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技术指标策略, 风险管理策略, 自适应趋势跟踪策略

Author: ChaoZhang, Date: 2024-07-29 17:25:26
Tags: EMASDI

---

---

/*backtest
start: 2024-06-01 00:00:00
end: 2024-06-30 23:59:59
period: 1h
basePeriod: 15m
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/
// © erdas0

//@version=5
strategy("Strategy SEMA SDI Webhook", overlay=true, slippage = 1, commission_value = 0.035, default_qty_type=strategy.percent_of_equity, default_qty_value=50, initial_capital = 1000, calc_on_order_fills = true, process_orders_on_close = true)
// Start and end dates
dts=input(false,"",inline="dts")
dte=input(false,"",inline="dte")
start_date = input(timestamp("2023-01-01 00:00:00"), "Start Date",inline="dts") 
end_date = input(timestamp("2124-01-01"), "End Date",inline="dte") 
times = true
// Initial capital
leverage= input.int(10, "Leverage", minval=1,inline="qty") //Leverage Test
usdprcnt= input.int(50, "%", minval=1,inline="qty")
qty= input(false,"Inital USDT ◨",inline="qty")
initial_capital = qty ? (strategy.initial_capital+strategy.netprofit)/close*leverage*usdprcnt/100 : na
//Level Inputs
tpon=input(false,"TP ◨",group ="Take Profit/Stop Loss", inline="1")
sloc=input(true,"SL ◨",group ="Take Profit/Stop Loss", inline="1")
tron=input(true,"Trailing ◨",group ="Take Profit/Stop Loss", inline="1")

tp = tpon ? input.float(25, "Take Profit %", minval=0.1,step=0.1,group ="Take Profit/Stop Loss", inline="2") : na
sl = sloc ? input.float(4.8, "Stop Loss %", minval=0.1,step=0.1,group ="Take Profit/Stop Loss", inline="2") : na
tr = tron ? input.float(1.9, "Trailing Stop ", minval=0.1,step=0.1,group ="Take Profit/Stop Loss", inline="4") : na

// Take profit and stop loss levels
dir=strategy.position_size/math.abs(strategy.position_size) //Directions
newtrade=strategy.closedtrades>strategy.closedtrades[1]
pftpcnt=dir<0 ? (strategy.position_avg_price-low)/strategy.position_avg_price*100 : dir>0 ? (high-strategy.position_avg_price)/strategy.position_avg_price*100 : na //max profit

pftpr= (1 + pftpcnt*dir/100) * strategy.position_avg_price //Trailing Price
take_profit = (1 + tp*dir/100) * strategy.position_avg_price
stop_loss = (1 - sl*dir/100) * strategy.position_avg_price

var float maxpft=na //max profit percent
maxpft := newtrade ? 0 : strategy.openprofit > 0 ?  math.max(pftpcnt,maxpft) : maxpft
var float Tr=na //Trailing
Tr := newtrade ? na : pftpcnt >= tr and maxpft-pftpcnt >= tr ?  close : Tr

//Inputs
ocema=input(true, title='EMA ◨',group="Inputs",inline="2")
ocsd=input(true, title='SDI ◨',group="Inputs",inline="2")
ocsm=input(true, title='Smooth ◨',group="Inputs",inline="2")
lenf = input.int(58, "Fast Ema", minval=1,group ="Inputs", inline="3")
lens = input.int(70, "Slow Ema", minval=1,group ="Inputs", inline="3")
slen = input.int(3, "Smooth", minval=1,group ="Inputs", inline="4")
dilen = input.int(1, title="DI Length", minval=1,group ="SDI", inline="5")
sdi = input.int(6, title="DI Smooth", minval=1,group ="SDI", inline="5")

//EMA
emaf=ta.ema(close,lenf)
emas=ta.ema(close,lens)
semaf=ta.ema(emaf,slen)
semas=ta.ema(emas,slen)
//SDI
dirmov(len,smt) =>
	up = ta.change(high)
	down = -ta.change(low)
	plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
	minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
	truerange = ta.rma(ta.tr, len)
	plus = ta.ema(fixnan(100 * ta.rma(plusDM, len) / truerange),smt)
	minus = ta.ema(fixnan(100 * ta.rma(minusDM, len) / truerange),smt)
	[plus, minus]
[plus,minus]=dirmov(dilen,sdi)
pm=ta.ema(plus-minus,10) 
sdcl= plus>minus ? color.new(color.green,80) :plus<minus ? color.new(color.red,80) : na
cpm= pm>pm[1] ? color.lime : pm<pm[1] ? color.red : color.yellow
barcolor(cpm,title="PM Color")

//Plot
plot(ocsm ? semaf:emaf,"Fast Ema",color=color.green)
plot(ocsm ? semas:semas,"Slow Ema",color=color.red)
// Conditions
Long = (ocsd ? plus>minus:true) and (ocema ? (ocsm ? semaf:emaf)>(ocsm ? semas:emas):true)
Short = (ocsd ? plus<minus:true) and (ocema ? (ocsm ? semaf:emaf)<(ocsm ? semas:emas):true)

// Strategy conditions
if Long and times
    strategy.close("Short","Close S")
    strategy.entry("Long", strategy.long, comment="L",qty = initial_capital)
if strategy.position_size>0
    strategy.exit("Long LTP", "Long", limit=take_profit, stop=stop_loss, comment="LSL",comment_profit = "LTP")
if Tr and strategy.position_size>0
    strategy.exit("Long LTP", "Long", limit=take_profit, stop=pftpr, comment="Tr",comment_profit = "LTP")

if Short and times
    strategy.close("Long","Close L")
    strategy.entry("Short", strategy.short, comment="S",qty = initial_capital)
if strategy.position_size<0
    strategy.exit("Short STP", "Short", limit=take_profit, stop=stop_loss, comment="SSL",comment_profit ="STP" )
if Tr and strategy.position_size<0
    strategy.exit("Short STP", "Short", limit=take_profit, stop=pftpr, comment="Tr",comment_profit = "STP")

if not times
    strategy.close_all()

---

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