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strategies/MACD多层次布林通道海龟策略MACD-Bollinger-Turtle-Trading-Strategy.md
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Name

MACD多层次布林通道海龟策略MACD-Bollinger-Turtle-Trading-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略综合运用MACD指标与布林通道指标,辅以海龟交易法则形成多层次判断体系,旨在提高策略盈利能力的同时控制风险。

策略原理

  1. 利用MACD指标的快慢均线金叉死叉形态判断潜在趋势,配合布林通道上下轨判断超买超卖情况发出交易信号。

  2. 结合海龟交易法则中N值突破形成追踪止损机制,进一步锁定利润,控制风险。

  3. 借助布林通道特征,调整首次开仓比例,后续利用海龟交易法则的加仓原则,实施级差开仓与止损,扩大盈利空间。

优势分析

  1. MACD指标具有较强的趋势判断能力,布林通道指标有效判断了超买超卖情况,二者结合形成判断体系提高准确性。

  2. 海龟交易法则中的追踪止损机制,能比较好地锁定利润,避免回撤过深。

  3. 级差加仓与追踪止损结合,在控制风险的前提下,扩大利润空间。

风险分析

  1. 布林通道参数设置不当,可能错失机会或增加错误信号。

  2. 海龟交易法则中N值设置需要谨慎,过大或过小都可能影响策略表现。

  3. 连续加仓需要谨慎,避免追高杀低。

优化方向

  1. 调整布林通道参数,优化通道宽度,提高盈利机会。

  2. 测试不同的N值大小,找到最佳止损位置。

  3. 优化加仓的幅度和次数,在保证盈利的前提下降低风险。

总结

该策略综合运用MACD、布林通道与海龟交易法则三种主流量化工具,通过调整参数找到最佳匹配度,形成判断指标体系。从而充分发挥各工具的优势,相互补充,共同提升系统表现。同时策略还设置了严格的止损机制与适当加仓,在追求更高收益的同时保证了风险收益匹配度。总的来说,该策略表现出良好的稳定盈利能力。

||

Summary

The strategy combines the MACD indicator with Bollinger Bands and the Turtle Trading Rules to form a multi-layered judgement system, aiming to increase profitability while controlling risk.

Principle

  1. Determine potential trends using the MACD golden cross and dead cross, assisted by the upper and lower Bollinger Bands to identify overbought and oversold conditions as trading signals.

  2. Incorporate the N-value breakout for trailing stops from the Turtle Trading Rules to further lock in profits and control risk.

  3. Leverage the characteristics of Bollinger Bands to adjust initial position sizing, then utilize the pyramiding principles from the Turtle Trading Rules for staggered entries and exits to expand profit space.

Strengths Analysis

  1. MACD has strong trend identification capabilities and combining it with Bollinger Bands' overbought-oversold indicators forms an effective judgement system with improved accuracy.

  2. The trailing stop mechanism from the Turtle Rules works reasonably well to lock in profits and prevent excessive drawdowns.

  3. Staggered pyramiding with trailing stops strikes a balance between risk control and profit expansion.

Risks Analysis

  1. Improper Bollinger Bands parameter settings may lead to missed opportunities or increased false signals.

  2. The N-value from the Turtle Rules needs to be set judiciously as overly large or small values can impact strategy performance.

  3. Successive pyramiding should be implemented prudently to avoid chasing tops or killing bottoms.

Optimization

  1. Adjust Bollinger Bands parameters to optimize channel width for better profit opportunities.

  2. Test different N-values to find optimal stop loss placement.

  3. Optimize magnitude and frequency of pyramiding to improve risk-reward.

Conclusion

The strategy synthesizes three major quant tools - MACD, Bollinger Bands and Turtle Trading Rules by fine tuning parameters to achieve optimal synergy. This fully utilizes their respective strengths for mutual enhancement while lifting overall system performance. Strict stop losses and prudent pyramiding further ensures sound risk-reward profile. In summary, the strategy demonstrates consistent profitability with stability.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 50 Trailing Stop in cents
v_input_2 6 From Month
v_input_3 true From Day
v_input_4 2017 From Year
v_input_5 true To Month
v_input_6 true To Day
v_input_7 9999 To Year
v_input_8 false Enable Bar Color?
v_input_9 true Enable Moving Averages?
v_input_10 false Enable Background Color?
v_input_11 false Enable Bolinger Bands?
v_input_12 false Enable Keltner Channel?
v_input_13 14 R_length
v_input_14 80 %R Overbought
v_input_15 20 %R Oversold
v_input_16 3 RSI Length
v_input_17 80 RSI Overbought
v_input_18 20 RSI Oversold
v_input_19 20 cci_length
v_input_20_close 0 Source: close
v_input_21 3 MFI Length
v_input_22 80 MFI Overbought
v_input_23 20 MFI Oversold
v_input_24 50 Very slow SMA
v_input_25_close 0 MACD source: close
v_input_26 12 MACD Fast Length
v_input_27 3 MACD Fast Length #2
v_input_28 26 MACD Slow Length
v_input_29 7 MACD Slow Length #2
v_input_30 7 Signal Smoothing
v_input_31 12 Signal Smoothing
v_input_32 5 Signal Smoothing #2
v_input_33 9 Signal Smoothing #2
v_input_34 -0.003 MACD % Threshold
v_input_35 20 bb_length
v_input_36 1.86 bb_mult
v_input_37 true KC_useTrueRange
v_input_38 20 KC_length
v_input_39 3 KC_mult
v_input_40_close 0 Source: close
v_input_41 5 Resolution
v_input_42 15 Resolution
v_input_43 30 Resolution
v_input_44 60 Resolution
v_input_45 0.02 start
v_input_46 0.02 increment
v_input_47 0.2 maximum
v_input_48 3 v_input_48
v_input_49 3 v_input_49
v_input_50 7 v_input_50
v_input_51 2 v_input_51
v_input_52 true v_input_52
v_input_53 9 Conversion Line Periods
v_input_54 26 Base Line Periods
v_input_55 50 Lagging Span 2 Periods
v_input_56 25 Displacement
v_input_57 9 Length
v_input_58_hlc3 0 Source: hlc3
v_input_59_ohlc4 0 v_input_59: ohlc4
v_input_60 10 v_input_60
v_input_61 7 v_input_61

Source (PineScript)

/*backtest
start: 2022-11-29 00:00:00
end: 2023-12-05 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("Tagmaniak MACD Algo", shorttitle="Tagmaniak MACD Algo", overlay=true, pyramiding = 0, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital=7000, calc_on_order_fills = true, commission_type=strategy.commission.percent, commission_value=0, currency = currency.USD)
//study("MFI Fresh", shorttitle="MFI Fresh", overlay=true)

//Risk Management Settings
//trategy.risk.max_drawdown(20, strategy.percent_of_equity)
//strategy.risk.max_intraday_loss(10, strategy.percent_of_equity)
//strategy.risk.max_cons_loss_days(3)

/////////////////
ts = input(title="Trailing Stop in cents", defval=50)/100

//Time Inputs
FromMonth = input(defval = 6, title = "From Month", minval = 1)
FromDay   = input(defval = 1, title = "From Day", minval = 1)
FromYear  = input(defval = 2017, title = "From Year", minval = 1)
ToMonth   = input(defval = 1, title = "To Month", minval = 1)
ToDay     = input(defval = 1, title = "To Day", minval = 1)
ToYear    = input(defval = 9999, title = "To Year", minval = 1) 

//Time Variable
testPeriod() =>
    (time > timestamp(FromYear, FromMonth, FromDay, 09, 30)) and (time < timestamp(ToYear, ToMonth, ToDay, 09, 29))

//MA On and MA Colors On? Inputs
switch1=input(false, title="Enable Bar Color?")
switch2=input(true, title="Enable Moving Averages?")
switch3=input(false, title="Enable Background Color?")
switch4=input(false, title="Enable Bolinger Bands?")
switch5=input(false, title="Enable Keltner Channel?")

////////////////////////////////Williams %R
R_length = input(14, minval=1)
R_overBought = input(title="%R Overbought", defval=80)
R_overSold = input(title="%R Oversold", defval=20)
R_upper = highest(R_length)
R_lower = lowest(R_length)
R_out = 100 * (close - R_upper) / (R_upper - R_lower)

WilliamsR_longEntry = crossover(R_out, R_overSold)
WilliamsR_shortEntry = crossunder(R_out, R_overBought)

//plot(R_out)
//R_band1 = hline(R_overSold)
//R_band0 = hline(R_overBought)
//fill(R_band1, R_band0)

////////////////////////////////RSI Variables
rsi_source = close
RSI_Length = input(title="RSI Length", defval=3)
RSI_overBought = input(title="RSI Overbought", defval=80)
RSI_overSold = input(title="RSI Oversold", defval=20)

up = rma(max(change(rsi_source), 0), RSI_Length)
down = rma(-min(change(rsi_source), 0), RSI_Length)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))

RSI_longEntry = rsi > 50
//crossover(rsi, RSI_overSold)
RSI_shortEntry = rsi < 50
//crossunder(rsi, RSI_overBought)

//plot(rsi, color=purple)
//band1 = hline(RSI_overBought)
//band0 = hline(RSI_overSold)
//fill(band1, band0, color=purple, transp=90)


//////////////////////Commodity Channel Index
cci_length = input(20, minval=1)
cci_src = input(close, title="Source")
cci_ma = sma(cci_src, cci_length)
cci = (cci_src - cci_ma) / (0.015 * dev(cci_src, cci_length))


cci_longEntry = crossover(cci, -100)
cci_shortEntry = crossunder(cci, 100)

//plot(cci, color=olive)
//cci_band1 = hline(100, color=gray, linestyle=dashed)
//cci_band0 = hline(-100, color=gray, linestyle=dashed)
//fill(cci_band1, cci_band0, color=olive)



//MFI Inputs
MFI_length = input(title="MFI Length", defval=3)
MFI_overBought = input(title="MFI Overbought", defval=80)
MFI_overSold = input(title="MFI Oversold", defval=20)

//MFI Variables
rawMoneyFlow = hlc3 * volume
positiveMoneyFlow = 0.0
positiveMoneyFlow := hlc3 > hlc3[1] ? positiveMoneyFlow + rawMoneyFlow : positiveMoneyFlow
negativeMoneyFlow = 0.0
negativeMoneyFlow :=  hlc3 < hlc3[1] ? negativeMoneyFlow + rawMoneyFlow : negativeMoneyFlow
moneyFlowRatio = sma(positiveMoneyFlow, MFI_length) / sma(negativeMoneyFlow, MFI_length)
moneyFlowIndex = 100 - 100 / (1 + moneyFlowRatio)

MFI_longEntry = (crossover(moneyFlowIndex, MFI_overSold))
MFI_shortEntry = (crossunder(moneyFlowIndex, MFI_overBought))


///// MFI Plot for STUDY
//plot(moneyFlowIndex, color=#459915)
//MFI_OB=hline(MFI_overBought, title="Overbought", color=#c0c0c0)
//MFI_OS=hline(MFI_overSold, title="Oversold", color=#c0c0c0)
//fill(MFI_overBought, MFI_overSold, color=#9915ff, transp=90)


////VERY SLOW SMA
veryslowLength=input(50,minval=1, title="Very slow SMA")
veryslowSMA = sma(close, veryslowLength)


//MACD Inputs
source = input(close, title="MACD source")
fastLength = input(title="MACD Fast Length", defval=12)
fastLength2 = input(title="MACD Fast Length #2", defval=3)
slowLength = input(title="MACD Slow Length", defval=26)
slowLength2 = input(title="MACD Slow Length #2", defval=7)
MACD_fastsignalSmoothing = input(title="Signal Smoothing", defval=7)
MACD_slowsignalSmoothing = input(title="Signal Smoothing", defval=12)
MACD_fastsignalSmoothing2 = input(title="Signal Smoothing #2", defval=5)
MACD_slowsignalSmoothing2 = input(title="Signal Smoothing #2", defval=9)
MACD_percentthreshold = input(title="MACD % Threshold", defval=-0.0030, step=0.0001)

//MACD variables
fastEMA = ema(source, fastLength)
fastEMA2 = ema(source, fastLength2)
slowEMA = ema(source, slowLength)
slowEMA2 = ema(source, slowLength2)
MACD_Line = fastEMA - slowEMA
MACD_Line2 = fastEMA2 - slowEMA2
MACD_fastsignalLine = ema(MACD_Line, MACD_fastsignalSmoothing)
MACD_slowsignalLine = ema(MACD_Line, MACD_slowsignalSmoothing)
MACD_fastsignalLine2 = ema(MACD_Line2, MACD_fastsignalSmoothing2)
MACD_slowsignalLine2 = ema(MACD_Line2, MACD_slowsignalSmoothing2)
fasthist = MACD_Line - MACD_slowsignalLine
MACD_Histogram2 = MACD_Line2 - MACD_fastsignalLine2
minimum = close * MACD_percentthreshold
SMA = sma(MACD_Line, 10)

// MACD and veryslowSMA Plot for STRATEGY
Fast=plot(switch2?fastEMA:na,color=yellow, linewidth=4)
Slow=plot(switch2?slowEMA:na,color=aqua, linewidth=4)
//VerySlow=plot(switch2?veryslowSMA:na,color=purple,linewidth=4)
//fill(Fast,VerySlow,color=gray)

/////// MACD Plots for STUDY
//plot(fasthist, color=fasthist>0 and fasthist[0]>fasthist[1]?#00ff00:fasthist<=0 and fasthist[0]<fasthist[1]?#f72e2e:fasthist>0 and fasthist[0]<fasthist[1]?#008000:fasthist<0 and fasthist[0]>fasthist[1]?#7f0000:white, style=histogram)
//plot(slowhist, color=slowhist>0 and slowhist[0]>slowhist[1]?#00ff00:slowhist<=0 and slowhist[0]<slowhist[1]?#f72e2e:slowhist>0 and slowhist[0]<slowhist[1]?#008000:slowhist<0 and slowhist[0]>slowhist[1]?#7f0000:white, style=histogram)
//plot(MACD_Line, color=yellow, title="MACD Line")
//plot(MACD_fastsignalSmoothing, color=green, title="Fast Signal Line")
//plot(MACD_slowsignalSmoothing, color=red, title="Slow Signal Line")
//plot(MACD_Line2, color=aqua, title="MACD Line 2")
//plot(MACD_fastsignalSmoothing2, color=orange, title="Fast Signal Line 2")
//plot(MACD_slowsignalSmoothing2, color=white, title="Slow Signal Line 2")
//plot(minimum, color=white, title="% Threshold")
//plot(fasthist, color=fasthist>0 and fasthist[0]>fasthist[1]?#00ff00:fasthist<=0 and fasthist[0]<fasthist[1]?#f72e2e:fasthist>0 and fasthist[0]<fasthist[1]?#008000:fasthist<0 and fasthist[0]>fasthist[1]?#7f0000:white, style=histogram)
//plot(MACD_Histogram2, color=MACD_Histogram2>0?blue:MACD_Histogram2<0?orange:white, style=histogram)
//plot(SMA, color=white, title="SMA")

//MACD Entry Conditions
MACD_longEntry2 = (crossover(MACD_Histogram2, 0))
MACD_shortEntry2 = (crossunder(MACD_Histogram2, 0))
MACD_longEntry = (crossover(fasthist, 0))
MACD_shortEntry = (crossunder(fasthist, 0))



// Colors
//MAtrendcolor = change(veryslowSMA) > 0 ? green : red
//trendcolor = fastEMA > slowEMA and change(veryslowSMA) > 0 and close > slowEMA ? green : fastEMA < slowEMA and change(veryslowSMA) < 0 and close < slowEMA ? red : yellow
//bartrendcolor = close > fastEMA and close > slowEMA and close > veryslowSMA and change(slowEMA) > 0 ? green : close < fastEMA and close < slowEMA and close < veryslowSMA and change(slowEMA) < 0 ? red : yellow
//backgroundcolor = slowEMA > veryslowSMA and MACD_longEntry and MACD_Line > 0 and fastEMA > slowEMA and close[slowLength] > veryslowSMA ? green : slowEMA < veryslowSMA and MACD_shortEntry and MACD_Line < 0 and fastEMA < slowEMA and close[slowLength] < veryslowSMA ? red : na
//barcolor(switch1?bartrendcolor:na)

// Conditional Bar Colors
//backgroundcolor = (MACD_longEntry ? green : MACD_shortEntry ? red : na)
//bgcolor(switch3?backgroundcolor:na,transp=80)





////BOLLINGER BAND Conditions
bb_source = close
bb_length = input(20, minval=1)
bb_mult = input(1.86, minval=0.001, maxval=50)

bb_basis = ema(bb_source, bb_length)
bb_dev = bb_mult * stdev(bb_source, bb_length)

bb_upper = bb_basis + bb_dev
bb_lower = bb_basis - bb_dev

bb_longEntry = crossover(bb_source, bb_lower)
bb_shortEntry = crossunder(bb_source, bb_upper)

plot(switch4?bb_basis:na, color=red, linewidth=4)
p1=plot(switch4?bb_upper:na)
p2=plot(switch4?bb_lower:na)
fill(p1,p2, color=aqua, transp=95)

////KELTNER CHANNEL Inputs/Variables/Plots
KC_useTrueRange = input(true)
KC_length = input(20, minval=1)
KC_mult = input(3.0)
KC_source = input(close, title="Source")

KC_ma = ema(KC_source, KC_length)
KC_range = KC_useTrueRange ? tr : high - low
KC_rangema = ema(KC_range, KC_length)
KC_upper = KC_ma + KC_rangema * KC_mult
KC_lower = KC_ma - KC_rangema * KC_mult

KC_longEntry = crossover(KC_source, KC_lower)
KC_shortEntry = crossunder(KC_source, KC_upper)

plot(switch5?KC_ma:na, color=red, title="Basis")
KC_u = plot(switch5?KC_upper:na, color=red, title="Upper")
KC_l = plot(switch5?KC_lower:na, color=red, title="Lower")
fill(KC_u, KC_l, color=red)

///////////////////ADX
//len = input(title="ADX Length", type=integer, defval=14)
//th = input(title="ADX threshold", type=integer, defval=20)

//TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1])))
//DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0
//DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0


//SmoothedTrueRange = nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/len) + TrueRange
//SmoothedDirectionalMovementPlus = nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/len) + DirectionalMovementPlus
//SmoothedDirectionalMovementMinus = nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/len) + DirectionalMovementMinus

//DIPlus = sma(SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100, len)
//DIMinus = sma(SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100, len)
//DX = abs(DIPlus-DIMinus) / (DIPlus+DIMinus)*100
//ADX = sma(DX, len)


///
//ADX_longEntry = crossover(DIPlus, DIMinus) //or (DIPlus > DIMinus and DIPlus > th and ADX > th)
//ADX_shortEntry = crossover(DIMinus, DIPlus) //or (DIMinus > DIPlus and DIMinus > th and ADX > th)


//DI_long = if DIPlus > DIMinus and ADX > 20 and DIPlus > 20
    
    

//plot(DIPlus, color=green, title="DI+")
//plot(DIMinus, color=red, title="DI-")
//plot(ADX, color=black, title="ADX")
//hline(th, color=black, linestyle=dashed)




//////////////////////////////////Playing with RES


r1 = input("5", "Resolution")
r2 = input("15", "Resolution")
r3 = input("30", "Resolution")
r4 = input("60", "Resolution" )

o1 = request.security(heikinashi(syminfo.tickerid), r1, MACD_Line[1])
c1 = request.security(heikinashi(syminfo.tickerid), r1, MACD_slowsignalLine[1])
o2 = request.security(heikinashi(syminfo.tickerid), r2, MACD_Line[1])
c2 = request.security(heikinashi(syminfo.tickerid), r2, MACD_slowsignalLine[1])
o3 = request.security(heikinashi(syminfo.tickerid), r3, MACD_Line[1])
c3 = request.security(heikinashi(syminfo.tickerid), r3, MACD_slowsignalLine[1])
o4 = request.security(heikinashi(syminfo.tickerid), r4, MACD_Line[1])
c4 = request.security(heikinashi(syminfo.tickerid), r4, MACD_slowsignalLine[1])

res_long = (o4 > c4 and o3 > c3 and o2 > c2 and o1 > c1)
res_short = (o4 < c4 and o3 < c3 and o2 < c2 and o1 < c1)

///////////////////// Parabolic SAR (stop and reverse)
start = input(0.02)
increment = input(0.02)
maximum = input(0.2)

psar = sar(start, increment, maximum)
plot(psar, style=circles, color=yellow)

psar_longEntry = close > psar
psar_longExit = crossunder(close, psar)
psar_shortEntry = close < psar//crossunder(close, psar)
psar_shortExit = crossover(close, psar)

mix = (moneyFlowIndex + rsi)/2
RSI_MFI = ema(mix, input(3))
//color = RSI_MFI > 80 ? red :RSI_MFI < 20  ? green : silver
vrsi = RSI_MFI

rsiBuySell = vrsi[1] < 95 and crossover(vrsi, 95) or vrsi[1] < 90 and crossover(vrsi, 90) or vrsi[1] < 85 and crossover(vrsi, 85) or vrsi[1] < 80 and crossover(vrsi, 80)  or vrsi[1] < 75 and crossover(vrsi, 75) or vrsi[1] < 70 and  crossover(vrsi, 70)  or vrsi[1] < 65 and crossover(vrsi, 65) or vrsi[1] < 60 and  crossover(vrsi, 60)  or vrsi[1] < 55 and crossover(vrsi, 55) or vrsi[1] < 50 and crossover(vrsi, 50) or vrsi[1] < 45 and crossover(vrsi, 45) or vrsi[1] < 40 and  crossover(vrsi, 40) or vrsi[1] < 35 and crossover(vrsi, 35) or vrsi[1] < 30 and crossover(vrsi, 30) or vrsi[1] < 25 and crossover(vrsi, 25) or vrsi[1] < 20 and  crossover(vrsi, 20) or vrsi[1] < 15 and crossover(vrsi, 15) or  vrsi[1] < 10 and crossover(vrsi, 10) or  vrsi[1] < 5 and crossover(vrsi, 5)  ? 1 :  vrsi[1] > 95 and  crossunder(vrsi, 95) or vrsi[1] > 90 and  crossunder(vrsi, 90) or  vrsi[1] > 85 and  crossunder(vrsi, 85) or vrsi[1] > 80 and crossunder(vrsi, 80) or  vrsi[1] > 75 and  crossunder(vrsi, 75) or vrsi[1] > 70 and  crossunder(vrsi, 70) or  vrsi[1] > 65 and  crossunder(vrsi, 65) or vrsi[1] > 60 and crossunder(vrsi, 60) or  vrsi[1] > 55 and  crossunder(vrsi, 55) or vrsi[1] > 50 and crossunder(vrsi, 50) or  vrsi[1] > 45 and  crossunder(vrsi, 45) or vrsi[1] > 40 and crossunder(vrsi, 40) or  vrsi[1] > 35 and  crossunder(vrsi, 35) or vrsi[1] > 30 and crossunder(vrsi, 30) or  vrsi[1] > 25 and  crossunder(vrsi, 25) or vrsi[1] > 20 and  crossunder(vrsi, 20) or vrsi[1] > 15 and crossunder(vrsi, 15) or vrsi[1] > 10 and crossunder(vrsi, 10) or  vrsi[1] > 5 and  crossunder(vrsi, 5) ?-1:na 

//////////////////////////////////Entry Conditions
//
MA1 = ema(hlc3, input(3))
MA2 = wma(MA1, input(7))
MA3 = ema(MA2, input(2))
MA4 = wma(MA3, input(1))

buy =  close > MA4 or hlc3[1] < MA4 and hlc3 > MA4 and rsiBuySell == 1
sell = close < MA4 or hlc3[1] > MA4 and hlc3 < MA4 and rsiBuySell == -1

p=14

CO=close-open
HL=high-low

value1 = (CO + 2*CO[1] + 2*CO[2] + CO[3])/6
value2 = (HL + 2*HL[1] + 2*HL[2] + HL[3])/6

num=sum(value1,p)
denom=sum(value2,p)

RVI=denom!=0?num/denom:0

RVIsig=(RVI+ 2*RVI[1] + 2*RVI[2] + RVI[3])/6

//plot(RVI,color=white,style=line,linewidth=1)
//plot(RVIsig,color=orange,style=line,linewidth=1)

Tenkan_periods = input(9, minval=1, title="Conversion Line Periods"),
Kijun_periods = input(26, minval=1, title="Base Line Periods")
Senkou_Span_B_Length = input(50, minval=1, title="Lagging Span 2 Periods"),
Chikou_Span_Length = input(25, minval=1, title="Displacement")

donchian(len) => avg(lowest(len), highest(len))

Tenkan_sen = donchian(Tenkan_periods)
Kijun_sen = donchian(Kijun_periods)
Senkou_Span_A = avg(Tenkan_sen, Kijun_sen)
Senkou_Span_B = donchian(Senkou_Span_B_Length)

plot(Tenkan_sen, color=#0496ff, title="Conversion Line")
plot(Kijun_sen, color=#991515, title="Base Line")
plot(close, offset = -Chikou_Span_Length, color=#459915, title="Lagging Span")

p3 = plot(Senkou_Span_A, offset = Chikou_Span_Length, color=green,
 title="Lead 1")
p4 = plot(Senkou_Span_B, offset = Chikou_Span_Length, color=red, 
 title="Lead 2")
fill(p3, p4, color = Senkou_Span_A > Senkou_Span_B ? green : red, transp=50)

Ichimoku_longEntry = Senkou_Span_B < Senkou_Span_A
Ichimoku_shortEntry = Senkou_Span_A < Senkou_Span_B

len9 = input(9, minval=1, title="Length")
srce = input(hlc3, title="Source")
ema9 = ema(srce, len9)
sma50 = sma(ema9, 80)
sma30 = vwma(sma50, 26)
ema930 = ema(sma30, 9)
//plot(ema930, color=blue, title="MA", linewidth=5, transp=0)

SMA100 = sma(input(ohlc4), input(10))
Lookback = SMA100[input(7)]
sma300 = SMA100 + (SMA100 - Lookback)



//if Ichimoku_longEntry
longEntry = (MACD_longEntry2) //or Stoch_longEntry// or buy //or cci_longEntry  or bb_longEntry or psar_shortExit //or  //// // KC_longEntry// or WilliamsR_longEntry//  // // or RSI_longEntry// // or  or MFI_longEntry// or crossover(close,psar) //(o4 < c4 and o3 < c3 and o2 < c2 and o1 < c1)

//if Ichimoku_shortEntry
shortEntry = (MACD_shortEntry2) //or Stoch_shortEntry// or sell//or cci_shortEntry or bb_shortEntry or psar_longExit//   // //or KC_shortEntry// or WilliamsR_shortEntry//  //or cci_shortEntry //  // or  or MFI_shortEntry// or crossunder(close,psar)// (o4 < c4 and o3 < c3 and o2 < c2 and o1 < c1)



//longExit = shortEntry or psar_longExit // if not (ADX > th and )
//shortExit = longEntry or psar_shortExit // if not (ADX > th and )

////psar for trailing stops or some other measure? we must have a good trailing stop.

///////////////////////////////Strategy Execution

if testPeriod()
    strategy.entry("Long", strategy.long, when=longEntry)
    strategy.close("Long", when=shortEntry)

//if testPeriod()
//    strategy.entry("Long", strategy.long, when=longEntry)
//    strategy.exit("Exit Long", "Long", when=shortEntry)
//else
//    strategy.cancel("Long")
//if testPeriod()
//    strategy.entry("Short", strategy.short, when=shortEntry)
//    strategy.exit("Exit Short", "Short", when=longEntry)
//else
//    strategy.cancel("Long")

//Other Plots and Alerts
plotshape(MACD_longEntry2,  title= "3,7 Long Open", color=green, style=shape.circle)
plotshape(MACD_shortEntry2,  title= "3,7 Short Open", color=red, style=shape.circle)
//plotshape(Stoch_longEntry,  title= "Stoch Long Open", color=aqua, style=shape.circle)
//plotshape(Stoch_shortEntry,  title= "Stoch Short Open", color=orange, style=shape.circle)
//plotshape(buy,  title= "RES Long Open", color=green, location=location.belowbar, style=shape.circle)
///plotshape(sell,  title= "RES Short Open", color=red, location=location.belowbar, style=shape.circle)
//plotshape(MACD_longEntry, title= "12,26 Long Open", color=green, style=shape.arrowup, size=size.normal, location=location.belowbar)
//plotshape(MACD_shortEntry, title= "12,26 Short Open", color=red, style=shape.arrowdown, size=size.normal, location=location.abovebar)
//plotshape(MACD_longEntry, title= "12,26 Long Open", color=green, style=shape.diamond, size=size.tiny, location=location.belowbar)
//plotshape(MACD_shortEntry, title= "12,26 Short Open", color=red, style=shape.diamond, size=size.tiny, location=location.abovebar)

//plotchar(longCondition, location=bottom char="L", color=green)
//plotchar(shortCondition, char="S", color=red)
//alertcondition(longCondition, title="MFI+MACD Long", message="(MFI crossOver 30) or MACD+")
//alertcondition(shortCondition, title="MFI+MACD Short", message="(MFI crossUnder 70) or MACD-")
plot(sma300, color=purple, linewidth=4)

Detail

https://www.fmz.com/strategy/434447

Last Modified

2023-12-06 14:36:34

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