602 lines
29 KiB
Markdown
602 lines
29 KiB
Markdown
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> Name
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双重MA指标震荡价格追踪策略Dual-MA-Indicator-Oscillating-Price-Tracking-Strategy
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> Author
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ChaoZhang
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> Strategy Description
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[trans]
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该策略名称为“双重MA指标震荡价格追踪策略”,其利用了SMA和EMA等多种MA移动平均线的组合,通过设置多个快慢指标对市场价格进行实时追踪,在市场出现震荡的时候可以给出交易信号。
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策略概述:
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该策略通过构建三组不同参数的MA指标线,分别代表市场的快、中、慢速行情,同时辅助设置滤波指标来过滤误差信号,形成长短多空判断依据。策略逻辑优化过滤方法多样,利用价均线交叉、超买超卖指标RSI、布林线突破等技术指标进行复合判断,可以有效判断价格临界点买卖点位,把握震荡行情并减小市场风险,策略具有显著优势。
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策略原理:
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1、设置一组快(21周期)、中(55周期)、慢(89周期)三条MA指标线代表不同时间长度的平均价格水平;
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2、通过判断三条MA指标线的排列关系(快>中>慢 或 快<中<慢),来判断目前行情是处于上升或下降阶段;
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3、辅以SuperTrend等判断长短线判断,增加信号的准确性;
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4、根据这些信号和过滤指标的状态变化来选时交易,发出买入/卖出信号。
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策略优势:
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1、利用多组MA组合指标判断市场长短期运行态势,提高判断的准确性;
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2、采用多种滤波方法优化买卖点位的选择,增加获利几率;
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3、应用布林线、RSI等技术指标辅助突破,把握关键支撑位和反转机会;
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4、根据快速MA的方向变化选择买卖方向,无需贪图反转,追击震荡行情,实现盈利;
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5、交易信号通过可视化箭头和标记清晰显示,容易掌握,操作方便。
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风险与防范:
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1、MA均线策略对假突破概率抗性较弱;
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2、复合指标之间可能存在时间差,带来信号落后的风险;
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3、突破买入后,还需要进一步判断后市强势程度,防止被套;
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4、实盘考虑增加止损、止盈条件,以控制单笔交易的最大损失。
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策略优化:
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1、测试不同MA类型和参数,寻找最优MA组合;
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2、增强反转判断模块,如完善KD指标使用;
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3、结合交易量指标分析,确定真实趋势;
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4、扩展BIAS指标判断超买超卖区域。
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总结:
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在不断波动的数字货币市场中,该策略利用波段震荡来回的机会进行频繁交易,通过设定的MA指标和辅助滤波判断进行多空切换,把握市场关键反转时机。同时也可以进一步优化,增加止损模块来降低单次损失,通过策略自动化来获取长线的正向收益。
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The strategy is named "Dual MA Indicator Oscillating Price Tracking Strategy". It utilizes the combination of SMA, EMA and other MA moving averages to track market prices in real time. When there is oscillation in the market, it can give trading signals.
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Strategy Overview:
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The strategy builds three groups of MA indicator lines with different parameters, representing the fast, medium and slow trends of the market. Meanwhile, filter indicators are used to filter out false signals and form the basis for long and short judgments. The strategy has diverse logical optimization and filtering methods, using technical indicators such as moving average crossovers, RSI overbought and oversold, and Bollinger Bands breakouts for composite judgment. It can effectively determine the buying and selling points of price extremes and capture oscillating trends while reducing market risks. The strategy has significant advantages.
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Strategy Principles:
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1. Set up a group of fast (21 periods), medium (55 periods) and slow (89 periods) three MA indicator lines representing average price levels of different time lengths;
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2. Determine whether the current trend is in an upward or downward phase by judging the arrangement relationship of the three MA indicator lines (fast > medium > slow or fast < medium < slow);
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3. Assist with judgments such as SuperTrend to increase signal accuracy;
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4. Issue buy/sell signals based on changes in the status of these signals and filter indicators.
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Advantages of the Strategy:
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1. Use multiple MA combinations to judge long and short term market trends for more accurate judgments;
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2. Adopt multiple filtering methods to optimize the selection of buying and selling points and increase profit probability;
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3. Apply technical indicators such as Bollinger Bands and RSI to assist breakouts and grasp key support levels and reversal opportunities;
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4. Select the buying and selling direction according to the direction change of the fast MA without the need to be greedy for reversals, chase oscillating trends, and achieve profits;
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5. Trading signals displayed clearly through visualizable arrows and markings, easy to grasp and convenient to operate.
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Risks and Prevention:
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1. MA strategies have weaker resistance to false breakout probabilities;
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2. There may be time differences between combined indicators, leading to lagging signal risks;
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3. After a break-in buy, further judgment of the strength of the subsequent market is needed to prevent being trapped;
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4. Consider adding stop loss and take profit in live trading to control maximum loss per trade.
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Strategy Optimization:
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1. Test different types and parameters of MA to find the optimal combination;
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2. Enhance reversal judgment modules such as improving the use of the KD indicator;
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3. Incorporate trading volume indicators to determine true trends;
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4. Expand BIAS indicators to determine overbought and oversold areas.
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Conclusion:
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In the ever-fluctuating cryptocurrency market, this strategy takes the opportunity to make frequent trades during the ups and downs of market waves. By setting the MA indicators and auxiliary filtering judgments for switching between long and short positions, it grasps the key reversal timing of the market. It can also be further optimized by adding stop loss modules to reduce single losses and obtain long-term positive returns through strategy automation.
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[/trans]
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|v_input_string_1|0|Coloured MA Type: : HullMA|EMA|WMA|VWMA|SMMA|DEMA|TEMA|SMA|ZEMA|TMA|SSMA|
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|v_input_int_1|18|Coloured MA - Length|
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|v_input_1_close|0|Coloured MA - Source: close|high|low|open|hl2|hlc3|hlcc4|ohlc4|
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|v_input_string_2|0|Fast MA Type: : EMA|SMA|WMA|VWMA|SMMA|DEMA|TEMA|HullMA|ZEMA|TMA|SSMA|
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|v_input_int_2|21|Fast MA - Length|
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|v_input_string_3|0|Medium MA Type: : EMA|SMA|WMA|VWMA|SMMA|DEMA|TEMA|HullMA|ZEMA|TMA|SSMA|
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|v_input_int_3|55|Medium MA - Length|
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|v_input_string_4|0|Slow MA Type: : EMA|SMA|WMA|VWMA|SMMA|DEMA|TEMA|HullMA|ZEMA|TMA|SSMA|
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|v_input_int_4|89|Slow MA Length|
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|v_input_2_close|0|3xMA and Bollinger Source: close|high|low|open|hl2|hlc3|hlcc4|ohlc4|
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|v_input_string_5|0|Signal Filter Option : : SuperTrend|3xMATrend|SuperTrend+3xMA|ColouredMA|No Alerts|MACross|MACross+ST|MACross+3xMA|OutsideIn:MACross|OutsideIn:MACross+ST|OutsideIn:MACross+3xMA|
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|v_input_3|false|hideMALines|
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|v_input_4|true|hideSuperTrend|
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|v_input_5|true|hideBollingerBands|
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|v_input_6|true|hideTrendDirection|
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|v_input_7|false|disableFastMAFilter|
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|v_input_8|false|disableMediumMAFilter|
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|v_input_9|false|disableSlowMAFilter|
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|v_input_int_5|20|Bollinge Bands Length|
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|v_input_float_1|2|Bollinger Bands StdDevs|
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|v_input_10|8|Bollinger Outside In LookBack|
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|v_input_float_2|3.618|SuperTrend Factor|
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|v_input_int_6|5|SuperTrend Length|
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|v_input_string_6|0|BUY Marker Colour: : Green|Lime|Aqua|DodgerBlue|Gray|Yellow|
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|v_input_string_7|0|SELL Marker Colour: : Maroon|Red|Fuchsia|Blue|Black|Orange|
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|v_input_11|70|overbought value|
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|v_input_12|30|oversold value|
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|v_input_int_7|10|Length|
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|v_input_int_8|12|ROCLength|
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|v_input_int_9|false|Trigger|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2024-01-05 00:00:00
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end: 2024-02-04 00:00:00
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period: 2h
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basePeriod: 15m
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exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
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*/
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//@version=5
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//
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// Bannos
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// #NotTradingAdvice #DYOR
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// Disclaimer.
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// I AM NOT A FINANCIAL ADVISOR.
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// THESE IDEAS ARE NOT ADVICE AND ARE FOR EDUCATION PURPOSES ONLY.
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// ALWAYS DO YOUR OWN RESEARCH
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//
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// Author: Adaptation from JustUncleL Big Snapper by Bannos
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// Date: May-2022
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// Version: R1.0
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//Description of this addon - Script using several new conditions to give Long/short and SL levels which was not proposed in the Big Snapper strategy "Big Snapper Alerts R3.0"
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//"
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//This strategy is based on the use of the Big Snapper outputs from the JustUncleL script and the addition of several conditions to define filtered conditions selecting signal synchrones with a trend and a rise of the volatility.
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//Also the strategy proposes to define proportional stop losses and dynamic Take profit using an RSI strategy.
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// After delivering the temporary ong/short signal and ploting a green or purple signal, several conditions are defined to consider a Signal is Long or short.
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//Let s take the long signal as example(this is the same process with the opposite values for a short).
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//step 1 - Long Definition:
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// Snapper long signal stored in the buffer variable Longbuffer to say that in a close future, we could have all conditions for a long
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// Now we need some conditions to combine with it:
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//the second one is to be over the Ma_medium(55)
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//and because this is not selective enough, the third one is a Volatility indicator "Chaikin Volatility" indicator giving an indication about the volatility of the price compared to the 10 last values
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// -> Using the volatility indicator gives the possibility to increase the potential rise if the volatility is higher compared to the last periods.
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//With these 3 signals, we get a robust indication about a potential long signal which is then stored in the variable "Longe"
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//Now we have a long signal and can give a long signal with its Stop Loss
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// The Long Signal is automatically given as the 3 conditions above are satisfied.
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// The Stop loss is a function of the last Candle sizes giving a stop below the 70% of the overall candle which can be assimilated to a Fibonacci level. Below this level it makes sense to stop the trade as the chance to recover the complete Candle is more than 60%
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//Now we are in an open Long and can use all the mentioned Stop loss condition but still need a Take Profit condition
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//The take profit condition is based on a RSI strategy consisting in taking profit as soon as the RSI come back from the overbought area (which is here defined as a rsi over 70) and reaching the 63.5 level to trigger the Take Profit
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//This TP condition is only active when Long is active and when an entry value as been defined.
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//Entry and SL level appreas as soon as a Long or short arrow signal does appears. The Take profit will be conidtioned to the RSI.
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//The final step in the cycle is a reinitialization of all the values giving the possibility to detect and treat any long new signal coming from the Big Snapper signal.
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//-------------------------------------------------------------------------------------------------------
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strategy(title='Big Snapper Alerts R3.0 + Chaiking Volatility condition + TP RSI', shorttitle='SNAPPER Bannos', overlay=true)
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// === INPUTS ===
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// Coloured MA - type, length, source
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typeColoured = input.string(defval='HullMA', title='Coloured MA Type: ', options=['SMA', 'EMA', 'WMA', 'VWMA', 'SMMA', 'DEMA', 'TEMA', 'HullMA', 'ZEMA', 'TMA', 'SSMA'])
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lenColoured = input.int(defval=18, title='Coloured MA - Length', minval=1)
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srcColoured = input(close, title='Coloured MA - Source')
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// Fast MA - type, length
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typeFast = input.string(defval='EMA', title='Fast MA Type: ', options=['SMA', 'EMA', 'WMA', 'VWMA', 'SMMA', 'DEMA', 'TEMA', 'HullMA', 'ZEMA', 'TMA', 'SSMA'])
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lenFast = input.int(defval=21, title='Fast MA - Length', minval=1)
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// Medium MA - type, length
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typeMedium = input.string(defval='EMA', title='Medium MA Type: ', options=['SMA', 'EMA', 'WMA', 'VWMA', 'SMMA', 'DEMA', 'TEMA', 'HullMA', 'ZEMA', 'TMA', 'SSMA'])
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lenMedium = input.int(defval=55, title='Medium MA - Length', minval=1)
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// Slow MA - type, length
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typeSlow = input.string(defval='EMA', title='Slow MA Type: ', options=['SMA', 'EMA', 'WMA', 'VWMA', 'SMMA', 'DEMA', 'TEMA', 'HullMA', 'ZEMA', 'TMA', 'SSMA'])
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lenSlow = input.int(defval=89, title='Slow MA Length', minval=1)
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// 3xMA source
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ma_src = input(close, title='3xMA and Bollinger Source')
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//
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filterOption = input.string('SuperTrend', title='Signal Filter Option : ', options=['3xMATrend', 'SuperTrend', 'SuperTrend+3xMA', 'ColouredMA', 'No Alerts', 'MACross', 'MACross+ST', 'MACross+3xMA', 'OutsideIn:MACross', 'OutsideIn:MACross+ST', 'OutsideIn:MACross+3xMA'])
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//
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hideMALines = input(false)
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hideSuperTrend = input(true)
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hideBollingerBands = input(true)
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hideTrendDirection = input(true)
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//
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disableFastMAFilter = input(false)
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disableMediumMAFilter = input(false)
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disableSlowMAFilter = input(false)
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//
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uKC = false // input(false,title="Use Keltner Channel (KC) instead of Bollinger")
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bbLength = input.int(20, minval=2, step=1, title='Bollinge Bands Length')
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bbStddev = input.float(2.0, minval=0.5, step=0.1, title='Bollinger Bands StdDevs')
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oiLength = input(8, title='Bollinger Outside In LookBack')
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//
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SFactor = input.float(3.618, minval=1.0, title='SuperTrend Factor')
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SPd = input.int(5, minval=1, title='SuperTrend Length')
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//
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buyColour_ = input.string('Green', title='BUY Marker Colour: ', options=['Green', 'Lime', 'Aqua', 'DodgerBlue', 'Gray', 'Yellow'])
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sellColour_ = input.string('Maroon', title='SELL Marker Colour: ', options=['Maroon', 'Red', 'Fuchsia', 'Blue', 'Black', 'Orange'])
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// --- Allocate Correct Filtering Choice
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// Can only be one choice
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uSuperTrendFilter = filterOption == 'SuperTrend' ? true : false
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u3xMATrendFilter = filterOption == '3xMATrend' ? true : false
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uBothTrendFilters = filterOption == 'SuperTrend+3xMA' ? true : false
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//uOIFilter = filterOption == "OutsideIn:ClrMA" ? true : false
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uOIMACrossFilter = filterOption == 'OutsideIn:MACross' ? true : false
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uOI3xMAFilter = filterOption == 'OutsideIn:MACross+3xMA' ? true : false
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uOISTFilter = filterOption == 'OutsideIn:MACross+ST' ? true : false
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uMACrossFilter = filterOption == 'MACross' ? true : false
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uMACrossSTFilter = filterOption == 'MACross+ST' ? true : false
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uMACross3xMAFilter = filterOption == 'MACross+3xMA' ? true : false
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// unless all 3 MAs disabled.
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disable3xMAFilter = disableFastMAFilter and disableMediumMAFilter and disableSlowMAFilter
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u3xMATrendFilter := disable3xMAFilter ? false : u3xMATrendFilter
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// if no filters selected then must be "No Filters" option
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disableAllFilters = u3xMATrendFilter or uSuperTrendFilter or uBothTrendFilters or uOI3xMAFilter or uOISTFilter or uOIMACrossFilter or uMACrossFilter or uMACrossSTFilter or uMACross3xMAFilter ? false : true
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// if "No Alerts" option selected, then disable all selections
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disableAllFilters := filterOption == 'No Alerts' ? false : disableAllFilters
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uSuperTrendFilter := filterOption == 'No Alerts' ? false : uSuperTrendFilter
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u3xMATrendFilter := filterOption == 'No Alerts' ? false : u3xMATrendFilter
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uBothTrendFilters := filterOption == 'No Alerts' ? false : uBothTrendFilters
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//uOIFilter := filterOption == "No Alerts"? false : uOIFilter
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uOIMACrossFilter := filterOption == 'No Alerts' ? false : uOIMACrossFilter
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uOI3xMAFilter := filterOption == 'No Alerts' ? false : uOI3xMAFilter
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uOISTFilter := filterOption == 'No Alerts' ? false : uOISTFilter
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uMACrossFilter := filterOption == 'No Alerts' ? false : uMACrossFilter
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uMACrossSTFilter := filterOption == 'No Alerts' ? false : uMACrossSTFilter
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uMACross3xMAFilter := filterOption == 'No Alerts' ? false : uMACross3xMAFilter
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// --- CONSTANTS ---
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dodgerblue = #1E90FF
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lightcoral = #F08080
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buyColour = color.green // for big Arrows, must be a constant.
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sellColour = color.maroon // for big Arrows
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// Colour Selectable for Big Fat Bars.
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buyclr = buyColour_ == 'Lime' ? color.lime : buyColour_ == 'Aqua' ? color.aqua : buyColour_ == 'DodgerBlue' ? dodgerblue : buyColour_ == 'Gray' ? color.gray : buyColour_ == 'Yellow' ? color.yellow : color.green
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sellclr = sellColour_ == 'Red' ? color.red : sellColour_ == 'Fuchsia' ? color.fuchsia : sellColour_ == 'Blue' ? color.blue : sellColour_ == 'Black' ? color.black : sellColour_ == 'Orange' ? color.orange : color.maroon
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// === /INPUTS ===
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// === FUNCTIONS ===
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// Returns MA input selection variant, default to SMA if blank or typo.
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variant(type, src, len) =>
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v1 = ta.sma(src, len) // Simple
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v2 = ta.ema(src, len) // Exponential
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v3 = ta.wma(src, len) // Weighted
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v4 = ta.vwma(src, len) // Volume Weighted
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v5 = 0.0
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sma_1 = ta.sma(src, len) // Smoothed
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v5 := na(v5[1]) ? sma_1 : (v5[1] * (len - 1) + src) / len
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v6 = 2 * v2 - ta.ema(v2, len) // Double Exponential
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v7 = 3 * (v2 - ta.ema(v2, len)) + ta.ema(ta.ema(v2, len), len) // Triple Exponential
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v8 = ta.wma(2 * ta.wma(src, len / 2) - ta.wma(src, len), math.round(math.sqrt(len))) // Hull WMA = (2*WMA (n/2) − WMA (n)), sqrt (n))
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v11 = ta.sma(ta.sma(src, len), len) // Triangular
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// SuperSmoother filter
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// © 2013 John F. Ehlers
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a1 = math.exp(-1.414 * 3.14159 / len)
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b1 = 2 * a1 * math.cos(1.414 * 3.14159 / len)
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c2 = b1
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c3 = -a1 * a1
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c1 = 1 - c2 - c3
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v9 = 0.0
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v9 := c1 * (src + nz(src[1])) / 2 + c2 * nz(v9[1]) + c3 * nz(v9[2])
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// Zero Lag Exponential
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e = ta.ema(v1, len)
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v10 = v1 + v1 - e
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// return variant, defaults to SMA if input invalid.
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type == 'EMA' ? v2 : type == 'WMA' ? v3 : type == 'VWMA' ? v4 : type == 'SMMA' ? v5 : type == 'DEMA' ? v6 : type == 'TEMA' ? v7 : type == 'HullMA' ? v8 : type == 'SSMA' ? v9 : type == 'ZEMA' ? v10 : type == 'TMA' ? v11 : v1
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// === /FUNCTIONS ===
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// === SERIES VARIABLES ===
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// MA's
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ma_fast = variant(typeFast, ma_src, lenFast)
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ma_medium = variant(typeMedium, ma_src, lenMedium)
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ma_slow = variant(typeSlow, ma_src, lenSlow)
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ma_coloured = variant(typeColoured, srcColoured, lenColoured)
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// Get Direction of Coloured Moving Average
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clrdirection = 1
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falling_1 = ta.falling(ma_coloured, 2)
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clrdirection := ta.rising(ma_coloured, 2) ? 1 : falling_1 ? -1 : nz(clrdirection[1], 1)
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||
// get 3xMA trend direction based on selections.
|
||
madirection = ma_fast > ma_medium and ma_medium > ma_slow ? 1 : ma_fast < ma_medium and ma_medium < ma_slow ? -1 : 0
|
||
madirection := disableSlowMAFilter ? ma_fast > ma_medium ? 1 : ma_fast < ma_medium ? -1 : 0 : madirection
|
||
madirection := disableMediumMAFilter ? ma_fast > ma_slow ? 1 : ma_fast < ma_slow ? -1 : 0 : madirection
|
||
madirection := disableFastMAFilter ? ma_medium > ma_slow ? 1 : ma_medium < ma_slow ? -1 : 0 : madirection
|
||
madirection := disableFastMAFilter and disableMediumMAFilter ? ma_coloured > ma_slow ? 1 : -1 : madirection
|
||
madirection := disableFastMAFilter and disableSlowMAFilter ? ma_coloured > ma_medium ? 1 : -1 : madirection
|
||
madirection := disableSlowMAFilter and disableMediumMAFilter ? ma_coloured > ma_fast ? 1 : -1 : madirection
|
||
//
|
||
// Supertrend Calculations
|
||
SUp = hl2 - SFactor * ta.atr(SPd)
|
||
SDn = hl2 + SFactor * ta.atr(SPd)
|
||
STrendUp = 0.0
|
||
STrendDown = 0.0
|
||
STrendUp := close[1] > STrendUp[1] ? math.max(SUp, STrendUp[1]) : SUp
|
||
STrendDown := close[1] < STrendDown[1] ? math.min(SDn, STrendDown[1]) : SDn
|
||
STrend = 0
|
||
STrend := close > STrendDown[1] ? 1 : close < STrendUp[1] ? -1 : nz(STrend[1], 1)
|
||
Tsl = STrend == 1 ? STrendUp : STrendDown
|
||
// Standard Bollinger or KC Bands
|
||
basis = ta.sma(ma_src, bbLength)
|
||
rangema = ta.sma(ta.tr, bbLength)
|
||
stdev_1 = ta.stdev(ma_src, bbLength)
|
||
dev = uKC ? bbStddev * rangema : bbStddev * stdev_1
|
||
// Calculate Bollinger or KC Channel
|
||
upper = basis + dev
|
||
lower = basis - dev
|
||
// Lookback for previous highest bar index
|
||
noiupper = math.abs(ta.highestbars(oiLength))
|
||
noilower = math.abs(ta.lowestbars(oiLength))
|
||
// ColouredMA OutsideIn
|
||
//oiupper = clrdirection<0 and noiupper>0 and highest(oiLength)>upper[noiupper]? 1 : 0
|
||
//oilower = clrdirection>0 and noilower>0 and lowest(oiLength)<lower[noilower]? 1 : 0
|
||
// MACross OutsideIN
|
||
oiMACrossupper = ta.crossunder(ma_fast, ma_coloured) and noiupper > 0 and ta.highest(oiLength) > upper[noiupper] ? 1 : 0
|
||
oiMACrosslower = ta.crossover(ma_fast, ma_coloured) and noilower > 0 and ta.lowest(oiLength) < lower[noilower] ? 1 : 0
|
||
// === /SERIES VARIABLES ===
|
||
// === PLOTTING ===
|
||
// All the MA's
|
||
plot(ma_coloured, title='Coloured MA', color=clrdirection < 0 ? lightcoral : color.blue, linewidth=3, transp=20)
|
||
plot(hideMALines ? na : ma_fast, title='Fast MA', color=color.new(color.lime, 20), linewidth=2)
|
||
plot(hideMALines ? na : ma_medium, title='Medium MA', color=color.new(color.red, 10), linewidth=2)
|
||
plot(hideMALines ? na : ma_slow, title='Slow MA', color=color.new(color.gray, 10), linewidth=2)
|
||
// show 3xMA Trend Direction State.
|
||
dcolour = madirection == 1 ? color.green : madirection == -1 ? color.red : color.yellow
|
||
plotshape(hideTrendDirection ? na : madirection, title='3xMA Trend Direction', location=location.bottom, style=shape.square, color=dcolour, transp=10)
|
||
// SuperTrend
|
||
plot(hideSuperTrend ? na : Tsl, color=STrend == 1 ? color.green : color.maroon, style=plot.style_line, linewidth=2, title='SuperTrend')
|
||
// Bollinger Bands
|
||
p1 = plot(hideBollingerBands ? na : upper, title='BB upper', color=color.new(dodgerblue, 20), linewidth=1)
|
||
p2 = plot(hideBollingerBands ? na : lower, title='BB lower', color=color.new(dodgerblue, 20), linewidth=1)
|
||
fill(p1, p2, color=color.new(dodgerblue, 96), title='BB fill')
|
||
// === /PLOTTING ===
|
||
// === ALERTING ===
|
||
// 3xMA Filtering
|
||
_3xmabuy = 0
|
||
_3xmasell = 0
|
||
_3xmabuy := clrdirection == 1 and close > ma_fast and madirection == 1 ? nz(_3xmabuy[1]) + 1 : clrdirection == 1 and madirection == 1 ? nz(_3xmabuy[1]) > 0 ? nz(_3xmabuy[1]) + 1 : 0 : 0
|
||
_3xmasell := clrdirection == -1 and close < ma_fast and madirection == -1 ? nz(_3xmasell[1]) + 1 : clrdirection == -1 and madirection == -1 ? nz(_3xmasell[1]) > 0 ? nz(_3xmasell[1]) + 1 : 0 : 0
|
||
//
|
||
// SuperTrend Filtering
|
||
stbuy = 0
|
||
stsell = 0
|
||
stbuy := clrdirection == 1 and STrend == 1 ? nz(stbuy[1]) + 1 : 0
|
||
stsell := clrdirection == -1 and STrend == -1 ? nz(stsell[1]) + 1 : 0
|
||
//
|
||
// 3xMA & SuperTrend Filtering
|
||
//
|
||
st3xmabuy = 0
|
||
st3xmasell = 0
|
||
st3xmabuy := (disable3xMAFilter or _3xmabuy > 0) and stbuy > 0 ? nz(st3xmabuy[1]) + 1 : 0
|
||
st3xmasell := (disable3xMAFilter or _3xmasell > 0) and stsell > 0 ? nz(st3xmasell[1]) + 1 : 0
|
||
// Bollinger Outside In using ColuredMA direction Filter.
|
||
//oibuy = 0
|
||
//oisell = 0
|
||
//oibuy := clrdirection == 1 and oilower==1? nz(oibuy[1])+1 : 0
|
||
//oisell := clrdirection ==-1 and oiupper==1? nz(oisell[1])+1 : 0
|
||
// Bollinger Outside In using MACross signal Filter
|
||
oiMACrossbuy = 0
|
||
oiMACrosssell = 0
|
||
oiMACrossbuy := oiMACrosslower == 1 ? nz(oiMACrossbuy[1]) + 1 : 0
|
||
oiMACrosssell := oiMACrossupper == 1 ? nz(oiMACrosssell[1]) + 1 : 0
|
||
// Bollinger Outside In + 3xMA Filter
|
||
oi3xmabuy = 0
|
||
oi3xmasell = 0
|
||
oi3xmabuy := oiMACrossbuy > 0 and (disable3xMAFilter or madirection == 1) ? nz(oi3xmabuy[1]) + 1 : 0
|
||
oi3xmasell := oiMACrosssell > 0 and (disable3xMAFilter or madirection == -1) ? nz(oi3xmasell[1]) + 1 : 0
|
||
// Bollinger Outside In + SuperTrend Filter
|
||
oistbuy = 0
|
||
oistsell = 0
|
||
oistbuy := oiMACrossbuy > 0 and STrend == 1 ? nz(oistbuy[1]) + 1 : 0
|
||
oistsell := oiMACrosssell > 0 and STrend == -1 ? nz(oistsell[1]) + 1 : 0
|
||
// FastMA crossover HullMA and SuperTrend
|
||
macrossSTbuy = 0
|
||
macrossSTsell = 0
|
||
macrossSTbuy := ta.crossover(ma_fast, ma_coloured) and STrend == 1 ? nz(macrossSTbuy[1]) + 1 : 0
|
||
macrossSTsell := ta.crossunder(ma_fast, ma_coloured) and STrend == -1 ? nz(macrossSTsell[1]) + 1 : 0
|
||
// FastMA crossover HullMA and 3xMA
|
||
macross3xMAbuy = 0
|
||
macross3xMAsell = 0
|
||
macross3xMAbuy := ta.crossover(ma_fast, ma_coloured) and (disable3xMAFilter or madirection == 1) ? nz(macross3xMAbuy[1]) + 1 : 0
|
||
macross3xMAsell := ta.crossunder(ma_fast, ma_coloured) and (disable3xMAFilter or madirection == -1) ? nz(macross3xMAsell[1]) + 1 : 0
|
||
//
|
||
// Check any Alerts set
|
||
long = u3xMATrendFilter and _3xmabuy == 1 or uSuperTrendFilter and stbuy == 1 or uBothTrendFilters and st3xmabuy == 1 or uOI3xMAFilter and oi3xmabuy == 1 or uOISTFilter and oistbuy == 1 or uOIMACrossFilter and oiMACrossbuy == 1 or uMACrossSTFilter and macrossSTbuy == 1 or uMACross3xMAFilter and macross3xMAbuy == 1
|
||
short = u3xMATrendFilter and _3xmasell == 1 or uSuperTrendFilter and stsell == 1 or uBothTrendFilters and st3xmasell == 1 or uOI3xMAFilter and oi3xmasell == 1 or uOISTFilter and oistsell == 1 or uOIMACrossFilter and oiMACrosssell == 1 or uMACrossSTFilter and macrossSTsell == 1 or uMACross3xMAFilter and macross3xMAsell == 1
|
||
//
|
||
// If Alert Detected, then Draw Big fat liner
|
||
plotshape(long ? long : na, title='Long Line Marker', location=location.belowbar, style=shape.arrowup, color=buyclr, size=size.auto, text='████████████████', textcolor=buyclr, transp=20)
|
||
plotshape(short ? short : na, title='Short Line Marker', location=location.abovebar, style=shape.arrowdown, color=sellclr, size=size.auto, text='████████████████', textcolor=sellclr, transp=20)
|
||
// --- Arrow style signals
|
||
// No Filters only Hull Signals
|
||
hbuy = 0
|
||
hsell = 0
|
||
hbuy := clrdirection == 1 ? nz(hbuy[1]) + 1 : 0
|
||
hsell := clrdirection == -1 ? nz(hsell[1]) + 1 : 0
|
||
// FastMA crossover HullMA
|
||
macrossbuy = 0
|
||
macrosssell = 0
|
||
macrossbuy := ta.crossover(ma_fast, ma_coloured) ? nz(macrossbuy[1]) + 1 : 0
|
||
macrosssell := ta.crossunder(ma_fast, ma_coloured) ? nz(macrosssell[1]) + 1 : 0
|
||
//
|
||
along = disableAllFilters and hbuy == 1 or uMACrossFilter and macrossbuy == 1
|
||
ashort = disableAllFilters and hsell == 1 or uMACrossFilter and macrosssell == 1
|
||
//
|
||
// If ColouredMA or MACross then draw big arrows
|
||
plotarrow(along ? 1 : ashort ? -1 : na, title='ColouredMA or MACross Arrow', colorup=color.new(buyColour, 20), colordown=color.new(sellColour, 20), maxheight=100, minheight=50)
|
||
|
||
|
||
//----------Input Bannos----------------------------------------------------------------------------------------------------------//
|
||
var triggerlong = 0
|
||
var triggershort = 0
|
||
var up = 0
|
||
var down = 0
|
||
var bool longe = 0
|
||
var bool shorte = 0
|
||
var SL = 0
|
||
var entryvalueup = 0.00
|
||
var entryvaluedown = 0.00
|
||
var SLfactor = 0.5/100
|
||
var SLup = 0.00
|
||
var SLdown = 0.00
|
||
var longbuffer = 0
|
||
var shortbuffer = 0
|
||
|
||
//RSI parameters
|
||
overbought = input(70, title="overbought value")
|
||
oversold = input(30, title="oversold value")
|
||
sellRsi = ta.rsi(close, 11) > overbought
|
||
buyRsi = ta.rsi(close, 11) < oversold
|
||
|
||
var tampon_overbought = 0
|
||
var tampon_oversold = 0
|
||
|
||
//condition to use RSI
|
||
if sellRsi
|
||
tampon_overbought := 1
|
||
if buyRsi
|
||
tampon_oversold := 1
|
||
|
||
//close condition SL
|
||
if entryvalueup > 0 and low < SLup
|
||
SL := 1
|
||
|
||
|
||
|
||
//Chaikin Volatility Strategy indicator if Volatility > 0 then Long or short, otherweise no
|
||
|
||
Length = input.int(10, '', minval=1)
|
||
ROCLength = input.int(12, '',minval=1)
|
||
Trigger = input.int(0, '',minval=0)
|
||
hline(0)
|
||
hline(Trigger)
|
||
xPrice1 = high
|
||
xPrice2 = low
|
||
xPrice = xPrice1 - xPrice2
|
||
xROC_EMA = ta.roc(ta.ema(xPrice, Length), ROCLength)
|
||
var pos = 0
|
||
|
||
if xROC_EMA < Trigger
|
||
pos := 1
|
||
nz(pos[1], 0)
|
||
|
||
if xROC_EMA > Trigger
|
||
pos := -1
|
||
nz(pos[1], 0)
|
||
|
||
//-----------------------------------------------------------------------------
|
||
|
||
// plot(xROC_EMA, title="Chaikin Volatility Strategy")
|
||
// plot(longe ? 1 : 0, 'longe')
|
||
// plot(shorte ? 1 : 0, 'shorte')
|
||
plot(entryvalueup, 'entree Long')
|
||
plot(SLup, 'SL Long')
|
||
|
||
plot(entryvaluedown, 'entree Short')
|
||
plot(SLdown, 'SL Short')
|
||
|
||
// plot(entryvalueup, 'entrryvalueup')
|
||
// plot(entryvaluedown, 'entrryvaluedown')
|
||
// plot(up, 'up')
|
||
//plot(down, 'down')
|
||
// plot(ta.rsi(close, 11), 'RSI')
|
||
// plot(tampon_overbought, 'tampon Overbought')
|
||
// plot(tampon_oversold, 'tampon Oversold')
|
||
// plot( triggerlong, ' triggerlong')
|
||
//plot( triggershort, ' triggershort')
|
||
// plot(sellRsi ? 1 : 0, 'sellRsi')
|
||
|
||
|
||
//close condition TP
|
||
closelong = (tampon_overbought == 1 and ta.rsi(close, 11) < 63.8 or shorte or SL == 1)
|
||
closeshort = (tampon_oversold == 1 and ta.rsi(close, 11) > 36.2 or longe or SL == 1)
|
||
|
||
|
||
//reinit after long Close
|
||
if closelong
|
||
up := 0
|
||
longe := 0
|
||
tampon_overbought := 0
|
||
triggerlong := 0
|
||
SL := 0
|
||
entryvalueup := 0
|
||
SLup := 0
|
||
|
||
//reinit after short Close
|
||
if closeshort
|
||
down := 0
|
||
shorte := 0
|
||
tampon_oversold := 0
|
||
triggershort := 0
|
||
SL := 0
|
||
entryvaluedown := 0
|
||
SLdown := 0
|
||
|
||
|
||
|
||
//condition sous sur MA SLOW to start
|
||
if close < ma_medium
|
||
triggerlong := 0
|
||
triggershort := 1
|
||
|
||
if close > ma_medium
|
||
triggershort := 0
|
||
triggerlong := 1
|
||
|
||
|
||
|
||
// Update alarm conditions
|
||
|
||
if long or along
|
||
longbuffer := 1
|
||
|
||
if short or ashort
|
||
shortbuffer := 1
|
||
|
||
longe := longbuffer and triggerlong and xROC_EMA > 3.5
|
||
shorte := shortbuffer and triggershort and xROC_EMA > 3.5
|
||
|
||
// // var longe = long ? 1 : 0
|
||
// // var shorte = short ? 1 : 0
|
||
|
||
if longe == 1 and close > open
|
||
up := 1
|
||
down := 0
|
||
entryvalueup :=close
|
||
SLup := close - 0.7*(high - low)
|
||
SLdown := 0
|
||
longbuffer := 0
|
||
|
||
if shorte == 1 and close < open
|
||
down := 1
|
||
up := 0
|
||
entryvaluedown := close
|
||
SLdown := close + 0.7*(high - low)
|
||
SLup := 0
|
||
shortbuffer := 0
|
||
|
||
strategy.entry('longe', strategy.long, 1, when = up)
|
||
strategy.entry('shorte', strategy.short, 1, when = down)
|
||
strategy.close('longe', when= closelong)
|
||
strategy.close('shorte', when= closeshort)
|
||
|
||
|
||
// === /ALERTING ===
|
||
// === ALARMS ===
|
||
//
|
||
alertcondition(up or down or closelong or closeshort, title='Signal Alert', message='SIGNAL')
|
||
alertcondition(up, title='Long Alert', message='LONG')
|
||
alertcondition(down, title='Short Alert', message='SHORT')
|
||
alertcondition(closelong, title='close Long Alert', message='Close LONG')
|
||
alertcondition(closeshort, title='close Short Alert', message='Close SHORT')
|
||
|
||
// === /ALARMS ===
|
||
|
||
|
||
|
||
|
||
//EOF
|
||
|
||
```
|
||
|
||
> Detail
|
||
|
||
https://www.fmz.com/strategy/441066
|
||
|
||
> Last Modified
|
||
|
||
2024-02-05 12:10:18
|