ট্রেন্ড মোমেন্টামের উপর ভিত্তি করে পরিমাণগত ট্রেডিং কৌশল

/*backtest
start: 2023-08-14 00:00:00
end: 2023-08-30 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("QuantCat Mom Finder Strateg (1H)", overlay=true)

//Series to sum the amount of crosses in EMA for sideways trend/noise filtering
//can change EMA lengths, can change to SMA's/WMA's e.t.c

lookback_value = 60
minMA = 20
midMA = 40
maxMA = 60

ema25_crossover = (crossover(close, ema(close, minMA))) == true ? 1 : 0
ema25_crossover_sum = sum(ema25_crossover, lookback_value) ///potentially change lookback value to alter results

ema50_crossover = (crossover(close, ema(close, midMA))) == true ? 1 : 0
ema50_crossover_sum = sum(ema50_crossover, lookback_value) ///potentially change lookback value to alter results

ema75_crossover = (crossover(close, ema(close, maxMA))) == true ? 1 : 0
ema75_crossover_sum = sum(ema75_crossover, lookback_value) ///potentially change lookback value to alter results

ema25_crossunder = (crossunder(close, ema(close, minMA))) == true ? 1 : 0
ema25_crossunder_sum = sum(ema25_crossunder, lookback_value) ///potentially change lookback value to alter results

ema50_crossunder = (crossunder(close, ema(close, midMA))) == true ? 1 : 0
ema50_crossunder_sum = sum(ema50_crossunder, lookback_value) ///potentially change lookback value to alter results

ema75_crossunder = (crossunder(close, ema(close, maxMA))) == true ? 1 : 0
ema75_crossunder_sum = sum(ema75_crossunder, lookback_value) ///potentially change lookback value to alter results4


//Boolean series declaration
//can change amount of times crossed over the EMA verification to stop sideways trend filtering (3)

maxNoCross=2

macdmidlinebull=-0.5
macdmidlinebear=0.5
[macdLine, signalLine, histLine] = macd(close, 12, 26, 9)

//---------------
//Series Creation

bullishMacd = (macdLine > signalLine) and (macdLine > macdmidlinebull) ? true : false

bearishMacd = (macdLine < signalLine) and (macdLine < macdmidlinebear) ? true : false

bullRsiMin = 50 //53 initial values
bullRsiMax = 60 //61
bearRsiMin = 40 //39
bearRsiMax = 50 //47

basicBullCross25bool = ((ema25_crossover_sum < ema50_crossover_sum) 
     and (ema25_crossover_sum < ema75_crossover_sum) 
     and (ema25_crossover_sum < maxNoCross) 
     and crossover(close, ema(close, minMA)) and (rsi(close, 14) > bullRsiMin)
     and (rsi(close, 14) < bullRsiMax) and (bullishMacd == true)) ? true : false
  
basicBullCross50bool = ((ema50_crossover_sum < ema25_crossover_sum) 
     and (ema50_crossover_sum < ema75_crossover_sum) 
     and (ema50_crossover_sum < maxNoCross) 
     and crossover(close, ema(close, midMA)) and (rsi(close, 14) > bullRsiMin)
     and (basicBullCross25bool == false) 
     and (rsi(close, 14) < bullRsiMax) and (bullishMacd == true)) ? true : false
  
basicBullCross75bool = ((ema75_crossover_sum < ema25_crossover_sum) 
     and (ema75_crossover_sum < ema50_crossover_sum) 
     and (ema75_crossover_sum < maxNoCross) 
     and crossover(close, ema(close, maxMA)) and (rsi(close, 14) > bullRsiMin)
     and (basicBullCross25bool == false) and (basicBullCross50bool == false)
     and (rsi(close, 14) < bullRsiMax) and (bullishMacd == true)) ? true : false
     
basicBearCross25bool = ((ema25_crossunder_sum < ema50_crossunder_sum) 
     and (ema25_crossunder_sum < ema75_crossunder_sum) 
     and (ema25_crossunder_sum < maxNoCross) 
     and crossunder(close, ema(close, minMA)) and (rsi(close, 14) <bearRsiMax)
     and (rsi(close, 14) > bearRsiMin) and (bearishMacd == true)) ? true : false
  
basicBearCross50bool = ((ema50_crossunder_sum < ema25_crossunder_sum) 
     and (ema50_crossunder_sum < ema75_crossover_sum) 
     and (ema50_crossunder_sum < maxNoCross) 
     and crossunder(close, ema(close, midMA)) and (rsi(close, 14) < bearRsiMax)
     and (basicBearCross25bool == false) 
     and (rsi(close, 14) > bearRsiMin) and (bearishMacd == true)) ? true : false
  
basicBearCross75bool = ((ema75_crossunder_sum < ema25_crossunder_sum) 
     and (ema75_crossunder_sum < ema50_crossunder_sum) 
     and (ema75_crossunder_sum < maxNoCross) 
     and crossunder(close, ema(close, maxMA)) and (rsi(close, 14) < bearRsiMax)
     and (basicBearCross25bool == false) and (basicBearCross50bool == false)
     and (rsi(close, 14) > bearRsiMin) and (bearishMacd == true)) ? true : false

//STRATEGY
//can change lookback input on ATR

atrLkb = input(14, minval=1, title='ATR Stop Period')
atrRes = input("D",  title='ATR Resolution')
atr = security(syminfo.tickerid, atrRes, atr(atrLkb))


longCondition = (basicBullCross25bool or basicBullCross50bool or basicBullCross75bool) == true
if (longCondition)
    strategy.entry("Long", strategy.long)

shortCondition = (basicBearCross25bool or basicBearCross50bool or basicBearCross75bool) == true
if (shortCondition)
    strategy.entry("Short", strategy.short)
    
   
// Calc ATR Stops
// can change atr multiplier to affect stop distance/tp distance, and change "close" to ema values- could try ema 50

stopMult = 0.6 //0.6 is optimal

longStop = na
longStop :=  shortCondition ? na : longCondition and strategy.position_size <=0 ? close - (atr * stopMult) : longStop[1] 
shortStop = na
shortStop := longCondition ? na : shortCondition and strategy.position_size >=0 ? close + (atr * stopMult) : shortStop[1]

//Calc ATR Target

targetMult = 2.2 //2.2 is optimal for crypto x/btc pairs

longTarget = na
longTarget :=  shortCondition ? na : longCondition and strategy.position_size <=0 ? close + (atr*targetMult) : longTarget[1]
shortTarget = na
shortTarget := longCondition ? na : shortCondition and strategy.position_size >=0 ? close - (atr*targetMult) : shortTarget[1]

// Place the exits

strategy.exit("Long ATR Stop", "Long", stop=longStop, limit=longTarget)
strategy.exit("Short ATR Stop", "Short", stop=shortStop, limit=shortTarget)

//Bar color series

longColour = longCondition ? lime : na
shortColour = shortCondition ? red : na
    
// Plot the stoplosses and targets

plot(longStop, style=linebr, color=red, linewidth=2,     title='Long ATR Stop')
plot(shortStop, style=linebr, color=red, linewidth=2,  title='Short ATR Stop')
plot(longTarget, style=linebr, linewidth=2, color=lime,  title='Long ATR Target')
plot(shortTarget, linewidth=2, style=linebr, color=lime,  title='Long ATR Target')

barcolor(color=longColour)
barcolor(color=shortColour)

alertcondition(((basicBullCross25bool or basicBullCross50bool or basicBullCross75bool)==true), title='Long Entry', message='Bullish Momentum Change!')
alertcondition(((basicBearCross25bool or basicBearCross50bool or basicBearCross75bool)==true), title='Short Entry', message='Bearish Momentum Change!')