Pine講座62 タートルズ流投資の魔術｜ATRチャネル・ブレイクアウト
Diupdate
「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。
４つ目です。
この本に掲載されている手法は、
日足における長期の手法が多く
Botが流行っている昨今では
少し古めかしいものが多いです。
一方で、
「すべての手法において
現在でもトータル・プラス収益である」
この事実は
"とんでもないこと" だと思います。
（超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 ATR Chanel Break Out"
,default_qty_type=strategy.fixed
,default_qty_value=1
,pyramiding=4
,overlay=true)
src = close
len = input(350 ,minval=1 ,title="ma length")
atr_len = input(20 ,minval=1 ,title="band atr length")
up_n = input(7 ,minval=1 ,title="atr upper length")
low_n = input(3 ,minval=1 ,title="atr lower length")
SO_bool = input(false,type=bool ,title="loss cut")
SO_len = input(20 ,type=integer ,minval=1 ,title="loss cut ATR length")
SO_N = input(2 ,type=float ,minval=0.5 ,title="loss cut ATR*N")
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(10 ,type=float ,minval=0.5 ,title="pyramiding ATR*N")
Tm_bool = input(false,type=bool ,title="timed exit")
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)
EMA = ema(close ,len)
ATR = ema(tr ,atr_len)
UPPER = EMA + ATR * up_n
LOWER = EMA - ATR * low_n
atr_SO_ = ema(tr ,SO_len)
atr_LO_ = ema(tr ,LO_len)
atr_SO = atr_SO_*SO_N
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］
losscut = close
losscut := strategy.position_size==0 or SO_bool==false ? na : losscut［1］
L_EntrySig = close >= UPPER and isWork
S_EntrySig = close <= LOWER and isWork
if(strategy.position_size != 0)
L_ExitSig = (close <= EMA or S_EntrySig) and strategy.position_size > 0
S_ExitSig = (close >= EMA or L_EntrySig) and strategy.position_size < 0
TimedSig = countTradingDays > Tm_len and Tm_bool
strategy.close_all(when = L_ExitSig or S_ExitSig or TimedSig or not isWork)
if(L_ExitSig or S_ExitSig)
entry1 := na
entry2 := na
entry3 := na
entry4 := na
lo2 := na
lo3 := na
lo4 := na
losscut := na
if(strategy.position_size > 0)
lo_sig2 = lo2 < high
lo_sig3 = lo3 < high
lo_sig4 = lo4 < high
if(lo_sig2 and MAX_N >= 2)
if(SO_bool)
strategy.entry("L-Entry2" ,strategy.long ,stop=close-atr_SO ,comment="L-Entry2")
strategy.exit("L-Entry1" ,stop=close-atr_SO)
else
strategy.entry("L-Entry2" ,strategy.long ,comment="L-Entry2")
lo2 := na
losscut := SO_bool ? close - atr_SO : na
if(lo_sig3 and MAX_N >= 3)
if(SO_bool)
strategy.entry("L-Entry3" ,strategy.long ,stop=close-atr_SO ,comment="L-Entry3")
strategy.exit("L-Entry2" ,stop=close-atr_SO)
strategy.exit("L-Entry1" ,stop=close-atr_SO)
else
strategy.entry("L-Entry3" ,strategy.long ,comment="L-Entry3")
lo3 := na
losscut := SO_bool ? close - atr_SO : na
if(lo_sig4 and MAX_N >= 4)
if(SO_bool)
strategy.entry("L-Entry4" ,strategy.long ,stop=close-atr_SO ,comment="L-Entry4")
strategy.exit("L-Entry3" ,stop=close-atr_SO)
strategy.exit("L-Entry2" ,stop=close-atr_SO)
strategy.exit("L-Entry1" ,stop=close-atr_SO)
else
strategy.entry("L-Entry4" ,strategy.long ,comment="L-Entry4")
lo4 := na
losscut := SO_bool ? close - atr_SO : na
if(strategy.position_size < 0)
lo_sig2 = lo2 > low
lo_sig3 = lo3 > low
lo_sig4 = lo4 > low
if(lo_sig2 and MAX_N >= 2)
if(SO_bool)
strategy.entry("S-Entry2" ,strategy.short ,stop=close+atr_SO ,comment="S-Entry2")
strategy.exit("S-Entry1" ,stop=close+atr_SO)
else
strategy.entry("S-Entry2" ,strategy.short ,comment="S-Entry2")
lo2 := na
losscut := SO_bool ? close + atr_SO : na
if(lo_sig3 and MAX_N >= 3)
if(SO_bool)
strategy.entry("S-Entry3" ,strategy.short ,stop=close+atr_SO ,comment="S-Entry3")
strategy.exit("S-Entry2" ,stop=close+atr_SO)
strategy.exit("S-Entry1" ,stop=close+atr_SO)
else
strategy.entry("S-Entry3" ,strategy.short ,comment="S-Entry3")
lo3 := na
losscut := SO_bool ? close + atr_SO : na
if(lo_sig4 and MAX_N >= 4)
if(SO_bool)
strategy.entry("S-Entry4" ,strategy.short ,stop=close+atr_SO ,comment="S-Entry4")
strategy.exit("S-Entry3" ,stop=close+atr_SO)
strategy.exit("S-Entry2" ,stop=close+atr_SO)
strategy.exit("S-Entry1" ,stop=close+atr_SO)
else
strategy.entry("S-Entry4" ,strategy.short ,comment="S-Entry4")
lo4 := na
losscut := SO_bool ? close + atr_SO : na
if((L_EntrySig or S_EntrySig) and strategy.position_size==0)
countTradingDays := 0
entry1 := close
if(L_EntrySig)
if(SO_bool)
strategy.entry("L-Entry1" ,strategy.long ,stop=close-atr_SO ,comment="L-Entry1")
else
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
losscut := SO_bool ? close - atr_SO : na
if(S_EntrySig)
if(SO_bool)
strategy.entry("S-Entry1" ,strategy.short ,stop=close+atr_SO ,comment="S-Entry1")
else
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
losscut := SO_bool ? close + atr_SO : 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(losscut ,title="losscut" ,color=red ,transp=0 ,style=linebr)
plot(atr_SO ,transp=0 ,title="ATR_SO")
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(UPPER ,color=#303F9F ,title="UPPER" ,style=line ,linewidth=2, transp=0)
p2 = plot(LOWER ,color=#4CAF50 ,title="LOWER" ,style=line ,linewidth=2, transp=0)
plot(EMA ,color=red ,title="EMA" ,style=line ,linewidth=2 ,transp=0)
fill(p1 ,p2 ,color=#2196F3 ,title="fill" ,transp=60)
=====
カーティス・フェイス著」
で紹介されている手法の再現。
４つ目です。
この本に掲載されている手法は、
日足における長期の手法が多く
Botが流行っている昨今では
少し古めかしいものが多いです。
一方で、
「すべての手法において
現在でもトータル・プラス収益である」
この事実は
"とんでもないこと" だと思います。
（超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 ATR Chanel Break Out"
,default_qty_type=strategy.fixed
,default_qty_value=1
,pyramiding=4
,overlay=true)
src = close
len = input(350 ,minval=1 ,title="ma length")
atr_len = input(20 ,minval=1 ,title="band atr length")
up_n = input(7 ,minval=1 ,title="atr upper length")
low_n = input(3 ,minval=1 ,title="atr lower length")
SO_bool = input(false,type=bool ,title="loss cut")
SO_len = input(20 ,type=integer ,minval=1 ,title="loss cut ATR length")
SO_N = input(2 ,type=float ,minval=0.5 ,title="loss cut ATR*N")
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(10 ,type=float ,minval=0.5 ,title="pyramiding ATR*N")
Tm_bool = input(false,type=bool ,title="timed exit")
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)
EMA = ema(close ,len)
ATR = ema(tr ,atr_len)
UPPER = EMA + ATR * up_n
LOWER = EMA - ATR * low_n
atr_SO_ = ema(tr ,SO_len)
atr_LO_ = ema(tr ,LO_len)
atr_SO = atr_SO_*SO_N
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］
losscut = close
losscut := strategy.position_size==0 or SO_bool==false ? na : losscut［1］
L_EntrySig = close >= UPPER and isWork
S_EntrySig = close <= LOWER and isWork
if(strategy.position_size != 0)
L_ExitSig = (close <= EMA or S_EntrySig) and strategy.position_size > 0
S_ExitSig = (close >= EMA or L_EntrySig) and strategy.position_size < 0
TimedSig = countTradingDays > Tm_len and Tm_bool
strategy.close_all(when = L_ExitSig or S_ExitSig or TimedSig or not isWork)
if(L_ExitSig or S_ExitSig)
entry1 := na
entry2 := na
entry3 := na
entry4 := na
lo2 := na
lo3 := na
lo4 := na
losscut := na
if(strategy.position_size > 0)
lo_sig2 = lo2 < high
lo_sig3 = lo3 < high
lo_sig4 = lo4 < high
if(lo_sig2 and MAX_N >= 2)
if(SO_bool)
strategy.entry("L-Entry2" ,strategy.long ,stop=close-atr_SO ,comment="L-Entry2")
strategy.exit("L-Entry1" ,stop=close-atr_SO)
else
strategy.entry("L-Entry2" ,strategy.long ,comment="L-Entry2")
lo2 := na
losscut := SO_bool ? close - atr_SO : na
if(lo_sig3 and MAX_N >= 3)
if(SO_bool)
strategy.entry("L-Entry3" ,strategy.long ,stop=close-atr_SO ,comment="L-Entry3")
strategy.exit("L-Entry2" ,stop=close-atr_SO)
strategy.exit("L-Entry1" ,stop=close-atr_SO)
else
strategy.entry("L-Entry3" ,strategy.long ,comment="L-Entry3")
lo3 := na
losscut := SO_bool ? close - atr_SO : na
if(lo_sig4 and MAX_N >= 4)
if(SO_bool)
strategy.entry("L-Entry4" ,strategy.long ,stop=close-atr_SO ,comment="L-Entry4")
strategy.exit("L-Entry3" ,stop=close-atr_SO)
strategy.exit("L-Entry2" ,stop=close-atr_SO)
strategy.exit("L-Entry1" ,stop=close-atr_SO)
else
strategy.entry("L-Entry4" ,strategy.long ,comment="L-Entry4")
lo4 := na
losscut := SO_bool ? close - atr_SO : na
if(strategy.position_size < 0)
lo_sig2 = lo2 > low
lo_sig3 = lo3 > low
lo_sig4 = lo4 > low
if(lo_sig2 and MAX_N >= 2)
if(SO_bool)
strategy.entry("S-Entry2" ,strategy.short ,stop=close+atr_SO ,comment="S-Entry2")
strategy.exit("S-Entry1" ,stop=close+atr_SO)
else
strategy.entry("S-Entry2" ,strategy.short ,comment="S-Entry2")
lo2 := na
losscut := SO_bool ? close + atr_SO : na
if(lo_sig3 and MAX_N >= 3)
if(SO_bool)
strategy.entry("S-Entry3" ,strategy.short ,stop=close+atr_SO ,comment="S-Entry3")
strategy.exit("S-Entry2" ,stop=close+atr_SO)
strategy.exit("S-Entry1" ,stop=close+atr_SO)
else
strategy.entry("S-Entry3" ,strategy.short ,comment="S-Entry3")
lo3 := na
losscut := SO_bool ? close + atr_SO : na
if(lo_sig4 and MAX_N >= 4)
if(SO_bool)
strategy.entry("S-Entry4" ,strategy.short ,stop=close+atr_SO ,comment="S-Entry4")
strategy.exit("S-Entry3" ,stop=close+atr_SO)
strategy.exit("S-Entry2" ,stop=close+atr_SO)
strategy.exit("S-Entry1" ,stop=close+atr_SO)
else
strategy.entry("S-Entry4" ,strategy.short ,comment="S-Entry4")
lo4 := na
losscut := SO_bool ? close + atr_SO : na
if((L_EntrySig or S_EntrySig) and strategy.position_size==0)
countTradingDays := 0
entry1 := close
if(L_EntrySig)
if(SO_bool)
strategy.entry("L-Entry1" ,strategy.long ,stop=close-atr_SO ,comment="L-Entry1")
else
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
losscut := SO_bool ? close - atr_SO : na
if(S_EntrySig)
if(SO_bool)
strategy.entry("S-Entry1" ,strategy.short ,stop=close+atr_SO ,comment="S-Entry1")
else
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
losscut := SO_bool ? close + atr_SO : 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(losscut ,title="losscut" ,color=red ,transp=0 ,style=linebr)
plot(atr_SO ,transp=0 ,title="ATR_SO")
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(UPPER ,color=#303F9F ,title="UPPER" ,style=line ,linewidth=2, transp=0)
p2 = plot(LOWER ,color=#4CAF50 ,title="LOWER" ,style=line ,linewidth=2, transp=0)
plot(EMA ,color=red ,title="EMA" ,style=line ,linewidth=2 ,transp=0)
fill(p1 ,p2 ,color=#2196F3 ,title="fill" ,transp=60)
=====
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