今日は、以下の機能を実装してみました。
①．損切りの損失を資金のN％とする取引量を算出
②．レバレッジを考慮した取引量を算出
③．②を上限として①の取引量でトレードする
まず、①の算出ですが、
このストラテジーは損切り幅が明確なので、
以下の計算式で算出することができます。
/////////////////
// 損切り幅を算出
range = abs( close - target01_sl )
//「１トレードに当てる資金 ／ 損切り幅」で取引量を算出
// 同時に、round( 取引量 /lot ) * lot で取引単位（1000通貨等）に四捨五入してる
amount = round( unit_value / range / lot ) * lot
/////////////////
次に②の算出です。
これは、どういうことをするかというと、
「あるレバレッジで取引できる最大の取引量を算出する」
ということです。
これは、以下の計算式で算出します。
/////////////////
max_amount = floor( ( balance - unit_value * 1.1 ) / ( close / reverge ) )
/////////////////
まず、「close / reverage」で１通貨あたりの証拠金を求めます。
（ドル円が100円でレバ25倍なら、１通貨の証拠金は４円）
あとは、現在の残高で何通貨取引できるかを算出すれば良いので、
「balance / １通貨の証拠金」とすれば良いですね。
その他の細かな調整として、小数点以下を切り捨てたり（floor）、
そのトレードが損失だったとしても強制ロスカットにならないように
「balance - unit_value * 1.1」を算出したりしています。
５分足でのストラテジーを目指しているので、
このあたりはできるだけリアルにしていく必要があります。
※ 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=4
strategy( title='ZigZag PA Strategy 勉強中', shorttitle='S', overlay=true, pyramiding=0, initial_capital=100000 )
dev_threshold = input( title="Deviation (%)", type=input.float, defval=0, minval=0, maxval=100 )
depth = input( title="Depth", type=input.integer, defval=6, minval=1, maxval=10 )
//**
//* depth -> length -> zero
//* lengthが最高値・最安値であるかを確認
//* trueならbar_indexと価格を返す
//*
pivots(src, length, isHigh) =>
p = nz(src［length］)
if length == 0
［bar_index, p］
else
isFound = true
for i = 0 to length - 1
if isHigh and src［i］ > p
isFound := false
if not isHigh and src［i］ < p
isFound := false
for i = length + 1 to 2 * length
if isHigh and src［i］ >= p
isFound := false
if not isHigh and src［i］ <= p
isFound := false
if isFound and length * 2 <= bar_index
［bar_index［length］, p］
else
［int(na), float(na)］
［iH, pH］ = pivots( high, floor(depth / 2), true )
［iL, pL］ = pivots( low, floor(depth / 2), false )
// 変化率を算出する関数
calc_dev(base_price, price) =>
100 * (price - base_price) / base_price
// 前回のpivotの情報を格納
var line lineLast = na // lineのid (実際はidではなく識別している何か)
var float pLast = 0 // price
var bool isHighLast = true // High か Low か
var int linesCount = 0
var bool isNewPivot = false
// pivotを確認する関数
pivotFound(dev, isHigh, price) =>
if linesCount == 0
［line(na), isHigh, true］
else
if abs(dev) >= dev_threshold
［line(na), isHigh, true］
else
［line(na), isHighLast, false］
// 描画処理
if not na(pH) and not na(pL) and pH == pL
dev1 = calc_dev(pLast, pH)
［id2, isHigh2, isNew2］ = pivotFound(dev1, true, pH)
if isNew2
linesCount := linesCount + 1
isHighLast := isHigh2
isNewPivot := true
pLast := pH
dev2 = calc_dev(pLast, pL)
［id1, isHigh1, isNew1］ = pivotFound(dev2, false, pL)
if isNew1
linesCount := linesCount + 1
isHighLast := isHigh1
isNewPivot := true
pLast := pL
else
if not na(pH)
dev1 = calc_dev(pLast, pH)
［id, isHigh, isNew］ = pivotFound(dev1, true, pH)
if isNew
linesCount := linesCount + 1
isHighLast := isHigh
isNewPivot := true
pLast := pH
else
if not na(pL)
dev2 = calc_dev(pLast, pL)
［id, isHigh, isNew］ = pivotFound(dev2, false, pL)
if isNew
linesCount := linesCount + 1
isHighLast := isHigh
isNewPivot := true
pLast := pL
// 追加箇所
zigzag = pLast［1］!=pLast ? pLast : na
plot( zigzag ,color=color.red ,linewidth=3 ,title='zigzag' ,offset=-1*floor(depth / 2) )
bgcolor( isHighLast ? color.gray : color.white ,offset=-1*floor(depth / 2) )
// ジグザグが発生したときのジグザグの値を取得
float x = na
float a = na
float b = na
float c = na
float d = na
exist_zigzag = not na( zigzag ) and not isHighLast==isHighLast［1］
repaint = not na( zigzag ) and isHighLast==isHighLast［1］
x := exist_zigzag ? a［1］ : x［1］
a := exist_zigzag ? b［1］ : a［1］
b := exist_zigzag ? c［1］ : b［1］
c := exist_zigzag ? d［1］ : c［1］
d := exist_zigzag ? zigzag
: not repaint ? d［1］
: isHighLast and pLast > pLast［1］ ? zigzag
: not isHighLast and pLast < pLast［1］ ? zigzag
: d［1］
showPatterns = input( true, title='Show Patterns' )
showFib0000 = input( title='Display Fibonacci 0.000:', type=input.bool, defval=true )
showFib0236 = input( title='Display Fibonacci 0.236:', type=input.bool, defval=true )
showFib0382 = input( title='Display Fibonacci 0.382:', type=input.bool, defval=true )
showFib0500 = input( title='Display Fibonacci 0.500:', type=input.bool, defval=true )
showFib0618 = input( title='Display Fibonacci 0.618:', type=input.bool, defval=true )
showFib0764 = input( title='Display Fibonacci 0.764:', type=input.bool, defval=true )
showFib1000 = input( title='Display Fibonacci 1.000:', type=input.bool, defval=true )
fib_range = abs(d-c)
fib_0000 = not showFib0000 ? na : d > c ? d - ( fib_range * 0.000 ) : d + ( fib_range * 0.000 )
fib_0236 = not showFib0236 ? na : d > c ? d - ( fib_range * 0.236 ) : d + ( fib_range * 0.236 )
fib_0382 = not showFib0382 ? na : d > c ? d - ( fib_range * 0.382 ) : d + ( fib_range * 0.382 )
fib_0500 = not showFib0500 ? na : d > c ? d - ( fib_range * 0.500 ) : d + ( fib_range * 0.500 )
fib_0618 = not showFib0618 ? na : d > c ? d - ( fib_range * 0.618 ) : d + ( fib_range * 0.618 )
fib_0764 = not showFib0764 ? na : d > c ? d - ( fib_range * 0.764 ) : d + ( fib_range * 0.764 )
fib_1000 = not showFib1000 ? na : d > c ? d - ( fib_range * 1.000 ) : d + ( fib_range * 1.000 )
plot( title='Fib 0.000', series=fib_0000 ,color=fib_0000 != fib_0000［1］ ? na : color.black ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.236', series=fib_0236 ,color=fib_0236 != fib_0236［1］ ? na : color.red ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.382', series=fib_0382 ,color=fib_0382 != fib_0382［1］ ? na : color.olive ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.500', series=fib_0500 ,color=fib_0500 != fib_0500［1］ ? na : color.lime ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.618', series=fib_0618 ,color=fib_0618 != fib_0618［1］ ? na : color.teal ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.764', series=fib_0764 ,color=fib_0764 != fib_0764［1］ ? na : color.blue ,offset=-1*floor(depth / 2) )
plot( title='Fib 1.000', series=fib_1000 ,color=fib_1000 != fib_1000［1］ ? na : color.black ,offset=-1*floor(depth / 2) )
xab = ( abs( b - a ) / abs( x - a ) )
xad = ( abs( a - d ) / abs( x - a ) )
abc = ( abs( b - c ) / abs( a - b ) )
bcd = ( abs( c - d ) / abs( b - c ) )
// ５つの点の比率からパターンを判断する関数
isBat(_mode)=>
_xab = xab >= 0.382 and xab <= 0.5
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.618 and bcd <= 2.618
_xad = xad <= 0.618 and xad <= 1.000 // 0.886
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiBat(_mode)=>
_xab = xab >= 0.500 and xab <= 0.886 // 0.618
_abc = abc >= 1.000 and abc <= 2.618 // 1.13 --> 2.618
_bcd = bcd >= 1.618 and bcd <= 2.618 // 2.0 --> 2.618
_xad = xad >= 0.886 and xad <= 1.000 // 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAltBat(_mode)=>
_xab = xab <= 0.382
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 2.0 and bcd <= 3.618
_xad = xad <= 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isButterfly(_mode)=>
_xab = xab <= 0.786
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.618 and bcd <= 2.618
_xad = xad >= 1.27 and xad <= 1.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiButterfly(_mode)=>
_xab = xab >= 0.236 and xab <= 0.886 // 0.382 - 0.618
_abc = abc >= 1.130 and abc <= 2.618 // 1.130 - 2.618
_bcd = bcd >= 1.000 and bcd <= 1.382 // 1.27
_xad = xad >= 0.500 and xad <= 0.886 // 0.618 - 0.786
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isABCD(_mode)=>
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.13 and bcd <= 2.618
_abc and _bcd and (_mode == 1 ? d < c : d > c)
isGartley(_mode)=>
_xab = xab >= 0.5 and xab <= 0.618 // 0.618
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.13 and bcd <= 2.618
_xad = xad >= 0.75 and xad <= 0.875 // 0.786
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiGartley(_mode)=>
_xab = xab >= 0.500 and xab <= 0.886 // 0.618 -> 0.786
_abc = abc >= 1.000 and abc <= 2.618 // 1.130 -> 2.618
_bcd = bcd >= 1.500 and bcd <= 5.000 // 1.618
_xad = xad >= 1.000 and xad <= 5.000 // 1.272
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isCrab(_mode)=>
_xab = xab >= 0.500 and xab <= 0.875 // 0.886
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 2.000 and bcd <= 5.000 // 3.618
_xad = xad >= 1.382 and xad <= 5.000 // 1.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiCrab(_mode)=>
_xab = xab >= 0.250 and xab <= 0.500 // 0.276 -> 0.446
_abc = abc >= 1.130 and abc <= 2.618 // 1.130 -> 2.618
_bcd = bcd >= 1.618 and bcd <= 2.618 // 1.618 -> 2.618
_xad = xad >= 0.500 and xad <= 0.750 // 0.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isShark(_mode)=>
_xab = xab >= 0.500 and xab <= 0.875 // 0.5 --> 0.886
_abc = abc >= 1.130 and abc <= 1.618 //
_bcd = bcd >= 1.270 and bcd <= 2.240 //
_xad = xad >= 0.886 and xad <= 1.130 // 0.886 --> 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiShark(_mode)=>
_xab = xab >= 0.382 and xab <= 0.875 // 0.446 --> 0.618
_abc = abc >= 0.500 and abc <= 1.000 // 0.618 --> 0.886
_bcd = bcd >= 1.250 and bcd <= 2.618 // 1.618 --> 2.618
_xad = xad >= 0.500 and xad <= 1.250 // 1.130 --> 1.130
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
is5o(_mode)=>
_xab = xab >= 1.13 and xab <= 1.618
_abc = abc >= 1.618 and abc <= 2.24
_bcd = bcd >= 0.5 and bcd <= 0.625 // 0.5
_xad = xad >= 0.0 and xad <= 0.236 // negative?
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isWolf(_mode)=>
_xab = xab >= 1.27 and xab <= 1.618
_abc = abc >= 0 and abc <= 5
_bcd = bcd >= 1.27 and bcd <= 1.618
_xad = xad >= 0.0 and xad <= 5
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isHnS(_mode)=>
_xab = xab >= 2.0 and xab <= 10
_abc = abc >= 0.90 and abc <= 1.1
_bcd = bcd >= 0.236 and bcd <= 0.88
_xad = xad >= 0.90 and xad <= 1.1
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isConTria(_mode)=>
_xab = xab >= 0.382 and xab <= 0.618
_abc = abc >= 0.382 and abc <= 0.618
_bcd = bcd >= 0.382 and bcd <= 0.618
_xad = xad >= 0.236 and xad <= 0.764
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isExpTria(_mode)=>
_xab = xab >= 1.236 and xab <= 1.618
_abc = abc >= 1.000 and abc <= 1.618
_bcd = bcd >= 1.236 and bcd <= 2.000
_xad = xad >= 2.000 and xad <= 2.236
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
// 売りパターンが出現したところに印を表示
plotshape( not showPatterns ? na : isABCD(-1) and not isABCD(-1)［1］, text="\nAB=CD", title='Bear ABCD', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0, offset=-2 )
plotshape( not showPatterns ? na : isBat(-1) and not isBat(-1)［1］, text="Bat", title='Bear Bat', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0, offset=-2 )
plotshape( not showPatterns ? na : isAntiBat(-1) and not isAntiBat(-1)［1］, text="Anti Bat", title='Bear Anti Bat', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0, offset=-2 )
plotshape( not showPatterns ? na : isAltBat(-1) and not isAltBat(-1)［1］, text="Alt Bat", title='Bear Alt Bat', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isButterfly(-1) and not isButterfly(-1)［1］, text="Butterfly", title='Bear Butterfly', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isAntiButterfly(-1) and not isAntiButterfly(-1)［1］, text="Anti Butterfly", title='Bear Anti Butterfly', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isGartley(-1) and not isGartley(-1)［1］, text="Gartley", title='Bear Gartley', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isAntiGartley(-1) and not isAntiGartley(-1)［1］, text="Anti Gartley", title='Bear Anti Gartley', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isCrab(-1) and not isCrab(-1)［1］, text="Crab", title='Bear Crab', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isAntiCrab(-1) and not isAntiCrab(-1)［1］, text="Anti Crab", title='Bear Anti Crab', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isShark(-1) and not isShark(-1)［1］, text="Shark", title='Bear Shark', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isAntiShark(-1) and not isAntiShark(-1)［1］, text="Anti Shark", title='Bear Anti Shark', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : is5o(-1) and not is5o(-1)［1］, text="5-O", title='Bear 5-O', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isWolf(-1) and not isWolf(-1)［1］, text="Wolf Wave", title='Bear Wolf Wave', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isHnS(-1) and not isHnS(-1)［1］, text="Head and Shoulders", title='Bear Head and Shoulders', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isConTria(-1) and not isConTria(-1)［1］, text="Contracting Triangle", title='Bear Contracting triangle', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isExpTria(-1) and not isExpTria(-1)［1］, text="Expanding Triangle", title='Bear Expanding Triangle', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
// 買いパターンが出現したところに印を表示
plotshape( not showPatterns ? na : isABCD(1) and not isABCD(1)［1］, text="AB=CD\n", title='Bull ABCD', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isBat(1) and not isBat(1)［1］, text="Bat", title='Bull Bat', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiBat(1) and not isAntiBat(1)［1］, text="Anti Bat", title='Bull Anti Bat', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAltBat(1) and not isAltBat(1)［1］, text="Alt Bat", title='Bull Alt Bat', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isButterfly(1) and not isButterfly(1)［1］, text="Butterfly", title='Bull Butterfly', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiButterfly(1) and not isAntiButterfly(1)［1］, text="Anti Butterfly", title='Bull Anti Butterfly', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isGartley(1) and not isGartley(1)［1］, text="Gartley", title='Bull Gartley', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiGartley(1) and not isAntiGartley(1)［1］, text="Anti Gartley", title='Bull Anti Gartley', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isCrab(1) and not isCrab(1)［1］, text="Crab", title='Bull Crab', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiCrab(1) and not isAntiCrab(1)［1］, text="Anti Crab", title='Bull Anti Crab', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isShark(1) and not isShark(1)［1］, text="Shark", title='Bull Shark', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiShark(1) and not isAntiShark(1)［1］, text="Anti Shark", title='Bull Anti Shark', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : is5o(1) and not is5o(1)［1］, text="5-O", title='Bull 5-O', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isWolf(1) and not isWolf(1)［1］, text="Wolf Wave", title='Bull Wolf Wave', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isHnS(1) and not isHnS(1)［1］, text="Head and Shoulders", title='Bull Head and Shoulders', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isConTria(1) and not isConTria(1)［1］, text="Contracting Triangle", title='Bull Contracting Triangle', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isExpTria(1) and not isExpTria(1)［1］, text="Expanding Triangle", title='Bull Expanding Triangle', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
//
// 売買のロジック
////
fromY = input( 1900 ,type=input.integer ,minval=1900 ,title="test start year" )
fromM = input( 1 ,type=input.integer ,minval=1 ,maxval=12 ,title="test start month" )
fromD = input( 1 ,type=input.integer ,minval=1 ,maxval=31 ,title="test start date" )
endY = input( 3000 ,type=input.integer ,minval=1900 ,title="test end year" )
endM = input( 1 ,type=input.integer ,minval=1 ,maxval=12 ,title="test end month" )
endD = input( 1 ,type=input.integer ,minval=1 ,maxval=31 ,title="test end date" )
isWork = timestamp( fromY ,fromM ,fromD ,00 ,00 ) <= time and time < timestamp( endY ,endM ,endD ,00 ,00 )
cash_bool = input( true ,title="amount management" )
Unit_pct = input( 0.1 ,title="percent of unit value" )
lot = input( 1 ,title="lot" ,minval=1 )
reverge = input( 50 ,title="Reverge" ,minval=1 )
atr = ema( tr ,20 )［1］
balance = strategy.initial_capital + strategy.netprofit
unit_value = balance * Unit_pct
float max_amount = na
float amount = na
//「fib_rangeに対する指定された比率の幅」を返す関数
f_last_fib( _rate ) => d > c ? d - ( fib_range * _rate ) : d + ( fib_range * _rate )
target01_ew_rate = input( defval=0.236 ,title='Target Fib. Rate to use for Entry Window:', type=input.float )
target01_tp_rate = input( defval=0.5 ,title='Target Fib. Rate to use for TP:', type=input.float )
target01_sl_rate = input( defval=-0.618 ,title='Target Fib. Rate to use for SL:', type=input.float )
target01_ew = f_last_fib( target01_ew_rate )
target01_sl = f_last_fib( target01_sl_rate )
buy_patterns_00 = isABCD(1) or isBat(1) or isAltBat(1) or isButterfly(1) or isGartley(1) or isCrab(1) or isShark(1) or is5o(1) or isWolf(1) or isHnS(1) or isConTria(1) or isExpTria(1)
buy_patterns_01 = isAntiBat(1) or isAntiButterfly(1) or isAntiGartley(1) or isAntiCrab(1) or isAntiShark(1)
sel_patterns_00 = isABCD(-1) or isBat(-1) or isAltBat(-1) or isButterfly(-1) or isGartley(-1) or isCrab(-1) or isShark(-1) or is5o(-1) or isWolf(-1) or isHnS(-1) or isConTria(-1) or isExpTria(-1)
sel_patterns_01 = isAntiBat(-1) or isAntiButterfly(-1) or isAntiGartley(-1) or isAntiCrab(-1) or isAntiShark(-1)
range_rate = input( title='Rate to use for ATR filter', type=input.float, defval=1 )
range = abs( close - target01_sl )
if isWork and isNewPivot and range > atr * range_rate
max_amount := floor( ( balance - unit_value * 1.1 ) / ( close / reverge ) )
amount := cash_bool ? round( unit_value / range / lot ) * lot : na
amount := amount > max_amount ? max_amount : amount
if ( buy_patterns_00 or buy_patterns_01 ) and close <= target01_ew
strategy.entry( 'L1_target01', long=strategy.long, qty=amount, comment='L1' )
strategy.exit( "exit-L1" ,"L1_target01" ,stop=target01_sl ,limit=f_last_fib( target01_tp_rate ) ,comment="exit-L1" )
isNewPivot := false
if ( sel_patterns_00 or sel_patterns_01 ) and close >= target01_ew
strategy.entry( 'S1_target01', long=strategy.short, qty=amount, comment='S1' )
strategy.exit( "exit-S1" ,"S1_target01" ,stop=target01_sl ,limit=f_last_fib( target01_tp_rate ) ,comment="exit-S1" )
isNewPivot := false
/////////////////
①．損切りの損失を資金のN％とする取引量を算出
②．レバレッジを考慮した取引量を算出
③．②を上限として①の取引量でトレードする
まず、①の算出ですが、
このストラテジーは損切り幅が明確なので、
以下の計算式で算出することができます。
/////////////////
// 損切り幅を算出
range = abs( close - target01_sl )
//「１トレードに当てる資金 ／ 損切り幅」で取引量を算出
// 同時に、round( 取引量 /lot ) * lot で取引単位（1000通貨等）に四捨五入してる
amount = round( unit_value / range / lot ) * lot
/////////////////
次に②の算出です。
これは、どういうことをするかというと、
「あるレバレッジで取引できる最大の取引量を算出する」
ということです。
これは、以下の計算式で算出します。
/////////////////
max_amount = floor( ( balance - unit_value * 1.1 ) / ( close / reverge ) )
/////////////////
まず、「close / reverage」で１通貨あたりの証拠金を求めます。
（ドル円が100円でレバ25倍なら、１通貨の証拠金は４円）
あとは、現在の残高で何通貨取引できるかを算出すれば良いので、
「balance / １通貨の証拠金」とすれば良いですね。
その他の細かな調整として、小数点以下を切り捨てたり（floor）、
そのトレードが損失だったとしても強制ロスカットにならないように
「balance - unit_value * 1.1」を算出したりしています。
５分足でのストラテジーを目指しているので、
このあたりはできるだけリアルにしていく必要があります。
※ 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=4
strategy( title='ZigZag PA Strategy 勉強中', shorttitle='S', overlay=true, pyramiding=0, initial_capital=100000 )
dev_threshold = input( title="Deviation (%)", type=input.float, defval=0, minval=0, maxval=100 )
depth = input( title="Depth", type=input.integer, defval=6, minval=1, maxval=10 )
//**
//* depth -> length -> zero
//* lengthが最高値・最安値であるかを確認
//* trueならbar_indexと価格を返す
//*
pivots(src, length, isHigh) =>
p = nz(src［length］)
if length == 0
［bar_index, p］
else
isFound = true
for i = 0 to length - 1
if isHigh and src［i］ > p
isFound := false
if not isHigh and src［i］ < p
isFound := false
for i = length + 1 to 2 * length
if isHigh and src［i］ >= p
isFound := false
if not isHigh and src［i］ <= p
isFound := false
if isFound and length * 2 <= bar_index
［bar_index［length］, p］
else
［int(na), float(na)］
［iH, pH］ = pivots( high, floor(depth / 2), true )
［iL, pL］ = pivots( low, floor(depth / 2), false )
// 変化率を算出する関数
calc_dev(base_price, price) =>
100 * (price - base_price) / base_price
// 前回のpivotの情報を格納
var line lineLast = na // lineのid (実際はidではなく識別している何か)
var float pLast = 0 // price
var bool isHighLast = true // High か Low か
var int linesCount = 0
var bool isNewPivot = false
// pivotを確認する関数
pivotFound(dev, isHigh, price) =>
if linesCount == 0
［line(na), isHigh, true］
else
if abs(dev) >= dev_threshold
［line(na), isHigh, true］
else
［line(na), isHighLast, false］
// 描画処理
if not na(pH) and not na(pL) and pH == pL
dev1 = calc_dev(pLast, pH)
［id2, isHigh2, isNew2］ = pivotFound(dev1, true, pH)
if isNew2
linesCount := linesCount + 1
isHighLast := isHigh2
isNewPivot := true
pLast := pH
dev2 = calc_dev(pLast, pL)
［id1, isHigh1, isNew1］ = pivotFound(dev2, false, pL)
if isNew1
linesCount := linesCount + 1
isHighLast := isHigh1
isNewPivot := true
pLast := pL
else
if not na(pH)
dev1 = calc_dev(pLast, pH)
［id, isHigh, isNew］ = pivotFound(dev1, true, pH)
if isNew
linesCount := linesCount + 1
isHighLast := isHigh
isNewPivot := true
pLast := pH
else
if not na(pL)
dev2 = calc_dev(pLast, pL)
［id, isHigh, isNew］ = pivotFound(dev2, false, pL)
if isNew
linesCount := linesCount + 1
isHighLast := isHigh
isNewPivot := true
pLast := pL
// 追加箇所
zigzag = pLast［1］!=pLast ? pLast : na
plot( zigzag ,color=color.red ,linewidth=3 ,title='zigzag' ,offset=-1*floor(depth / 2) )
bgcolor( isHighLast ? color.gray : color.white ,offset=-1*floor(depth / 2) )
// ジグザグが発生したときのジグザグの値を取得
float x = na
float a = na
float b = na
float c = na
float d = na
exist_zigzag = not na( zigzag ) and not isHighLast==isHighLast［1］
repaint = not na( zigzag ) and isHighLast==isHighLast［1］
x := exist_zigzag ? a［1］ : x［1］
a := exist_zigzag ? b［1］ : a［1］
b := exist_zigzag ? c［1］ : b［1］
c := exist_zigzag ? d［1］ : c［1］
d := exist_zigzag ? zigzag
: not repaint ? d［1］
: isHighLast and pLast > pLast［1］ ? zigzag
: not isHighLast and pLast < pLast［1］ ? zigzag
: d［1］
showPatterns = input( true, title='Show Patterns' )
showFib0000 = input( title='Display Fibonacci 0.000:', type=input.bool, defval=true )
showFib0236 = input( title='Display Fibonacci 0.236:', type=input.bool, defval=true )
showFib0382 = input( title='Display Fibonacci 0.382:', type=input.bool, defval=true )
showFib0500 = input( title='Display Fibonacci 0.500:', type=input.bool, defval=true )
showFib0618 = input( title='Display Fibonacci 0.618:', type=input.bool, defval=true )
showFib0764 = input( title='Display Fibonacci 0.764:', type=input.bool, defval=true )
showFib1000 = input( title='Display Fibonacci 1.000:', type=input.bool, defval=true )
fib_range = abs(d-c)
fib_0000 = not showFib0000 ? na : d > c ? d - ( fib_range * 0.000 ) : d + ( fib_range * 0.000 )
fib_0236 = not showFib0236 ? na : d > c ? d - ( fib_range * 0.236 ) : d + ( fib_range * 0.236 )
fib_0382 = not showFib0382 ? na : d > c ? d - ( fib_range * 0.382 ) : d + ( fib_range * 0.382 )
fib_0500 = not showFib0500 ? na : d > c ? d - ( fib_range * 0.500 ) : d + ( fib_range * 0.500 )
fib_0618 = not showFib0618 ? na : d > c ? d - ( fib_range * 0.618 ) : d + ( fib_range * 0.618 )
fib_0764 = not showFib0764 ? na : d > c ? d - ( fib_range * 0.764 ) : d + ( fib_range * 0.764 )
fib_1000 = not showFib1000 ? na : d > c ? d - ( fib_range * 1.000 ) : d + ( fib_range * 1.000 )
plot( title='Fib 0.000', series=fib_0000 ,color=fib_0000 != fib_0000［1］ ? na : color.black ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.236', series=fib_0236 ,color=fib_0236 != fib_0236［1］ ? na : color.red ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.382', series=fib_0382 ,color=fib_0382 != fib_0382［1］ ? na : color.olive ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.500', series=fib_0500 ,color=fib_0500 != fib_0500［1］ ? na : color.lime ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.618', series=fib_0618 ,color=fib_0618 != fib_0618［1］ ? na : color.teal ,offset=-1*floor(depth / 2) )
plot( title='Fib 0.764', series=fib_0764 ,color=fib_0764 != fib_0764［1］ ? na : color.blue ,offset=-1*floor(depth / 2) )
plot( title='Fib 1.000', series=fib_1000 ,color=fib_1000 != fib_1000［1］ ? na : color.black ,offset=-1*floor(depth / 2) )
xab = ( abs( b - a ) / abs( x - a ) )
xad = ( abs( a - d ) / abs( x - a ) )
abc = ( abs( b - c ) / abs( a - b ) )
bcd = ( abs( c - d ) / abs( b - c ) )
// ５つの点の比率からパターンを判断する関数
isBat(_mode)=>
_xab = xab >= 0.382 and xab <= 0.5
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.618 and bcd <= 2.618
_xad = xad <= 0.618 and xad <= 1.000 // 0.886
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiBat(_mode)=>
_xab = xab >= 0.500 and xab <= 0.886 // 0.618
_abc = abc >= 1.000 and abc <= 2.618 // 1.13 --> 2.618
_bcd = bcd >= 1.618 and bcd <= 2.618 // 2.0 --> 2.618
_xad = xad >= 0.886 and xad <= 1.000 // 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAltBat(_mode)=>
_xab = xab <= 0.382
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 2.0 and bcd <= 3.618
_xad = xad <= 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isButterfly(_mode)=>
_xab = xab <= 0.786
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.618 and bcd <= 2.618
_xad = xad >= 1.27 and xad <= 1.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiButterfly(_mode)=>
_xab = xab >= 0.236 and xab <= 0.886 // 0.382 - 0.618
_abc = abc >= 1.130 and abc <= 2.618 // 1.130 - 2.618
_bcd = bcd >= 1.000 and bcd <= 1.382 // 1.27
_xad = xad >= 0.500 and xad <= 0.886 // 0.618 - 0.786
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isABCD(_mode)=>
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.13 and bcd <= 2.618
_abc and _bcd and (_mode == 1 ? d < c : d > c)
isGartley(_mode)=>
_xab = xab >= 0.5 and xab <= 0.618 // 0.618
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.13 and bcd <= 2.618
_xad = xad >= 0.75 and xad <= 0.875 // 0.786
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiGartley(_mode)=>
_xab = xab >= 0.500 and xab <= 0.886 // 0.618 -> 0.786
_abc = abc >= 1.000 and abc <= 2.618 // 1.130 -> 2.618
_bcd = bcd >= 1.500 and bcd <= 5.000 // 1.618
_xad = xad >= 1.000 and xad <= 5.000 // 1.272
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isCrab(_mode)=>
_xab = xab >= 0.500 and xab <= 0.875 // 0.886
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 2.000 and bcd <= 5.000 // 3.618
_xad = xad >= 1.382 and xad <= 5.000 // 1.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiCrab(_mode)=>
_xab = xab >= 0.250 and xab <= 0.500 // 0.276 -> 0.446
_abc = abc >= 1.130 and abc <= 2.618 // 1.130 -> 2.618
_bcd = bcd >= 1.618 and bcd <= 2.618 // 1.618 -> 2.618
_xad = xad >= 0.500 and xad <= 0.750 // 0.618
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isShark(_mode)=>
_xab = xab >= 0.500 and xab <= 0.875 // 0.5 --> 0.886
_abc = abc >= 1.130 and abc <= 1.618 //
_bcd = bcd >= 1.270 and bcd <= 2.240 //
_xad = xad >= 0.886 and xad <= 1.130 // 0.886 --> 1.13
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isAntiShark(_mode)=>
_xab = xab >= 0.382 and xab <= 0.875 // 0.446 --> 0.618
_abc = abc >= 0.500 and abc <= 1.000 // 0.618 --> 0.886
_bcd = bcd >= 1.250 and bcd <= 2.618 // 1.618 --> 2.618
_xad = xad >= 0.500 and xad <= 1.250 // 1.130 --> 1.130
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
is5o(_mode)=>
_xab = xab >= 1.13 and xab <= 1.618
_abc = abc >= 1.618 and abc <= 2.24
_bcd = bcd >= 0.5 and bcd <= 0.625 // 0.5
_xad = xad >= 0.0 and xad <= 0.236 // negative?
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isWolf(_mode)=>
_xab = xab >= 1.27 and xab <= 1.618
_abc = abc >= 0 and abc <= 5
_bcd = bcd >= 1.27 and bcd <= 1.618
_xad = xad >= 0.0 and xad <= 5
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isHnS(_mode)=>
_xab = xab >= 2.0 and xab <= 10
_abc = abc >= 0.90 and abc <= 1.1
_bcd = bcd >= 0.236 and bcd <= 0.88
_xad = xad >= 0.90 and xad <= 1.1
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isConTria(_mode)=>
_xab = xab >= 0.382 and xab <= 0.618
_abc = abc >= 0.382 and abc <= 0.618
_bcd = bcd >= 0.382 and bcd <= 0.618
_xad = xad >= 0.236 and xad <= 0.764
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
isExpTria(_mode)=>
_xab = xab >= 1.236 and xab <= 1.618
_abc = abc >= 1.000 and abc <= 1.618
_bcd = bcd >= 1.236 and bcd <= 2.000
_xad = xad >= 2.000 and xad <= 2.236
_xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)
// 売りパターンが出現したところに印を表示
plotshape( not showPatterns ? na : isABCD(-1) and not isABCD(-1)［1］, text="\nAB=CD", title='Bear ABCD', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0, offset=-2 )
plotshape( not showPatterns ? na : isBat(-1) and not isBat(-1)［1］, text="Bat", title='Bear Bat', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0, offset=-2 )
plotshape( not showPatterns ? na : isAntiBat(-1) and not isAntiBat(-1)［1］, text="Anti Bat", title='Bear Anti Bat', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0, offset=-2 )
plotshape( not showPatterns ? na : isAltBat(-1) and not isAltBat(-1)［1］, text="Alt Bat", title='Bear Alt Bat', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isButterfly(-1) and not isButterfly(-1)［1］, text="Butterfly", title='Bear Butterfly', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isAntiButterfly(-1) and not isAntiButterfly(-1)［1］, text="Anti Butterfly", title='Bear Anti Butterfly', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isGartley(-1) and not isGartley(-1)［1］, text="Gartley", title='Bear Gartley', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isAntiGartley(-1) and not isAntiGartley(-1)［1］, text="Anti Gartley", title='Bear Anti Gartley', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isCrab(-1) and not isCrab(-1)［1］, text="Crab", title='Bear Crab', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isAntiCrab(-1) and not isAntiCrab(-1)［1］, text="Anti Crab", title='Bear Anti Crab', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isShark(-1) and not isShark(-1)［1］, text="Shark", title='Bear Shark', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isAntiShark(-1) and not isAntiShark(-1)［1］, text="Anti Shark", title='Bear Anti Shark', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : is5o(-1) and not is5o(-1)［1］, text="5-O", title='Bear 5-O', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isWolf(-1) and not isWolf(-1)［1］, text="Wolf Wave", title='Bear Wolf Wave', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isHnS(-1) and not isHnS(-1)［1］, text="Head and Shoulders", title='Bear Head and Shoulders', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isConTria(-1) and not isConTria(-1)［1］, text="Contracting Triangle", title='Bear Contracting triangle', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
plotshape( not showPatterns ? na : isExpTria(-1) and not isExpTria(-1)［1］, text="Expanding Triangle", title='Bear Expanding Triangle', style=shape.labeldown, color=color.maroon, textcolor=color.white, location=location.top, transp=0 )
// 買いパターンが出現したところに印を表示
plotshape( not showPatterns ? na : isABCD(1) and not isABCD(1)［1］, text="AB=CD\n", title='Bull ABCD', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isBat(1) and not isBat(1)［1］, text="Bat", title='Bull Bat', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiBat(1) and not isAntiBat(1)［1］, text="Anti Bat", title='Bull Anti Bat', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAltBat(1) and not isAltBat(1)［1］, text="Alt Bat", title='Bull Alt Bat', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isButterfly(1) and not isButterfly(1)［1］, text="Butterfly", title='Bull Butterfly', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiButterfly(1) and not isAntiButterfly(1)［1］, text="Anti Butterfly", title='Bull Anti Butterfly', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isGartley(1) and not isGartley(1)［1］, text="Gartley", title='Bull Gartley', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiGartley(1) and not isAntiGartley(1)［1］, text="Anti Gartley", title='Bull Anti Gartley', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isCrab(1) and not isCrab(1)［1］, text="Crab", title='Bull Crab', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiCrab(1) and not isAntiCrab(1)［1］, text="Anti Crab", title='Bull Anti Crab', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isShark(1) and not isShark(1)［1］, text="Shark", title='Bull Shark', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isAntiShark(1) and not isAntiShark(1)［1］, text="Anti Shark", title='Bull Anti Shark', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : is5o(1) and not is5o(1)［1］, text="5-O", title='Bull 5-O', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isWolf(1) and not isWolf(1)［1］, text="Wolf Wave", title='Bull Wolf Wave', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isHnS(1) and not isHnS(1)［1］, text="Head and Shoulders", title='Bull Head and Shoulders', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isConTria(1) and not isConTria(1)［1］, text="Contracting Triangle", title='Bull Contracting Triangle', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
plotshape( not showPatterns ? na : isExpTria(1) and not isExpTria(1)［1］, text="Expanding Triangle", title='Bull Expanding Triangle', style=shape.labelup, color=color.green, textcolor=color.white, location=location.bottom, transp=0 )
//
// 売買のロジック
////
fromY = input( 1900 ,type=input.integer ,minval=1900 ,title="test start year" )
fromM = input( 1 ,type=input.integer ,minval=1 ,maxval=12 ,title="test start month" )
fromD = input( 1 ,type=input.integer ,minval=1 ,maxval=31 ,title="test start date" )
endY = input( 3000 ,type=input.integer ,minval=1900 ,title="test end year" )
endM = input( 1 ,type=input.integer ,minval=1 ,maxval=12 ,title="test end month" )
endD = input( 1 ,type=input.integer ,minval=1 ,maxval=31 ,title="test end date" )
isWork = timestamp( fromY ,fromM ,fromD ,00 ,00 ) <= time and time < timestamp( endY ,endM ,endD ,00 ,00 )
cash_bool = input( true ,title="amount management" )
Unit_pct = input( 0.1 ,title="percent of unit value" )
lot = input( 1 ,title="lot" ,minval=1 )
reverge = input( 50 ,title="Reverge" ,minval=1 )
atr = ema( tr ,20 )［1］
balance = strategy.initial_capital + strategy.netprofit
unit_value = balance * Unit_pct
float max_amount = na
float amount = na
//「fib_rangeに対する指定された比率の幅」を返す関数
f_last_fib( _rate ) => d > c ? d - ( fib_range * _rate ) : d + ( fib_range * _rate )
target01_ew_rate = input( defval=0.236 ,title='Target Fib. Rate to use for Entry Window:', type=input.float )
target01_tp_rate = input( defval=0.5 ,title='Target Fib. Rate to use for TP:', type=input.float )
target01_sl_rate = input( defval=-0.618 ,title='Target Fib. Rate to use for SL:', type=input.float )
target01_ew = f_last_fib( target01_ew_rate )
target01_sl = f_last_fib( target01_sl_rate )
buy_patterns_00 = isABCD(1) or isBat(1) or isAltBat(1) or isButterfly(1) or isGartley(1) or isCrab(1) or isShark(1) or is5o(1) or isWolf(1) or isHnS(1) or isConTria(1) or isExpTria(1)
buy_patterns_01 = isAntiBat(1) or isAntiButterfly(1) or isAntiGartley(1) or isAntiCrab(1) or isAntiShark(1)
sel_patterns_00 = isABCD(-1) or isBat(-1) or isAltBat(-1) or isButterfly(-1) or isGartley(-1) or isCrab(-1) or isShark(-1) or is5o(-1) or isWolf(-1) or isHnS(-1) or isConTria(-1) or isExpTria(-1)
sel_patterns_01 = isAntiBat(-1) or isAntiButterfly(-1) or isAntiGartley(-1) or isAntiCrab(-1) or isAntiShark(-1)
range_rate = input( title='Rate to use for ATR filter', type=input.float, defval=1 )
range = abs( close - target01_sl )
if isWork and isNewPivot and range > atr * range_rate
max_amount := floor( ( balance - unit_value * 1.1 ) / ( close / reverge ) )
amount := cash_bool ? round( unit_value / range / lot ) * lot : na
amount := amount > max_amount ? max_amount : amount
if ( buy_patterns_00 or buy_patterns_01 ) and close <= target01_ew
strategy.entry( 'L1_target01', long=strategy.long, qty=amount, comment='L1' )
strategy.exit( "exit-L1" ,"L1_target01" ,stop=target01_sl ,limit=f_last_fib( target01_tp_rate ) ,comment="exit-L1" )
isNewPivot := false
if ( sel_patterns_00 or sel_patterns_01 ) and close >= target01_ew
strategy.entry( 'S1_target01', long=strategy.short, qty=amount, comment='S1' )
strategy.exit( "exit-S1" ,"S1_target01" ,stop=target01_sl ,limit=f_last_fib( target01_tp_rate ) ,comment="exit-S1" )
isNewPivot := false
/////////////////
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