264 lines
11 KiB
Markdown
264 lines
11 KiB
Markdown
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> Name
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Price-Divergence-Strategy-v10
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> Author
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张超
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> Strategy Description
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Created by Request: This is a trend trading strategy that uses Price Divergence detection signals that are confirmed by the "Murrey's Math Oscillator" (Donchanin Channel based).
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Strategy Code Based on:
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Price Divergence Detector V2 by RicardoSantos
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UCS_Murrey's Math Oscillator by Ucsgears
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Strategy Risk Management Based on:
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Strategy Code Example by JayRogers
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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|true|Method (0=rsi, 1=macd, 2=stoch, 3=volume, 4=acc/dist, 5=fisher, 6=cci):|
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|v_input_2|true|Show Labels|
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|v_input_3|false|Show Channel|
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|v_input_4|true|Use Hidden Divergence in Strategy|
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|v_input_5|true|Use Regular Divergence in Strategy|
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|v_input_6|5|RSI/STOCH/Volume/ACC-DIST/Fisher/cci Smooth:|
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|v_input_7_close|0|MACD Source:: close|high|low|open|hl2|hlc3|hlcc4|ohlc4|
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|v_input_8|12|MACD Fast:|
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|v_input_9|26|MACD Slow:|
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|v_input_10|9|MACD Smooth Signal:|
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|v_input_11|100|MMLO Look back Length|
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|v_input_12|2|Mininum Quadrant for MMLO Support|
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|v_input_13|false|Take Profit Points|
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|v_input_14|false|Stop Loss Points|
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|v_input_15|100|Trailing Stop Loss Points|
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|v_input_16|false|Trailing Stop Loss Offset Points|
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> Source (PineScript)
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``` javascript
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/*backtest
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start: 2022-04-30 00:00:00
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end: 2022-05-29 23:59:00
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period: 1h
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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=4
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//
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// Title: [STRATEGY][UL]Price Divergence Strategy V1.1
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// Author: JustUncleL
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// Date: 23-Oct-2016
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// Version: v1.1
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//
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// Description:
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// A trend trading strategy the uses Price Divergence detection signals, that
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// are confirmed by the "Murrey's Math Oscillator" (Donchanin Channel based).
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//
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// *** USE AT YOUR OWN RISK ***
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//
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// Mofidifications:
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// 1.0 - original
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// 1.1 - Pinescript V4 update 21-Aug-2021
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//
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// References:
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// Strategy Based on:
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// - [RS]Price Divergence Detector V2 by RicardoSantos
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// - UCS_Murrey's Math Oscillator by Ucsgears
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// Some Code borrowed from:
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// - "Strategy Code Example by JayRogers"
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// Information on Divergence Trading:
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// - http://www.babypips.com/school/high-school/trading-divergences
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//
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strategy(title='[STRATEGY][UL]Price Divergence Strategy v1.1', pyramiding=0, overlay=true, initial_capital=10000, calc_on_every_tick=false, currency=currency.USD,
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default_qty_type=strategy.percent_of_equity, default_qty_value=10)
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// || General Input:
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method = input(title='Method (0=rsi, 1=macd, 2=stoch, 3=volume, 4=acc/dist, 5=fisher, 6=cci):', type=input.integer, defval=1, minval=0, maxval=6)
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SHOW_LABEL = input(title='Show Labels', type=input.bool, defval=true)
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SHOW_CHANNEL = input(title='Show Channel', type=input.bool, defval=false)
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uHid = input(true, title="Use Hidden Divergence in Strategy")
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uReg = input(true, title="Use Regular Divergence in Strategy")
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// || RSI / STOCH / VOLUME / ACC/DIST Input:
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rsi_smooth = input(title='RSI/STOCH/Volume/ACC-DIST/Fisher/cci Smooth:', type=input.integer, defval=5)
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// || MACD Input:
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macd_src = input(title='MACD Source:', type=input.source, defval=close)
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macd_fast = input(title='MACD Fast:', type=input.integer, defval=12)
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macd_slow = input(title='MACD Slow:', type=input.integer, defval=26)
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macd_smooth = input(title='MACD Smooth Signal:', type=input.integer, defval=9)
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// || Functions:
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f_top_fractal(_src) =>
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_src[4] < _src[2] and _src[3] < _src[2] and _src[2] > _src[1] and
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_src[2] > _src[0]
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f_bot_fractal(_src) =>
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_src[4] > _src[2] and _src[3] > _src[2] and _src[2] < _src[1] and
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_src[2] < _src[0]
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f_fractalize(_src) =>
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f_bot_fractal__1 = f_bot_fractal(_src)
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f_top_fractal(_src) ? 1 : f_bot_fractal__1 ? -1 : 0
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// ||••> START MACD FUNCTION
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f_macd(_src, _fast, _slow, _smooth) =>
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_fast_ma = sma(_src, _fast)
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_slow_ma = sma(_src, _slow)
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_macd = _fast_ma - _slow_ma
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_signal = ema(_macd, _smooth)
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_hist = _macd - _signal
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_hist
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// ||<•• END MACD FUNCTION
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// ||••> START ACC/DIST FUNCTION
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f_accdist(_smooth) =>
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_return = sma(cum(close == high and close == low or high == low ? 0 : (2 * close - low - high) / (high - low) * volume), _smooth)
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_return
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// ||<•• END ACC/DIST FUNCTION
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// ||••> START FISHER FUNCTION
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f_fisher(_src, _window) =>
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_h = highest(_src, _window)
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_l = lowest(_src, _window)
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_value0 = 0.0
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_fisher = 0.0
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_value0 := .66 * ((_src - _l) / max(_h - _l, .001) - .5) + .67 * nz(_value0[1])
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_value1 = _value0 > .99 ? .999 : _value0 < -.99 ? -.999 : _value0
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_fisher := .5 * log((1 + _value1) / max(1 - _value1, .001)) + .5 * nz(_fisher[1])
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_fisher
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// ||<•• END FISHER FUNCTION
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rsi_1 = rsi(high, rsi_smooth)
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f_macd__1 = f_macd(macd_src, macd_fast, macd_slow, macd_smooth)
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stoch_1 = stoch(close, high, low, rsi_smooth)
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sma_1 = sma(volume, rsi_smooth)
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f_accdist__1 = f_accdist(rsi_smooth)
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f_fisher__1 = f_fisher(high, rsi_smooth)
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cci_1 = cci(high, rsi_smooth)
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method_high = method == 0 ? rsi_1 : method == 1 ? f_macd__1 :
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method == 2 ? stoch_1 : method == 3 ? sma_1 : method == 4 ? f_accdist__1 :
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method == 5 ? f_fisher__1 : method == 6 ? cci_1 : na
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rsi_2 = rsi(low, rsi_smooth)
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f_macd__2 = f_macd(macd_src, macd_fast, macd_slow, macd_smooth)
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stoch_2 = stoch(close, high, low, rsi_smooth)
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sma_2 = sma(volume, rsi_smooth)
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f_accdist__2 = f_accdist(rsi_smooth)
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f_fisher__2 = f_fisher(low, rsi_smooth)
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cci_2 = cci(low, rsi_smooth)
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method_low = method == 0 ? rsi_2 : method == 1 ? f_macd__2 :
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method == 2 ? stoch_2 : method == 3 ? sma_2 : method == 4 ? f_accdist__2 :
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method == 5 ? f_fisher__2 : method == 6 ? cci_2 : na
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fractal_top = f_fractalize(method_high) > 0 ? method_high[2] : na
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fractal_bot = f_fractalize(method_low) < 0 ? method_low[2] : na
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high_prev = valuewhen(fractal_top, method_high[2], 1)
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high_price = valuewhen(fractal_top, high[2], 1)
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low_prev = valuewhen(fractal_bot, method_low[2], 1)
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low_price = valuewhen(fractal_bot, low[2], 1)
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regular_bearish_div = fractal_top and high[2] > high_price and method_high[2] < high_prev
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hidden_bearish_div = fractal_top and high[2] < high_price and method_high[2] > high_prev
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regular_bullish_div = fractal_bot and low[2] < low_price and method_low[2] > low_prev
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hidden_bullish_div = fractal_bot and low[2] > low_price and method_low[2] < low_prev
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plot(title='H F', series=fractal_top ? high[2] : na, color=regular_bearish_div or hidden_bearish_div ? color.maroon : not SHOW_CHANNEL ? na : color.silver, offset=-2)
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plot(title='L F', series=fractal_bot ? low[2] : na, color=regular_bullish_div or hidden_bullish_div ? color.green : not SHOW_CHANNEL ? na : color.silver, offset=-2)
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plot(title='H D', series=fractal_top ? high[2] : na, style=plot.style_circles, color=regular_bearish_div or hidden_bearish_div ? color.maroon : not SHOW_CHANNEL ? na : color.silver, linewidth=3, offset=-2)
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plot(title='L D', series=fractal_bot ? low[2] : na, style=plot.style_circles, color=regular_bullish_div or hidden_bullish_div ? color.green : not SHOW_CHANNEL ? na : color.silver, linewidth=3, offset=-2)
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plotshape(title='+RBD', series=not SHOW_LABEL ? na : regular_bearish_div ? high[2] : na, text='R', style=shape.labeldown, location=location.absolute, color=color.maroon, textcolor=color.white, offset=-2)
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plotshape(title='+HBD', series=not SHOW_LABEL ? na : hidden_bearish_div ? high[2] : na, text='H', style=shape.labeldown, location=location.absolute, color=color.maroon, textcolor=color.white, offset=-2)
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plotshape(title='-RBD', series=not SHOW_LABEL ? na : regular_bullish_div ? low[2] : na, text='R', style=shape.labelup, location=location.absolute, color=color.green, textcolor=color.white, offset=-2)
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plotshape(title='-HBD', series=not SHOW_LABEL ? na : hidden_bullish_div ? low[2] : na, text='H', style=shape.labelup, location=location.absolute, color=color.green, textcolor=color.white, offset=-2)
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// Code borrowed from UCS_Murrey's Math Oscillator by Ucsgears
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// - UCS_MMLO
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// Inputs
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length = input(100, minval=10, title="MMLO Look back Length")
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quad = input(2, minval=1, maxval=4, step=1, title="Mininum Quadrant for MMLO Support")
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mult = 0.125
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// Donchanin Channel
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hi = highest(high, length)
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lo = lowest(low, length)
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range = hi - lo
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multiplier = range * mult
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midline = lo + multiplier * 4
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oscillator = (close - midline) / (range / 2)
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a = oscillator > 0
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b = oscillator > 0 and oscillator > mult * 2
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c = oscillator > 0 and oscillator > mult * 4
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d = oscillator > 0 and oscillator > mult * 6
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z = oscillator < 0
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y = oscillator < 0 and oscillator < -mult * 2
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x = oscillator < 0 and oscillator < -mult * 4
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w = oscillator < 0 and oscillator < -mult * 6
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// Strategy: (Thanks to JayRogers)
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// === STRATEGY RELATED INPUTS ===
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//tradeInvert = input(defval = false, title = "Invert Trade Direction?")
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// the risk management inputs
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inpTakeProfit = input(defval=0, title="Take Profit Points", minval=0)
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inpStopLoss = input(defval=0, title="Stop Loss Points", minval=0)
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inpTrailStop = input(defval=100, title="Trailing Stop Loss Points", minval=0)
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inpTrailOffset = input(defval=0, title="Trailing Stop Loss Offset Points", minval=0)
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// === RISK MANAGEMENT VALUE PREP ===
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// if an input is less than 1, assuming not wanted so we assign 'na' value to disable it.
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useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na
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useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na
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useTrailStop = inpTrailStop >= 1 ? inpTrailStop : na
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useTrailOffset = inpTrailOffset >= 1 ? inpTrailOffset : na
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// === STRATEGY - LONG POSITION EXECUTION ===
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enterLong() => // functions can be used to wrap up and work out complex conditions
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(uReg and regular_bullish_div or uHid and hidden_bullish_div) and
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(quad == 1 ? a[1] :
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quad == 2 ? b[1] : quad == 3 ? c[1] : quad == 4 ? d[1] : false)
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exitLong() =>
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oscillator <= 0
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strategy.entry(id="Buy", long=true, when=enterLong()) // use function or simple condition to decide when to get in
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strategy.close(id="Buy", when=exitLong()) // ...and when to get out
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// === STRATEGY - SHORT POSITION EXECUTION ===
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enterShort() =>
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(uReg and regular_bearish_div or uHid and hidden_bearish_div) and
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(quad == 1 ? z[1] :
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quad == 2 ? y[1] : quad == 3 ? x[1] : quad == 4 ? w[1] : false)
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exitShort() =>
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oscillator >= 0
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strategy.entry(id="Sell", long=false, when=enterShort())
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strategy.close(id="Sell", when=exitShort())
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// === STRATEGY RISK MANAGEMENT EXECUTION ===
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// finally, make use of all the earlier values we got prepped
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strategy.exit("Exit Buy", from_entry="Buy", profit=useTakeProfit, loss=useStopLoss, trail_points=useTrailStop, trail_offset=useTrailOffset)
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strategy.exit("Exit Sell", from_entry="Sell", profit=useTakeProfit, loss=useStopLoss, trail_points=useTrailStop, trail_offset=useTrailOffset)
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//EOF
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```
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> Detail
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https://www.fmz.com/strategy/366935
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> Last Modified
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2022-05-31 18:31:45
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