := Wwma_Func(src,length)
        ma

    if mav == "ZLEMA"
        ma := Zlema_Func(src,length)
        ma

    if mav == "TSF"
        ma := Tsf_Func(src,length)
        ma
    ma

//-------- OTT line calculation --------
MAvg1=getMA(src, ottFastLength)
fark1=MAvg1*ottFastPercent*0.01
longStop1 = MAvg1 - fark1
longStopPrev1 = nz(longStop1[1], longStop1)
longStop1 := MAvg1 > longStopPrev1 ? math.max(longStop1, longStopPrev1) : longStop1
shortStop1 =  MAvg1 + fark1
shortStopPrev1 = nz(shortStop1[1], shortStop1)
shortStop1 := MAvg1 < shortStopPrev1 ? math.min(shortStop1, shortStopPrev1) : shortStop1
dir1 = 1
dir1 := nz(dir1[1], dir1)
dir1 := dir1 == -1 and MAvg1 > shortStopPrev1 ? 1 : dir1 == 1 and MAvg1 < longStopPrev1 ? -1 : dir1
MT1 = dir1==1 ? longStop1: shortStop1

OTTFast=MAvg1>MT1 ? MT1*(200+ottFastPercent)/200 : MT1*(200-ottFastPercent)/200

MAvg2=getMA(src, ottSlowLength)
fark2=MAvg2*ottSlowPercent*0.01
longStop2 = MAvg2 - fark2
longStopPrev2 = nz(longStop2[1], longStop2)
longStop2 := MAvg2 > longStopPrev2 ? math.max(longStop2, longStopPrev2) : longStop2
shortStop2 =  MAvg2 + fark2
shortStopPrev2 = nz(shortStop2[1], shortStop2)
shortStop2 := MAvg2 < shortStopPrev2 ? math.min(shortStop2, shortStopPrev2) : shortStop2
dir2 = 1
dir2 := nz(dir2[1], dir2)
dir2 := dir2 == -1 and MAvg2 > shortStopPrev2 ? 1 : dir2 == 1 and MAvg2 < longStopPrev2 ? -1 : dir2
MT2 = dir2==1 ? longStop2: shortStop2

OTTSlow=MAvg2>MT2 ? MT2*(200+ottSlowPercent)/200 : MT2*(200-ottSlowPercent)/200

//-------- Stoch OTT calculation ----------

Var_Func1(src1,length)=>
    valpha1=2/(length+1)
    vud11=src1>src1[1] ? src1-src1[1] : 0
    vdd11=src1<src1[1] ? src1[1]-src1 : 0
    vUD1=math.sum(vud11,9)
    vDD1=math.sum(vdd11,9)
    vCMO1=nz((vUD1-vDD1)/(vUD1+vDD1))
    VAR1=0.0
    VAR1:=nz(valpha1*math.abs(vCMO1)*src1)+(1-valpha1*math.abs(vCMO1))*nz(VAR1[1])
VAR1=Var_Func1(src1,stochLength)

k = Var_Func1(ta.stoch(close, high, low, periodK), smoothK)
k1=k+1000

VAR2=Var_Func(k1,stochLength)

MAvg3=Var_Func(k1, stochLength)
fark3=MAvg3*stochPercent*0.01
longStop3 = MAvg3 - fark3
longStopPrev3 = nz(longStop3[1], longStop3)
longStop3 := MAvg3 > longStopPrev3 ? math.max(longStop3, longStopPrev3) : longStop3
shortStop3 =  MAvg3 + fark3
shortStopPrev3 = nz(shortStop3[1], shortStop3)
shortStop3 := MAvg3 < shortStopPrev3 ? math.min(shortStop3, shortStopPrev3) : shortStop3
dir3 = 1
dir3 := nz(dir3[1], dir3)
dir3 := dir3 == -1 and MAvg3 > shortStopPrev3 ? 1 : dir3 == 1 and MAvg3 < longStopPrev3 ? -1 : dir3
MT3 = dir3==1 ? longStop3: shortStop3
OTTStoch=MAvg3>MT3 ? MT3*(200+stochPercent)/200 : MT3*(200-stochPercent)/200 


//------- define the global variables ------
var bool long = true
var bool stoppedOutLong = false
var bool stoppedOutShort = false

//-------- determine the market direction --------
if OTTFast > OTTSlow
    long := true
else if OTTFast < OTTSlow
    long := false

        
//--------- calculate the input/output points -----------
longProfitPrice  = strategy.position_avg_price * (1 + tp)     // tp -> take profit percentage
longStopPrice = strategy.position_avg_price * (1 - sl)        // sl -> stop loss percentage

shortProfitPrice  = strategy.position_avg_price * (1 - tp)
shortStopPrice = strategy.position_avg_price * (1 + sl)

//------------------- determine buy and sell points ---------------------
buySignall = false
sellSignall = false

if stoch == false
    buySignall := window() and long  and (not stoppedOutLong)
    sellSignall := window() and (not long)  and (not stoppedOutShort)
else
    buySignall := window() and long  and (not stoppedOutLong) and ( k1 > OTTStoch )
    sellSignall := window() and (not long)  and (not stoppedOutShort) and ( k1 < OTTStoch )

//---------- execute the strategy -----------------
if(longEntry and shortEntry)
    if long 
        strategy.entry("LONG", strategy.long, when = buySignall, comment = "ENTER LONG")
        stoppedOutLong := true
        stoppedOutShort := false
    else 
        strategy.entry("SHORT", strategy.short, when = sellSignall, comment = "ENTER SHORT")
        stoppedOutLong  := false
        stoppedOutShort := true

else if(longEntry)
    strategy.entry("LONG", strategy.long,  when = buySignall)
    strategy.close("LONG", when = sellSignall)
    if long 
        stoppedOutLong := true
    else
        stoppedOutLong  := false

else if(shortEntry)
    strategy.entry("SHORT", strategy.short, when = sellSignall)
    strategy.close("SHORT", when = buySignall)
    if not long
        stoppedOutShort := true
    else
        stoppedOutShort := false
    

//----------------- take profit and stop loss -----------------
if(tp>0.0 and sl>0.0)
    if ( strategy.position_size > 0 )
        strategy.exit(id="LONG", limit=longProfitPrice, stop=longStopPrice, comment="Long TP/SL Trigger")

    else if ( strategy.position_size < 0 )
        strategy.exit(id="SHORT", limit=shortProfitPrice, stop=shortStopPrice, comment="Short TP/SL Trigger")

else if(tp>0.0)
    if ( strategy.position_size > 0 )
        strategy.exit(id="LONG", limit=longProfitPrice, comment="Long TP Trigger")

    else if ( strategy.position_size < 0 )
        strategy.exit(id="SHORT", limit=shortProfitPrice, comment="Short TP Trigger")
        
else if(sl>0.0)
    if ( strategy.position_size > 0 )
        strategy.exit(id="LONG",  stop=longStopPrice, comment="Long SL Trigger")

    else if ( strategy.position_size < 0 )
        strategy.exit(id="SHORT",  stop=shortStopPrice, comment="Short SL Trigger")
        
        
//------------- plot charts ---------------------
lineColor1 = long ? color.green : color.red
lineColor2 = long ? color.aqua : color.fuchsia

light_green=#08ff12
light_red=#fe0808

plot(nz(OTTFast), color=light_green, linewidth=3, title="OTT Fast")
plot(nz(OTTSlow), color=light_red, linewidth=3, title="OTT Slow")

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