策略回测
/*backtest start: 2021-05-01 09:00:00 end: 2022-06-14 15:00:00 period: 15m basePeriod: 5m exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] args: [["ContractType","rb888",360008]] */ // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © colinmck //@version=4 study(title="Twin Range Filter", overlay=true) source = input(defval=close, title="数据源") // Smooth Average Range per1 = input(defval=27, minval=1, title="快线 周期") mult1 = input(defval=1.6, minval=0.1, title="快线 范围") per2 = input(defval=55, minval=1, title="慢线 周期") mult2 = input(defval=2, minval=0.1, title="慢线 范围") smoothrng(x, t, m) => wper = t * 2 - 1 avrng = ema(abs(x - x[1]), t) smoothrng = ema(avrng, wper) * m smoothrng smrng1 = smoothrng(source, per1, mult1) smrng2 = smoothrng(source, per2, mult2) smrng = (smrng1 + smrng2) / 2 // 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(source, smrng) 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]) hband = filt + smrng lband = filt - smrng longCond = bool(na) shortCond = bool(na) longCond := source > filt and source > source[1] and upward > 0 or source > filt and source < source[1] and upward > 0 shortCond := source < filt and source < source[1] and downward > 0 or source < filt and source > source[1] and downward > 0 CondIni = 0 CondIni := longCond ? 1 : shortCond ? -1 : CondIni[1] long = longCond and CondIni[1] == -1 short = shortCond and CondIni[1] == 1 // Plotting plotshape(long, title="Long", text="Long", style=shape.labelup, textcolor=color.black, size=size.tiny, location=location.belowbar, color=color.lime, transp=0) plotshape(short, title="Short", text="Short", style=shape.labeldown, textcolor=color.white, size=size.tiny, location=location.abovebar, color=color.red, transp=0) // Alerts alertcondition(long, title="Long", message="Long") alertcondition(short, title="Short", message="Short") if long strategy.entry("buy", strategy.long) else if short 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