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Mengesan strategi perdagangan Stop Loss Moving Average

Penulis:ChaoZhang, Tarikh: 2024-02-01 10:59:06
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/*backtest
start: 2023-01-31 00:00:00
end: 2024-01-31 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/
// © Sharad_Gaikwad
//@version=5

strategy("Traling.SL.Target", overlay=true, process_orders_on_close = true, max_labels_count = 500)
// << Parameters section {
_1 = input.bool(title = "━━━━━━━ ↓ Pivot parameters for trade ↓ ━━━━━━━", defval = false)
fast_len = input.int(title = 'Fast len', defval = 20)
slow_len = input.int(title = 'Slow len', defval = 50)
label_bg_color = input.color(title = 'BG color for ongoing trade SL/Target label', defval=color.white)
sl_target_method = input.string(title = 'Method to be used for SL/Target trailing', defval='% Based Target and SL', options = ['% Based Target and SL','Fix point Based Target and SL'])
_2 = input.bool(title = "━━━━━━━ ↓ % Based Target and SL ↓ ━━━━━━━", defval = true)
initial_profit_percent = input.float(title = 'Inital profit %', defval = 1) / 100
initial_sl_percent = input.float(title = 'Inital SL %', defval = 1) / 100
initiate_trailing_percent = input.float(title = 'Initiate trailing %', defval = 0.5, tooltip = 'Initiate trailing of target and SL after change in price in % after taking trade') / 100
trail_profit_percent = input.float(title = 'Trail profit by %', defval = 0.3) / 100
trail_sl_percent = input.float(title = 'Trail SL by %', defval = 0.3) / 100

_3 = input.bool(title = "━━━━━━━ ↓ Fix point Based Target and SL ↓ ━━━━━━━", defval = false)
initial_profit_points = input.float(title = 'Inital profit target points', defval = 100)
initial_sl_points = input.float(title = 'Inital SL points', defval = 50)
initiate_trailing_points = input.float(title = 'Initiate trailing points', defval = 60, tooltip = 'Initiate trailing of target and SL after change in price in points after taking trade')
trail_profit_points = input.float(title = 'Trail profit by points', defval = 25)
trail_sl_points = input.float(title = 'Trail SL by %', defval = 30)
// } Parameters section >>


// } << Common function {
tab = table.new(position=position.bottom_right, columns=7, rows=200,frame_color = color.yellow, frame_width = 1)
msg(int row, int col, string msg_str, clr=color.blue) =>
    table.cell(table_id=tab, column=col, row=row, text=msg_str, text_color=clr)

getVal(val) =>
    ret_val = na(val) ? 0 : val

t(val) => str.tostring(val, "0.00")

timeToString(int _t) =>
         str.tostring(dayofmonth(_t), '00') + '/' + 
         str.tostring(month(_t), '00') + '/' + 
         str.tostring(year(_t), '0000') + ' ' + 
         str.tostring(hour(_t), '00') + ':' + 
         str.tostring(minute(_t), '00') + ':' + 
         str.tostring(second(_t), '00')
    
// } Common functions>>


// Variable declarations {
percent_based = sl_target_method  == '% Based Target and SL' ? true : false
var initial_long_entry_price = float(na)
var initial_short_entry_price = float(na)
var long_target = float(na)
var long_sl = float(na)
var short_target = float(na)
var short_sl = float(na)
var long_entry_price = float(na)
var short_entry_price = float(na)
var initial_long_percent_target = float(na)
var initial_long_percent_sl = float(na)
var initial_long_point_target = float(na)
var initial_long_point_sl = float(na)
var initial_short_percent_target = float(na)
var initial_short_percent_sl = float(na)
var initial_short_point_target = float(na)
var initial_short_point_sl = float(na)
var is_long = bool(na)
var is_short = bool(na)
var trail_long_iteration = int(na)
var trail_short_iteration = int(na)

// }

// derive important variable values



// Strategy logic
fast_ema = ta.ema(close, fast_len)
slow_ema = ta.ema(close, slow_len)
plot(fast_ema, color = color.red)
plot(slow_ema, color = color.green)
go_long = ta.crossover(fast_ema, slow_ema) and strategy.position_size == 0
go_short = ta.crossunder(fast_ema, slow_ema) and strategy.position_size == 0

// barcolor(ph ? color.purple : na, offset = -lb)
// barcolor(pl ? color.yellow : na, offset = -lb)


// barcolor(ph ? color.white : na)
// barcolor(pl ? color.blue : na)

// //trailing logic for long
long_trailing_point = percent_based ? (close >= long_entry_price + (long_entry_price * initiate_trailing_percent)) :
     (close >= long_entry_price + initiate_trailing_points)

short_trailing_point = percent_based ? (close <= short_entry_price - (short_entry_price * initiate_trailing_percent)) :
     (close >= short_entry_price - initiate_trailing_points)

if(is_long and long_trailing_point)
    // initial_long_percent_target = initial_long_percent_target + (initial_long_percent_target * trail_profit_percent)
    // initial_long_percent_sl = initial_long_percent_sl - (initial_long_percent_sl * trail_sl_percent)

    // initial_long_point_target = initial_long_point_target + trail_profit_points
    // initial_long_point_sl = initial_long_point_sl - trail_sl_points
    trail_long_iteration :=  trail_long_iteration + 1
    long_target := percent_based ? (long_target + (long_target * trail_profit_percent)) : 
         (long_target + trail_profit_points)
         
    long_sl := percent_based ? (long_sl + (long_sl * trail_sl_percent)) :
         (long_sl + trail_sl_points)
    
    long_entry_price := percent_based ? (long_entry_price + (long_entry_price * initiate_trailing_percent)) :
         (long_entry_price + initiate_trailing_points)

if(is_short and short_trailing_point)
    // initial_short_percent_target = initial_short_percent_target - (initial_short_percent_target * trail_profit_percent)
    // initial_short_percent_sl = initial_short_percent_sl + (initial_short_percent_sl * trail_sl_percent)

    // initial_short_point_target = initial_short_point_target - trail_profit_points
    // initial_short_point_sl = initial_short_point_sl + trail_sl_points
    trail_short_iteration :=  trail_short_iteration + 1
    short_target := percent_based ? (short_target - (short_target * trail_profit_percent)) : 
         (short_target - trail_profit_points)
         
    short_sl := percent_based ? (short_sl - (short_sl * trail_sl_percent)) :
         (short_sl - trail_sl_points)
    
    short_entry_price := percent_based ? (short_entry_price - (short_entry_price * initiate_trailing_percent)) :
         (short_entry_price - initiate_trailing_points)
    
if(go_long)
    is_long := true
    is_short := false
    trail_long_iteration := 0
    trail_short_iteration := 0
    initial_long_entry_price := close
    long_entry_price := close
    
    initial_long_percent_target := close + (close * initial_profit_percent)
    initial_long_percent_sl := close - (close * initial_sl_percent)

    initial_long_point_target := close + initial_profit_points
    initial_long_point_sl := close - initial_sl_points
    
    long_target := percent_based ? initial_long_percent_target : initial_long_point_target
    long_sl := percent_based ? initial_long_percent_sl : initial_long_point_sl 
    
    strategy.entry(id = 'Long', direction = strategy.long)

if(go_short)
    is_long := false
    is_short := true
    trail_long_iteration := 0
    trail_short_iteration := 0
    initial_short_entry_price := close
    short_entry_price := close

    initial_short_percent_target := close - (close * initial_profit_percent)
    initial_short_percent_sl := close + (close * initial_sl_percent)

    initial_short_point_target := close - initial_profit_points
    initial_short_point_sl := close + initial_sl_points

    short_target := percent_based ? initial_short_percent_target : initial_short_point_target
    short_sl := percent_based ? initial_short_percent_sl : initial_short_point_sl 
    
    strategy.entry(id = 'Short', direction = strategy.short)

method = percent_based ? '% Based' : 'Fixed Points'
long_tooltip = 'Long @ ' + timeToString(time) + '\n' +
     'Method             : ' + method + '\n' +
     'Initial Trade Price: ' + t(initial_long_entry_price) + '\n' +
     'Inital Target      : ' + t(long_target) + '\n' + 
     'Inital SL          : ' + t(long_sl) 

short_tooltip = 'Short @ ' + timeToString(time) + '\n' +
     'Method             : ' + method + '\n' +
     'Initial Trade Price: ' + t(initial_short_entry_price) + '\n' +
     'Inital Target      : ' + t(short_target) + '\n' + 
     'Inital SL          : ' + t(short_sl)
     
     
label.new(go_long ? bar_index : na, go_long ? bar_index : na,
     style = label.style_diamond, yloc = yloc.belowbar, color = color.green, size=size.tiny, tooltip = long_tooltip)
     
label.new(go_short ? bar_index : na, go_short ? bar_index : na,
     style = label.style_diamond, yloc = yloc.abovebar, color = color.red, size=size.tiny, tooltip = short_tooltip)
 
trail_long_tooltip = 'Trail @ ' + timeToString(time) + '\n' +
     'Iteration no : ' + t(trail_long_iteration) + '\n' +
     'New Target   : ' + t(long_target) + '\n' +
     'New SL       : ' + t(long_sl)

trail_short_tooltip = 'Trail @ ' + timeToString(time) + '\n' +
     'Iteration no : ' + t(trail_short_iteration) + '\n' +
     'New Target   : ' + t(short_target) + '\n' +
     'New SL       : ' + t(short_sl) 

label.new(is_long and long_trailing_point and strategy.position_size > 0 ? bar_index : na, is_long and long_trailing_point and strategy.position_size > 0 ? bar_index : na,
      text = str.tostring(trail_long_iteration), style = label.style_circle, textcolor = color.white, yloc = yloc.belowbar, color = color.green, size=size.tiny, tooltip = trail_long_tooltip)
     
label.new(is_short and short_trailing_point and strategy.position_size < 0 ? bar_index : na, is_short and short_trailing_point and strategy.position_size < 0 ? bar_index : na,
     text = str.tostring(trail_short_iteration), style = label.style_circle, textcolor = color.white,  yloc = yloc.abovebar, color = color.red, size=size.tiny, tooltip = trail_short_tooltip)
     
strategy.close(id = 'Long', when = close <= long_sl, comment = 'SL')
strategy.close(id = 'Short', when = close >= short_sl, comment = 'SL')

strategy.close(id = 'Long', when = close >= long_target, comment = 'Target')
strategy.close(id = 'Short', when = close <= short_target, comment = 'Target')

// no_of_labels = 1
// label_q(_array, _val) =>
//     array.push(_array, _val)
//     _return = array.shift(_array)

// var target_label = float(na)
// var sl_label = float(na)
// if(strategy.position_size > 0)
//     target_label := long_target
//     sl_label := long_sl
// else if(strategy.position_size < 0)
//     target_label := short_target
//     sl_label := short_sl
// else
//     target_label := float(na)
//     sl_label := float(na)

// var label[] target_array = array.new_label(no_of_labels)
// label.delete(label_q(target_array, label.new(bar_index, target_label, "Target:"+t(target_label), style = label.style_label_down, color = label_bg_color, size=size.small, textcolor = color.green)))

// var label[] sl_array = array.new_label(no_of_labels)
// label.delete(label_q(sl_array, label.new(bar_index, sl_label, "SL:"+t(sl_label), style = label.style_label_up, color = label_bg_color, size=size.small, textcolor = color.red)))

---

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