我如何使用经过回溯测试的策略进行实际交易?提供示例代码 [英] How do I use a strategy that I've backtested to actually trade with? Example code is provided

问题描述

我找到了一些公共策略，并使用它们作为指导来加深我对 pine 脚本的理解.我将粘贴我要更改的脚本.

I've found some public strategies and am using them as a guide to develop my understanding of pine script. I will paste the script I am trying to alter.

我对 pine 脚本和一般编码非常陌生，但我了解编码的一般思想，并且似乎正在学习 pine 脚本的语法.

I'm very new to pine script and coding in general, but I understand the general ideas of coding and seem to be picking up pine script's syntax.

代码如下:

//@version=3
strategy("Moving Average and/or Bbands bot V1.1", shorttitle="Strategy", overlay=true, pyramiding=1000)

//Make the backtest numbers more legible depending on the market you're trading, altcoin, forex, or commodities.
qty = 1

// If you're trading an altcoin, make this true and the backtest numbers are now equivalent to 1 satoshi
isALT = input(false, "Altcoin")

if isALT
    qty:= 100000000

// If you're trading forex, make this true and the backtest numbers are now equivalent to $0.0001
isForex = input(false, "Forex")
if isForex
    qty:= 10000

//* Backtesting Period Selector | Component *//
//* https://www.tradingview.com/script/eCC1cvxQ-Backtesting-Period-Selector-Component *//
//* https://www.tradingview.com/u/pbergden/ *//
//* Modifications made *//
testStartYear = input(1, "Backtest Start Year") 
testStartMonth = input(8, "Backtest Start Month")
testStartDay = input(25, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = input(999999, "Backtest Stop Year")
testStopMonth = input(9, "Backtest Stop Month")
testStopDay = input(26, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

testPeriod() =>
    time >= testPeriodStart and time <= testPeriodStop ? true : false
/////////////// END - Backtesting Period Selector | Component ///////////////

//* Heiken Ashi Candles *//
isHA = false

data = isHA ? heikenashi(tickerid) : tickerid

o = security(data, period, open)
h = security(data, period, high)
l = security(data, period, low)
c = security(data, period, close)

g = c > o
r = c < o

col = c > o ? green : red

plotcandle(o, h, l, c, "Heiken Ashi", col, black)

//Initial open logic, needs to be set at the beginning as this is affected by most of the following settings
long = na
short = na 

//* Moving Average Logic *\\
// Enable this to only long or short if you are above or below the Moving Average
useMA = input(true, "Use Moving Average Cross")
ma1Input = input(50, "Moving Average 1")
ma2Input = input(200, "Moving Average 2")

ma1 = sma(c, ma1Input)
ma2 = sma(c, ma2Input)

maLong = c > ma1 and ma1 > ma2
maShort = c < ma1 and ma1 < ma2

ma1Plot = na
ma2Plot = na

if useMA
    ma1Plot := ma1
    ma2Plot := ma2
    long := maLong
    short := maShort

plot(ma1Plot, "ma1", blue)
plot(ma2Plot, "ma2", orange)

//* Bollinger Bands Logic *\\
// Enable this to only long or short if you are above or below the Bollinger Bands

useBbands = input(false, "Use Bollinger Bands")

bblength = input(20, minval=1)
mult = input(2.0, minval=0.001, maxval=50)
basis = sma(c, bblength)
dev = mult * stdev(c, bblength)
upper = basis + dev
lower = basis - dev

basisPlot = na
p1Plot = na
p2Plot = na

if useBbands
    long := c < lower
    short := c > upper
    basisPlot := basis
    p1Plot := upper
    p2Plot := lower

if useBbands and useMA
    long := c < lower and maLong
    short := c > upper and maShort

plot(basisPlot, color=red)
p1 = plot(p1Plot, color=blue)
p2 = plot(p2Plot, color=blue)
fill(p1, p2)

//////////////////////////
//* Strategy Component *//
//////////////////////////

// Count your long short conditions for more control with Pyramiding
sectionLongs = 0
sectionLongs := nz(sectionLongs[1])
sectionShorts = 0
sectionShorts := nz(sectionShorts[1])

if long
    sectionLongs := sectionLongs + 1
    sectionShorts := 0

if short
    sectionLongs := 0
    sectionShorts := sectionShorts + 1

// Pyramiding Inputs

pyrl = input(1, "Pyramiding less than") // If your count is less than this number
pyre = input(0, "Pyramiding equal to") // If your count is equal to this number
pyrg = input(1000000, "Pyramiding greater than") // If your count is greater than this number

// These check to see your signal and cross references it against the pyramiding settings above
longCondition = long and sectionLongs <= pyrl or long and sectionLongs >= pyrg or long and sectionLongs == pyre
shortCondition = short and sectionShorts <= pyrl or short and sectionShorts >= pyrg or short and sectionShorts == pyre

// Get the price of the last opened long or short
last_open_longCondition = na
last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])

// Count your actual opened positions for things like getting your average order price
sectionLongConditions = 0
sectionLongConditions := nz(sectionLongConditions[1])
sectionShortConditions = 0
sectionShortConditions := nz(sectionShortConditions[1])

if longCondition
    sectionLongConditions := sectionLongConditions + 1
    sectionShortConditions := 0

if shortCondition
    sectionLongConditions := 0
    sectionShortConditions := sectionShortConditions + 1

// Check if your last postion was a long or a short
last_longCondition = na
last_shortCondition = na
last_longCondition := longCondition ? time : nz(last_longCondition[1])
last_shortCondition := shortCondition ? time : nz(last_shortCondition[1])

in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition

// Keep track of the highest high since you last opened a position
last_high = na
last_low = na
last_high_short = na
last_low_short = na
last_high := not in_longCondition ? na : in_longCondition and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_high_short := not in_shortCondition ? na : in_shortCondition and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low := not in_shortCondition ? na : in_shortCondition and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
last_low_short := not in_longCondition ? na : in_longCondition and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])

// Trailing Stop
isTS = input(false, "Trailing Stop")
tsi = input(0, "Activate Trailing Stop Price") / qty
ts = input(0, "Trailing Stop") / qty
long_ts = isTS and not na(last_high) and crossunder(low, last_high - ts) and longCondition == 0 and high >= (last_open_longCondition + tsi)
short_ts = isTS and not na(last_low) and crossover(high, last_low + ts) and shortCondition == 0 and low <= (last_open_shortCondition - tsi)
tsColor = isTS and in_longCondition and last_high >= (last_open_longCondition + tsi) ? blue : isTS and in_shortCondition and last_low <= (last_open_shortCondition - tsi) ? blue : white
tsiColor = isTS and in_longCondition and last_high >= (last_open_longCondition + tsi) ? white : isTS and in_shortCondition and last_low <= (last_open_shortCondition - tsi) ? white : blue
plot(isTS and in_longCondition ? last_open_longCondition + tsi : na, "Long Trailing", tsiColor, style=3, linewidth=2)
plot(isTS and in_shortCondition ? last_open_shortCondition - tsi : na, "Short Trailing", tsiColor, style=3, linewidth=2)
plot(isTS and in_longCondition and last_high >= (last_open_longCondition + tsi) ? last_high - ts : na, "Long Trailing", tsColor, style=2, linewidth=2)
plot(isTS and in_shortCondition and last_low <= (last_open_shortCondition - tsi) ? last_low + ts : na, "Short Trailing", tsColor, style=2, linewidth=2)

// Take profit
isTP = input(false, "Take Profit")
tp = input(0, "Take Profit") / qty
long_tp = isTP and crossover(high, last_open_longCondition + tp) and longCondition == 0
short_tp = isTP and crossunder(low, last_open_shortCondition - tp) and shortCondition == 0
tpColor = isTP and in_longCondition ? purple : isTP and in_shortCondition ? purple : white
plot(isTP and in_longCondition and last_high < last_open_longCondition + tp ? last_open_longCondition + tp : na, "Long TP", tpColor, style=3, linewidth=2)
plot(isTP and in_shortCondition and last_low > last_open_shortCondition - tp ? last_open_shortCondition - tp : na, "Short TP", tpColor, style=3, linewidth=2)

// Stop Loss
isSL = input(false, "Stop Loss")
sl = input(0, "Stop Loss") / qty
long_sl = isSL and crossunder(low, last_open_longCondition - sl) and longCondition == 0
short_sl = isSL and crossover(high, last_open_shortCondition + sl) and shortCondition == 0
slColor = isSL and in_longCondition and last_low_short > last_open_longCondition - sl ? red : isSL and in_shortCondition and last_high_short < last_open_shortCondition + sl ? red : white
plot(isSL and in_longCondition ? last_open_longCondition - sl : na, "Long SL", slColor, style=3, linewidth=2)
plot(isSL and in_shortCondition ? last_open_shortCondition + sl : na, "Short SL", slColor, style=3, linewidth=2)

// Margin Call. Depending on your leverage, this will mimick a margin call at -80%.
isMargin = input(false, "Margin Call")
leverage = input(1, "Leverage")
long_call = last_open_longCondition - (0.8 + 0.2 * (1/leverage)) / leverage * last_open_longCondition
short_call = last_open_shortCondition + (0.78 + 0.2 * (1/leverage)) / leverage * last_open_shortCondition
long_call_signal = isMargin and crossunder(low, long_call)
short_call_signal = isMargin and crossunder(high, short_call)
marginColor = isMargin and in_longCondition and last_low_short > long_call ? black : isMargin and in_shortCondition and last_high_short < short_call ? black : white
plot(isMargin and in_longCondition ? long_call : na, "Long Margin", marginColor, style=3, linewidth=2)
plot(isMargin and in_shortCondition ? short_call : na, "Short Margin", marginColor, style=3, linewidth=2)

// Get the average price of your open positions and plot them
totalLongs = 0.0
totalLongs := nz(totalLongs[1])
totalShorts = 0.0
totalShorts := nz(totalShorts[1])
averageLongs = 0.0
averageLongs := nz(averageLongs[1])
averageShorts = 0.0
averageShorts := nz(averageShorts[1]) 

if longCondition
    totalLongs := totalLongs + last_open_longCondition
    totalShorts := 0.0

if shortCondition
    totalLongs := 0.0
    totalShorts := totalShorts + last_open_shortCondition

averageLongs := totalLongs / sectionLongConditions
averageShorts := totalShorts / sectionShortConditions

longProfit = averageLongs > 0 and close >= averageLongs ? green : red
shortProfit = averageShorts > 0 and close <= averageShorts ? green : red

plot1 = plot(averageLongs > 0 ? averageLongs : na, color=white)
plot2 = plot(close, color=white)
plot3 = plot(averageShorts > 0 ? averageShorts : na, color=white)

fill(plot1, plot2, color=longProfit, transp=50)
fill(plot2, plot3, color=shortProfit, transp=50)

//Enable this to double your order size every time your pyramid on top of an existing position. (Martingale strategy)
// useMartin = input(true, "Martingale")

// longMartin = 0
// longMartin := nz(longMartin[1])
// shortMartin = 0
// shortMartin := nz(shortMartin[1])

// // Check to see if this is our first order, set the order qty to 1
// if longCondition and sectionLongConditions == 1
//     longMartin := longMartin + 1
//     shortMartin := 0
// if shortCondition and sectionShortConditions == 1
//     longMartin := 0
//     shortMartin := shortMartin + 1

// confirm that this order is being added to an existing order
// if longCondition and sectionLongConditions > 1
//     longMartin := longMartin * 2
// if shortCondition and sectionShortConditions > 1
//     shortMartin := shortMartin * 2

// Close Conditions amalgamation for cleaner plots and signals
// Define the plot colors for each close condition
longCloseCol = na
shortCloseCol = na
longCloseCol := long_tp ? purple : long_sl ? maroon : long_ts ? blue : long_call_signal ? black : longCloseCol[1]
shortCloseCol := short_tp ? purple : short_sl ? maroon : short_ts ? blue : short_call_signal ? black : shortCloseCol[1]

// Create a single close for all the different closing conditions.
long_close = long_tp or long_sl or long_ts or long_call_signal ? 1 : 0
short_close = short_tp or short_sl or short_ts or short_call_signal ? 1 : 0

// Get the time of the last close
last_long_close = na
last_short_close = na
last_long_close := long_close ? time : nz(last_long_close[1])
last_short_close := short_close ? time : nz(last_short_close[1])

// Check for a close since your last open.
if long_close and last_long_close[1] > last_longCondition
    long_close := 0
if short_close and last_short_close[1] > last_shortCondition
    short_close := 0

if testPeriod()
    strategy.entry("Long", strategy.long, qty=qty, when=longCondition)
    strategy.entry("Short", strategy.short, qty=qty, when=shortCondition)

    strategy.close("Long", when=long_close)
    strategy.close("Short", when=short_close)

代码结束.

我想在我的交易账户(无论是模拟交易还是 Poloniex)中使用此策略，而不是对其当前设置的回测.

I would like to use this strategy moving forward with my trading account, be it Paper Trading or Poloniex, instead of backtesting it, for which it is currently set.

推荐答案

您可以在策略模式下按原样运行它.由于您的 strategy() 调用中没有 calc_on_every_tick=true，信号将在实时柱线收盘时触发.

You could just run it as it is, in strategy mode. Signals will trigger on the close of the realtime bar as you don't have calc_on_every_tick=true in your strategy() call.

如果您希望脚本生成警报，则需要将其作为研究运行.这是您的脚本的修改版本，现在作为研究(又名指标)运行，带有标记在策略信号上的标记，因为当脚本作为研究运行时，您将不会获得回测的进入/退出标记，并且正确的 alertcondition() 调用，以便您可以从脚本创建警报.如果这样做，请将警报配置为触发每条柱关闭一次，这样您就不会收到错误警报.

If you want the script to generate alerts, then it needs to run as a study. Here's a modified version of your script that now runs as a study (a.k.a. indicator), with markers that plot on the strat's signals, as you won't be getting the backtesting's entry/exit marks when the script is running as a study, and the proper alertcondition() calls so you can create alerts from the script. If you do, configure your alerts to trigger Once Per Bar Close so you don't get false alerts.

更改仅限于脚本的开头和结尾.按照顶部评论中的说明从学习模式切换到策略模式:https://pastebin.com/Wx5ru5zG

Changes are limited to beginning and end of the script. Follow the instructions in the comments at the top to flip from study to strategy mode: https://pastebin.com/Wx5ru5zG

这篇关于我如何使用经过回溯测试的策略进行实际交易?提供示例代码的文章就介绍到这了，希望我们推荐的答案对大家有所帮助，也希望大家多多支持IT屋！