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休眠范围反转策略

Author: ChaoZhang, Date: 2023-10-30 10:54:00
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---

/*backtest
start: 2023-09-29 00:00:00
end: 2023-10-29 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/
// © gsanson66


//This code is based on the Narrow Range strategy
//Interactive Broker fees are applied on this strategy
//@version=5
strategy("NARROW RANGE BACKTESTING", shorttitle="NR BACKTESTING", overlay=true, initial_capital=1000, default_qty_type=strategy.fixed, commission_type=strategy.commission.percent, commission_value=0.18)


//--------------------------------FUNCTIONS------------------------------------//

//@function to print label
debugLabel(txt, color) =>
    label.new(bar_index, high, text = txt, color=color, style = label.style_label_lower_right, textcolor = color.black, size = size.small)

//@function which looks if the close date of the current bar falls inside the date range
inBacktestPeriod(start, end) => (time >= start) and (time <= end)


//--------------------------------USER INPUTS------------------------------------//

//Narrow Range Length 
nrLength = input.int(4, minval=2, title="Narrow Range Length", group="Strategy parameters")
//Risk Management
stopLossInput = input.float(0.5, title="Stop Loss (in percentage of reference range)", group="Strategy parameters")
//Money Management
fixedRatio = input.int(defval=400, minval=1, title="Fixed Ratio Value ($)", group="Money Management")
increasingOrderAmount = input.int(defval=200, minval=1, title="Increasing Order Amount ($)", group="Money Management")
//Backtesting period
startDate = input(title="Start Date", defval=timestamp("1 Janv 2020 00:00:00"), group="Backtesting Period")
endDate = input(title="End Date", defval=timestamp("1 July 2024 00:00:00"), group="Backtesting Period")


//--------------------------------VARIABLES INITIALISATION--------------------------//
strategy.initial_capital = 50000
bool nr = na
var bool long = na
var bool short = na
var float stopPriceLong = na
var float stopLossLong = na
var float takeProfitLong = na
var float stopPriceShort = na
var float stopLossShort = na
var float takeProfitShort = na
var float takeProfit = na
var float stopLoss = na
bool inRange = na
int closedtrades = strategy.closedtrades
equity = math.abs(strategy.equity - strategy.openprofit)
var float capital_ref = strategy.initial_capital
var float cashOrder = strategy.initial_capital * 0.95


//------------------------------CHECKING SOME CONDITIONS ON EACH SCRIPT EXECUTION-------------------------------//

//Checking if the date belong to the range
inRange := true

//Checking performances of the strategy
if equity > capital_ref + fixedRatio
    spread = (equity - capital_ref)/fixedRatio
    nb_level = int(spread)
    increasingOrder = nb_level * increasingOrderAmount
    cashOrder := cashOrder + increasingOrder
    capital_ref := capital_ref + nb_level*fixedRatio
if equity < capital_ref - fixedRatio
    spread = (capital_ref - equity)/fixedRatio
    nb_level = int(spread)
    decreasingOrder = nb_level * increasingOrderAmount
    cashOrder := cashOrder - decreasingOrder
    capital_ref := capital_ref - nb_level*fixedRatio

//We check if a trade has been closed to cancel all previous orders
if closedtrades > closedtrades[1]
    strategy.cancel("Long")
    strategy.cancel("Short")
    stopPriceLong := na
    stopPriceShort := na

//Checking if we close all trades in case where we exit the backtesting period
if strategy.position_size!=0 and not inRange
    debugLabel("END OF BACKTESTING PERIOD : we close the trade", color=color.rgb(116, 116, 116))
    strategy.close_all()
    long := na
    short := na
    stopPriceLong := na
    stopLossLong := na
    takeProfitLong := na
    stopPriceShort := na
    stopLossShort := na
    takeProfitShort := na
    takeProfit := na
    stopLoss := na

//----------------------------------FINDING NARROW RANGE DAY------------------------------------------//

// We find the Narrow Range Day
if low > low[nrLength] and high < high[nrLength]
    nr := true 


//------------------------------------STOP ORDERS--------------------------------------------//

// We handle plotting of stop orders and cancellation of other side order if one order is triggered
if strategy.position_size > 0 and not na(stopPriceLong) and not na(stopPriceShort)
    long := true
    strategy.cancel("Short")
    stopPriceLong := na
    stopPriceShort := na
    takeProfit := takeProfitLong
    stopLoss := stopLossLong
if strategy.position_size < 0 and not na(stopPriceLong) and not na(stopPriceShort)
    short := true
    strategy.cancel("Long") 
    stopPriceLong := na
    stopPriceShort := na
    takeProfit := takeProfitShort
    stopLoss := stopLossShort


//------------------------------------STOP LOSS & TAKE PROFIT--------------------------------//

// If an order is triggered we plot TP and SL
if not na(takeProfit) and not na(stopLoss) and long
    if high >= takeProfit and closedtrades == closedtrades[1] + 1
        takeProfit := na
        stopLoss := na
        long := na
    if low <= stopLoss and closedtrades == closedtrades[1] + 1
        takeProfit := na
        stopLoss := na
        long := na
if not na(takeProfit) and not na(stopLoss) and short
    if high >= stopLoss and closedtrades == closedtrades[1] + 1
        takeProfit := na
        stopLoss := na
        short := na
    if low <= takeProfit and closedtrades == closedtrades[1] + 1
        takeProfit := na
        stopLoss := na
        short := na


//-----------------------------LONG/SHORT CONDITION-------------------------//

// Conditions to create two stop orders (one for Long and one for Short) and SL & TP calculation
if nr and inRange and strategy.position_size == 0
    stopPriceLong := high[4]
    takeProfitLong := high[4] + (high[4] - low[4])
    stopLossLong := high[4] - (high[4] - low[4])*stopLossInput
    qtyLong = cashOrder/stopPriceLong
    strategy.entry("Long", strategy.long, qtyLong, stop=stopPriceLong)
    strategy.exit("Exit Long", "Long", limit=takeProfitLong ,stop=stopLossLong)
    stopPriceShort := low[4]
    takeProfitShort := low[4] - (high[4] - low[4])
    stopLossShort := low[4] + (high[4] - low[4])*stopLossInput
    qtyShort = cashOrder/stopPriceShort
    strategy.entry("Short", strategy.short, qtyShort, stop=stopPriceShort)
    strategy.exit("Exit Short", "Short", limit=takeProfitShort ,stop=stopLossShort)


//--------------------------PLOTTING ELEMENT----------------------------//

plotshape(nr, "NR", shape.arrowdown, location.abovebar, color.rgb(255, 132, 0), text= "NR4", size=size.huge)
plot(stopPriceLong, "Stop Order", color.blue, 3, plot.style_linebr)
plot(stopPriceShort, "Stop Order", color.blue, 3, plot.style_linebr)
plot(takeProfit, "Take Profit", color.green, 3, plot.style_linebr)
plot(stopLoss, "Stop Loss", color.red, 3, plot.style_linebr)

---

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