ダイバージェンスストラテジー ver.1
自分へのメモ用に残しておきます🤔
RSIは14
lot計算部分は上手く動作していないので改善が必要
//@version=4
strategy(title="RSI Divergence Indicator", overlay=false, pyramiding=1, default_qty_value=1, default_qty_type=strategy.fixed, initial_capital=30000, currency=currency.JPY)
//変数定義
len = input(title="RSI Period", minval=1, defval=14)
src = input(title="RSI Source", defval=close)
lbR = input(title="Pivot Lookback Right", defval=2)
lbL = input(title="Pivot Lookback Left", defval=5)
takeProfitRSILevel = input(title="Take Profit at RSI Level", minval=70, defval=75)
rangeUpper = input(title="Max of Lookback Range", defval=70)
rangeLower = input(title="Min of Lookback Range", defval=5)
plotBull = input(title="Plot Buli", defval=true)
plotHiddenBull = input(title="Plot Hidden Bull", defval=true)
plotBear = input(title="Plot Bear", defval=true)
plotHiddenBear = input(title="Plot Hidden Bear", defval=true)
//資金管理//
strategy.initial_capital → スタート時の資金
// strategy.netprofit → 累計損益
lot = input(defval=10000)
unit_val_pct = input(defval=0.01)
balance = strategy.initial_capital + strategy.netprofit
atr = ema (tr ,20)atr_pct = 0.5 * 100 * lot
unit = balance * unit_val_pct
amount = round(unit/ atr_pct) * lot
//利確・損切り
inpTakeProfit = input(defval=30, title="Take Profit", minval=0)
inpStopLoss = input(defval=10, title="Stop Loss", minval=0)
inpTrailStop = input(defval=10, title="Trailing Stop Loss", minval=0)
inpTrailOffset = input(defval=0, title="Trailing Stop Loss Offset", minval=0)
useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na
useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na
useTrailStop = inpTrailStop >= 1 ? inpTrailStop : na
useTrailOffset = inpTrailOffset >= 1 ? inpTrailOffset : na
bearColor = color.purple
bullColor = color.green
hiddenBullColor = color.new(color.green, 80)
hiddenBearColor = color.new(color.red, 80)
textColor = color.white
noneColor = color.new(color.white, 100)
osc = rsi(src, len)
plot(osc, title="RSI", linewidth=2, color=#8D1699)
hline(50, title="Middle Line", linestyle=hline.style_dotted)
obLevel = hline(70, title="Overbought", linestyle=hline.style_dotted)
osLevel = hline(30, title="Oversold", linestyle=hline.style_dotted)
fill(obLevel, osLevel, title="Background", color=#9915FF, transp=90)
plFound = na(pivotlow(osc, lbL, lbR)) ? false : true
phFound = na(pivothigh(osc, lbL, lbR)) ? false : true
_inRange(cond) =>
bars = barssince(cond == true)
rangeLower <= bars and bars <= rangeUpper
//------------------------------------------------------------------------------
// Regular Bullish
// Osc: Higher Low
oscHL = osc[lbR] > valuewhen(plFound, osc[lbR], 1) and _inRange(plFound[1])
// Price: Lower Low
priceLL = low[lbR] < valuewhen(plFound, low[lbR], 1)
bullCond = plotBull and priceLL and oscHL and plFound
plot(
plFound ? osc[lbR] : na,
offset=-lbR,
title="Regular Bullish",
linewidth=2,
color=(bullCond ? bullColor : noneColor), transp=0
)
plotshape(
bullCond ? osc[lbR] : na,
offset=-lbR,
title="Regular Bullish Label",
text=" Bull ",
style=shape.labelup,
location=location.absolute,
color=bullColor,
textcolor=textColor,
transp=0
)
//------------------------------------------------------------------------------
// Hidden Bullish
// Osc: Lower Low
oscLL = osc[lbR] < valuewhen(plFound, osc[lbR], 1) and _inRange(plFound[1])
// Price: Higher Low
priceHL = low[lbR] > valuewhen(plFound, low[lbR], 1)
hiddenBullCond = plotHiddenBull and priceHL and oscLL and plFound
plot(
plFound ? osc[lbR] : na,
offset=-lbR,
title="Hidden Bullish",
linewidth=2,
color=(hiddenBullCond ? hiddenBullColor : noneColor),
transp=0
)
plotshape(
hiddenBullCond ? osc[lbR] : na,
offset=-lbR,
title="Hidden Bullish Label",
text=" H Bull ",
style=shape.labelup,
location=location.absolute,
color=bullColor,
textcolor=textColor,
transp=0
)
longCondition=bullCond or hiddenBullCond
//? osc[lbR] : na
//hiddenBullCond
//------------------------------------------------------------------------------
// Regular Bearish
// Osc: Lower High
oscLH = osc[lbR] < valuewhen(phFound, osc[lbR], 1) and _inRange(phFound[1])
// Price: Higher HighpriceHH = high[lbR] > valuewhen(phFound, high[lbR], 1)
bearCond = plotBear and priceHH and oscLH and phFound
plot(
phFound ? osc[lbR] : na,
offset=-lbR,
title="Regular Bearish",
linewidth=2,
color=(bearCond ? bearColor : noneColor),
transp=0
)
plotshape(
bearCond ? osc[lbR] : na,
offset=-lbR,
title="Regular Bearish Label",
text=" Bear ",
style=shape.labeldown,
location=location.absolute,
color=bearColor,
textcolor=textColor,
transp=0
)
//------------------------------------------------------------------------------
// Hidden Bearish
// Osc: Higher High
oscHH = osc[lbR] > valuewhen(phFound, osc[lbR], 1) and _inRange(phFound[1])
// Price: Lower HighpriceLH = high[lbR] < valuewhen(phFound, high[lbR], 1)
hiddenBearCond = plotHiddenBear and priceLH and oscHH and phFound
plot(
phFound ? osc[lbR] : na,
offset=-lbR,
title="Hidden Bearish",
linewidth=2,
color=(hiddenBearCond ? hiddenBearColor : noneColor),
transp=0
)
plotshape(
hiddenBearCond ? osc[lbR] : na,
offset=-lbR,
title="Hidden Bearish Label",
text=" H Bear ",
style=shape.labeldown,
location=location.absolute,
color=bearColor,
textcolor=textColor,
transp=0
)
longCloseCondition=crossover(osc,takeProfitRSILevel) or bearCond
//エントリー
strategy.entry(id="RSIDivLE", qty=10, long=true,when=longCondition)
strategy.exit(id="RSIDivLE", loss = useStopLoss, profit = useTakeProfit, trail_points=useTrailStop)
strategy.entry(id="RSIDivSE", qty=10, long=true, when=longCloseCondition)
strategy.exit(id="RSIDivSE", loss = useStopLoss, profit = useTakeProfit, trail_points=useTrailStop)
