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Estratégia do Sistema de Negociação Swing de tendência ascendente e sobrevenda de índices

Autora:ChaoZhang, Data: 2023-09-11 11:35:33
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/*backtest
start: 2023-01-01 00:00:00
end: 2023-04-15 00:00:00
period: 8h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
// strategy("I11L Hypertrend",overlay=false, initial_capital=1000000,default_qty_value=1000000,default_qty_type=strategy.cash,commission_type=strategy.commission.percent,commission_value=0.00)
strategy.initial_capital=50000
tradingMode = input.string("Oversold or Trend", "Trading Mode", ["Oversold or Trend", "Always Buy"], tooltip="Choose the Trading Mode by trying Both in your Backtesting. I use it if one is far better then the other one.")
 
invertStrategy = tradingMode == "Trend" ? true : false
compoundingMode = input.bool(false,"Work with the total equity")
useTSL = input.bool(true,"Use a trailing SL")
useTP = input.bool(true,"Use a TP")
scoreLookbackDistance = input.int(20, step=1,title="Lookbackdistance for the Score")
scoreLoopCountTo = 20
leverage = input.float(1.0,"Leverage (x)",[20,10,5,2,1])
SL_Factor = 1 - input.float(3.0,"Risk Capital per Trade unleveraged (%)", minval=0.1, maxval=100, step=0.25) / 100 / leverage
TPFactor = input.float(1.2, step=0.1)

chooseDate = input.string(title="Select Date", defval="All available Records", options=["Start-2012","2012-Now","All available Records"],tooltip="Seperation works best for 8hr cfd markets, you might want to finetune your Settings in the past and see if the future results (2010 to now) are better then random")
dateFrom = chooseDate == "Start-2012" ? timestamp("01 Jan 1970 00:00") : chooseDate == "2012-Now" ? timestamp("01 Jan 2012 00:00") : timestamp("01 Jan 1970 00:00")
dateTo = chooseDate == "Start-2012" ? timestamp("31 Dec 2011 23:59") : chooseDate == "2012-Now" ? timestamp("31 Dec 2170 23:59") : timestamp("31 Dec 2170 23:59")
inDateRange = (time >= dateFrom) and (time < dateTo)

var disableAdditionalBuysThisDay = false
var minuteOfLastSell = 0


if(dayofmonth != dayofmonth[1])
    disableAdditionalBuysThisDay := false


longStopPrice = 0.0
longStopPrice := if (strategy.position_size > 0)
    if(useTSL)
        math.max(high * SL_Factor, longStopPrice[1])
    else
        strategy.position_avg_price*SL_Factor
else
    0

if(strategy.position_size != strategy.position_size[1])
    disableAdditionalBuysThisDay := true

//Trade Logic
//isOversold
SCORE = 0
loopCount = 1
for i=0 to scoreLoopCountTo
    trendLengthAdjusted = loopCount
    loopCount := loopCount + 1 
    if(ta.ema(close,trendLengthAdjusted) / ta.sma(close,trendLengthAdjusted) > 1)
        SCORE := SCORE + 1
 
SCORE_ema50 = ta.ema(SCORE,scoreLookbackDistance)
SCORE_sma50 = ta.sma(SCORE,scoreLookbackDistance)
isOversold = ta.crossover(SCORE_sma50 / SCORE_ema50,1.0)
isTrend = ta.crossover(SCORE_ema50 / SCORE_sma50,1.0)


isBuy = isTrend or isOversold or tradingMode == "Always Buy"


if(isBuy and not(disableAdditionalBuysThisDay) and inDateRange)
    if(compoundingMode)
        strategy.entry("Buy", strategy.long, (strategy.equity / close) * leverage)
    else
        strategy.entry("Buy", strategy.long, (strategy.initial_capital / close) * leverage)


if(strategy.position_size > 0)
    strategy.exit("TSL", "Buy", stop=longStopPrice)
    if(useTP) 
        strategy.close("Buy",  when=close > strategy.position_avg_price * (1 + (1 - SL_Factor) * TPFactor), comment="TP")


findTrendOrOversold(i) => ta.ema(close,i) / ta.sma(close,i)

plot(1 + 100 * (findTrendOrOversold(1) - 1),color = findTrendOrOversold(1) > 1 ? #6efa7b44 : #ff222244)
plot(1 + 100 * (findTrendOrOversold(2) - 1),color = findTrendOrOversold(2) > 1 ? #73fa7a44 : #ff302244)
plot(1 + 100 * (findTrendOrOversold(3) - 1),color = findTrendOrOversold(3) > 1 ? #78fb7944 : #ff3a2244)
plot(1 + 100 * (findTrendOrOversold(4) - 1),color = findTrendOrOversold(4) > 1 ? #7cfb7844 : #ff432244)
plot(1 + 100 * (findTrendOrOversold(5) - 1),color = findTrendOrOversold(5) > 1 ? #81fb7744 : #ff4b2244)
plot(1 + 100 * (findTrendOrOversold(6) - 1),color = findTrendOrOversold(6) > 1 ? #85fc7644 : #ff522344)
plot(1 + 100 * (findTrendOrOversold(7) - 1),color = findTrendOrOversold(7) > 1 ? #89fc7644 : #fe592444)
plot(1 + 100 * (findTrendOrOversold(8) - 1),color = findTrendOrOversold(8) > 1 ? #8dfc7544 : #fe602544)
plot(1 + 100 * (findTrendOrOversold(9) - 1),color = findTrendOrOversold(9) > 1 ? #91fc7444 : #fe662744)
plot(1 + 100 * (findTrendOrOversold(10) - 1),color = findTrendOrOversold(10) > 1 ? #95fd7344 : #fe6b2944)
plot(1 + 100 * (findTrendOrOversold(11) - 1),color = findTrendOrOversold(11) > 1 ? #99fd7344 : #fd712b44)
plot(1 + 100 * (findTrendOrOversold(12) - 1),color = findTrendOrOversold(12) > 1 ? #9dfd7244 : #fd762d44)
plot(1 + 100 * (findTrendOrOversold(13) - 1),color = findTrendOrOversold(13) > 1 ? #a1fd7144 : #fd7b3044)
plot(1 + 100 * (findTrendOrOversold(14) - 1),color = findTrendOrOversold(14) > 1 ? #a4fe7144 : #fd803244)
plot(1 + 100 * (findTrendOrOversold(15) - 1),color = findTrendOrOversold(15) > 1 ? #a8fe7044 : #fc853544)
plot(1 + 100 * (findTrendOrOversold(16) - 1),color = findTrendOrOversold(16) > 1 ? #abfe7044 : #fc8a3944)
plot(1 + 100 * (findTrendOrOversold(17) - 1),color = findTrendOrOversold(17) > 1 ? #affe6f44 : #fc8f3c44)
plot(1 + 100 * (findTrendOrOversold(18) - 1),color = findTrendOrOversold(18) > 1 ? #b2ff6f44 : #fc933f44)
plot(1 + 100 * (findTrendOrOversold(19) - 1),color = findTrendOrOversold(19) > 1 ? #b6ff6e44 : #fb984344)
plot(1 + 100 * (findTrendOrOversold(20) - 1),color = findTrendOrOversold(20) > 1 ? #b9ff6e44 : #fb9c4744) 

plot(invertStrategy ? SCORE_ema50 / SCORE_sma50 : SCORE_sma50 / SCORE_ema50, color=(invertStrategy and isTrend) or (not(invertStrategy) and isOversold) ? color.green : color.gray, linewidth=2)
plot(1,color=color.white)

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