247 lines
5.8 KiB
Markdown
247 lines
5.8 KiB
Markdown
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> Name
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Volume-Divergence
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> Author
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ChaoZhang
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> Strategy Description
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It's a simply volume indicator. You should watch for breaks on both volume uptrend and volume downtrend. It uses fibonacci numbers to build smoothed moving average of volume .
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Also you can check divergences for trend reversal and momentum loss.
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**backtest**
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|v_input_1|5|First Moving Average length|
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|v_input_2|8|Second Moving Average length|
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|v_input_3|5|Pivot Lookback Right|
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|v_input_4|5|Pivot Lookback Left|
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|v_input_5|60|Max of Lookback Range|
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|v_input_6|5|Min of Lookback Range|
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|v_input_7|true|Plot Bullish|
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|v_input_8|false|Plot Hidden Bullish|
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|v_input_9|true|Plot Bearish|
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|v_input_10|false|Plot Hidden Bearish|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2022-04-25 00:00:00
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end: 2022-05-24 23:59:00
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period: 30m
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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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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
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// © baymucuk
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//@version=4
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study(title="Volume Divergence by MM", shorttitle="Volume Divergence", format=format.volume)
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pine_wma(x, y) =>
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norm = 0.0
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sum = 0.0
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for i = 0 to y - 1
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weight = (y - i) * y
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norm := norm + weight
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factor = close[i] < open[i] ? -1 : 1
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sum := sum + (x[i] * weight * factor)
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sum / norm
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vl1 = input(defval=5, title="First Moving Average length", type=input.integer)
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vl2 = input(defval=8, title="Second Moving Average length", type=input.integer)
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vl3 = vl1 + vl2
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vl4 = vl2 + vl3
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vl5 = vl3 + vl4
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v1 = pine_wma(volume, vl1)
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v2 = pine_wma(v1, vl2)
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v3 = pine_wma(v2, vl3)
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v4 = pine_wma(v3, vl4)
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vol = pine_wma(v4, vl5)
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vol_color = vol > 0 ? color.green : color.red
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hline(0, title="Baseline", color=color.silver, linewidth=1)
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plot(vol, color=vol_color, linewidth=2, title="Volume")
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lbR = input(title="Pivot Lookback Right", defval=5)
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lbL = input(title="Pivot Lookback Left", defval=5)
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rangeUpper = input(title="Max of Lookback Range", defval=60)
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rangeLower = input(title="Min of Lookback Range", defval=5)
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plotBull = input(title="Plot Bullish", defval=true)
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plotHiddenBull = input(title="Plot Hidden Bullish", defval=false)
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plotBear = input(title="Plot Bearish", defval=true)
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plotHiddenBear = input(title="Plot Hidden Bearish", defval=false)
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bearColor = color.red
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bullColor = color.green
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hiddenBullColor = color.new(color.green, 25)
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hiddenBearColor = color.new(color.red, 25)
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textColor = color.white
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noneColor = color.new(color.white, 100)
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plFound = na(pivotlow(vol, lbL, lbR)) ? false : true
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phFound = na(pivothigh(vol, lbL, lbR)) ? false : true
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_inRange(cond) =>
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bars = barssince(cond == true)
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rangeLower <= bars and bars <= rangeUpper
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//------------------------------------------------------------------------------
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// Regular Bullish
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// vol: Higher Low
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volHL = vol[lbR] > valuewhen(plFound, vol[lbR], 1) and _inRange(plFound[1])
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// Price: Lower Low
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priceLL = low[lbR] < valuewhen(plFound, low[lbR], 1)
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bullCond = plotBull and priceLL and volHL and plFound
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plot(
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plFound ? vol[lbR] : na,
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offset=-lbR,
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title="Regular Bullish",
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linewidth=2,
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color=(bullCond ? bullColor : noneColor),
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transp=0
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)
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plotshape(
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bullCond ? vol[lbR] : na,
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offset=-lbR,
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title="Regular Bullish Label",
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text=" Bull ",
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style=shape.labelup,
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location=location.absolute,
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color=bullColor,
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textcolor=textColor,
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transp=0
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)
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//------------------------------------------------------------------------------
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// Hidden Bullish
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// vol: Lower Low
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volLL = vol[lbR] < valuewhen(plFound, vol[lbR], 1) and _inRange(plFound[1])
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// Price: Higher Low
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priceHL = low[lbR] > valuewhen(plFound, low[lbR], 1)
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hiddenBullCond = plotHiddenBull and priceHL and volLL and plFound
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plot(
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plFound ? vol[lbR] : na,
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offset=-lbR,
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title="Hidden Bullish",
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linewidth=2,
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color=(hiddenBullCond ? hiddenBullColor : noneColor),
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transp=0
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)
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plotshape(
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hiddenBullCond ? vol[lbR] : na,
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offset=-lbR,
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title="Hidden Bullish Label",
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text=" H Bull ",
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style=shape.labelup,
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location=location.absolute,
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color=bullColor,
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textcolor=textColor,
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transp=0
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)
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//------------------------------------------------------------------------------
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// Regular Bearish
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// vol: Lower High
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volLH = vol[lbR] < valuewhen(phFound, vol[lbR], 1) and _inRange(phFound[1])
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// Price: Higher High
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priceHH = high[lbR] > valuewhen(phFound, high[lbR], 1)
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bearCond = plotBear and priceHH and volLH and phFound
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plot(
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phFound ? vol[lbR] : na,
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offset=-lbR,
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title="Regular Bearish",
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linewidth=2,
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color=(bearCond ? bearColor : noneColor),
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transp=0
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)
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plotshape(
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bearCond ? vol[lbR] : na,
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offset=-lbR,
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title="Regular Bearish Label",
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text=" Bear ",
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style=shape.labeldown,
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location=location.absolute,
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color=bearColor,
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textcolor=textColor,
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transp=0
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)
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//------------------------------------------------------------------------------
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// Hidden Bearish
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// vol: Higher High
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volHH = vol[lbR] > valuewhen(phFound, vol[lbR], 1) and _inRange(phFound[1])
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// Price: Lower High
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priceLH = high[lbR] < valuewhen(phFound, high[lbR], 1)
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hiddenBearCond = plotHiddenBear and priceLH and volHH and phFound
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plot(
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phFound ? vol[lbR] : na,
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offset=-lbR,
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title="Hidden Bearish",
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linewidth=2,
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color=(hiddenBearCond ? hiddenBearColor : noneColor),
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transp=0
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)
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plotshape(
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hiddenBearCond ? vol[lbR] : na,
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offset=-lbR,
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title="Hidden Bearish Label",
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text=" H Bear ",
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style=shape.labeldown,
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location=location.absolute,
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color=bearColor,
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textcolor=textColor,
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transp=0
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)
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if bullCond
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strategy.entry("Enter Long", strategy.long)
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else if bearCond
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strategy.entry("Enter Short", strategy.short)
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```
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> Detail
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https://www.fmz.com/strategy/365895
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> Last Modified
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2022-05-26 17:04:32
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