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backtester for system'cRe5520'
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//@version=3 | |
strategy( | |
title='Channel breakout trading strategy', | |
shorttitle='cRe5520', | |
overlay=true, | |
initial_capital=1000, | |
default_qty_type=strategy.percent_of_equity, | |
default_qty_value=100, | |
commission_type=strategy.commission.percent, | |
commission_value=0.075, | |
pyramiding=0, | |
slippage=5, | |
currency=currency.USD | |
) | |
OH = input( | |
high, | |
'high or open', | |
type=source | |
) | |
CL = input( | |
low, | |
'low or close', | |
type=source | |
) | |
entry_sticks = input( | |
50, | |
'1st period' | |
) | |
exit_sticks = input( | |
10, | |
'2nd period' | |
) | |
offset = input( | |
0.5, | |
'offset', | |
minval=-0.5, | |
maxval=3.5, | |
step=0.5 | |
) | |
entry_long = highest( | |
max(OH, CL), | |
entry_sticks | |
) | |
entry_short = lowest( | |
min(OH, CL), | |
entry_sticks | |
) | |
exit_short = highest( | |
max(OH, CL), | |
exit_sticks | |
) | |
exit_long = lowest( | |
min(OH, CL), | |
exit_sticks | |
) | |
plot(entry_long, color=#6699ff, linewidth=2) | |
plot(entry_short, color=#66ccff, linewidth=2) | |
plot(exit_short, color=#ff99cc, linewidth=2) | |
plot(exit_long, color=#ff6699, linewidth=2) | |
from_year = input( | |
2018, | |
'from year', | |
minval=2017, | |
maxval=9999 | |
) | |
from_month = input( | |
10, | |
'from month', | |
minval=01, | |
maxval=12 | |
) | |
from_day = input( | |
01, | |
'from day', | |
minval=01, | |
maxval=31 | |
) | |
to_year = input( | |
2020, | |
'to year', | |
minval=2017, | |
maxval=9999 | |
) | |
to_month = input( | |
12, | |
'to month', | |
minval=01, | |
maxval=12 | |
) | |
to_day = input( | |
31, | |
'to day', | |
minval=01, | |
maxval=31 | |
) | |
start_time = timestamp( | |
from_year, | |
from_month, | |
from_day, | |
00, | |
00 | |
) | |
end_time = timestamp( | |
to_year, | |
to_month, | |
to_day, | |
23, | |
59 | |
) | |
// end_time = timenow | |
is_work = start_time <= time and time <= end_time | |
if (is_work) | |
current_position = strategy.position_size | |
if current_position < 0 | |
strategy.exit( | |
'exit', | |
stop=exit_short+offset | |
) | |
if current_position > 0 | |
strategy.exit( | |
'exit', | |
stop=exit_long-offset | |
) | |
if current_position == 0 | |
strategy.entry( | |
'long', | |
true, | |
stop=entry_long+offset | |
) | |
strategy.entry( | |
'short', | |
false, | |
stop=entry_short-offset | |
) | |
// EOF |
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https://note.com/ottimista/n/nbb878763fd98