1. 사각형
2. ATR 및 브레이크아웃에 기반한 ETF 거래 전략

ATR 및 브레이크아웃에 기반한 ETF 거래 전략

저자:차오장, 날짜: 2023-12-26 16:05:55
태그:

---

---

/*backtest
start: 2023-12-18 00:00:00
end: 2023-12-21 03:00:00
period: 1m
basePeriod: 1m
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/
// © FX_minds

//@version=4
strategy("ETF tradedr", overlay=true, pyramiding=100, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

//------------------------------ get user input
lookback                   = input(title="HH LL lookback", type=input.integer, defval=20)
ATR_periode                = input(title="ATR period", type=input.integer, defval=14)
ATR_SL_multiplier          = input(title="ATR SL multiplier", type=input.float, defval=2)
ATR_TP_multiplier          = input(title="ATR TP multiplier", type=input.float, defval=1)
trailing_SL_ATR_multiplier = input(title="ATR trailing SL multiplier", type=input.float, defval=3.5)
lookback_trailing_SL       = input(title="trailing SL lookback", type=input.integer, defval=4)
max_sequel_trades          = input(title="max sequel trades", type=input.float, defval=1)
trade_long                 = input(title= "trade long ?", type=input.bool, defval=true)
trade_short                = input(title= "trade short ?", type=input.bool, defval=false)

//------------------------------ determine entry conditions
long_condition   = barstate.isconfirmed and crossover(high, highest(high, lookback)[1])
short_condition  = barstate.isconfirmed and crossunder(low, lowest(low, lookback)[1])


//------------------------------ count open long trades
count_open_longs = 0
count_open_longs := nz(count_open_longs[1])

if (long_condition) 
    count_open_longs := count_open_longs +1
    //label.new(bar_index, low, tostring(count_open_longs, "#"), xloc.bar_index, yloc.belowbar, color.green, label.style_none, color.green, size.large)

if (short_condition)
    count_open_longs := 0


//------------------------------ count open short trades
count_open_shorts = 0
count_open_shorts := nz(count_open_shorts[1])

if (short_condition)
    count_open_shorts := count_open_shorts +1
    //label.new(bar_index, low, tostring(count_open_shorts, "#"), xloc.bar_index, yloc.belowbar, color.red, label.style_none, color.red, size.large)

if (long_condition)
    count_open_shorts := 0


//------------------------------ calculate entryprice
entryprice_long = long_condition ? close : na
entryprice_short = short_condition ? close : na


//------------------------------ calculate SL & TP
SL_distance = atr(ATR_periode) * ATR_SL_multiplier
TP_distance  = atr(ATR_periode) * ATR_TP_multiplier
trailing_SL_distance = atr(ATR_periode) * trailing_SL_ATR_multiplier

SL_long = entryprice_long - SL_distance
SL_short = entryprice_short + SL_distance

trailing_SL_short = lowest(close, lookback_trailing_SL) + trailing_SL_distance
trailing_SL_long  = highest(close, lookback_trailing_SL) - trailing_SL_distance

trailing_SL_short_signal = crossover(high, trailing_SL_short[1])
trailing_SL_long_signal = crossunder(low, trailing_SL_long[1])


//------------------------------ plot entry price & SL  
plot(entryprice_long, style=plot.style_linebr, color=color.white)
plot(SL_long, style=plot.style_linebr, color=color.red)
plot(SL_short, style=plot.style_linebr, color=color.green)
plot(trailing_SL_short, style=plot.style_linebr, color=color.red)
plot(trailing_SL_long, style=plot.style_linebr, color=color.green)


//------------------------------ submit entry orders
if (long_condition) and (count_open_longs <= max_sequel_trades) and (trade_long == true)
    strategy.entry("Long" + tostring(count_open_longs, "#"), strategy.long)
    strategy.exit("SL Long"+ tostring(count_open_longs, "#"), 
     from_entry="Long" + tostring(count_open_longs, "#"), stop=SL_long)

if (short_condition) and (count_open_shorts <= max_sequel_trades) and (trade_short == true)
    strategy.entry("Short" + tostring(count_open_shorts, "#"), strategy.short)
    strategy.exit("SL Short" + tostring(count_open_shorts, "#"), 
     from_entry="Short" + tostring(count_open_shorts, "#"), stop=SL_short)
    

//------------------------------ submit exit conditions
if (trailing_SL_long_signal)
    strategy.close("Long" + tostring(count_open_longs, "#"))
    strategy.close("Long" + tostring(count_open_longs-1, "#"))
    strategy.close("Long" + tostring(count_open_longs-2, "#"))
    strategy.close("Long" + tostring(count_open_longs-4, "#"))
    strategy.close("Long" + tostring(count_open_longs-5, "#"))
    strategy.close("Long" + tostring(count_open_longs-6, "#"))
    strategy.close("Long" + tostring(count_open_longs-7, "#"))
    strategy.close("Long" + tostring(count_open_longs-8, "#"))
    strategy.close("Long" + tostring(count_open_longs-9, "#"))
    
if (trailing_SL_short_signal)
    strategy.close("Short" + tostring(count_open_shorts, "#"))
    strategy.close("Short" + tostring(count_open_shorts-1, "#"))
    strategy.close("Short" + tostring(count_open_shorts-2, "#"))
    strategy.close("Short" + tostring(count_open_shorts-3, "#"))
    strategy.close("Short" + tostring(count_open_shorts-4, "#"))
    strategy.close("Short" + tostring(count_open_shorts-5, "#"))
    strategy.close("Short" + tostring(count_open_shorts-6, "#"))
    strategy.close("Short" + tostring(count_open_shorts-7, "#"))
    strategy.close("Short" + tostring(count_open_shorts-8, "#"))
    strategy.close("Short" + tostring(count_open_shorts-9, "#"))

---

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