অভিযোজিত জিরো ল্যাগ এক্সপোনেনশিয়াল মুভিং এভারেজ কোয়ান্টিটেটিভ ট্রেডিং কৌশল

/*backtest
start: 2024-01-19 00:00:00
end: 2024-02-18 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy(title="Adaptive Zero Lag EMA v2", shorttitle="AZLEMA", overlay = true)

src = input(title="Source",  defval=close)
Period = input(title="Period",  defval = 20)
adaptive = input(title="Adaptive Method", options=["Off", "Cos IFM", "I-Q IFM", "Average"], defval="Off")
GainLimit = input(title="Gain Limit",  defval = 10)
Threshold = input(title="Threshold", type = float, defval=0.05, step=0.01)
fixedSL = input(title="SL Points", defval=70)
fixedTP = input(title="TP Points", defval=5)
risk = input(title='Risk', defval=0.01, step=0.01)

//##############################################################################
//I-Q IFM
//#############################################################################
range = input(title="Max Period",  defval=60, minval=8, maxval=100)

PI = 3.14159265359
imult = 0.635
qmult = 0.338
inphase = 0.0
quadrature = 0.0
re = 0.0
im = 0.0
deltaIQ = 0.0
instIQ = 0.0
lenIQ = 0.0
V = 0.0

P = src - src[7]
inphase := 1.25*(P[4] - imult*P[2]) + imult*nz(inphase[3])
quadrature := P[2] - qmult*P + qmult*nz(quadrature[2])
re := 0.2*(inphase*inphase[1] + quadrature*quadrature[1]) + 0.8*nz(re[1])
im := 0.2*(inphase*quadrature[1] - inphase[1]*quadrature) + 0.8*nz(im[1])
if (re!= 0.0)
    deltaIQ := atan(im/re)
for i=0 to range
    V := V + deltaIQ[i]
    if (V > 2*PI and instIQ == 0.0)
        instIQ := i
if (instIQ == 0.0)
    instIQ := nz(instIQ[1])
lenIQ := 0.25*instIQ + 0.75*nz(lenIQ[1])

//##############################################################################
//COSINE IFM
//#############################################################################
s2 = 0.0
s3 = 0.0
deltaC = 0.0
instC = 0.0
lenC = 0.0
v1 = 0.0
v2 = 0.0
v4 = 0.0

v1 := src - src[7]
s2 := 0.2*(v1[1] + v1)*(v1[1] + v1) + 0.8*nz(s2[1])
s3 := 0.2*(v1[1] - v1)*(v1[1] - v1) + 0.8*nz(s3[1])
if (s2 != 0)
    v2 := sqrt(s3/s2)
if (s3 != 0)
    deltaC := 2*atan(v2)
for i = 0 to range
    v4 := v4 + deltaC[i]
    if (v4 > 2*PI and instC == 0.0)
        instC := i - 1
if (instC == 0.0)
    instC := instC[1]
lenC := 0.25*instC + 0.75*nz(lenC[1])

if (adaptive == "Cos IFM")
    Period := round(lenC)
if (adaptive == "I-Q IFM")
    Period := round(lenIQ)
if (adaptive == "Average")
    Period := round((lenC + lenIQ)/2)

//##############################################################################
//ZERO LAG EXPONENTIAL MOVING AVERAGE
//##############################################################################
LeastError = 1000000.0
EC = 0.0
Gain = 0.0
EMA = 0.0
Error = 0.0
BestGain = 0.0

alpha =2/(Period + 1)
EMA := alpha*src + (1-alpha)*nz(EMA[1])

for i = -GainLimit to GainLimit
    Gain := i/10
    EC := alpha*(EMA + Gain*(src - nz(EC[1]))) + (1 - alpha)*nz(EC[1])
    Error := src - EC
    if(abs(Error)<LeastError)
        LeastError := abs(Error)
        BestGain := Gain

EC := alpha*(EMA + BestGain*(src - nz(EC[1]))) + (1-alpha)*nz(EC[1])

plot(EC, title="EC", color=orange, linewidth=2)
plot(EMA, title="EMA", color=red, linewidth=2)

buy = crossover(EC,EMA) and 100*LeastError/src > Threshold
sell = crossunder(EC,EMA) and 100*LeastError/src > Threshold
strategy.initial_capital = 50000
if (time>timestamp(2016, 1, 1 , 0, 0))
    //LONG
    balance = strategy.initial_capital + strategy.netprofit
    lots = ((risk * balance)/fixedSL)*1
    strategy.entry("BUY", strategy.long, qty=lots, oca_name="BUY",  when=buy)
    strategy.exit("B.Exit", "BUY", qty_percent = 100, loss=fixedSL, trail_offset=15, trail_points=fixedTP)
    //SHORT
    strategy.entry("SELL", strategy.short, qty=lots, oca_name="SELL", when=sell)
    strategy.exit("S.Exit", "SELL", qty_percent = 100, loss=fixedSL, trail_offset=15, trail_points=fixedTP)