「タートルズ流投資の魔術
カーティス・フェイス著」
で紹介されている手法の再現。
６つ目、最後の手法です。
決済がかなり特殊なストラテジーです。
決済の条件は、
「エントリーから80日経過したときのみ」
というもの。
これでも利益が出ることに
本当に驚きました。
（長期のトレンドフォロー
なので分散投資が必須です）
※ コピペする場合は以下の変更を行ってください
［］（全角の角括弧）→（半角の角括弧）
（全角スペース）→（半角スペース）
=====
//@version=3
strategy("Strategy Turtle Time Exit Donchian Trend"
,default_qty_type=strategy.fixed
,default_qty_value=1
,pyramiding=4
,overlay=true)
src = close
len_dc_entry = input(20 ,minval=1 ,title="length of dc entry")
len_ema_m = input(25 ,minval=1 ,title="length of middle ema")
len_ema_l = input(350 ,minval=1 ,title="length of long ema")
MAX_N = input(1 ,type=integer ,minval=1 ,maxval=4 ,title="maximun num of unit")
LO_len = input(20 ,type=integer ,minval=1 ,title="pyramiding ATR length")
LO_N = input(1 ,type=float ,minval=0.5 ,title="pyramiding ATR*N")
Tm_len = input(80 ,type=integer ,minval=1 ,title="timed exit length")
fromYear = input(2005 ,type=integer ,minval=1900 ,title="test start")
endYear = input(2017 ,type=integer ,minval=1900 ,title="test end")
isWork = timestamp(fromYear ,1 ,1 ,00 ,00) <= time and time < timestamp(endYear+1 ,1 ,1 ,00 ,00)
upper_en = highest(high ,len_dc_entry)［1]
lower_en = lowest(low ,len_dc_entry)［1]
ema_m = ema(src ,len_ema_m)
ema_l = ema(src ,len_ema_l)
atr_LO_ = ema(tr ,LO_len)
atr_LO = atr_LO_*LO_N
countTradingDays = na
countNonTradingDays = na
countTradingDays := strategy.position_size==0 ? 0 : countTradingDays［1] + 1
countNonTradingDays := strategy.position_size!=0 ? 0 : countNonTradingDays［1] + 1
entry1 = close
entry2 = close
entry3 = close
entry4 = close
entry1 := strategy.position_size==0 ? na : entry1［1]
entry2 := strategy.position_size==0 ? na : entry2［1]
entry3 := strategy.position_size==0 ? na : entry3［1]
entry4 := strategy.position_size==0 ? na : entry4［1]
lo2 = close
lo3 = close
lo4 = close
lo2 := strategy.position_size==0 ? na : lo2［1]
lo3 := strategy.position_size==0 ? na : lo3［1]
lo4 := strategy.position_size==0 ? na : lo4［1]
L_EntrySig = strategy.position_size==0 and high >= upper_en and ema_m >= ema_l
S_EntrySig = strategy.position_size==0 and low <= lower_en and ema_m <= ema_l
lo_sig2 = strategy.position_size>0 ? lo2 < high : strategy.position_size<0 ? lo2 > low : na
lo_sig3 = strategy.position_size>0 ? lo3 < high : strategy.position_size<0 ? lo3 > low : na
lo_sig4 = strategy.position_size>0 ? lo4 < high : strategy.position_size<0 ? lo4 > low : na
if(strategy.position_size != 0)
TimedSig = countTradingDays >= Tm_len
strategy.close_all(when = TimedSig)
if(TimedSig)
entry1 := na
entry2 := na
entry3 := na
entry4 := na
lo2 := na
lo3 := na
lo4 := na
if(strategy.position_size > 0)
if(lo_sig2 and MAX_N >= 2)
lo2 := na
strategy.entry("L-Entry2" ,strategy.long ,comment="L-Entry2")
if(lo_sig3 and MAX_N >= 3)
lo3 := na
strategy.entry("L-Entry3" ,strategy.long ,comment="L-Entry3")
if(lo_sig4 and MAX_N >= 4)
lo4 := na
strategy.entry("L-Entry4" ,strategy.long ,comment="L-Entry4")
if(strategy.position_size < 0)
if(lo_sig2 and MAX_N >= 2)
lo2 := na
strategy.entry("S-Entry2" ,strategy.short ,comment="S-Entry2")
if(lo_sig3 and MAX_N >= 3)
lo3 := na
strategy.entry("S-Entry3" ,strategy.short ,comment="S-Entry3")
if(lo_sig4 and MAX_N >= 4)
lo4 := na
strategy.entry("S-Entry4" ,strategy.short ,comment="S-Entry4")
if((L_EntrySig or S_EntrySig) and isWork)
countTradingDays := 1
entry1 := close
if(L_EntrySig)
strategy.entry("L-Entry1" ,strategy.long ,comment="L-Entry1")
lo2 := MAX_N >= 2 ? close + atr_LO : na
lo3 := MAX_N >= 3 ? close + atr_LO * 2 : na
lo4 := MAX_N >= 4 ? close + atr_LO * 3 : na
if(S_EntrySig)
strategy.entry("S-Entry1" ,strategy.short ,comment="S-Entry1")
lo2 := MAX_N >= 2 ? close - atr_LO : na
lo3 := MAX_N >= 3 ? close - atr_LO * 2 : na
lo4 := MAX_N >= 4 ? close - atr_LO * 3 : na
plot(strategy.position_size ,transp=0 ,title="保有ポジションの数")
plot(strategy.openprofit ,transp=0 ,title="未決済の損益")
plot(strategy.netprofit ,transp=0 ,title="決済済みの損益")
plot(strategy.closedtrades ,transp=0 ,title="決済済み取引数")
plot(countTradingDays ,transp=0 ,title="取引日数")
plot(countNonTradingDays ,transp=0 ,title="ノンポジ日数")
plot(entry1 ,title="entry1" ,color=blue ,transp=0 ,style=linebr)
plot(lo2 ,title="lo2" ,color=red ,transp=0 ,style=linebr)
plot(lo3 ,title="lo3" ,color=red ,transp=0 ,style=linebr)
plot(lo4 ,title="lo4" ,color=red ,transp=0 ,style=linebr)
plot(atr_LO ,transp=0 ,title="ATR_LO")
// plot(strategy.max_drawdown ,transp=50 ,title="最大DD")
// plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)
p1 = plot(ema_m ,color=#303F9F ,title="ema_m" ,style=line ,linewidth=1, transp=0)
p2 = plot(ema_l ,color=#4CAF50 ,title="ema_l" ,style=line ,linewidth=1, transp=0)
fill(p1 ,p2 ,color=#2196F3 ,title="fill" ,transp=80)
p3 = plot(lower_en ,color=gray ,title="lower_entry" ,style=linebr ,linewidth=1 ,transp=40)
p4 = plot(upper_en ,color=gray ,title="upper_entry" ,style=linebr ,linewidth=1 ,transp=40)
fill(p3 ,p4 ,color=gray ,title="fill" ,transp=90)
=====
カーティス・フェイス著」
で紹介されている手法の再現。
６つ目、最後の手法です。
決済がかなり特殊なストラテジーです。
決済の条件は、
「エントリーから80日経過したときのみ」
というもの。
これでも利益が出ることに
本当に驚きました。
（長期のトレンドフォロー
なので分散投資が必須です）
※ コピペする場合は以下の変更を行ってください
［］（全角の角括弧）→（半角の角括弧）
（全角スペース）→（半角スペース）
=====
//@version=3
strategy("Strategy Turtle Time Exit Donchian Trend"
,default_qty_type=strategy.fixed
,default_qty_value=1
,pyramiding=4
,overlay=true)
src = close
len_dc_entry = input(20 ,minval=1 ,title="length of dc entry")
len_ema_m = input(25 ,minval=1 ,title="length of middle ema")
len_ema_l = input(350 ,minval=1 ,title="length of long ema")
MAX_N = input(1 ,type=integer ,minval=1 ,maxval=4 ,title="maximun num of unit")
LO_len = input(20 ,type=integer ,minval=1 ,title="pyramiding ATR length")
LO_N = input(1 ,type=float ,minval=0.5 ,title="pyramiding ATR*N")
Tm_len = input(80 ,type=integer ,minval=1 ,title="timed exit length")
fromYear = input(2005 ,type=integer ,minval=1900 ,title="test start")
endYear = input(2017 ,type=integer ,minval=1900 ,title="test end")
isWork = timestamp(fromYear ,1 ,1 ,00 ,00) <= time and time < timestamp(endYear+1 ,1 ,1 ,00 ,00)
upper_en = highest(high ,len_dc_entry)［1]
lower_en = lowest(low ,len_dc_entry)［1]
ema_m = ema(src ,len_ema_m)
ema_l = ema(src ,len_ema_l)
atr_LO_ = ema(tr ,LO_len)
atr_LO = atr_LO_*LO_N
countTradingDays = na
countNonTradingDays = na
countTradingDays := strategy.position_size==0 ? 0 : countTradingDays［1] + 1
countNonTradingDays := strategy.position_size!=0 ? 0 : countNonTradingDays［1] + 1
entry1 = close
entry2 = close
entry3 = close
entry4 = close
entry1 := strategy.position_size==0 ? na : entry1［1]
entry2 := strategy.position_size==0 ? na : entry2［1]
entry3 := strategy.position_size==0 ? na : entry3［1]
entry4 := strategy.position_size==0 ? na : entry4［1]
lo2 = close
lo3 = close
lo4 = close
lo2 := strategy.position_size==0 ? na : lo2［1]
lo3 := strategy.position_size==0 ? na : lo3［1]
lo4 := strategy.position_size==0 ? na : lo4［1]
L_EntrySig = strategy.position_size==0 and high >= upper_en and ema_m >= ema_l
S_EntrySig = strategy.position_size==0 and low <= lower_en and ema_m <= ema_l
lo_sig2 = strategy.position_size>0 ? lo2 < high : strategy.position_size<0 ? lo2 > low : na
lo_sig3 = strategy.position_size>0 ? lo3 < high : strategy.position_size<0 ? lo3 > low : na
lo_sig4 = strategy.position_size>0 ? lo4 < high : strategy.position_size<0 ? lo4 > low : na
if(strategy.position_size != 0)
TimedSig = countTradingDays >= Tm_len
strategy.close_all(when = TimedSig)
if(TimedSig)
entry1 := na
entry2 := na
entry3 := na
entry4 := na
lo2 := na
lo3 := na
lo4 := na
if(strategy.position_size > 0)
if(lo_sig2 and MAX_N >= 2)
lo2 := na
strategy.entry("L-Entry2" ,strategy.long ,comment="L-Entry2")
if(lo_sig3 and MAX_N >= 3)
lo3 := na
strategy.entry("L-Entry3" ,strategy.long ,comment="L-Entry3")
if(lo_sig4 and MAX_N >= 4)
lo4 := na
strategy.entry("L-Entry4" ,strategy.long ,comment="L-Entry4")
if(strategy.position_size < 0)
if(lo_sig2 and MAX_N >= 2)
lo2 := na
strategy.entry("S-Entry2" ,strategy.short ,comment="S-Entry2")
if(lo_sig3 and MAX_N >= 3)
lo3 := na
strategy.entry("S-Entry3" ,strategy.short ,comment="S-Entry3")
if(lo_sig4 and MAX_N >= 4)
lo4 := na
strategy.entry("S-Entry4" ,strategy.short ,comment="S-Entry4")
if((L_EntrySig or S_EntrySig) and isWork)
countTradingDays := 1
entry1 := close
if(L_EntrySig)
strategy.entry("L-Entry1" ,strategy.long ,comment="L-Entry1")
lo2 := MAX_N >= 2 ? close + atr_LO : na
lo3 := MAX_N >= 3 ? close + atr_LO * 2 : na
lo4 := MAX_N >= 4 ? close + atr_LO * 3 : na
if(S_EntrySig)
strategy.entry("S-Entry1" ,strategy.short ,comment="S-Entry1")
lo2 := MAX_N >= 2 ? close - atr_LO : na
lo3 := MAX_N >= 3 ? close - atr_LO * 2 : na
lo4 := MAX_N >= 4 ? close - atr_LO * 3 : na
plot(strategy.position_size ,transp=0 ,title="保有ポジションの数")
plot(strategy.openprofit ,transp=0 ,title="未決済の損益")
plot(strategy.netprofit ,transp=0 ,title="決済済みの損益")
plot(strategy.closedtrades ,transp=0 ,title="決済済み取引数")
plot(countTradingDays ,transp=0 ,title="取引日数")
plot(countNonTradingDays ,transp=0 ,title="ノンポジ日数")
plot(entry1 ,title="entry1" ,color=blue ,transp=0 ,style=linebr)
plot(lo2 ,title="lo2" ,color=red ,transp=0 ,style=linebr)
plot(lo3 ,title="lo3" ,color=red ,transp=0 ,style=linebr)
plot(lo4 ,title="lo4" ,color=red ,transp=0 ,style=linebr)
plot(atr_LO ,transp=0 ,title="ATR_LO")
// plot(strategy.max_drawdown ,transp=50 ,title="最大DD")
// plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)
p1 = plot(ema_m ,color=#303F9F ,title="ema_m" ,style=line ,linewidth=1, transp=0)
p2 = plot(ema_l ,color=#4CAF50 ,title="ema_l" ,style=line ,linewidth=1, transp=0)
fill(p1 ,p2 ,color=#2196F3 ,title="fill" ,transp=80)
p3 = plot(lower_en ,color=gray ,title="lower_entry" ,style=linebr ,linewidth=1 ,transp=40)
p4 = plot(upper_en ,color=gray ,title="upper_entry" ,style=linebr ,linewidth=1 ,transp=40)
fill(p3 ,p4 ,color=gray ,title="fill" ,transp=90)
=====
