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Maurizio-Ciullo

Bot Reversal-Band ETH/PERP Ver-5 FTX 4H LONG E SHORT

Maurizio-Ciullo
Mar 25th, 2022 (edited)
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  1. // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
  2.  
  3. //Il trading system completo - Bot Reversal Band Ver-5 (Strategia Reversal) - parte 1
  4. // (Exchange= FTX) (Sottostante ETH-PERP) (Timeframe= 4H) (Direzione= LONG E SHORT) (Swing Posizione= SI) (Esclusione Ore=NO) (Esclusione Giorni=NO) (Esclusione Mesi=APRILE/AGOSTO)
  5. // (Take Profit Long/Short= Market Close Sopra/Sotto Bande) (Take Profit Limit Long/Short= +12% Tradingview-Hub) (Stop Loss Limit Long= -9% Tradingview-Hub) (Stop Loss Limit Short= -7% Tradingview-Hub) (Trailing Stop=NO) (Stop Emergenza: NO)
  6. // (Rischio Operazione 2% Perdita Media)
  7. // (In Sample Dal=17/08/2017 Al 17/10/2020) (Out Of Sample Dal=18/10/2020 Al 15/03/2021)
  8.  
  9.  
  10. //@version=5
  11. //1. Strategia
  12. strategy(title='Bot Reversal-Band ETH/PERP Ver-5 FTX 4H LONG E SHORT', overlay=true,
  13.      pyramiding=0,
  14.      initial_capital=150,
  15.      commission_type=strategy.commission.percent,
  16.      commission_value=0.1,
  17.      slippage=3,
  18.      default_qty_type=strategy.percent_of_equity,
  19.      default_qty_value=19.1)
  20.  
  21.  
  22. // Input
  23. input_stop_loss_long = input.float(title='stop_loss_long', defval=9, minval=0, maxval=100, step=0.1, group='Stop&Target')
  24. input_stop_loss_short = input.float(title='stop_loss_short', defval=7, minval=0, maxval=100, step=0.1, group='Stop&Target')
  25. input_target_long = input.float(title='target_long', defval=12, minval=0, maxval=100, step=0.1, group='Stop&Target')
  26. input_target_short = input.float(title='target_short', defval=12, minval=0, maxval=100, step=0.1, group='Stop&Target')
  27. input_sma_long = input.int(title='Media BB Long', defval=30, minval=0, maxval=50, group='Bande')
  28. input_sma_short = input.int(title='Media BB Short', defval=24, minval=0, maxval=50, group='Bande')
  29. deviazione_long = input.float(title='Deviazione Long', defval=1.5, step=0.1, group='Bande')
  30. deviazione_short = input.float(title='Deviazione Short', defval=1.5, step=0.1, group='Bande')
  31. input_ema_long = input.int(title='Media Long', defval=55, minval=0, maxval=500, group='Medie')
  32. input_ema_short = input.int(title='Media Short', defval=55, minval=0, maxval=500, group='Medie')
  33. lunghezza_adx_long = input.int(title='Lunghezza ADX Long', defval=10, group='ADX')
  34. lunghezza_adx_short = input.int(title='Lunghezza ADX Short', defval=9, group='ADX')
  35. differenziale_adx_long = input.int(title='Differenziale ADX Long', defval=35, group='ADX')
  36. differenziale_adx_short = input.int(title='Differenziale ADX Short', defval=31, group='ADX')
  37. only_Long = input.bool(title='Solo long trade', defval=false, inline='1', group='Direzione')
  38. only_Short = input.bool(title='Solo short trade', defval=false, inline='1', group='Direzione')
  39. input_risk = input.float(title='Percentuale rischio', defval=19.1, minval=0, maxval=100, step=0.01)
  40.  
  41.  
  42. // Calcolo del range del backtest
  43. startDate = input.int(title='Start Date', defval=17, minval=1, maxval=31, group='Periodo')
  44. startMonth = input.int(title='Start Month', defval=08, minval=1, maxval=12, group='Periodo')
  45. startYear = input.int(title='Start Year', defval=2017, minval=1800, maxval=2100, group='Periodo')
  46.  
  47. endDate = input.int(title='End Date', defval=01, minval=1, maxval=31, group='Periodo')
  48. endMonth = input.int(title='End Month', defval=01, minval=1, maxval=12, group='Periodo')
  49. endYear = input.int(title='End Year', defval=2121, minval=1800, maxval=2150, group='Periodo')
  50.  
  51.  
  52. inDateRange = time >= timestamp(syminfo.timezone, startYear, startMonth, startDate, 0, 0) and time < timestamp(syminfo.timezone, endYear, endMonth, endDate, 0, 0)
  53.  
  54.  
  55. // Start Hour Range Trading Non Attivo /////////////////////
  56. //hourTrading = input(title='sessione valida di trading', defval='0600-2300:23456')
  57. //hourRangeTrading = time(timeframe.period, hourTrading)
  58.  
  59.  
  60. //Calcolo degli indicatori
  61.  
  62. // Medie Mobili
  63. ema_long = ta.ema(close, input_ema_long)
  64. ema_short = ta.ema(close, input_ema_short)
  65. plot(ema_long, color=color.new(color.blue, 0), title='Ema Long', linewidth=2)
  66. plot(ema_short, color=color.new(color.red, 0), title='Ema Short', linewidth=2)
  67.  
  68.  
  69. //  Bollinger Bands Long
  70. middle_Band_long = ta.sma(close, input_sma_long)
  71. deviazione_st_long = deviazione_long * ta.stdev(close, input_sma_long)
  72. UpperBand_long = middle_Band_long + deviazione_st_long
  73. LowerBand_long = middle_Band_long - deviazione_st_long
  74. plot(middle_Band_long, color=color.new(color.green, 0), title='B_middle Band')
  75. plot(UpperBand_long, color=color.new(color.green, 0), title='UpperBandLong')
  76. plot(LowerBand_long, color=color.new(color.green, 0), title='LowerBandLong')
  77. plot(UpperBand_long, color=color.new(color.green, 0), style=plot.style_circles, linewidth=3, title='Market_Tp_Long')
  78.  
  79.  
  80. // Bollinger Bands Short
  81. middle_Band_short = ta.sma(close, input_sma_short)
  82. deviazione_st_short = deviazione_short * ta.stdev(close, input_sma_short)
  83. UpperBand_short = middle_Band_short + deviazione_st_short
  84. LowerBand_short = middle_Band_short - deviazione_st_short
  85. plot(middle_Band_short, color=color.new(color.yellow, 0), title='B_middle Band')
  86. plot(UpperBand_short, color=color.new(color.yellow, 0), title='UpperBandShort')
  87. plot(LowerBand_short, color=color.new(color.yellow, 0), title='LowerBandShort')
  88. plot(LowerBand_short, color=color.new(color.red, 0), style=plot.style_circles, linewidth=3, title='Market_Tp_Short')
  89.  
  90.  
  91. // ADX Long
  92. [di_pos_long, di_neg_long, adx_long] = ta.dmi(lunghezza_adx_long, lunghezza_adx_long)
  93. plot(adx_long, color=color.new(color.blue, 0), title='adx long')
  94.  
  95. //ADX Short
  96. [di_pos_short, di_neg_short, adx_short] = ta.dmi(lunghezza_adx_short, lunghezza_adx_short)
  97. plot(adx_short, color=color.new(color.red, 0), title='adx short')
  98.  
  99.  
  100. // Money Menagment e stop loss
  101.  
  102. // size = strategy.equity * input_risk / 100
  103. // nr_contratti = size / close
  104. // stop_loss_long = math.round(size / syminfo.mintick / 100 * input_stop_loss_long) / nr_contratti
  105. // stop_loss_short = math.round(size / syminfo.mintick / 100 * input_stop_loss_short) / nr_contratti
  106. // target_long = math.round(size / syminfo.mintick / 100 * input_target_long) / nr_contratti
  107. // target_short = math.round(size / syminfo.mintick / 100 * input_target_short) / nr_contratti
  108.  
  109.  
  110. //Variabili Stop Long e Short
  111. stop_loss_long_price = strategy.opentrades.entry_price(0) - (strategy.opentrades.entry_price(0) * input_stop_loss_long) / 100
  112. stop_loss_long = (strategy.opentrades.entry_price(0) - stop_loss_long_price) / syminfo.mintick
  113. take_profit_long_price = (strategy.opentrades.entry_price(0) + ((strategy.opentrades.entry_price(0) * input_target_long) / 100))
  114. take_profit_long = (take_profit_long_price - strategy.opentrades.entry_price(0)) / syminfo.mintick
  115.  
  116. //plot(stop_loss_long, title = "sl_long_ticks", color=color.purple)
  117.  
  118.  
  119. stop_loss_short_price = strategy.opentrades.entry_price(0) + (strategy.opentrades.entry_price(0) * input_stop_loss_short) / 100
  120. stop_loss_short = (stop_loss_short_price - strategy.opentrades.entry_price(0)) / syminfo.mintick
  121. take_profit_short_price = (strategy.opentrades.entry_price(0) - ((strategy.opentrades.entry_price(0) * input_target_short) / 100))
  122. take_profit_short =(strategy.opentrades.entry_price(0) - take_profit_short_price) / syminfo.mintick
  123.  
  124. //plot(stop_loss_short, title = "sl_short_ticks", color=color.purple)
  125.  
  126.  
  127. // plot(strategy.position_size != 0 ? strategy.position_avg_price : na, color=strategy.position_size > 0 ? color.blue : strategy.position_size < 0 ? color.red : na, style=plot.style_linebr, title='entry_price')  // stampa l'entry price in rosso se short in blu se long
  128. // plot(strategy.position_size > 0 ? strategy.position_avg_price + take_profit_long * 0.01 * 10 : strategy.position_size < 0 ? strategy.position_avg_price - take_profit_short * 0.01 * 10 : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=2, title='tk_limit')
  129. // plot(strategy.position_size > 0 ? strategy.position_avg_price - stop_loss_long * 0.01 * 10 : strategy.position_size < 0 ? strategy.position_avg_price + stop_loss_short * 0.01 * 10 : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=2, title='sl_limit')
  130.  
  131.  
  132. plot(strategy.position_size != 0 ? strategy.opentrades.entry_price(0) : na , color=strategy.position_size > 0 ? color.blue : strategy.position_size < 0 ? color.red : na, style=plot.style_linebr, title="entry_price") // stampa l'entry price in rosso se short in blu se long
  133. plot(strategy.position_size > 0 ?  take_profit_long_price : strategy.position_size < 0 ? take_profit_short_price: na, color=color.green, style=plot.style_cross, linewidth=2, title="tk_limit")
  134. plot(strategy.position_size > 0 ?  stop_loss_long_price : strategy.position_size < 0 ? stop_loss_short_price: na, color=color.red, style=plot.style_cross, linewidth=2, title="sl_limit")
  135.  
  136. bgcolor(strategy.position_size > 0 ? color.green : strategy.position_size < 0 ? color.red : na, transp=90) // sfondo verde quando siamo long, sfondo rosso quando siamo short, no sfondo quando non siamo in posizione
  137.  
  138.  
  139. // Plot No Trading Allowed giorni da 1 a 7 1 è Domenica. Mesi da 1 a 12 1 è Gennaio
  140.  
  141. mesi_esclusi = month(time)
  142. plotshape(mesi_esclusi[1] == 4 ? mesi_esclusi : na, color=color.new(color.yellow, 0), title='mesi_esclusi')
  143. plotshape(mesi_esclusi[1] == 8 ? mesi_esclusi : na, color=color.new(color.yellow, 0), title='mesi_esclusi')
  144.  
  145.  
  146. //Condizione Entry Long
  147. condEntryLong = ta.crossover(close, LowerBand_long) and close < ema_long and adx_long < differenziale_adx_long and month != 4 and month != 8 and not only_Short and inDateRange
  148.  
  149. //Condizione Uscita Long
  150. condExitLong = ta.crossover(close, UpperBand_long)
  151.  
  152.  
  153.  
  154. // Condizione Entry Short
  155. condEntryShort = ta.crossunder(close, UpperBand_short) and close > ema_short and adx_short < differenziale_adx_short and month != 4 and month != 8 and not only_Long and inDateRange
  156.  
  157. // Condizione Exit Short
  158. condExitShort = ta.crossunder(close, LowerBand_short)
  159.  
  160.    
  161. // buy_command = '{"INSERIRE I COMMENT TRADINGVIEW-HUB BUY"}'
  162. // sell_command = '{"INSERIRE I COMMENT TRADINGVIEW-HUB SELL"}'
  163. // close_command = '{"INSERIRE I COMMENT TRADINGVIEW-HUB CLOSE"}'
  164.  
  165.  
  166. //entrata e uscita Long
  167. if condEntryLong // strategy.opentrades == 0
  168.     strategy.entry('operazioneLong', strategy.long, alert_message = "Open Long Position")//, comment = buy_command))
  169.    
  170. if strategy.opentrades ==1
  171.     strategy.exit('SL e TP', from_entry='operazioneLong', loss=stop_loss_long, profit=take_profit_long, alert_message = "Your Long SL-TP Has Been Triggered.")//, comment = close_command))
  172.  
  173. if condExitLong and strategy.opentrades == 1
  174.     strategy.close(id='operazioneLong', alert_message = "Close Long Position")//, comment = close_command))
  175.  
  176. //entrata e uscita Short    
  177. if condEntryShort //and strategy.opentrades == 0
  178.     strategy.entry('operazioneShort', strategy.short, alert_message = "Open Short position")//, comment = sell_command))
  179.  
  180. if strategy.opentrades ==1
  181.     strategy.exit('SL e TP', from_entry='operazioneShort', loss=stop_loss_short, profit=take_profit_short, alert_message = "Your Short SL-TP Has Been Triggered.")//, comment = close_command))
  182.  
  183. if condExitShort and strategy.opentrades == 1
  184.     strategy.close(id='operazioneShort', alert_message = "Close Short Position")//, comment = close_command))
  185.  
  186. // Nome Alert: Reversal-Band ETH/PERP FTX-4H
  187. // Commento Alert: {{strategy.order.comment}}
  188.  
  189.  
  190. // ----------------- Inizio Tabella risultati mensili. Per visualizzare andare nelle impostazioni proprietà e spuntare ad ogni tick -----------------
  191.  
  192. // new_month = month(time) != month(time[1])
  193. // new_year  = year(time)  != year(time[1])
  194.  
  195. // eq = strategy.equity
  196.  
  197. // bar_pnl = eq / eq[1] - 1
  198.  
  199. // cur_month_pnl = 0.0
  200. // cur_year_pnl  = 0.0
  201.  
  202. // // Current Monthly P&L
  203. // cur_month_pnl := new_month ? 0.0 :
  204. //                  (1 + cur_month_pnl[1]) * (1 + bar_pnl) - 1
  205.  
  206. // // Current Yearly P&L
  207. // cur_year_pnl := new_year ? 0.0 :
  208. //                  (1 + cur_year_pnl[1]) * (1 + bar_pnl) - 1  
  209.  
  210. // // Arrays to store Yearly and Monthly P&Ls
  211. // var month_pnl  = array.new_float(0)
  212. // var month_time = array.new_int(0)
  213.  
  214. // var year_pnl  = array.new_float(0)
  215. // var year_time = array.new_int(0)
  216.  
  217. // last_computed = false
  218.  
  219. // if (not na(cur_month_pnl[1]) and (new_month or barstate.islast))
  220. //     if (last_computed[1])
  221. //         array.pop(month_pnl)
  222. //         array.pop(month_time)
  223.  
  224. //     array.push(month_pnl , cur_month_pnl[1])
  225. //     array.push(month_time, time[1])
  226.  
  227. // if (not na(cur_year_pnl[1]) and (new_year or barstate.islast))
  228. //     if (last_computed[1])
  229. //         array.pop(year_pnl)
  230. //         array.pop(year_time)
  231.  
  232. //     array.push(year_pnl , cur_year_pnl[1])
  233. //     array.push(year_time, time[1])
  234.  
  235. // last_computed := barstate.islast ? true : nz(last_computed[1])
  236.  
  237. // // Monthly P&L Table    
  238. // var monthly_table = table(na)
  239. // prec      = input(2, title = "Return Precision")
  240.  
  241. // if (barstate.islast)
  242. //     monthly_table := table.new(position.bottom_right, columns = 14, rows = array.size(year_pnl) + 1, bgcolor=#0F0F0F,border_width=1,border_color=#000000)
  243.  
  244. //     table.cell(monthly_table, 0,  0, "",     text_color=#D3D3D3, bgcolor=#0F0F0F)
  245. //     table.cell(monthly_table, 1,  0, "Jan",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  246. //     table.cell(monthly_table, 2,  0, "Feb",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  247. //     table.cell(monthly_table, 3,  0, "Mar",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  248. //     table.cell(monthly_table, 4,  0, "Apr",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  249. //     table.cell(monthly_table, 5,  0, "May",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  250. //     table.cell(monthly_table, 6,  0, "Jun",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  251. //     table.cell(monthly_table, 7,  0, "Jul",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  252. //     table.cell(monthly_table, 8,  0, "Aug",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  253. //     table.cell(monthly_table, 9,  0, "Sep",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  254. //     table.cell(monthly_table, 10, 0, "Oct",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  255. //     table.cell(monthly_table, 11, 0, "Nov",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  256. //     table.cell(monthly_table, 12, 0, "Dec",  text_color=#D3D3D3, bgcolor=#0F0F0F)
  257. //     table.cell(monthly_table, 13, 0, "Year", text_color=#D3D3D3, bgcolor=#0F0F0F)
  258.  
  259.  
  260. //     for yi = 0 to array.size(year_pnl) - 1
  261. //         table.cell(monthly_table, 0,  yi + 1, str.tostring(year(array.get(year_time, yi))), text_color=#D3D3D3, bgcolor=#0F0F0F)
  262.  
  263. //         y_color = array.get(year_pnl, yi) > 0 ? color.lime : color.red
  264. //         table.cell(monthly_table, 13, yi + 1, str.tostring(math.round(array.get(year_pnl, yi) * 100, prec)), bgcolor = y_color)
  265.  
  266. //     for mi = 0 to array.size(month_time) - 1
  267. //         m_row   = year(array.get(month_time, mi))  - year(array.get(year_time, 0)) + 1
  268. //         m_col   = month(array.get(month_time, mi))
  269. //         m_color = array.get(month_pnl, mi) > 0 ? color.lime : color.red
  270.  
  271. //         table.cell(monthly_table, m_col, m_row, str.tostring(math.round(array.get(month_pnl, mi) * 100, prec)), bgcolor = m_color)
  272.  
  273. // ----------------- Fine Tabella risultati mensili. Per visualizzare andare nelle impostazioni proprietà e spuntare ad ogni tick -----------------
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