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SMA交叉多空策略结合峰值回撤控制与自动终止

Author: ChaoZhang, Date: 2024-07-29 14:16:58
Tags: SMA

---

---

/*backtest
start: 2023-07-23 00:00:00
end: 2024-07-28 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/

capital = 10000

//@version=5
strategy(title = "Correct Strategy Peak-Drawdown Cycles [Tradingwhale]", shorttitle = "Peak-Draw [Tradingwhale]", initial_capital = capital, overlay=true, margin_long=100, margin_short=100)

// The code below is from Tradingwhale LLC
/// ==============================================================================
//  Peak-Trough Cycles with Date and Prev. RunUp
// Initialize variables
showTable = input.bool(true, title = "Plot Peak to Bottom Drawdown Cycles table?")
min_trough = input.float(3.0, title = "Define Minimum Drawdown/Trough to Display (%)", minval = 1, maxval = 100, step = 0.5, tooltip = "Peaks and Trough Cycles have to be roped in by either a lookback period or minmimum troughs to show. If you don't then every bar could be a peak or trough/bottom. I've decided to use minimum declines here because lookback seems more arbitrary.")
maxdraw = input.float(40.0, title = "Max Drawdown", minval = 1, maxval = 100, step = 0.5, tooltip = "Define the drawdown level where the srtategy stops executing trades.")

var float equityPeak = na
var float equityTrough = na
var int cycleCount = 0
var bool inDrawdown = false
var float initialCapital = capital
var float prevTrough = initialCapital
var float prevRunUp = na
var bool useLighterGray = true
var int lastYear = na

// Variable to indicate whether the strategy should end
var bool end_strategy = false

// Table to display data
var table resultTable = table.new(position.top_right, 5, 30, bgcolor=#ffffff00, frame_color=#4f4040, frame_width=1)

// Function to convert float to percentage string
f_to_percent(value) =>
    str.tostring(value, "#.##") + "%"

// Function to get month/year string without commas
get_month_year_string() =>
    str.tostring(year) + "/" + str.tostring(month)

// Update the table headers
if (bar_index == 0 and showTable)
    table.cell(resultTable, 0, 0, "Show Min Trough: " + f_to_percent(min_trough), bgcolor=#a8a8a88f, text_size=size.normal)
    table.cell(resultTable, 1, 0, "Cycle Count", bgcolor=#a8a8a88f, text_size=size.normal)
    table.cell(resultTable, 2, 0, "Prev.RunUp(%)", bgcolor=#a8a8a88f, text_size=size.normal)
    table.cell(resultTable, 3, 0, "Drawdown(%)", bgcolor=#a8a8a88f, text_size=size.normal)
    table.cell(resultTable, 4, 0, "Year/Month", bgcolor=#a8a8a88f, text_size=size.normal)

// Track peaks and troughs in equity
if (na(equityPeak) or strategy.equity > equityPeak)
    if (inDrawdown and strategy.equity > equityPeak and not na(equityTrough)) // Confirm end of drawdown cycle
        drawdownPercentage = (equityPeak - equityTrough) / equityPeak * 100
        if drawdownPercentage > min_trough
            cycleCount += 1
            prevRunUp := (equityPeak - prevTrough) / prevTrough * 100
            if cycleCount <= 20 and showTable
                currentYear = year
                if na(lastYear) or currentYear != lastYear
                    useLighterGray := not useLighterGray
                    lastYear := currentYear
                rowColor = useLighterGray ? color.new(color.gray, 80) : color.new(color.gray, 50)
                table.cell(resultTable, 1, cycleCount, str.tostring(cycleCount), bgcolor=rowColor, text_size=size.normal)
                table.cell(resultTable, 2, cycleCount, f_to_percent(prevRunUp), bgcolor=rowColor, text_size=size.normal)
                table.cell(resultTable, 3, cycleCount, f_to_percent(drawdownPercentage), bgcolor=rowColor, text_size=size.normal)
                table.cell(resultTable, 4, cycleCount, get_month_year_string(), bgcolor=rowColor, text_size=size.normal)
            prevTrough := equityTrough
    equityPeak := strategy.equity
    equityTrough := na
    inDrawdown := false
else if (strategy.equity < equityPeak)
    equityTrough := na(equityTrough) ? strategy.equity : math.min(equityTrough, strategy.equity)
    inDrawdown := true

// Calculate if the strategy should end
if not na(equityPeak) and not na(equityTrough)
    drawdownPercentage = (equityPeak - equityTrough) / equityPeak * 100
    if drawdownPercentage >= maxdraw
        end_strategy := true


// This code below is from Tradingview, but with additions where commented (see below)

longCondition = ta.crossover(ta.sma(close, 14), ta.sma(close, 28))
if (longCondition) and not end_strategy // Add 'and not end_strategy' to your order conditions to automatically end the strategy if max_draw is exceeded/
    strategy.entry("My Long Entry Id", strategy.long)

shortCondition = ta.crossunder(ta.sma(close, 14), ta.sma(close, 28))
if (shortCondition) and not end_strategy // Add 'and not end_strategy' to your order conditions to automatically end the strategy if max_draw is exceeded/
    strategy.entry("My Short Entry Id", strategy.short)

---

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---

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