Sma-BTC-Killer
Schriftsteller:ChaoZhang, Datum: 2022-05-17 11:23:58Tags:SMAATRADX
Hallo!
Ich habe eine schöne Strategie mit einem wahnsinnigen Gewinn gemacht mit nur LANGEN und SHORT-Orders Nun, diese Strategie ist für ------->>> BINANCE:
Die Strategie ist ganz einfach.
Strategie mit 3 verschiedenen SMA (7,21,55) zur Suche nach einem richtigen Trend Um viele falsche Signale zu vermeiden, habe ich zwei Indikatoren hinzugefügt:
ADX - ist einer der leistungsfähigsten und genauesten Trendindikatoren. ADX misst, wie stark ein Trend ist und kann wertvolle Informationen darüber geben, ob es eine potenzielle Handelsmöglichkeit gibt. CLOUD - Dies ist einer der Newset-Indikatoren, die ich verwende. Dieser Indikator hilft bei der Strategie, dieser Indikator ist darauf ausgelegt, den richtigen Markttrend anzuzeigen. Durch die Anwendung der großen Länge dieses Indikators kann ich eine Trendänderung etwas später, aber genauer bemerken.
Außerdem habe ich zum Maximalsicherheits-Stop-Loss hinzugefügt.
Um ehrlich zu sein, diese Strategie sieht wirklich gut aus, viele Trades, hoher Gewinn und eine kleine Anzahl von Indikatoren, die zukünftigen Gewinne könnte ähnlich sein
Die Verwendung dieser Kombinationen von SMA gibt mir erstaunliche schnelle Veränderungen, während sich der Trend auch schnell ändert, wie hier:
Schnappschuss
Leider war ich nicht in der Lage, 100% falsche Signale auf dem Flachdiagramm wie hier zu eliminieren:
Schnappschuss
Ich hoffe, dass diese Strategie für alle nützlich ist ;)
Immer im Arsch.
Genießen Sie es!
Zurückprüfung
/*backtest
start: 2022-01-01 00:00:00
end: 2022-02-11 23:59:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Bitfinex","currency":"BTC_USD"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © wielkieef
//@version=4
src = close
//strategy("Sma BTC killer [60MIN]", overlay = true, pyramiding=1,initial_capital = 10000, default_qty_type= strategy.percent_of_equity, default_qty_value = 100, calc_on_order_fills=false, slippage=0,commission_type=strategy.commission.percent,commission_value=0.04)
//SMAs -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Length1 = input(14, title=" 1-SMA Lenght", minval=1)
Length2 = input(28, title=" 2-SMA Lenght", minval=1)
Length3 = input(55, title=" 3-SMA Lenght", minval=1)
xPrice = close
SMA1 = sma(xPrice, Length1)
SMA2 = sma(xPrice, Length2)
SMA3 = sma(xPrice, Length3)
//Indicators Inputs -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
ADX_options = input("MASANAKAMURA", title=" Adx Type", options = ["CLASSIC", "MASANAKAMURA"], group="Average Directional Index")
ADX_len = input(29, title=" Adx Lenght", type=input.integer, minval = 1, group="Average Directional Index")
th = input(21, title=" Adx Treshold", type=input.integer, minval = 0, group="Average Directional Index")
len = input(11, title="Cloud Length", group="Cloud")
// ATR Inputs -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
prd = input(18, title=" PP period", group="Average True Range")
Factor = input(5, title=" ATR Factor", group="Average True Range")
Pd = input(6, title=" ATR Period", group="Average True Range")
//Indicators -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
calcADX(_len) =>
up = change(high)
down = -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 = rma(tr, _len)
_plus = fixnan(100 * rma(plusDM, _len) / truerange)
_minus = fixnan(100 * rma(minusDM, _len) / truerange)
sum = _plus + _minus
_adx = 100 * rma(abs(_plus - _minus) / (sum == 0 ? 1 : sum), _len)
[_plus,_minus,_adx]
calcADX_Masanakamura(_len) =>
SmoothedTrueRange = 0.0
SmoothedDirectionalMovementPlus = 0.0
SmoothedDirectionalMovementMinus = 0.0
TrueRange = max(max(high - low, abs(high - nz(close[1]))), abs(low - nz(close[1])))
DirectionalMovementPlus = high - nz(high[1]) > nz(low[1]) - low ? max(high - nz(high[1]), 0) : 0
DirectionalMovementMinus = nz(low[1]) - low > high - nz(high[1]) ? max(nz(low[1]) - low, 0) : 0
SmoothedTrueRange := nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1]) /_len) + TrueRange
SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1]) / _len) + DirectionalMovementPlus
SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1]) / _len) + DirectionalMovementMinus
DIP = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
DIM = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
DX = abs(DIP-DIM) / (DIP+DIM)*100
adx = sma(DX, _len)
[DIP,DIM,adx]
[DIPlusC,DIMinusC,ADXC] = calcADX(ADX_len)
[DIPlusM,DIMinusM,ADXM] = calcADX_Masanakamura(ADX_len)
DIPlus = ADX_options == "CLASSIC" ? DIPlusC : DIPlusM
DIMinus = ADX_options == "CLASSIC" ? DIMinusC : DIMinusM
ADX = ADX_options == "CLASSIC" ? ADXC : ADXM
L_adx = DIPlus > DIMinus and ADX > th
S_adx = DIPlus < DIMinus and ADX > th
ADX_COLOR = L_adx ? color.lime : S_adx ? color.red : color.orange
PI = 2 * asin(1)
hilbertTransform(src) =>
0.0962 * src + 0.5769 * nz(src[2]) - 0.5769 * nz(src[4]) - 0.0962 * nz(src[6])
computeComponent(src, mesaPeriodMult) =>
hilbertTransform(src) * mesaPeriodMult
computeAlpha(src, fastLimit, slowLimit) =>
mesaPeriod = 0.0
mesaPeriodMult = 0.075 * nz(mesaPeriod[1]) + 0.54
smooth = 0.0
smooth := (4 * src + 3 * nz(src[1]) + 2 * nz(src[2]) + nz(src[3])) / 10
detrender = 0.0
detrender := computeComponent(smooth, mesaPeriodMult)
I1 = nz(detrender[3])
Q1 = computeComponent(detrender, mesaPeriodMult)
jI = computeComponent(I1, mesaPeriodMult)
jQ = computeComponent(Q1, mesaPeriodMult)
I2 = 0.0
Q2 = 0.0
I2 := I1 - jQ
Q2 := Q1 + jI
I2 := 0.2 * I2 + 0.8 * nz(I2[1])
Q2 := 0.2 * Q2 + 0.8 * nz(Q2[1])
Re = I2 * nz(I2[1]) + Q2 * nz(Q2[1])
Im = I2 * nz(Q2[1]) - Q2 * nz(I2[1])
Re := 0.2 * Re + 0.8 * nz(Re[1])
Im := 0.2 * Im + 0.8 * nz(Im[1])
if Re != 0 and Im != 0
mesaPeriod := 2 * PI / atan(Im / Re)
if mesaPeriod > 1.5 * nz(mesaPeriod[1])
mesaPeriod := 1.5 * nz(mesaPeriod[1])
if mesaPeriod < 0.67 * nz(mesaPeriod[1])
mesaPeriod := 0.67 * nz(mesaPeriod[1])
if mesaPeriod < 6
mesaPeriod := 6
if mesaPeriod > 50
mesaPeriod := 50
mesaPeriod := 0.2 * mesaPeriod + 0.8 * nz(mesaPeriod[1])
phase = 0.0
if I1 != 0
phase := (180 / PI) * atan(Q1 / I1)
deltaPhase = nz(phase[1]) - phase
if deltaPhase < 1
deltaPhase := 1
alpha = fastLimit / deltaPhase
if alpha < slowLimit
alpha := slowLimit
[alpha,alpha/2.0]
er = abs(change(src,len)) / sum(abs(change(src)),len)
[a,b] = computeAlpha(src, er, er*0.1)
mama = 0.0
mama := a * src + (1 - a) * nz(mama[1])
fama = 0.0
fama := b * mama + (1 - b) * nz(fama[1])
alpha = pow((er * (b - a)) + a, 2)
kama = 0.0
kama := alpha * src + (1 - alpha) * nz(kama[1])
L_cloud = kama > kama[1]
S_cloud = kama < kama[1]
float ph = pivothigh(prd, prd)
float pl = pivotlow(prd, prd)
var float center = na
float lastpp = ph ? ph : pl ? pl : na
if lastpp
if na(center)
center := lastpp
else
center := (center * 2 + lastpp) / 3
Up = center - (Factor * atr(Pd))
Dn = center + (Factor * atr(Pd))
float TUp = na
float TDown = na
Trend = 0
TUp := close[1] > TUp[1] ? max(Up, TUp[1]) : Up
TDown := close[1] < TDown[1] ? min(Dn, TDown[1]) : Dn
Trend := close > TDown[1] ? 1: close < TUp[1]? -1: nz(Trend[1], 1)
Trailingsl = Trend == 1 ? TUp : TDown
bsignal = Trend == 1 and Trend[1] == -1
ssignal = Trend == -1 and Trend[1] == 1
L_ATR = Trend == 1
S_ATR = Trend == -1
// Strategy logic ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
var bool longCond = na, var bool shortCond = na
var int CondIni_long = 0, var int CondIni_short = 0
var bool _Final_longCondition = na, var bool _Final_shortCondition = na
var float last_open_longCondition = na, var float last_open_shortCondition = na
var int last_longCondition = na, var int last_shortCondition = na
var int last_Final_longCondition = na, var int last_Final_shortCondition = na
var int nLongs = na, var int nShorts = na
Long_MA =L_adx and L_cloud and (SMA1 < close and SMA2 < close and SMA3 < close )
Short_MA =S_adx and S_cloud and (SMA1 > close and SMA2 > close and SMA3 > close )
longCond := Long_MA
shortCond := Short_MA
CondIni_long := longCond[1] ? 1 : shortCond[1] ? -1 : nz(CondIni_long[1] )
CondIni_short := longCond[1] ? 1 : shortCond[1] ? -1 : nz(CondIni_short[1] )
longCondition = (longCond[1] and nz(CondIni_long[1]) == -1 )
shortCondition = (shortCond[1] and nz(CondIni_short[1]) == 1 )
var float sum_long = 0.0, var float sum_short = 0.0
var float Position_Price = 0.0
var bool Final_long_BB = na, var bool Final_short_BB = na
var int last_long_BB = na, var int last_short_BB = na
last_open_longCondition := longCondition or Final_long_BB[1] ? close[1] : nz(last_open_longCondition[1] )
last_open_shortCondition := shortCondition or Final_short_BB[1] ? close[1] : nz(last_open_shortCondition[1] )
last_longCondition := longCondition or Final_long_BB[1] ? time : nz(last_longCondition[1] )
last_shortCondition := shortCondition or Final_short_BB[1] ? time : nz(last_shortCondition[1] )
in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition
last_Final_longCondition := longCondition ? time : nz(last_Final_longCondition[1] )
last_Final_shortCondition := shortCondition ? time : nz(last_Final_shortCondition[1] )
nLongs := nz(nLongs[1] )
nShorts := nz(nShorts[1] )
if longCondition or Final_long_BB
nLongs := nLongs + 1
nShorts := 0
sum_long := nz(last_open_longCondition) + nz(sum_long[1])
sum_short := 0.0
if shortCondition or Final_short_BB
nLongs := 0
nShorts := nShorts + 1
sum_short := nz(last_open_shortCondition)+ nz(sum_short[1])
sum_long := 0.0
Position_Price := nz(Position_Price[1])
Position_Price := longCondition or Final_long_BB ? sum_long/nLongs : shortCondition or Final_short_BB ? sum_short/nShorts : na
ATR_L_STOP = ssignal and in_longCondition
ATR_S_STOP = bsignal and in_shortCondition
// Plots and colors 010101010101010010101010101010101010101001010101010101001010101001010100101100111100101010010100110110010011100101010101010010101010101001011110011010101010101001010100101100110101010001001010101001010101001110110010101010100101010101010100111110101010101010101010100101010101100
colors = (in_longCondition ? color.green : in_shortCondition ? color.red : color.orange)
bgcolor(color=colors)
//barcolor (color = colors)
plotshape(longCondition, title="Long", style=shape.triangleup, location=location.belowbar, color=color.blue, size=size.small , transp = 0 )
plotshape(shortCondition, title="Short", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small , transp = 0 )
mama_p = plot(mama, title="Cloud A", style= plot.style_stepline, color=colors )
fama_p = plot(fama, title="Cloud B", style= plot.style_stepline, color=colors )
fill (mama_p,fama_p, color=colors )
plot(SMA1, color=color.white,style= plot.style_stepline, title="5", linewidth=1)
plot(SMA2, color=color.gray,style= plot.style_stepline, title="15", linewidth=2)
plot(SMA3, color=color.black,style= plot.style_stepline, title="55", linewidth=3)
plotshape(ATR_L_STOP, title = "ATR LONG CLOSE", style=shape.arrowdown, location=location.abovebar, color=color.red, size=size.small , text="ATR LONG CLOSE", textcolor=color.red, transp = 0 )
plotshape(ATR_S_STOP, title = "ATR SHORT CLOSE", style=shape.arrowup, location=location.belowbar, color=color.blue, size=size.small, text="ATR SHORT CLOSE", textcolor=color.blue, transp = 0 )
// Strategy -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
if Long_MA
strategy.entry ("L", strategy.long)
if Short_MA
strategy.entry ("S", strategy.short)
strategy.close_all( when = ATR_L_STOP or ATR_S_STOP)
// By wielkieef
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