雨幕（youquant）
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回测测试
策略源码
/*backtest
start: 2022-01-01 09:00:00
end: 2022-06-13 15:00:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["ContractType","rb888",360008]]
*/
//@version=3
strategy(title="Range Filter Buy and Sell 5min [Strategy]", overlay=true)
sources = input(defval=close, title="数据源")
isHA = input(false, "使用 HA", bool)
src = isHA ? security(heikenashi(tickerid), period, sources) : sources
// Sampling Period
// Settings for 5min chart, BTCUSDC. For Other coin, change the paremeters
per = input(defval=50, minval=1, title="采样周期")
// Range Multiplier
mult = input(defval=3.0, minval=0.1, title="范围乘数")
// Smooth Average Range
smoothrng(x, t, m)=>
wper = (t*2) - 1
avrng = ema(abs(x - x[1]), t)
smoothrng = ema(avrng, wper)*m
smoothrng
smrng = smoothrng(src, per, mult)
// Range Filter
rngfilt(x, r)=>
rngfilt = x
rngfilt := x > nz(rngfilt[1]) ? ((x - r) < nz(rngfilt[1]) ? nz(rngfilt[1]) : (x - r)) : ((x + r) > nz(rngfilt[1]) ? nz(rngfilt[1]) : (x + r))
rngfilt
filt = rngfilt(src, smrng)
// Filter Direction
upward = 0.0
upward := filt > filt[1] ? nz(upward[1]) + 1 : filt < filt[1] ? 0 : nz(upward[1])
downward = 0.0
downward := filt < filt[1] ? nz(downward[1]) + 1 : filt > filt[1] ? 0 : nz(downward[1])
// Target Bands
hband = filt + smrng
lband = filt - smrng
// Colors
filtcolor = upward > 0 ? lime : downward > 0 ? red : orange
barcolor = (src > filt) and (src > src[1]) and (upward > 0) ? lime : (src > filt) and (src < src[1]) and (upward > 0) ? green :
(src < filt) and (src < src[1]) and (downward > 0) ? red : (src < filt) and (src > src[1]) and (downward > 0) ? maroon : orange
filtplot = plot(filt, color=filtcolor, linewidth=3, title="Range Filter")
// Target
hbandplot = plot(hband, color=aqua, transp=100, title="High Target")
lbandplot = plot(lband, color=fuchsia, transp=100, title="Low Target")
// Fills
fill(hbandplot, filtplot, color=aqua, title="High Target Range")
fill(lbandplot, filtplot, color=fuchsia, title="Low Target Range")
// Bar Color
//barcolor(barcolor)
// Break Outs
longCond = na
shortCond = na
longCond := ((src > filt) and (src > src[1]) and (upward > 0)) or ((src > filt) and (src < src[1]) and (upward > 0))
shortCond := ((src < filt) and (src < src[1]) and (downward > 0)) or ((src < filt) and (src > src[1]) and (downward > 0))
CondIni = 0
CondIni := longCond ? 1 : shortCond ? -1 : CondIni[1]
longCondition = longCond and CondIni[1] == -1
shortCondition = shortCond and CondIni[1] == 1
plotshape(longCondition, title = "Buy Signal", text ="BUY", textcolor = white, style=shape.labelup, size = size.normal, location=location.belowbar, color = green, transp = 0)
plotshape(shortCondition, title = "Sell Signal", text ="SELL", textcolor = white, style=shape.labeldown, size = size.normal, location=location.abovebar, color = red, transp = 0)
// === Stop LOSS ===
useStopLoss = input(false, title='----- 使用 止损 / 止盈 -----', type=bool)
sl_inp = input(100, title='止损 %', type=float, step=0.25)/100
tp_inp = input(1.5, title='止盈 %', type=float, step=0.25)/100
stop_level = strategy.position_avg_price * (1 - sl_inp)
take_level = strategy.position_avg_price * (1 + tp_inp)
stop_level_short = strategy.position_avg_price * (1 + sl_inp)
take_level_short = strategy.position_avg_price * (1 - tp_inp)
// === Stop LOSS ===
if useStopLoss
strategy.exit("Stop Loss/Profit Long","Long", stop=stop_level, limit=take_level)
strategy.exit("Stop Loss/Profit Short","Short", stop=stop_level_short, limit=take_level_short)
if longCondition
strategy.entry("buy", strategy.long)
else if shortCondition
strategy.entry("sell", strategy.short)
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