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Chiến lược PB SAR Backtest với Elastic Stop Loss

Tác giả:ChaoZhang, Ngày: 2023-10-11 15:22:26
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/*backtest
start: 2023-09-10 00:00:00
end: 2023-10-10 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("PB SAR BackTest - Colorbar", overlay=false)

// Full credit to Sawcruhteez, Lucid Investment Strategies LLC, Casey Bowman and Peter Brandt.
// This is a strategy version of the Peterbolic SAR indicator created by the above-mentioned parties.
// Original version of the indicator: https://www.tradingview.com/script/6nYrH3Vm-Peterbolic-SAR/

// SAR #1
// Lucid Sar
// Branded under the name "Lucid SAR"
// as agreed to with Lucid Investment Strategies LLC on July 9, 2019
// https://lucidinvestmentstrategies.com/
// see branch "lucid"

// SAR #2
// Peterbolic Sar
// Using the name "Peterbolic SAR"
// as agreed to by Peter Brandt on October 2, 2019
// - https://twitter.com/PeterLBrandt/status/1179365590668075008
// in response to request from Sawcruhteez
// - https://twitter.com/Sawcruhteez/status/1179213105705836544
// Sawcruhteez gives credit to @CrazyGabey for coming up with the name
// - https://twitter.com/Sawcruhteez/status/1179213196583940097
// see branch "peterbolic"

// SAR #3
// Sawcruhteez Sar
// Branded under the name "Sawcruhteez SAR"
// as agreed to with Sawcruhteez on September 11, 2019
// see branch "sawcruhteez"

// Open Source on github
// https://github.com/casey-bowman/sar/blob/peterbolic/peterbolic.pine

// Created by Casey Bowman on July 4, 2019

// MIT License

// Copyright (c) 2019 Casey Bowman

// Permission is hereby granted, free of charge, to any person obtaining a copy
// of this software and associated documentation files (the "Software"), to deal
// in the Software without restriction, including without limitation the rights
// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
// copies of the Software, and to permit persons to whom the Software is
// furnished to do so, subject to the following conditions:

// The above copyright notice and this permission notice shall be included in all
// copies or substantial portions of the Software.

// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
// SOFTWARE.



TSR() =>

    // start with uptrend
    var uptrend = true
    var EP = high       // extreme price - high or low depending on trend
    var SP = low        // setup price
    var TP = float(na)  // trigger price


    var setup   = low
    var trigger = float(na)

    if barstate.isnew
        setup := low
        trigger = float(na)

    extreme_candle = false
    first_extreme_candle = false
    setup_candle = false
    trigger_candle = false

    waiting_for_setup = false
    waiting_for_trigger = false

    var since_extreme = 0
    var since_setup = 0

    waiting_for_setup   := not extreme_candle and not na(SP)
    waiting_for_trigger := not na(TP)

    if not barstate.isfirst
        if barstate.isnew and extreme_candle[1]
            trigger := float(na)
        if barstate.isnew and setup_candle[1]
            setup := float(na)
        if barstate.isnew and waiting_for_trigger
            since_setup := since_setup + 1
            trigger := TP
        if barstate.isnew and waiting_for_setup
            since_extreme := since_extreme + 1
            setup := SP
        if uptrend

            if extreme_candle
                EP := high
                SP := low
            else
                if high > EP
                    extreme_candle := true
                    EP := high
                    SP := low
                    since_extreme := 0
                    since_setup   := 0
                else
                    if waiting_for_setup
                        if barstate.isconfirmed
                            if close < SP
                                setup_candle := true
                                SP := float(na)
                                TP := low
            if waiting_for_trigger
                if low < TP
                    trigger_candle := true
                    extreme_candle := true
                    EP := low
                    SP := high
                    TP := float(na)
                    uptrend := false
                    since_extreme := 0
                    since_setup := 0
                else
                    if barstate.isconfirmed and extreme_candle
                        TP := float(na)
                        trigger := float(na)

        else
            if extreme_candle
                EP := low
                SP := high
            else
                if low <  EP
                    extreme_candle := true
                    EP := low
                    SP := high
                    since_extreme := 0
                    since_setup   := 0
                else
                    if waiting_for_setup
                        if barstate.isconfirmed
                            if close > SP
                                setup_candle := true
                                SP := float(na)
                                TP := high
            if waiting_for_trigger
                if high > TP
                    trigger_candle := true
                    extreme_candle := true
                    EP := high
                    SP := low
                    TP := float(na)
                    uptrend := true
                    since_extreme := 0
                    since_setup := 0
                else
                    if barstate.isconfirmed and extreme_candle
                        TP := float(na)
                        trigger := float(na)


    [trigger_candle, trigger, since_setup, setup_candle, setup, since_extreme, extreme_candle, uptrend]


[TC, T, SS, SC, S, SE, EC, up] = TSR()

// Make input options that configure backtest date range
StartMonth = input(title="Start Month", type=input.integer,
     defval=1, minval=1, maxval=12)
StartDate = input(title="Start Date", type=input.integer,
     defval=1, minval=1, maxval=31)
StartYear = input(title="Start Year", type=input.integer,
     defval=(2019), minval=1800, maxval=2100)

EndMonth = input(title="End Month", type=input.integer,
     defval=1, minval=1, maxval=12)
EndDate = input(title="End Date", type=input.integer,
     defval=1, minval=1, maxval=31)
EndYear = input(title="End Year", type=input.integer,
     defval=(2020), minval=1800, maxval=2100)
     
// Look if the close time of the current bar falls inside the date range
inDateRange = true

buytrigger = (TC and up)
selltrigger = (TC and not up)
buysetup = (SC and not up)
sellsetup = (SC and up)

IntBuy = buytrigger ? 1 : 0
IntSB = buysetup ? 0.5 : 0

IntSell= selltrigger ? -1 : 0
IntSS = sellsetup ? -0.5 : 0

bgcolor = buytrigger ? color.green : selltrigger ? color.red : buysetup ? color.yellow : sellsetup ? color.orange : color.black
trans = buytrigger ? 20 : selltrigger ? 20 : 100

bgcolor(bgcolor, 30)

NUM = IntBuy + IntSB + IntSell + IntSS
linecolor = color.orange
plot(NUM, color=linecolor, linewidth=2)

alertcondition(NUM > 0.5, title="Buy Signal", message="Buy Alert")
alertcondition(NUM < -0.5, title="Sell Signal", message="Sell Alert")

alertcondition(NUM == 0.5, title="Buy Setup", message="Buy Setup")
alertcondition(NUM == -0.5, title="Sell Setup", message="Sell Setup")

//Switch on for strategy moves

if(inDateRange and buytrigger)
    strategy.exit("SHORT", "SHORT_SL", comment="Short_Exit")
    strategy.entry("LONG", strategy.long, comment="")
if(inDateRange and selltrigger)
    strategy.exit("LONG", "LONG_SL", comment="Long_Exit")
    strategy.entry("SHORT", strategy.short, comment="")
if (not inDateRange)
    strategy.close_all()

// plotshape(SC and not up, color = color.yellow, style = shape.triangleup, location = location.belowbar, size = size.auto, transp = 0, title = "Setup to Buy")
// plotshape(TC and up, color = color.green, style = shape.triangleup, location = location.belowbar, size = size.auto, title = "Trigger to Buy")
// plotshape(SC and up, color = color.yellow, style = shape.triangledown, location = location.abovebar, size = size.auto, transp = 0, title = "Setup to Sell")
// plotshape(TC and not up, color = color.red, style = shape.triangledown, location = location.abovebar, size = size.auto, title = "Trigger to Sell")

---

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