Add strategy version v5 for backtesting; update README with backtesting guide

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2025-10-18 20:27:23 +02:00
parent 41c60bf967
commit 8ae4a9148a
2 changed files with 146 additions and 6 deletions

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//@version=5
strategy("Bullmania Money Line Strategy v5", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
// Parameter Mode
paramMode = input.string("Profiles by timeframe", "Parameter Mode", options=["Single", "Profiles by timeframe"], tooltip="Choose whether to use one global set of parameters or timeframe-specific profiles.")
// Single (global) parameters
atrPeriodSingle = input.int(10, "ATR Period (Single mode)", minval=1, group="Single Mode")
multiplierSingle = input.float(3.0, "Multiplier (Single mode)", minval=0.1, step=0.1, group="Single Mode")
// Profile override when using profiles
profileOverride = input.string("Auto", "Profile Override", options=["Auto", "Minutes", "Hours", "Daily", "Weekly/Monthly"], tooltip="When in 'Profiles by timeframe' mode, choose a fixed profile or let it auto-detect from the chart timeframe.", group="Profiles")
// Timeframe profile parameters
// Minutes (<= 59m)
atr_m = input.int(12, "ATR Period (Minutes)", minval=1, group="Profiles — Minutes")
mult_m = input.float(3.3, "Multiplier (Minutes)", minval=0.1, step=0.1, group="Profiles — Minutes")
// Hours (>=1h and <1d)
atr_h = input.int(10, "ATR Period (Hours)", minval=1, group="Profiles — Hours")
mult_h = input.float(3.0, "Multiplier (Hours)", minval=0.1, step=0.1, group="Profiles — Hours")
// Daily (>=1d and <1w)
atr_d = input.int(10, "ATR Period (Daily)", minval=1, group="Profiles — Daily")
mult_d = input.float(2.8, "Multiplier (Daily)", minval=0.1, step=0.1, group="Profiles — Daily")
// Weekly/Monthly (>=1w)
atr_w = input.int(7, "ATR Period (Weekly/Monthly)", minval=1, group="Profiles — Weekly/Monthly")
mult_w = input.float(2.5, "Multiplier (Weekly/Monthly)", minval=0.1, step=0.1, group="Profiles — Weekly/Monthly")
// Optional MACD confirmation
useMacd = input.bool(false, "Use MACD confirmation", inline="macd")
macdSrc = input.source(close, "MACD Source", inline="macd")
macdFastLen = input.int(12, "Fast", minval=1, inline="macdLens")
macdSlowLen = input.int(26, "Slow", minval=1, inline="macdLens")
macdSigLen = input.int(9, "Signal", minval=1, inline="macdLens")
// Strategy settings
useStopLoss = input.bool(false, "Use Stop Loss", group="Strategy")
stopLossPct = input.float(1.0, "Stop Loss %", minval=0.1, step=0.1, group="Strategy")
useTakeProfit = input.bool(false, "Use Take Profit", group="Strategy")
takeProfitPct = input.float(2.0, "Take Profit %", minval=0.1, step=0.1, group="Strategy")
// Determine effective parameters based on selected mode/profile
var string activeProfile = ""
resSec = timeframe.in_seconds(timeframe.period)
isMinutes = resSec < 3600
isHours = resSec >= 3600 and resSec < 86400
isDaily = resSec >= 86400 and resSec < 604800
isWeeklyOrMore = resSec >= 604800
// Resolve profile bucket
string profileBucket = "Single"
if paramMode == "Single"
profileBucket := "Single"
else
if profileOverride == "Minutes"
profileBucket := "Minutes"
else if profileOverride == "Hours"
profileBucket := "Hours"
else if profileOverride == "Daily"
profileBucket := "Daily"
else if profileOverride == "Weekly/Monthly"
profileBucket := "Weekly/Monthly"
else
profileBucket := isMinutes ? "Minutes" : isHours ? "Hours" : isDaily ? "Daily" : "Weekly/Monthly"
atrPeriod = profileBucket == "Single" ? atrPeriodSingle : profileBucket == "Minutes" ? atr_m : profileBucket == "Hours" ? atr_h : profileBucket == "Daily" ? atr_d : atr_w
multiplier = profileBucket == "Single" ? multiplierSingle : profileBucket == "Minutes" ? mult_m : profileBucket == "Hours" ? mult_h : profileBucket == "Daily" ? mult_d : mult_w
activeProfile := profileBucket
// Core Money Line logic (unchanged from v1)
atr = ta.atr(atrPeriod)
src = (high + low) / 2
up = src - (multiplier * atr)
dn = src + (multiplier * atr)
var float up1 = na
var float dn1 = na
up1 := nz(up1[1], up)
dn1 := nz(dn1[1], dn)
up1 := close[1] > up1 ? math.max(up, up1) : up
dn1 := close[1] < dn1 ? math.min(dn, dn1) : dn
var int trend = 1
var float tsl = na
tsl := nz(tsl[1], up1)
if trend == 1
tsl := math.max(up1, tsl)
trend := close < tsl ? -1 : 1
else
tsl := math.min(dn1, tsl)
trend := close > tsl ? 1 : -1
supertrend = tsl
// Plot the Money Line
upTrend = trend == 1 ? supertrend : na
downTrend = trend == -1 ? supertrend : na
plot(upTrend, "Up Trend", color=color.new(color.green, 0), style=plot.style_linebr, linewidth=2)
plot(downTrend, "Down Trend", color=color.new(color.red, 0), style=plot.style_linebr, linewidth=2)
// MACD confirmation logic
[macdLine, macdSignal, macdHist] = ta.macd(macdSrc, macdFastLen, macdSlowLen, macdSigLen)
longOk = not useMacd or (macdLine > macdSignal)
shortOk = not useMacd or (macdLine < macdSignal)
// Strategy logic
buyFlip = trend == 1 and trend[1] == -1
sellFlip = trend == -1 and trend[1] == 1
if buyFlip and longOk
strategy.entry("Long", strategy.long)
if sellFlip and shortOk
strategy.entry("Short", strategy.short)
// Exits
if useStopLoss
strategy.exit("Exit Long SL", "Long", stop=close * (1 - stopLossPct / 100))
strategy.exit("Exit Short SL", "Short", stop=close * (1 + stopLossPct / 100))
if useTakeProfit
strategy.exit("Exit Long TP", "Long", limit=close * (1 + takeProfitPct / 100))
strategy.exit("Exit Short TP", "Short", limit=close * (1 - takeProfitPct / 100))
// Plot buy/sell signals
plotshape(buyFlip and longOk, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.circle, size=size.small)
plotshape(sellFlip and shortOk, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.circle, size=size.small)
// Fill area between price and Money Line
fill(plot(close, display=display.none), plot(upTrend, display=display.none), color=color.new(color.green, 90))
fill(plot(close, display=display.none), plot(downTrend, display=display.none), color=color.new(color.red, 90))