Pineスクリプト ドンチャントレンド戦略

//@version=3
// 1. Define strategy settings
strategy(title="Donchian Trend", overlay=true,
     pyramiding=0, initial_capital=100000,
     commission_type=strategy.commission.cash_per_order,
     commission_value=4, slippage=2,
     calc_on_every_tick=true)

// Donchian Channel inputs
hiLenEntry = input(title="High Length (Entry)", type=integer, defval=20)
loLenEntry = input(title="Low Length (Entry)", type=integer, defval=20)

hiLenExit = input(title="High Length (Exit)", type=integer, defval=10)
loLenExit = input(title="Low Length (Exit)", type=integer, defval=10)

// EMA trend filter input
fastMALen = input(title="Fast EMA Length", type=integer, defval=25)
slowMALen = input(title="Slow EMA Length", type=integer, defval=350)

// ATR stop inputs
atrLen     = input(title="ATR Length", type=integer, defval=20)
stopOffset = input(title="Stop Offset", type=float, defval=2.0, step=0.25)

// Position sizing inputs
usePosSize = input(title="Use Position Sizing?", type=bool, defval=true)
riskPerc   = input(title="Risk %", type=float, defval=0.5, step=0.25)

// 2. Calculate strategy values
// Calculate highest highs and lowest lows
highsEntry = highest(high, hiLenEntry)[1]
lowsEntry  = lowest(low, loLenEntry)[1]

highsExit = highest(high, hiLenExit)[1]
lowsExit  = lowest(low, loLenExit)[1]

// Get EMA and ATR values
fastMA = ema(close, fastMALen)
slowMA = ema(close, slowMALen)

atrValue = atr(atrLen)

// Calculate position size
riskEquity  = (riskPerc / 100) * strategy.equity
atrCurrency = (atrValue * syminfo.pointvalue)
posSize     = usePosSize ? floor(riskEquity / atrCurrency) : 1

// Determine ATR stops
atrLongEntry = (strategy.position_size == 0) ?
     close - (atrValue * stopOffset) :
     na
longStop = fixnan(atrLongEntry)

atrShortEntry = (strategy.position_size == 0) ?
     close + (atrValue * stopOffset) :
     na
shortStop = fixnan(atrShortEntry)

// Determine trend according to moving averages
upTrend   = (fastMA > slowMA)
downTrend = (fastMA < slowMA)

// 3. Output strategy data
// Plot 20-bar high and low breakouts for entries
plot(series=upTrend ? highsEntry : na, style=linebr,
     color=green, linewidth=2, title="Highs Entry")

plot(series=downTrend ? lowsEntry : na, style=linebr,
     color=red, linewidth=2, title="Lows Entry")

// Plot 25-bar EMA
plot(series=fastMA, linewidth=2,
     color=upTrend ? green : red, title="Fast MA")

// Plot 10-bar high and low for breakout exits
plot(series=downTrend ? highsExit : na, style=circles,
     title="Highs Exit", color=fuchsia, linewidth=3)

plot(series=upTrend ? lowsExit : na, style=circles,
     title="Lows Exit", color=fuchsia, linewidth=3)

// Plot ATR stop levels
plot(series=
     (strategy.position_size > 0) ? longStop :
     (strategy.position_size < 0) ? shortStop :
         na,
     style=linebr, title="ATR Stop", color=blue,
     linewidth=2)

// 4. Determine long trading conditions
enterLong = upTrend and (close > highsEntry)
     and barstate.ishistory

exitLong = (close < lowsExit)

// 5. Code short trading conditions
enterShort = downTrend and (close < lowsEntry)
     and barstate.ishistory

exitShort = (close > highsExit)

// 6. Submit entry orders
if (enterLong)
    strategy.entry(id="EL", long=true, qty=posSize)

if (enterShort)
    strategy.entry(id="ES", long=false, qty=posSize)

// 7. Submit exit orders
strategy.close(id="EL", when=exitLong)
strategy.close(id="ES", when=exitShort)

if (strategy.position_size > 0)
    strategy.exit(id="XL", from_entry="EL", stop=longStop)

if (strategy.position_size < 0)
    strategy.exit(id="XS", from_entry="ES", stop=shortStop)

strategy.close_all(when=barstate.isrealtime)