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动态趋势追踪策略

Author: ChaoZhang, Date: 2024-03-29 11:38:18
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---

---

/*backtest
start: 2024-02-27 00:00:00
end: 2024-03-28 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Big Runner", shorttitle="Sprinter", overlay=true,
         initial_capital=100000, 
         default_qty_type=strategy.percent_of_equity, 
         default_qty_value=100)

// Leverage Input
leverage = input.float(1, title="Leverage", minval=1, step=0.1)

// Moving Average Settings
fastLength = input(5, title="Fast Length")
slowLength = input(20, title="Slow Length")

fastMA = ta.sma(close, fastLength)
slowMA = ta.sma(close, slowLength)

// Trend Ribbon Settings
ribbonColor = input(true, title="Show Trend Ribbon")
ribbonLength = input(20, title="Ribbon Length")
ribbonColorUp = color.new(color.blue, 80)
ribbonColorDown = color.new(color.red, 80)

ribbonUp = ta.crossover(close, ta.sma(close, ribbonLength))
ribbonDown = ta.crossunder(close, ta.sma(close, ribbonLength))

// Buy and Sell Signals
buySignal = ta.crossover(close, fastMA) and ta.crossover(fastMA, slowMA)
sellSignal = ta.crossunder(close, fastMA) and ta.crossunder(fastMA, slowMA)

// Input for SL/TP percentages and toggle
use_sl_tp = input(true, title="Use Stop Loss/Take Profit")
take_profit_long_percent = input(4.0, title="Take Profit Long (%)") / 100
take_profit_short_percent = input(7.0, title="Take Profit Short (%)") / 100
stop_loss_long_percent = input(2.0, title="Stop Loss Long (%)") / 100
stop_loss_short_percent = input(2.0, title="Stop Loss Short (%)") / 100

// Calculate SL and TP levels
calculate_sl_tp(entryPrice, isLong) =>
    stopLoss = isLong ? entryPrice * (1 - stop_loss_long_percent) : entryPrice * (1 + stop_loss_short_percent)
    takeProfit = isLong ? entryPrice * (1 + take_profit_long_percent) : entryPrice * (1 - take_profit_short_percent)
    [stopLoss, takeProfit]

// Plotting Moving Averages
plot(fastMA, color=color.blue, title="Fast MA")
plot(slowMA, color=color.red, title="Slow MA")

// Plotting Trend Ribbon
bgcolor(ribbonColor ? ribbonUp ? ribbonColorUp : ribbonDown ? ribbonColorDown : na : na)

// Calculate position size based on the percentage of the portfolio and leverage
percentOfPortfolio = input.float(10, title="Percent of Portfolio")
positionSizePercent = percentOfPortfolio / 100 * leverage
positionSize = strategy.equity * positionSizePercent / close

// Strategy Execution with Leverage
var float stopLossLong = na
var float takeProfitLong = na
var float stopLossShort = na
var float takeProfitShort = na

if (buySignal)
    entryPrice = close
    [stopLossLong, takeProfitLong] = calculate_sl_tp(entryPrice, true)
    strategy.entry("Buy", strategy.long, qty=positionSize)
    if use_sl_tp
        strategy.exit("Take Profit Long", "Buy", limit=takeProfitLong)
        strategy.exit("Stop Loss Long", "Buy", stop=stopLossLong)

if (sellSignal)
    entryPrice = close
    [stopLossShort, takeProfitShort] = calculate_sl_tp(entryPrice, false)
    strategy.entry("Sell", strategy.short, qty=positionSize)
    if use_sl_tp
        strategy.exit("Take Profit Short", "Sell", limit=takeProfitShort)
        strategy.exit("Stop Loss Short", "Sell", stop=stopLossShort)

strategy.close("Buy", when = sellSignal)
strategy.close("Sell", when = buySignal)

// Manual Input Fields for API Parameters
var string api_enter_long = input("", title="API Enter Long Parameters")
var string api_exit_long = input("", title="API Exit Long Parameters")
var string api_enter_short = input("", title="API Enter Short Parameters")
var string api_exit_short = input("", title="API Exit Short Parameters")

---

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