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发表于 2022-7-30 18:09:35
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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © PtGambler
//@version=5
strategy("[Pt] Premarket Breakout Strategy", shorttitle="PM Break Strategy", overlay=true, pyramiding=1, initial_capital=4000, commission_type=strategy.commission.cash_per_contract, slippage = 3)
// ******************** Trade Period **************************************
startY = input(title='Start Year', defval=2011, group = "Trading window")
startM = input.int(title='Start Month', defval=1, minval=1, maxval=12, group = "Trading window")
startD = input.int(title='Start Day', defval=1, minval=1, maxval=31, group = "Trading window")
finishY = input(title='Finish Year', defval=2050, group = "Trading window")
finishM = input.int(title='Finish Month', defval=12, minval=1, maxval=12, group = "Trading window")
finishD = input.int(title='Finish Day', defval=31, minval=1, maxval=31, group = "Trading window")
timestart = timestamp(startY, startM, startD, 00, 00)
timefinish = timestamp(finishY, finishM, finishD, 23, 59)
t1_session = input.session("0945-1545", "Entry Session", group="Sessions")
t1 = time(timeframe.period, t1_session)
window = time >= timestart and time <= timefinish and t1 ? true : false
margin_req = input.float(11, title="Margin Requirement / Leverage", step=0.1, group = "Trading Options")
reinvest = input.bool(defval=false,title="Reinvest profit", group = "Trading Options")
reinvest_percent = input.float(defval=100, title = "Reinvest percentage", group="Trading Options")
//-------------------------------------------------------------------------------------
profit = strategy.netprofit
trade_amount = math.floor(strategy.initial_capital*margin_req / close)
BSLE() =>
strategy.opentrades > 0 ? (bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades-1)) : na
BSLEx() =>
strategy.opentrades == 0 ? (bar_index - strategy.closedtrades.exit_bar_index(strategy.closedtrades-1)) : na
if strategy.netprofit > 0 and reinvest
trade_amount := math.floor((strategy.initial_capital+(profit*reinvest_percent*0.01))*margin_req/ close)
else
trade_amount := math.floor(strategy.initial_capital*margin_req / close)
// ***************************************************************************************************** Daily ATR *****************************************************
atrlen = input.int(14, minval=1, title="ATR period", group = "Daily ATR")
iPercent = input.float(1.6, minval=0.01, maxval=100, step=0.2, title="% ATR to use for SL / PT", group = "Daily ATR")
percentage = iPercent * 0.01
datr = request.security(syminfo.tickerid, "1D", ta.rma(ta.tr, atrlen))
datrp = datr * percentage
atr = ta.rma(ta.tr, atrlen)
// --------------------------------------------- Pre-market Session HL ------------------------------------====
pm_session = input.session("0900-0930", "Pre-Market Session", group="Sessions")
pm_t = time(timeframe.period, pm_session)
var pm_h = 0.0
var pm_l = 9999.9
if pm_t
pm_h := high > pm_h ? high : pm_h
pm_l := low < pm_l ? low : pm_l
pm_range = pm_h - pm_l
bgcolor(pm_t?color.new(color.white,95):na)
// ------------------------------------------------ Stochastic RSI --------------------------------------------------------
string TT_stochLen = "For 1 min time frame, use default 14." + "\nFor 5 min time frame, use 3."
smoothK = input.int(3, "K", minval=1, group = "Stochastic RSI")
smoothD = input.int(3, "D", minval=1, group = "Stochastic RSI")
lengthRSI = input.int(14, "RSI Length", minval=1, group = "Stochastic RSI", tooltip = TT_stochLen)
lengthStoch = input.int(14, "Stochastic Length", minval=1, group = "Stochastic RSI", tooltip = TT_stochLen)
src = input(close, title="RSI Source")
rsi1 = ta.rsi(src, lengthRSI)
k = ta.sma(ta.stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = ta.sma(k, smoothD)
// -------------------------------------------------------- RSI MA Cross -----------------------------------------------------
ma(source, length, type) =>
switch type
"SMA" => ta.sma(source, length)
"Bollinger Bands" => ta.sma(source, length)
"EMA" => ta.ema(source, length)
"SMMA (RMA)" => ta.rma(source, length)
"WMA" => ta.wma(source, length)
"VWMA" => ta.vwma(source, length)
len = input.int(14, minval=1, title="RSI Length", group="RSI Settings")
len2 = input.int(3, title="Smooth period", group="RSI Settings")
maType = input.string("SMA", title="MA Type", options=["SMA", "Bollinger Bands", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group="RSI Settings")
malen = input.int(100, title="MA Length", group="RSI Settings")
up = ta.rma(math.max(ta.change(src), 0), len)
down = ta.rma(-math.min(ta.change(src), 0), len)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
rsiSM = ta.sma(rsi,len2)
rsiMA = ma(rsi, malen, maType)
rsi_bull = rsiSM > rsiMA and rsi > 50 and rsi > rsiSM
rsi_bear = rsiSM < rsiMA and rsi < 50 and rsi < rsiSM
// --------------------------------------------- Define Trend - PM HL breakout -------------------------------------------------------------------
var trend = 0
// reset trend at PM
if pm_t
trend := 0
else
trend := trend == 0 ? (close > pm_h ? 1 : close < pm_l ? -1 : 0) : trend
plot(trend,"Trade direction")
//---------------------------------------------------------------------------------------------------------------
stoch_h_limit = input.int(82, "Stochastic K must be above before entry", group="Entry parameters")
stoch_l_limit = input.int(18, "Stochastic K must be above before entry", group="Entry parameters")
plot(time(timeframe.period, "0930-1600:23456") or pm_t? pm_h : high, title="PM High", color= time(timeframe.period, "0930-1600:23456") or pm_t? color.blue : color.new(color.black,100), linewidth=2, trackprice = true)
plot(time(timeframe.period, "0930-1600:23456") or pm_t? pm_l : low, title="PM Low", color= time(timeframe.period, "0930-1600:23456") or pm_t? color.orange : color.new(color.black,100), linewidth=2, trackprice = true)
// ------------------------------------------------------------ Entry --------------------------------------------
var traded = false
L_entry1 = trend == 1 and traded == false and d[1] < stoch_l_limit and ta.crossover(k,d)
S_entry1 = trend == -1 and traded == false and d[1] > stoch_h_limit and ta.crossunder(k,d)
if L_entry1 and window
strategy.entry("Long", strategy.long,trade_amount)
traded := true
if S_entry1 and window
strategy.entry("Short", strategy.short,trade_amount)
traded := true
// ------------------------------------------------------------- SL & PT -------------------------------------------
RRR = input.float(2.0, "Reward to Risk Ratio", step=0.1, group="Trading Options")
entry_price = strategy.opentrades.entry_price(0)
L_SL = entry_price > pm_h ? pm_l - datrp : entry_price - pm_range - datrp
S_SL = entry_price < pm_l ? pm_h + datrp : entry_price + pm_range + datrp
L_risk = entry_price - L_SL
S_risk = S_SL - entry_price
L_PT = entry_price + L_risk * RRR
S_PT = entry_price - S_risk * RRR
p0 = plot(strategy.opentrades.size(0) == 0 ? close : entry_price, "Entry Price", color= strategy.opentrades.size(0) == 0 ? na : color.gray, linewidth=1)
p1 = plot(strategy.opentrades.size(0) > 0? L_SL : low, "Long SL", color= (t1 or pm_t) and strategy.opentrades.size(0) > 0 and BSLE() > 0? color.red : color.new(color.black,100), linewidth=3)
p2 = plot(strategy.opentrades.size(0) > 0? L_PT : high, "Long PT", color= (t1 or pm_t) and strategy.opentrades.size(0) > 0 and BSLE() > 0? color.green : color.new(color.black,100), linewidth=3)
p3 = plot(strategy.opentrades.size(0) < 0? S_SL : high, "Long SL", color= (t1 or pm_t) and strategy.opentrades.size(0) < 0 and BSLE() > 0? color.red : color.new(color.black,100), linewidth=3)
p4 = plot(strategy.opentrades.size(0) < 0? S_PT : low, "Long PT", color= (t1 or pm_t) and strategy.opentrades.size(0) < 0 and BSLE() > 0? color.green : color.new(color.black,100), linewidth=3)
fill(p1, p0, color.new(color.red,95))
fill(p2, p0, color.new(color.green,95))
fill(p3, p0, color.new(color.red,95))
fill(p4, p0, color.new(color.green,95))
// ------------------------------------------ Exit ----------------------------------------------------------
L_exit1 = d > 80 and strategy.opentrades.profit(0) <=0 and rsi_bear
S_exit1 = d < 20 and strategy.opentrades.profit(0) <=0 and rsi_bull
if strategy.opentrades.size(0) > 0
strategy.exit("Exit", "Long", limit=L_PT, stop=L_SL)
if L_exit1
strategy.close("Long", comment="Exit Early")
if strategy.opentrades.size(0) < 0
strategy.exit("Exit", "Short", limit=S_PT, stop=S_SL)
if S_exit1
strategy.close("Short", comment="Exit Early")
if time(timeframe.period, "1555-1600:23456") or time(timeframe.period, "0755-0800:23456")
strategy.close_all()
traded := false
pm_h := 0.0
pm_l := 9999.9 |
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