1. 사각형
2. 볼링거 밴드 트렌드 전략

볼링거 밴드 트렌드 전략

저자:차오장, 날짜: 2024-01-15 14:31:21
태그:

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/*backtest
start: 2023-12-15 00:00:00
end: 2024-01-14 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//VERSION =================================================================================================================
//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// This strategy is intended to study.
// It can also be used to signal a bot to open a deal by providing the Bot ID, email token and trading pair in the strategy settings screen.
// As currently written, this strategy uses a Bollinger Bands for trend folling, you can use a EMA as a filter.
//Autor Credsonb (M4TR1X_BR)

//▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
//STRATEGY ================================================================================================================

strategy(title = 'BT-Bollinger Bands - Trend Following',
         shorttitle = 'BBTF',
         overlay = true )


//▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// CONFIG =================================================================================================================

// TIME INPUTS
usefromDate = input.bool(defval = true, title = 'Start date', inline = '0', group = "Time Filters")
initialDate = input(defval = timestamp('01 Jan 2022 00:00 UTC'), title = '', inline = "0",group = 'Time Filters',tooltip="This start date is in the time zone of the exchange ")
usetoDate = input.bool(defval = true, title = 'End date', inline = '1', group = "Time Filters")
finalDate = input(defval = timestamp('31 Dec 2029 23:59 UTC'), title = '', inline = "1",group = 'Time Filters',tooltip="This end date is in the time zone of the exchange")

// TIME LOGIC 
inTradeWindow = true

// ENABLE LONG SHORT OPTIONS
string entrygroup ='Long/Short Options ==================================='
checkboxLong = input.bool(defval=true, title="Enable Long Entrys",group=entrygroup)
checkboxShort = input.bool(defval=true, title="Enable Short Entrys",group=entrygroup)


// BOLLINGER BANDS INPUTS ==================================================================================================
string bbgroup ='Bollinger Bands ======================================'
bbLength = input.int(defval=20,title='BB Length', minval=1, step=5, group=bbgroup)
bbStddev = input.float(defval=2, title='BB StdDev', minval=0.5, group=bbgroup)

//BOLLINGER BANDS LOGIC
[bbMiddle, bbUpper, bbLower] = ta.bb(close, bbLength, bbStddev)


// MOVING AVERAGES INPUTS ================================================================================================
string magroup =  'Moving Average ======================================='
useEma = input.bool(defval = true, title = 'Moving Average Filter',inline='', group= magroup,tooltip='This will enable or disable Exponential Moving Average Filter on Strategy')
emaType=input.string (defval='Ema',title='Type',options=['Ema','Sma'],inline='', group= magroup)
emaSource = input.source(defval=close,title="  Source",inline="", group= magroup)
emaLength = input.int(defval=100,title="Length",minval=0,inline='', group= magroup)

// MOVING AVERAGE LOGIC
float ema = emaType=='Ema'? ta.ema(emaSource,emaLength): ta.sma(emaSource,emaLength)

// BOT MESSAGES
string msgroup='Alert Message For Bot ================================'
messageEntry = input.string("", title="Strategy Entry Message",group=msgroup)
messageExit  =input.string("",title="Strategy Exit Message",group=msgroup)
messageClose = input.string("", title="Strategy Close Message",group=msgroup)




// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// POSITIONS =============================================================================================================

//VERIFY IF THE BUY FILTERS ARE ON OR OFF 
bool emaFilterBuy = useEma? (close > ema):(close >= ema) or (close <= ema)                      

//LONG / SHORT POSITIONS LOGIC
bool openLongPosition  = (close[1] < bbUpper) and (close > bbUpper)   and (emaFilterBuy)
bool openShortPosition = (close[1] > bbLower) and (close < bbLower) and (emaFilterBuy)
//bool closeLongPosition = (close > bbMiddle)
//bool closeShortPosition= (close < bbLower)


// CHEK OPEN POSITONS =====================================================================================================
// open signal when not already into a position
bool validOpenLongPosition = openLongPosition and strategy.opentrades.size(strategy.opentrades - 1) <= 0
bool longIsActive = validOpenLongPosition or strategy.opentrades.size(strategy.opentrades - 1) > 0

bool validOpenShortPosition = openShortPosition and strategy.opentrades.size(strategy.opentrades - 1) <= 0
bool shortIsActive = validOpenShortPosition or strategy.opentrades.size(strategy.opentrades - 1) < 0

longEntryPoint = high
if (openLongPosition) and (inTradeWindow) and (checkboxLong)
    strategy.entry(id = 'Long Entry', direction = strategy.long, stop = longEntryPoint, alert_message=messageEntry)

if not (openLongPosition)
    strategy.cancel('Long Entry')

//submit exit orders for trailing take profit price 
if (longIsActive) and (inTradeWindow)
    strategy.exit(id = 'Long Exit',  stop=bbMiddle, alert_message=messageExit)

//if (closeLongPosition)
   // strategy.close(id = 'Long Entry', alert_message=messageClose)
      

shortEntryPoint = low 
if (openShortPosition) and (inTradeWindow) and (checkboxShort)
    strategy.entry(id = 'Short Entry', direction = strategy.short, stop = shortEntryPoint, alert_message=messageEntry)

if not(openShortPosition)
    strategy.cancel('Short Entry')

if (shortIsActive)
    strategy.exit(id = 'Short Exit',  stop = bbMiddle, alert_message=messageExit)

//if (closeShortPosition)
    //strategy.close(id = 'Short Close', alert_message=messageClose)

// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// PLOTS ===============================================================================================================

// TRADE WINDOW ========================================================================================================
bgcolor(color = inTradeWindow ? color.new(#089981,90):na, title = 'Time Window')

// EMA/SMA 
var emafilterColor = color.new(color.white, 0)
plot(series=useEma? ema:na, title = 'EMA Filter', color = emafilterColor, linewidth = 2, style = plot.style_line)

// BOLLINGER BANDS
plot(series=bbUpper, title = "Upper Band", color = color.aqua)//, display = display.none)
plot(series=bbMiddle, title = "MA Band", color = color.red)//, display = display.none)
plot(series=bbLower, title = "Lower Band", color = color.aqua)//, display = display.none)

// PAINT BARS COLORS
bool bulls = (close[1] < bbUpper[1]) and (close > bbUpper)
bool bears = (close[1] > bbLower [1]) and (close < bbLower)
neutral_color = color.new(color.black, 100)
barcolors = bulls ? color.green : bears ? color.red : neutral_color
barcolor(barcolors)

// ======================================================================================================================

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