Pinescript 设置位置大小 [英] Pinescript set a position size

问题描述

我的策略() 完全有效，但现在我正在努力管理如何在交易中投入资金.

My strategy() is fully working but now I'm trying to manage how money is put in the trade.

这是我目前的情况:
我将 SL 设置在最后 10 根柱线的最低点，将 TP 设置为 1.5xSL.
我的 strategy.exit :

HERE'S MY CURRENT SITUATION :
I have a SL set at the lowest low of the last 10 bars and a TP set at 1.5xSL.
My strategy.exit :

strategy.exit("EXIT LONG","LONG", stop=longSL, limit=longTP)

到这里为止，一切正常.

Until here, everything is working fine.

问题:
即使我使用:

THE PROBLEM :
Even though I use :

strategy("TEST MACD DEFAULT", shorttitle="MACD", overlay=true, initial_capital=1000, default_qty_type=strategy.equity, default_qty_value=1, currency=currency.EUR, process_orders_on_close=true, pyramiding=0)

资金并没有按照我想要的方式进行交易.

The money is not put in the trade the way I want.

我想要什么:
我有 1000 欧元的资本.
我希望我的 SL(已经设置在最近 10 根柱线的最低点)是我资本的 1% = 10 欧元.
我的 TP 是 1.5xSL，所以它是 15 欧元.
这意味着对于我输掉的每笔交易，我会损失 10 欧元，对于我赢的每笔交易，我会赢取 15 欧元.
但这不是我所拥有的:

WHAT I WANT :
I have a capital of 1000€.
I want my SL (which is already set at the lowest low of the last 10 bars) to be 1% of my capital = 10€.
My TP being 1.5xSL, so it would be 15€.
Meaning that for each trade I lose, I lose 10€ and for each trade I win, I win 15€.
But this is not what I have :

问题:
我怎样才能做到这一点?

QUESTION :
How can I achieve this ?

这是我的代码(仅适用于多头头寸):

HERE'S MY CODE (only for long positions) :

//@version=4
strategy("TEST MACD DEFAULT", shorttitle="MACD", overlay=true, initial_capital=1000, default_qty_type=strategy.cash, default_qty_value=10, currency=currency.EUR, process_orders_on_close=true, pyramiding=0)

// MACD
[macdLine, signalLine, _] = macd(close, 12, 26, 9)

// EMA 200
ema = ema(close, 200)
plot(ema, title="EMA 200", color=color.yellow, linewidth=2)

// LONG CONDITIONS
longCheckCondition = barssince(crossover(macdLine, signalLine))
longCondition1 = longCheckCondition <= 3 ? true : false
longCondition2 = macdLine < 0 and signalLine < 0
longCondition3 = close > ema
longCondition = longCondition1 and longCondition2 and longCondition3 and strategy.opentrades == 0

// STOP LOSS
float longSL = na
longSL := longCondition ? lowest(low, 11)[1] : longSL[1]

// TAKE PROFIT
longEntryPrice = close
longDiffSL = abs(longEntryPrice - longSL)
float longTP = na
longTP := longCondition ? close + (1.5 * longDiffSL) : longTP[1]

// ENTRY/EXIT
if longCondition
  strategy.entry("LONG", strategy.long)
  strategy.exit("EXIT LONG","LONG", stop=longSL, limit=longTP)

// PLOT STOP LOSS
longPlotSL = strategy.opentrades > 0 and strategy.position_size > 0 ? longSL : na
plot(longPlotSL, title='LONG STOP LOSS', linewidth=2, style=plot.style_linebr, color=color.red)

// PLOT TAKE PROFIT
longPlotTP = strategy.opentrades > 0 and strategy.position_size > 0 ? longTP : na
plot(longPlotTP, title='LONG TAKE PROFIT', linewidth=2, style=plot.style_linebr, color=color.green)

推荐答案

如果您真的想在整个脚本中使用起始资金来调整止损的大小，则需要使用以下方法将其值保存在第一个柱上:

If you really want to use your starting capital throughout your script to size your stops, you will need to save its value on the first bar using:

var initialCapital = strategy.equity

如果您想使用当前的资产，请使用 strategy.equity.

If instead you want to use your current equity, then use strategy.equity.

这里我们使用第一个选项.诀窍是使用止损的值来调整仓位的大小，以便止损代表您愿意承担风险的目标资本百分比，然后在 strategy.entry() 调用中使用qty= 参数.

Here we use the first option. The trick is to size the position using the stop's value so that the stop represents the target % of capital that you are willing to risk, and then specify that size in the strategy.entry() call using the qty= parameter.

您可以通过脚本的输入更改键值:

You can change the key values through your script's Inputs:

//@version=4
strategy("TEST MACD DEFAULT", shorttitle="MACD", overlay=true, precision = 4, initial_capital=1000, default_qty_type=strategy.cash, default_qty_value=10, currency=currency.EUR, process_orders_on_close=true, pyramiding=0)
i_pctStop = input(1., "% of Risk to Starting Equity Use to Size Positions") / 100
i_tpFactor = input(1.5, "Factor of stop determining target profit")

// Save the strat's equity on the first bar, which is equal to initial capital.
var initialCapital = strategy.equity

// MACD
[macdLine, signalLine, _] = macd(close, 12, 26, 9)

// EMA 200
ema = ema(close, 200)
plot(ema, title="EMA 200", color=color.yellow, linewidth=2)

// LONG CONDITIONS
longCheckCondition = barssince(crossover(macdLine, signalLine))
longCondition1 = longCheckCondition <= 3 ? true : false
longCondition2 = macdLine < 0 and signalLine < 0
longCondition3 = close > ema
longCondition = longCondition1 and longCondition2 and longCondition3 and strategy.opentrades == 0

// STOP LOSS
float longSL = na
longSL := longCondition ? lowest(low, 11)[1] : longSL[1]

// TAKE PROFIT
longEntryPrice = close
longDiffSL = abs(longEntryPrice - longSL)
float longTP = na
longTP := longCondition ? close + (i_tpFactor * longDiffSL) : longTP[1]

positionValue = initialCapital * i_pctStop / (longDiffSL / longEntryPrice)
positionSize = positionValue / longEntryPrice

// ENTRY/EXIT
if longCondition
    strategy.entry("LONG", strategy.long, qty=positionSize)
    strategy.exit("EXIT LONG","LONG", stop=longSL, limit=longTP)

// PLOT STOP LOSS
longPlotSL = strategy.opentrades > 0 and strategy.position_size > 0 ? longSL : na
plot(longPlotSL, title='LONG STOP LOSS', linewidth=2, style=plot.style_linebr, color=color.red)

// PLOT TAKE PROFIT
longPlotTP = strategy.opentrades > 0 and strategy.position_size > 0 ? longTP : na
plot(longPlotTP, title='LONG TAKE PROFIT', linewidth=2, style=plot.style_linebr, color=color.green)

管理风险的好方法.恭喜.

Great way to manage your risk. Congrats.

[2020.09.05 编辑]

[2020.09.05 EDIT]

在编写此解决方案时，我忽略了 strategy.initial_capital.

I overlooked strategy.initial_capital when writing this solution.

var initialCapital = strategy.initial_capital

可以代替:

var initialCapital = strategy.equity

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