85 lines
2.1 KiB
Markdown
85 lines
2.1 KiB
Markdown
|
|
> Name
|
|
|
|
Chande-Kroll-Stop
|
|
|
|
> Author
|
|
|
|
ChaoZhang
|
|
|
|
> Strategy Description
|
|
|
|
Dear TV''ers,
|
|
|
|
Hereby a script where i created a simple strategy using the underappreciated chande kroll stop indicator. Short signal is when the close crosses under the orange line and a long signal is generated upon a crossover of a close candle of the blue line.
|
|
Additionally you have the option to filter using ADX the minimize getting rekt in a choppy market.
|
|
|
|
good luck trading!
|
|
|
|
|
|
**backtest**
|
|
|
|
|
|
|
|
> Strategy Arguments
|
|
|
|
|
|
|
|
|Argument|Default|Description|
|
|
|----|----|----|
|
|
|v_input_int_1|10|p|
|
|
|v_input_int_2|true|x|
|
|
|v_input_int_3|9|q|
|
|
|v_input_1|14|ADX Smoothing|
|
|
|v_input_2|14|DI Length|
|
|
|v_input_int_4|20|minimum ADX threshold for signal|
|
|
|
|
|
|
> Source (PineScript)
|
|
|
|
``` pinescript
|
|
//@version=5
|
|
strategy(title = "Chande Kroll Stop", overlay=true)
|
|
p = input.int(10, minval=1)
|
|
x = input.int(1, minval=1)
|
|
q = input.int(9, minval=1)
|
|
first_high_stop = ta.highest(high, p) - x * ta.atr(p)
|
|
first_low_stop = ta.lowest(low, p) + x * ta.atr(p)
|
|
stop_short = ta.highest(first_high_stop, q)
|
|
stop_long = ta.lowest(first_low_stop, q)
|
|
plot(stop_long, color=color.blue)
|
|
plot(stop_short, color=color.orange)
|
|
|
|
adxlen = input(14, title="ADX Smoothing")
|
|
dilen = input(14, title="DI Length")
|
|
ADX_sig = input.int(20, title="minimum ADX threshold for signal")
|
|
dirmov(len) =>
|
|
up = ta.change(high)
|
|
down = -ta.change(low)
|
|
plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
|
|
minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
|
|
truerange = ta.rma(ta.tr, len)
|
|
plus = fixnan(100 * ta.rma(plusDM, len) / truerange)
|
|
minus = fixnan(100 * ta.rma(minusDM, len) / truerange)
|
|
[plus, minus]
|
|
adx(dilen, adxlen) =>
|
|
[plus, minus] = dirmov(dilen)
|
|
sum = plus + minus
|
|
adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
|
|
sig = adx(dilen, adxlen)
|
|
|
|
|
|
if ta.crossunder(close, stop_long) and sig>ADX_sig
|
|
strategy.entry("long", strategy.long)
|
|
if ta.crossover(close, stop_short) and sig>ADX_sig
|
|
strategy.entry("short", strategy.short)
|
|
```
|
|
|
|
> Detail
|
|
|
|
https://www.fmz.com/strategy/362031
|
|
|
|
> Last Modified
|
|
|
|
2022-05-09 17:44:31
|