双指数平均线捕捉策略

/*backtest
start: 2023-12-05 00:00:00
end: 2023-12-06 22:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This close code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © AugustoErni

//@version=5
strategy('Bollinger Bands Modified (Stormer)', overlay=true)

bbL                   = input.int(20, title='BB Length/Comprimento da Banda de Bollinger', minval=1, step=1, tooltip='Calculate the length of bollinger bands./Calcula o comprimento das bandas de bollinger.')
mult                  = input.float(0.38, title='BB Standard Deviation/Desvio Padrão da Banda de Bollinger', minval=0.01, step=0.01, tooltip='Calculate the standard deviation of bollinger bands./Calcula o desvio padrão das bandas de bollinger.')
emaL                  = input.int(80, title='EMA Length/Comprimento da Média Móvel Exponencial', minval=1, step=1, tooltip='Calculate the length of EMA./Calcula o comprimento da EMA.')
highestHighL          = input.int(7, title='Highest High Length/Comprimento da Alta Maior', minval=1, step=1, tooltip='Fetches the highest high candle from length input. Use to set stop loss for short position./Obtém a vela de maior alta com base na medida fornecida. Usa para definir o stop loss para uma posição curta.')
lowestLowL            = input.int(7, title='Lowest Low Length/Comprimento da Baixa Menor', minval=1, step=1, tooltip='Fetches the lowest low candle from length input. Use to set stop loss for long position./Obter a vela de menor baixa com base na medida fornecida. Usa para definir o stop loss para uma posição longa.')
targetFactor          = input.float(1.6, title='Target Take Profit/Objetivo de Lucro Alvo', minval=0.1, step=0.1, tooltip='Calculate the take profit factor when entry position./Calcula o fator do alvo lucro ao entrar na posição.')
emaTrend              = input.bool(true, title='Check Trend EMA/Verificar Tendência da Média Móvel Exponencial', tooltip='Use EMA as trend verify for opening position./Usa a EMA como verificação de tendência para abrir posição.')
crossoverCheck        = input.bool(false, title='Add Another Crossover Check/Adicionar Mais uma Verificação de Cruzamento Superior', tooltip='This option is to add one more veryfication attempt to check if price is crossover upper bollinger band./Esta opção é para adicionar uma verificação adicional para avaliar se o preço cruza a banda superior da banda de bollinger.')
crossunderCheck       = input.bool(false, title='Add Another Crossunder Check/Adicionar Mais uma Verificação de Cruzamento Inferior', tooltip='This option is to add one more veryfication attempt to check if price is crossunder lower bollinger band./Esta opção é para adicionar uma verificação adicional para avaliar se o preço cruza a banda inferior da banda de bollinger.')
insideBarPatternCheck = input.bool(true, title='Show Inside Bar Pattern/Mostrar Padrão de Inside Bar', tooltip='This option is to show possible inside bar pattern./Esta opção é para mostrar um possível padrão de inside bar.')

[middle, upper, lower] = ta.bb(close, bbL, mult)
ema                    = ta.ema(close, emaL)
highestHigh            = ta.highest(high, highestHighL)
lowestLow              = ta.lowest(low, lowestLowL)
isCrossover            = ta.crossover(close, upper) ? 1 : 0
isCrossunder           = ta.crossunder(close, lower) ? 1 : 0

isPrevBarHighGreaterCurBarHigh = high[1] > high ? 1 : 0
isPrevBarLowLesserCurBarLow    = low[1] < low ? 1 : 0
isInsideBar                    = isPrevBarHighGreaterCurBarHigh and isPrevBarLowLesserCurBarLow ? 1 : 0

isBarLong  = ((close - open) > 0) ? 1 : 0
isBarShort = ((close - open) < 0) ? 1 : 0

isLongCross  = crossoverCheck ? ((isBarLong and not isBarShort) and (open < upper and close > upper)) ? 1 : 0 : isCrossover ? 1 : 0
isShortCross = crossunderCheck ? ((isBarShort and not isBarLong) and (close < lower and open > lower)) ? 1 : 0 : isCrossunder ? 1 : 0

isCandleAboveEma = close > ema ? 1 : 0
isCandleBelowEma = close < ema ? 1 : 0

isLongCondition  = emaTrend ? isLongCross and isCandleAboveEma ? 1 : 0 : isLongCross
isShortCondition = emaTrend ? isShortCross and isCandleBelowEma ? 1 : 0 : isShortCross

isPositionNone  = strategy.position_size == 0 ? 1 : 0
isPositionLong  = strategy.position_size > 0 ? 1 : 0
isPositionShort = strategy.position_size < 0 ? 1 : 0

var float enterLong     = 0.0
var float stopLossLong  = 0.0
var float targetLong    = 0.0
var float enterShort    = 0.0
var float stopLossShort = 0.0
var float targetShort   = 0.0
var bool isLongEntry    = false
var bool isShortEntry   = false

if (isPositionNone)
    isLongEntry   := false
    isShortEntry  := false
    enterLong     := 0.0
    stopLossLong  := 0.0
    targetLong    := 0.0
    enterShort    := 0.0
    stopLossShort := 0.0
    targetShort   := 0.0
if (isPositionShort or isPositionNone)
    isLongEntry  := false
    enterLong    := 0.0
    stopLossLong := 0.0
    targetLong   := 0.0
if (isPositionLong or isPositionNone)
    isShortEntry  := false
    enterShort    := 0.0
    stopLossShort := 0.0
    targetShort   := 0.0
if (isPositionLong and isLongEntry)
    isLongEntry   := true
    isShortEntry  := false
    enterShort    := 0.0
    stopLossShort := 0.0
    targetShort   := 0.0
if (isPositionShort and isShortEntry)
    isShortEntry := true
    isLongEntry  := false
    enterLong    := 0.0
    stopLossLong := 0.0
    targetLong   := 0.0

if (isLongCondition and not isLongEntry)
    isLongEntry  := true
    enterLong    := close
    stopLossLong := lowestLow
    targetLong   := (enterLong + (math.abs(enterLong - stopLossLong) * targetFactor))
    alertMessage = '{ "side/lado": "buy", "entry/entrada": ' + str.tostring(enterLong) + ', "stop": ' + str.tostring(stopLossLong) + ', "target/alvo": ' + str.tostring(targetLong) + ' }'
    alert(alertMessage)
    strategy.entry('Long', strategy.long)
    strategy.exit('Exit Long', 'Long', stop=stopLossLong, limit=targetLong)

if (isShortCondition and not isShortEntry)
    isShortEntry  := true
    enterShort    := close
    stopLossShort := highestHigh
    targetShort   := (enterShort - (math.abs(enterShort - stopLossShort) * targetFactor))
    alertMessage = '{ "side/lado": "sell", "entry/entrada": ' + str.tostring(enterShort) + ', "stop": ' + str.tostring(stopLossShort) + ', "target/alvo": ' + str.tostring(targetShort) + ' }'
    alert(alertMessage)
    strategy.entry('Short', strategy.short)
    strategy.exit('Exit Short', 'Short', stop=stopLossShort, limit=targetShort)

plot(upper, title='Upper Band', color=color.blue)
plot(middle, title='Middle Band', color=color.gray)
plot(lower, title='Lower Band', color=color.blue)
plot(ema, title='EMA', color=color.white)

barcolor(insideBarPatternCheck and isInsideBar and isBarLong ? color.lime : insideBarPatternCheck and isInsideBar and isBarShort ? color.maroon : na, title='Inside Bar Color in Long Bar Long and in Short Bar Short/Cor do Inside Bar em Barra Longa Longa e em Barra Curta Curta')

tablePosition    = position.bottom_right
tableColumns     = 2
tableRows        = 5
tableFrameWidth  = 1
tableBorderColor = color.gray
tableBorderWidth = 1

tableInfoTrade = table.new(position=tablePosition, columns=tableColumns, rows=tableRows, frame_width=tableFrameWidth, border_color=tableBorderColor, border_width=tableBorderWidth)

table.cell(table_id=tableInfoTrade, column=0, row=0)
table.cell(table_id=tableInfoTrade, column=1, row=0)

table.cell(table_id=tableInfoTrade, column=0, row=1, text='Entry Side/Lado da Entrada', text_color=color.white)
table.cell(table_id=tableInfoTrade, column=0, row=2, text=isLongEntry ? 'LONG' : isShortEntry ? 'SHORT' : 'NONE/NENHUM', text_color=color.yellow)

table.cell(table_id=tableInfoTrade, column=1, row=1, text='Entry Price/Preço da Entrada', text_color=color.white)
table.cell(table_id=tableInfoTrade, column=1, row=2, text=isLongEntry ? str.tostring(enterLong) : isShortEntry ? str.tostring(enterShort) : 'NONE/NENHUM', text_color=color.blue)

table.cell(table_id=tableInfoTrade, column=0, row=3, text='Take Profit Price/Preço Alvo Lucro', text_color=color.white)
table.cell(table_id=tableInfoTrade, column=0, row=4, text=isLongEntry ? str.tostring(targetLong) : isShortEntry ? str.tostring(targetShort) : 'NONE/NENHUM', text_color=color.green)

table.cell(table_id=tableInfoTrade, column=1, row=3, text='Stop Loss Price/Preço Stop Loss', text_color=color.white)
table.cell(table_id=tableInfoTrade, column=1, row=4, text=isLongEntry ? str.tostring(stopLossLong) : isShortEntry ? str.tostring(stopLossShort) : 'NONE/NENHUM', text_color=color.red)

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