U.S. Dollar / Japanese YenEducation
Pine講座63 タートルズ流投資の魔術｜ドンチャン・トレンドシステム
Updated
「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。
５つ目です。
これまでの手法に比べると
すこしスパンの短い手法。
取引回数が増えます。
この手法をこれまでの手法と比較すると
「取引回数の重要さ」が良く分かると思います。
（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 Donchian Trend System"
,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_dc_exit = input(10 ,minval=1 ,title="length of dc exit")
len_ema_m = input(25 ,minval=1 ,title="length of middle ema")
len_ema_l = input(350 ,minval=1 ,title="length of long ema")
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(1 ,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)
upper_en = highest(high ,len_dc_entry)[1]
upper_ex = highest(high ,len_dc_exit)[1]
lower_en = lowest(low ,len_dc_entry)[1]
lower_ex = lowest(low ,len_dc_exit)[1]
ema_m = ema(src ,len_ema_m)
ema_l = ema(src ,len_ema_l)
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]
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
losscut = close
losscut := SO_bool==false ? na
: L_EntrySig ? close - atr_SO
: S_EntrySig ? close + atr_SO
: strategy.position_size>0 and (lo_sig2 or lo_sig3 or lo_sig4) ? close - atr_SO
: strategy.position_size<0 and (lo_sig2 or lo_sig3 or lo_sig4) ? close + atr_SO
: strategy.position_size!=0 ? losscut[1]
: na
ExitPrice = close
ExitPrice := L_EntrySig or strategy.position_size>0 ? SO_bool ? max(losscut ,lower_ex) : lower_ex
: S_EntrySig or strategy.position_size<0 ? SO_bool ? min(losscut ,upper_ex) : upper_ex
: na
if(strategy.position_size != 0)
L_ExitSig = (low <= lower_ex or S_EntrySig) and strategy.position_size > 0
S_ExitSig = (high >= upper_ex 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)
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)
strategy.exit("L-Entry1" ,stop=ExitPrice)
if(entry2!=na)
strategy.exit("L-Entry2" ,stop=ExitPrice)
if(entry3!=na)
strategy.exit("L-Entry3" ,stop=ExitPrice)
if(entry4!=na)
strategy.exit("L-Entry4" ,stop=ExitPrice)
if(lo_sig2 and MAX_N >= 2)
lo2 := na
if(SO_bool)
strategy.entry("L-Entry2" ,strategy.long ,stop=ExitPrice ,comment="L-Entry2")
strategy.exit("L-Entry1" ,stop=ExitPrice)
else
strategy.entry("L-Entry2" ,strategy.long ,comment="L-Entry2")
if(lo_sig3 and MAX_N >= 3)
lo3 := na
if(SO_bool)
strategy.entry("L-Entry3" ,strategy.long ,stop=ExitPrice ,comment="L-Entry3")
strategy.exit("L-Entry2" ,stop=ExitPrice)
strategy.exit("L-Entry1" ,stop=ExitPrice)
else
strategy.entry("L-Entry3" ,strategy.long ,comment="L-Entry3")
if(lo_sig4 and MAX_N >= 4)
lo4 := na
if(SO_bool)
strategy.entry("L-Entry4" ,strategy.long ,stop=ExitPrice ,comment="L-Entry4")
strategy.exit("L-Entry3" ,stop=ExitPrice)
strategy.exit("L-Entry2" ,stop=ExitPrice)
strategy.exit("L-Entry1" ,stop=ExitPrice)
else
strategy.entry("L-Entry4" ,strategy.long ,comment="L-Entry4")
if(strategy.position_size < 0)
strategy.exit("S-Entry1" ,stop=ExitPrice)
if(entry2!=na)
strategy.exit("S-Entry2" ,stop=ExitPrice)
if(entry3!=na)
strategy.exit("S-Entry3" ,stop=ExitPrice)
if(entry4!=na)
strategy.exit("S-Entry4" ,stop=ExitPrice)
if(lo_sig2 and MAX_N >= 2)
lo2 := na
if(SO_bool)
strategy.entry("S-Entry2" ,strategy.short ,stop=ExitPrice ,comment="S-Entry2")
strategy.exit("S-Entry1" ,stop=ExitPrice)
else
strategy.entry("S-Entry2" ,strategy.short ,comment="S-Entry2")
if(lo_sig3 and MAX_N >= 3)
lo3 := na
if(SO_bool)
strategy.entry("S-Entry3" ,strategy.short ,stop=ExitPrice ,comment="S-Entry3")
strategy.exit("S-Entry2" ,stop=ExitPrice)
strategy.exit("S-Entry1" ,stop=ExitPrice)
else
strategy.entry("S-Entry3" ,strategy.short ,comment="S-Entry3")
if(lo_sig4 and MAX_N >= 4)
lo4 := na
if(SO_bool)
strategy.entry("S-Entry4" ,strategy.short ,stop=ExitPrice ,comment="S-Entry4")
strategy.exit("S-Entry3" ,stop=ExitPrice)
strategy.exit("S-Entry2" ,stop=ExitPrice)
strategy.exit("S-Entry1" ,stop=ExitPrice)
else
strategy.entry("S-Entry4" ,strategy.short ,comment="S-Entry4")
if((L_EntrySig or S_EntrySig) and isWork)
countTradingDays := 0
entry1 := close
if(L_EntrySig)
if(SO_bool)
strategy.entry("L-Entry1" ,strategy.long ,stop=ExitPrice ,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
if(S_EntrySig)
if(SO_bool)
strategy.entry("S-Entry1" ,strategy.short ,stop=ExitPrice ,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
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(ExitPrice ,title="ExitPrice" ,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(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)
plot(strategy.position_size>0 ? lower_ex : na ,color=red ,title="lower_exit" ,style=linebr ,linewidth=1 ,transp=30)
plot(strategy.position_size<0 ? upper_ex : na ,color=red ,title="upper_exit" ,style=linebr ,linewidth=1 ,transp=30)
=====
カーティス・フェイス著」
で紹介されている手法の再現。
５つ目です。
これまでの手法に比べると
すこしスパンの短い手法。
取引回数が増えます。
この手法をこれまでの手法と比較すると
「取引回数の重要さ」が良く分かると思います。
（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 Donchian Trend System"
,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_dc_exit = input(10 ,minval=1 ,title="length of dc exit")
len_ema_m = input(25 ,minval=1 ,title="length of middle ema")
len_ema_l = input(350 ,minval=1 ,title="length of long ema")
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(1 ,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)
upper_en = highest(high ,len_dc_entry)[1]
upper_ex = highest(high ,len_dc_exit)[1]
lower_en = lowest(low ,len_dc_entry)[1]
lower_ex = lowest(low ,len_dc_exit)[1]
ema_m = ema(src ,len_ema_m)
ema_l = ema(src ,len_ema_l)
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]
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
losscut = close
losscut := SO_bool==false ? na
: L_EntrySig ? close - atr_SO
: S_EntrySig ? close + atr_SO
: strategy.position_size>0 and (lo_sig2 or lo_sig3 or lo_sig4) ? close - atr_SO
: strategy.position_size<0 and (lo_sig2 or lo_sig3 or lo_sig4) ? close + atr_SO
: strategy.position_size!=0 ? losscut[1]
: na
ExitPrice = close
ExitPrice := L_EntrySig or strategy.position_size>0 ? SO_bool ? max(losscut ,lower_ex) : lower_ex
: S_EntrySig or strategy.position_size<0 ? SO_bool ? min(losscut ,upper_ex) : upper_ex
: na
if(strategy.position_size != 0)
L_ExitSig = (low <= lower_ex or S_EntrySig) and strategy.position_size > 0
S_ExitSig = (high >= upper_ex 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)
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)
strategy.exit("L-Entry1" ,stop=ExitPrice)
if(entry2!=na)
strategy.exit("L-Entry2" ,stop=ExitPrice)
if(entry3!=na)
strategy.exit("L-Entry3" ,stop=ExitPrice)
if(entry4!=na)
strategy.exit("L-Entry4" ,stop=ExitPrice)
if(lo_sig2 and MAX_N >= 2)
lo2 := na
if(SO_bool)
strategy.entry("L-Entry2" ,strategy.long ,stop=ExitPrice ,comment="L-Entry2")
strategy.exit("L-Entry1" ,stop=ExitPrice)
else
strategy.entry("L-Entry2" ,strategy.long ,comment="L-Entry2")
if(lo_sig3 and MAX_N >= 3)
lo3 := na
if(SO_bool)
strategy.entry("L-Entry3" ,strategy.long ,stop=ExitPrice ,comment="L-Entry3")
strategy.exit("L-Entry2" ,stop=ExitPrice)
strategy.exit("L-Entry1" ,stop=ExitPrice)
else
strategy.entry("L-Entry3" ,strategy.long ,comment="L-Entry3")
if(lo_sig4 and MAX_N >= 4)
lo4 := na
if(SO_bool)
strategy.entry("L-Entry4" ,strategy.long ,stop=ExitPrice ,comment="L-Entry4")
strategy.exit("L-Entry3" ,stop=ExitPrice)
strategy.exit("L-Entry2" ,stop=ExitPrice)
strategy.exit("L-Entry1" ,stop=ExitPrice)
else
strategy.entry("L-Entry4" ,strategy.long ,comment="L-Entry4")
if(strategy.position_size < 0)
strategy.exit("S-Entry1" ,stop=ExitPrice)
if(entry2!=na)
strategy.exit("S-Entry2" ,stop=ExitPrice)
if(entry3!=na)
strategy.exit("S-Entry3" ,stop=ExitPrice)
if(entry4!=na)
strategy.exit("S-Entry4" ,stop=ExitPrice)
if(lo_sig2 and MAX_N >= 2)
lo2 := na
if(SO_bool)
strategy.entry("S-Entry2" ,strategy.short ,stop=ExitPrice ,comment="S-Entry2")
strategy.exit("S-Entry1" ,stop=ExitPrice)
else
strategy.entry("S-Entry2" ,strategy.short ,comment="S-Entry2")
if(lo_sig3 and MAX_N >= 3)
lo3 := na
if(SO_bool)
strategy.entry("S-Entry3" ,strategy.short ,stop=ExitPrice ,comment="S-Entry3")
strategy.exit("S-Entry2" ,stop=ExitPrice)
strategy.exit("S-Entry1" ,stop=ExitPrice)
else
strategy.entry("S-Entry3" ,strategy.short ,comment="S-Entry3")
if(lo_sig4 and MAX_N >= 4)
lo4 := na
if(SO_bool)
strategy.entry("S-Entry4" ,strategy.short ,stop=ExitPrice ,comment="S-Entry4")
strategy.exit("S-Entry3" ,stop=ExitPrice)
strategy.exit("S-Entry2" ,stop=ExitPrice)
strategy.exit("S-Entry1" ,stop=ExitPrice)
else
strategy.entry("S-Entry4" ,strategy.short ,comment="S-Entry4")
if((L_EntrySig or S_EntrySig) and isWork)
countTradingDays := 0
entry1 := close
if(L_EntrySig)
if(SO_bool)
strategy.entry("L-Entry1" ,strategy.long ,stop=ExitPrice ,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
if(S_EntrySig)
if(SO_bool)
strategy.entry("S-Entry1" ,strategy.short ,stop=ExitPrice ,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
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(ExitPrice ,title="ExitPrice" ,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(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)
plot(strategy.position_size>0 ? lower_ex : na ,color=red ,title="lower_exit" ,style=linebr ,linewidth=1 ,transp=30)
plot(strategy.position_size<0 ? upper_ex : na ,color=red ,title="upper_exit" ,style=linebr ,linewidth=1 ,transp=30)
=====
Note
次の講座
小次郎講師公式インジケーターのお申込
bit.ly/2vdSV4Q
小次郎講師のLINE@
bit.ly/2VZQFu3
小次郎講師のチャート情報局
bit.ly/2GvLAEp
bit.ly/2vdSV4Q
小次郎講師のLINE@
bit.ly/2VZQFu3
小次郎講師のチャート情報局
bit.ly/2GvLAEp
Related publications
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.