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2. 전략에 따른 적응 추세

전략에 따른 적응 추세

저자:차오장, 날짜: 2024-01-15 14:20:32
태그:

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/*backtest
start: 2023-12-15 00:00:00
end: 2024-01-14 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy("[Th] Adaptive Trend v1", shorttitle="[TH] Adaptive Trend", overlay=true)

Pd=input(2, minval=1,maxval = 100, title="Period")
Bw=input(50, minval=1,maxval = 100, title="Bandwidth")
minFactor = input(0.5, minval=0.1, maxval=1.0, step=0.1, title="Minimum Factor")
maxFactor = input(3.00, minval=0.2, maxval=5.0, step=0.1, title="Maximum Factor")
plot_trend=input(true, title="Plot trend")

plot_losscut = input(true, title="Plot losscut")

/////////////// Calculate the BB's ///////////////
basisBB = ema(close, 20)
devBB     = 2 * stdev(close, 20)
upperBB = basisBB + devBB
lowerBB = basisBB - devBB
//plot(upperBB)
//plot(lowerBB)

///////////// Trend ////////////////////////////

rawFactor = ((upperBB-lowerBB)/basisBB)*Bw
Factor = rawFactor > minFactor ? (rawFactor > maxFactor ? maxFactor : rawFactor) : minFactor

Up=hl2-(Factor*atr(Pd))
Dn=hl2+(Factor*atr(Pd))
TrendUp=close[1]>TrendUp[1]? max(Up,TrendUp[1]) : Up
TrendDown=close[1]<TrendDown[1]? min(Dn,TrendDown[1]) : Dn
TrendUpPlot=plot(plot_trend?TrendUp:na, style=line, color=green, linewidth=1)
TrendDownPlot=plot(plot_trend?TrendDown:na, style=line, color=red, linewidth=1)
Trend = close > TrendDown[1] ? 1: close< TrendUp[1]? -1: nz(Trend[1],1)
fill(TrendUpPlot,TrendDownPlot, color=Trend == 1 ? green : red, transp=80)
sig_trend_long = Trend[1] == -1 and Trend == 1
sig_trend_short = Trend[1] == 1 and Trend == -1

///////////// Loss Cut ////////////////////////////
price_cut = sig_trend_long[1] or sig_trend_short[1] or sig_reentry_long[1] or sig_reentry_short[1] ? open : price_cut[1] 
current_trend = sig_trend_long[1] ? 1 : (sig_trend_short[1] ? -1 : current_trend[1])

sig_loss_cut = sig_trend_long or sig_trend_short ? false : ( current_trend == 1 ? (price_cut > low) : (current_trend == -1 ? (price_cut < high) : false) )
has_position = sig_loss_cut ? false : ((sig_trend_long[1] or sig_trend_short[1] or sig_reentry_long[1] or sig_reentry_short[1]) ? true : has_position[1])
sig_reentry_long = not has_position and current_trend == 1 and low > price_cut
sig_reentry_short = not has_position and current_trend == -1 and high < price_cut

bgcolor(plot_losscut and ( not has_position or sig_loss_cut ) ? silver : white, transp=70)
plotshape(plot_losscut and sig_loss_cut and current_trend == 1? 1 : na, color=green, style=shape.xcross, location=location.belowbar ,size=size.tiny)
plotshape(plot_losscut and sig_loss_cut and current_trend == -1? 1 : na, color=red, style=shape.xcross, location=location.abovebar ,size=size.tiny)

LossCutPlot = plot(plot_losscut ? price_cut : na, linewidth=4, color=black, transp=60)
fill(TrendDownPlot, LossCutPlot, color=silver, transp=90)

plotshape(sig_trend_long or sig_reentry_long ? Trend : na, title="Up Entry Arrow", color=green, style=shape.triangleup, location=location.belowbar, size=size.tiny)
plotshape(sig_trend_short or sig_reentry_short ? Trend : na, title="Down Entry Arrow",color=red, style=shape.triangledown, size=size.tiny)
    
    
///////////// Strategy //////////////////////////// 
if true

    strategy.entry('long', long=strategy.long, comment='Long', when=sig_trend_long or sig_reentry_long)
    strategy.entry('short', long=strategy.short, comment='Short', when=sig_trend_short or sig_reentry_short)
    
    if(current_trend == 1)
        strategy.close('long', when=sig_loss_cut == true) 
        //strategy.exit('lc',from_entry='long', stop=price_cut)
    
    if( current_trend == -1 )
        strategy.close('short', when=sig_loss_cut == true) 
        //strategy.exit('sc',from_entry='short', stop=price_cut)

---

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