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2. Адаптивная стратегия железнодорожных путей с потерями

Адаптивная стратегия железнодорожных путей с потерями

Автор:Чао Чжан, Дата: 2024-01-02 11:10:54
Тэги:

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/*backtest
start: 2023-06-01 00:00:00
end: 2024-01-01 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/
// © BigCoinHunter

    //  ____  _        _____      _       _    _             _            
    // |  _ \(_)      / ____|    (_)     | |  | |           | |           
    // | |_) |_  __ _| |     ___  _ _ __ | |__| |_   _ _ __ | |_ ___ _ __ 
    // |  _ <| |/ _` | |    / _ \| | '_ \|  __  | | | | '_ \| __/ _ \ '__|
    // | |_) | | (_| | |___| (_) | | | | | |  | | |_| | | | | ||  __/ |   
    // |____/|_|\__, |\_____\___/|_|_| |_|_|  |_|\__,_|_| |_|\__\___|_|   
    //           __/ |                                                    
    //          |___/                                                     

//@version=5
strategy(title='Loft Strategy V4', overlay=true, 
     pyramiding=0, default_qty_type=strategy.cash, 
     default_qty_value=100, initial_capital=10000, 
     currency=currency.USD, commission_value=0.05, 
     commission_type=strategy.commission.percent, 
     process_orders_on_close=true)

//-------------- fetch user inputs ------------------
gain = input.float(title="Kalman Gain:", defval=100.0, minval=1, maxval=10000.0, step=1)
src = input(defval=close, title='Source:')

stopPercentBase = input.float(title='Beginning Approach(%)', defval=5.0, minval=0.1, maxval=30.0, step=0.1)
stopPercentMin = input.float(title='Final Approach(%)', defval=1.0, minval=0.1, maxval=30.0, step=0.1)
downStep = input.float(title='Approach Decrease Step', defval=0.001, minval=0.0, maxval = 5, step=0.001)
//stopPercentDeviation = input.float(title="Approach Deviation", defval=1.0, minval=0.1, maxval = 5.0, step=0.1)

baseOrderQty = input.float(title="Base Order Quantity", defval=100.0, minval=0.001)
maxOrderCount = input.int(title="Max Safe Order Attemp", defval=4, minval=1)
priceDeviation = input.float(title="Safe Order Deviation", defval=3, minval=1.0, step=0.1)
profitDeviation = input.float(title="Profit Deviation", defval=1.0, minval=1.0, maxval=10, step=0.1)
maxTakeProfit = input.float(title="Max Take Profit(%)", defval=25.0, maxval=100, step=0.1)
maxOrderQty = input.float(title="Max Order Quantity", defval=1.0, minval=0.01)

baseTP1 = input.float(title="TP1(%)", defval=1.0, minval=0.0, maxval=100.0, step=0.1, inline="0")
qt1     = input.int(title="QT1(%):", defval=40, minval=1, maxval=100, step=5, inline="0")

baseTP2 = input.float(title="TP2(%)", defval=3.0, minval=0.0, maxval=100.0, step=0.1, inline="1")
qt2     = input.int(title="QT2(%):", defval=30, minval=1, maxval=100, step=5, inline="1")

baseTP3 = input.float(title="TP3(%)", defval=5.0, minval=0.0, maxval=100.0, step=0.1, inline="2")
qt3     = input.int(title="QT3(%):", defval=30, minval=1, maxval=100, step=5, inline="2")

initialStopLoss = input.float(title="Stop Loss(%)", defval=0.0, minval=0.0, maxval=100.0, step=0.1)

longEntry = input.bool(defval=true, title= 'Long Entry', inline="3")
shortEntry = input.bool(defval=true, title='Short Entry', inline="3")

useSafeStop2 = input.bool(defval = true, title="Safe Stop After TP2", inline="6")
useSafeStop1 = input.bool(defval = false, title="Safe Stop After TP1", inline="6")

//---------- backtest range setup ------------
fromDay   = input.int(defval = 1, title = "From Date:", minval = 1, maxval = 31, inline="4")
fromMonth = input.int(defval = 1, title = "/", minval = 1, maxval = 12, inline="4")
fromYear  = input.int(defval = 2021, title = "/", minval = 2010, inline="4")
toDay     = input.int(defval = 30, title = "To__ Date:", minval = 1, maxval = 31, inline="5")
toMonth   = input.int(defval = 12, title = "/", minval = 1, maxval = 12, inline="5")
toYear    = input.int(defval = 2022, title = "/", minval = 2010, inline="5")

//------------ time interval setup -----------
start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)  // backtest start window
finish    = timestamp(toYear, toMonth, toDay, 23, 59)        // backtest finish window
window()  => true // create function "within window of time"


//------- define the order comments ------
enterLongComment = ""
exitLongComment = ""

enterShortComment = ""
exitShortComment = ""

longTPSL = ""
longTP = ""
longSL = ""

shortTPSL = ""
shortTP = ""
shortSL = ""

//--------- Define global variables -----------
var bool long = true
var bool stoppedOutLong = false
var bool stoppedOutShort = false
var float kf = 0.0
var float velo = 0.0

var float orderQty = baseOrderQty
var float stopLoss = initialStopLoss
var bool isProfit = false
var int barindex = 1
var int winCounter = 0
var int winCounterBuffer = 0
var int failCounter = 0

var float tp1 = baseTP1
var float tp2 = baseTP2
var float tp3 = baseTP3

var bool isTakeTP1 = false
var bool isTakeTP2 = false  
var bool isTakeTP3 = false  
var bool isLastProfit = true

var float stopPercentMax = stopPercentBase
var float stopPercent = stopPercentBase
var float stopLine = 0.0

var labelColor = color.blue


//------ kalman filter calculation --------
dk = src - nz(kf[1], src)
smooth = nz(kf[1], src) + dk * math.sqrt(gain / 10000 * 2)
velo := nz(velo[1], 0) + gain / 10000 * dk
kf := smooth + velo


//--------- calculate the loft stopLoss line ---------
//stopPercentMax := isLastProfit ? stopPercentBase : (stopPercentBase * stopPercentDeviation)

if long == true
    stopLine := kf - (kf * (stopPercent / 100))
    
    if long[1] == true and stopLine <= stopLine[1]
        stopLine := stopLine[1]
    else if (long[1] == true)
        stopPercent := stopPercent - downStep
        if(stopPercent < stopPercentMin)
            stopPercent := stopPercentMin
    
    if(kf < stopLine)
        long := false
        stopPercent := stopPercentMax
        stopLine := kf + (kf * (stopPercent / 100))
        
else
    stopLine := kf + (kf * (stopPercent / 100))
    
    if long[1] == false and stopLine >= stopLine[1]
        stopLine := stopLine[1]
    else if(long[1] == false)
        stopPercent := stopPercent - downStep
        if(stopPercent < stopPercentMin)
            stopPercent := stopPercentMin
            
    if(kf > stopLine)
        long := true
        stopPercent := stopPercentMax
        stopLine := kf - (kf * (stopPercent / 100))


//------------------- determine buy and sell points ---------------------
buySignall = window() and long  and (not stoppedOutLong)
sellSignall = window() and (not long)  and (not stoppedOutShort)
                    
                    
if longEntry and shortEntry 

    if buySignall and baseTP1 <= 0.0
            
        if strategy.position_size < 0
            if close < strategy.position_avg_price
                isLastProfit := true
        else if strategy.position_size == 0
            if strategy.wintrades > winCounter //strategy.wintrades[ barindex ]
                isLastProfit := true
        else
            isLastProfit := false
        
    else if sellSignall and baseTP1 <= 0.0
        
        if strategy.position_size > 0
            if close > strategy.position_avg_price
                isLastProfit := true
        else if strategy.position_size == 0
            if strategy.wintrades > winCounter //strategy.wintrades[ barindex ]
                isLastProfit := true
        else
            isLastProfit := false
    
    else if isTakeTP2 == true
        isLastProfit := true
    else
        isLastProfit := false

else if longEntry
    if sellSignall
        winCounterBuffer := winCounter
    if buySignall
        if winCounter > winCounterBuffer
            isLastProfit := true
        else
            isLastProfit := false

else if shortEntry
    if buySignall
        winCounterBuffer := winCounter
    if sellSignall
        if winCounter > winCounterBuffer
            isLastProfit := true
        else
            isLastProfit := false
    

//------------- set the deviations ------------
var float maxOrderSize = (baseOrderQty * math.pow(priceDeviation, maxOrderCount - 1))

if buySignall or sellSignall
    
    if isLastProfit == false
    
        orderQty := orderQty * priceDeviation
        
        tp1 := tp1 * profitDeviation
        tp2 := tp2 * profitDeviation
        tp3 := tp3 * profitDeviation
        
        tp1 := math.min(tp1, maxTakeProfit)
        tp2 := math.min(tp2, maxTakeProfit)
        tp3 := math.min(tp3, maxTakeProfit)
        
        if orderQty > maxOrderSize
            failCounter := failCounter + 1
            orderQty := baseOrderQty
            tp1 := baseTP1
            tp2 := baseTP2
            tp3 := baseTP3
                
    else
        orderQty := baseOrderQty
        tp1 := baseTP1
        tp2 := baseTP2
        tp3 := baseTP3


// ----------------- put debug labels -------------------
if orderQty == maxOrderSize
    labelColor := color.red
else
    labelColor := isLastProfit ? color.lime : color.yellow

if longEntry and shortEntry
    if buySignall or sellSignall
        label.new( x=bar_index, y=high, text="Qty:"+str.tostring(math.min(orderQty, maxOrderQty))+" | Worst Case:"+str.tostring(failCounter) ,color = labelColor  )
else if longEntry
    if buySignall
        label.new( x=bar_index, y=high, text="Qty:"+str.tostring(math.min(orderQty, maxOrderQty))+" | Worst Case:"+str.tostring(failCounter) ,color = labelColor  )
else if shortEntry
    if sellSignall
        label.new( x=bar_index, y=high, text="Qty:"+str.tostring(math.min(orderQty, maxOrderQty))+" | Worst Case:"+str.tostring(failCounter) ,color = labelColor  )



//---------- execute the strategy -----------------
nz(orderQty, baseOrderQty)

if longEntry and shortEntry

    if long
        strategy.close_all( when = buySignall, comment = exitShortComment)
        strategy.entry("LONG", strategy.long, when = buySignall, qty=math.min(orderQty, maxOrderQty), comment = enterLongComment)
        stoppedOutLong := true
        stoppedOutShort := false
            
    else
        strategy.close_all(when=sellSignall, comment = exitLongComment)
        strategy.entry("SHORT", strategy.short, when = sellSignall, qty=math.min(orderQty, maxOrderQty), comment = enterShortComment)
        stoppedOutLong  := false
        stoppedOutShort := true

else if(longEntry)
    strategy.entry("LONG", strategy.long,  when = buySignall, qty=math.min(orderQty, maxOrderQty), comment = enterLongComment)
    strategy.close("LONG", when = sellSignall, comment = exitLongComment)
    if long 
        stoppedOutLong := true
        stoppedOutShort := false
    else
        stoppedOutLong  := false
        stoppedOutShort := true

else if(shortEntry)
    strategy.entry("SHORT", strategy.short, when = sellSignall, qty=math.min(orderQty, maxOrderQty), comment = enterShortComment)
    strategy.close("SHORT", when = buySignall, comment = exitShortComment)
    if not long
        stoppedOutShort := true
        stoppedOutLong  := false
    else
        stoppedOutShort := false
        stoppedOutLong := true



//--------- calculate the TP/SL entries -----------
longProfitPrice1  = strategy.position_avg_price * (1 + tp1 * 0.01)
longProfitPrice2  = strategy.position_avg_price * (1 + tp2 * 0.01)
longProfitPrice3  = strategy.position_avg_price * (1 + tp3 * 0.01)
        
shortProfitPrice1  = strategy.position_avg_price * (1 - tp1 * 0.01)
shortProfitPrice2  = strategy.position_avg_price * (1 - tp2 * 0.01)
shortProfitPrice3  = strategy.position_avg_price * (1 - tp3 * 0.01)

longStopPrice = strategy.position_avg_price * (1 - stopLoss * 0.01)
shortStopPrice = strategy.position_avg_price * (1 + stopLoss * 0.01)

shortSafeStopPrice2 = strategy.position_avg_price * (1 - 0.2 * 0.01)
longSafeStopPrice2 = strategy.position_avg_price * (1 + 0.2 * 0.01)

longSafeStopPrice1 = stopLine
shortSafeStopPrice1 = stopLine

//----------- calculate TP quantity values -----------
takeQty1 = math.min(orderQty, maxOrderQty) * qt1 / 100
takeQty2 = math.min(orderQty, maxOrderQty) * qt2 / 100
takeQty3 = math.min(orderQty, maxOrderQty) * qt3 / 100


//----------------- take profit and stop loss processes -----------------
if strategy.position_size > 0

    if close > longProfitPrice1 and tp1 > 0 and isTakeTP1 == false
        strategy.close(id="LONG", qty=takeQty1, comment = "longTP 1")
        isTakeTP1 := true
    
    if close > longProfitPrice2 and tp2 > 0 and isTakeTP2 == false
        strategy.close(id="LONG", qty=takeQty2, comment = "longTP 2")
        isTakeTP2 := true
    
    if close > longProfitPrice3 and tp3 > 0 and isTakeTP3 == false
        strategy.close(id="LONG", qty=takeQty3, comment = "longTP 3")
        isTakeTP3 := true
    
    if isTakeTP2 == true and useSafeStop2
        strategy.exit(id="LONG", stop=longSafeStopPrice2, comment = "Long Safe Stop2")
    if isTakeTP1 == true and useSafeStop1
        strategy.exit(id="LONG", stop=longSafeStopPrice1, comment = "Long Safe Stop1")
    
            
if strategy.position_size < 0

    if close < shortProfitPrice1 and tp1 > 0 and isTakeTP1 == false
        strategy.close(id="SHORT", qty=takeQty1, comment = "Short TP 1")
        isTakeTP1 := true
    
    if close < shortProfitPrice2 and tp2 > 0 and isTakeTP2 == false
        strategy.close(id="SHORT", qty=takeQty2, comment = "Short TP 2")
        isTakeTP2 := true
    
    if close < shortProfitPrice3 and tp3 > 0 and isTakeTP3 == false
        strategy.close(id="SHORT", qty=takeQty3, comment = "Short TP 3")
        isTakeTP3 := true
    
    if isTakeTP2 == true and useSafeStop2
        strategy.exit(id="SHORT", stop=shortSafeStopPrice2, comment = "Short Safe Stop2")    
    if isTakeTP1 == true and useSafeStop1
        strategy.exit(id="SHORT", stop=shortSafeStopPrice1, comment = "Short Safe Stop1")

if(initialStopLoss>0.0)
    if ( strategy.position_size > 0 )
        strategy.exit(id="LONG",  stop=longStopPrice, comment = "Long Stop Loss")

    else if ( strategy.position_size < 0 )
        strategy.exit(id="SHORT",  stop=shortStopPrice,  comment = "Short Stop Loss")
        
    
    
if buySignall or sellSignall
    
    isTakeTP1 := false
    isTakeTP2 := false  
    isTakeTP3 := false
    
    // winCounter := strategy.wintrades
    

//------------- plot charts ---------------------
lineColor1 = long ? color.green : color.red
lineColor2 = long ? color.aqua : color.fuchsia

kalmanPlot = plot(kf, color=lineColor1, linewidth=3, title = "Kalman Filter")
stopPlot = plot(stopLine, color=lineColor2, linewidth=2, title = "Stop Loss Line")

---

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