回测测试
/*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)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6