此脚本是SAR策略和3个平滑移动平均值的组合。
策略: 当所有3个SMMA都上升时,需要SAR多头。当所有3个SMMA都下降时,做空SAR。支持StopLoss和TakeProfit。
回测测试
/*backtest start: 2021-12-01 00:00:00 end: 2022-05-24 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] args: [["ContractType","i2209",360008]] */ //@version=5 //strategy(title="SAR + 3SMMA with SL & TP", overlay=true, calc_on_order_fills=false, calc_on_every_tick=false, default_qty_type=strategy.percent_of_equity, default_qty_value=100, currency=currency.USD, commission_type= strategy.commission.percent, commission_value=0.03) start = input.float(0.02, step=0.01, group="SAR", title="开始") increment = input.float(0.02, step=0.01, group="SAR", title="增量") maximum = input.float(0.2, step=0.01, group="SAR", title="最大值") //Take Profit Inputs take_profit = input.float(title="止盈 (%)", minval=0.0, step=0.1, defval = 0.1, group="止损和止盈", inline="TP") * 0.01 //Stop Loss Inputs stop_loss = input.float(title="止损 (%)", minval=0.0, step=0.1, defval=1, group="止损和止盈", inline="SL") * 0.01 // Smooth Moving Average fastSmmaLen = input.int(21, minval=1, title="快线周期", group = "SMA") midSmmaLen = input.int(50, minval=1, title="中线周期", group = "SMA") slowSmmaLen = input.int(200, minval=1, title="慢线周期", group = "SMA") src = input(close, title="数据源", group = "SMA") smma(ma, src, len) => smma = 0.0 smma := na(smma[1]) ? ma : (smma[1] * (len - 1) + src) / len smma fastSma = ta.sma(src, fastSmmaLen) midSma = ta.sma(src, midSmmaLen) slowSma = ta.sma(src, slowSmmaLen) fastSmma = smma(fastSma, src, fastSmmaLen) midSmma = smma(midSma, src, midSmmaLen) slowSmma = smma(slowSma, src, slowSmmaLen) isSmmaUpward = ta.rising(fastSmma, 1) and ta.rising(midSmma, 1) and ta.rising(slowSmma, 1) var bool uptrend = na var float EP = na var float SAR = na var float AF = start var float nextBarSAR = na if bar_index > 0 firstTrendBar = false SAR := nextBarSAR if bar_index == 1 float prevSAR = na float prevEP = na lowPrev = low[1] highPrev = high[1] closeCur = close closePrev = close[1] if closeCur > closePrev uptrend := true EP := high prevSAR := lowPrev prevEP := high else uptrend := false EP := low prevSAR := highPrev prevEP := low firstTrendBar := true SAR := prevSAR + start * (prevEP - prevSAR) if uptrend if SAR > low firstTrendBar := true uptrend := false SAR := math.max(EP, high) EP := low AF := start else if SAR < high firstTrendBar := true uptrend := true SAR := math.min(EP, low) EP := high AF := start if not firstTrendBar if uptrend if high > EP EP := high AF := math.min(AF + increment, maximum) else if low < EP EP := low AF := math.min(AF + increment, maximum) if uptrend SAR := math.min(SAR, low[1]) if bar_index > 1 SAR := math.min(SAR, low[2]) else SAR := math.max(SAR, high[1]) if bar_index > 1 SAR := math.max(SAR, high[2]) nextBarSAR := SAR + AF * (EP - SAR) sarIsUpTrend = uptrend ? true : false sarFlippedDown = sarIsUpTrend and not sarIsUpTrend[1] ? true : false sarFlippedUp = not sarIsUpTrend and sarIsUpTrend[1] ? true : false longEntryCondition = isSmmaUpward and sarFlippedDown shortEntryCondition = not isSmmaUpward and sarFlippedUp if(longEntryCondition) strategy.entry("L", strategy.long, stop=nextBarSAR, comment="L") if(shortEntryCondition) strategy.entry("S", strategy.short, stop=nextBarSAR, comment="S") strategy.exit("CL", when=strategy.position_size > 0, limit=strategy.position_avg_price * (1+take_profit), stop=strategy.position_avg_price*(1-stop_loss)) strategy.exit("CS", when=strategy.position_size < 0, limit=strategy.position_avg_price * (1-take_profit), stop=strategy.position_avg_price*(1+stop_loss)) plot(SAR, style=plot.style_cross, linewidth=1, color=color.orange) plot(nextBarSAR, style=plot.style_cross, linewidth=1, color=color.aqua) plot(series = fastSmma, title="fastSmma", linewidth=1) plot(series = midSmma, title="midSmma", linewidth=2) plot(series = slowSmma, title="slowSmma", linewidth=3) // plotchar(series=isSmmaUpward, title="isSmmaUpward", char='') // plotchar(series=sarIsUpTrend, title="sarIsUpTrend", char='') // plotchar(series=sarFlippedUp, title="sarFlippedUp", char='') // plotchar(series=sarFlippedDown, title="sarFlippedDown", char='') // plotchar(series=longEntryCondition, title="longEntryCondition", char='') // plotchar(series=shortEntryCondition, title="shortEntryCondition", char='') // plotchar(series=strategy.position_size > 0, title="inLong", char='') // plotchar(series=strategy.position_size < 0, title="inShort", char='') //plot(strategy.equity, title="equity", color=color.red, linewidth=2, style=plot.style_areabr)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6