Esta estrategia combina varios indicadores y estrategias técnicas, principalmente para determinar los puntos de entrada y salida del índice.
La lógica clave es:
Calcular las velas de media móvil, incluidas las de apertura, cierre, alto y bajo
Calcular el momento de las velas MA y la regresión lineal del momento
Calcular la regresión lineal de las mismas velas MA
Utilice SuperTrend para determinar la dirección general
Cuando la regresión de momento pasa de negativo a positivo, o fuertemente positivo, indica entrada
Cuando el impulso pasa de positivo a negativo, o se debilita, indica salida
La estrategia sintetiza varios indicadores para evaluar los movimientos y el ritmo de los mercados a corto y largo plazo para determinar el calendario de las operaciones del índice.
Las velas MA reflejan las tendencias a medio y largo plazo
El análisis de regresión identifica los cambios de tendencia
SuperTrend ayuda a la dirección general
Los indicadores múltiples mejoran la precisión
Optimización de parámetros complejos
Dificultad para equilibrar múltiples indicadores
Las señales poco frecuentes significan una menor frecuencia de negociación
Esta estrategia tiene como objetivo descubrir las señales de tiempo del mercado mediante el análisis de patrones a corto y largo plazo.
/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © HeWhoMustNotBeNamed
//@version=4
strategy("MACandles-LinearRegression-Strategy", shorttitle="MALinReg - Strategy",
overlay=false, initial_capital = 100000,
default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1,
commission_value = 0.01)
resolution = ""
MAType = input(title="Moving Average Type (MA Candles)", defval="hma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
LoopbackBars = input(60, title="Length (MA Candles)", step=10)
MMAType = input(title="Moving Average Type (Momentum)", defval="ema", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
MLength = input(20, title="MA Length (Momentum)", step=10)
lb = input(40 , title="Look Back Period Percentile High/Low", step=10, minval=10, maxval=100)
ph = input(.85, title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%")
pl = input(1.01, title="Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%")
mult = input(3.0 , minval=1, maxval=5, title="Bollinger Band Standard Devaition Up")
aggressiveLong = input(true)
longTrades = input(true)
useVixFix = input(false)
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "End Time", type = input.time)
inDateRange = true
f_getMovingAverage(source, MAType, length)=>
ma = sma(source, length)
if(MAType == "ema")
ma := ema(source,length)
if(MAType == "hma")
ma := hma(source,length)
if(MAType == "rma")
ma := rma(source,length)
if(MAType == "vwma")
ma := vwma(source,length)
if(MAType == "wma")
ma := wma(source,length)
ma
f_getMACandles(resolution, MAType, LoopbackBars)=>
oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
oClose = f_getMovingAverage(close, MAType, LoopbackBars)
oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
oLow = f_getMovingAverage(low, MAType, LoopbackBars)
[oOpen, oClose, oHigh, oLow]
f_getVixFixLinReg(oClose, oLow, MLength)=>
wvf = ((highest(oClose, MLength)-oLow)/(highest(oClose, MLength)))*100
sDev = mult * stdev(wvf, MLength)
midLine = sma(wvf, MLength)
lowerBand = midLine - sDev
upperBand = midLine + sDev
rangeHigh = (highest(wvf, lb)) * ph
rangeLow = (lowest(wvf, lb)) * pl
col = wvf >= upperBand or wvf >= rangeHigh ? color.lime : color.gray
val = linreg(wvf, MLength, 0)
absVal = abs(val)
linRegColor = val>val[1]? (val > 0 ? color.green : color.orange): (val > 0 ? color.lime : color.red)
vixFixState = (col == color.lime) ? 1: 0
vixFixState := strategy.position_size == 0? max(vixFixState, nz(vixFixState[1],0)) : vixFixState
[val, absVal, wvf, col, linRegColor, vixFixState]
f_getMACandlesLinReg(oClose, MMAType, MLength, mult, lb, ph, pl)=>
ma = f_getMovingAverage(oClose, MMAType, MLength)
maDiff = oClose - ma
val = linreg(maDiff, MLength,0)
absVal = abs(val)
linRegColor = iff( val > 0,
iff( val > nz(val[1]), color.green, color.lime),
iff( val < nz(val[1]), color.red, color.orange))
sDev = mult * stdev(maDiff, MLength)
midLine = sma(maDiff, MLength)
lowerBand = midLine - sDev
upperBand = midLine + sDev
rangeHigh = (highest(maDiff, lb)) * ph
rangeLow = (lowest(maDiff, lb)) * pl
col = maDiff >= upperBand or maDiff >= rangeHigh ? color.lime : maDiff <= lowerBand or maDiff <= rangeLow ? color.orange : color.silver
absMaDiff = abs(maDiff)
[val, absVal, maDiff, absMaDiff, col, linRegColor]
f_getSupertrend(resolution, oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, AtrMult, wicks)=>
truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
averagetruerange = f_getMovingAverage(truerange, AtrMAType, AtrLength)
atr = averagetruerange * AtrMult
longWicks = wicks
shortWicks = wicks
longStop = oClose - atr
longStopPrev = nz(longStop[1], longStop)
longStop := (longWicks ? oLow[1] : oClose[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop = oClose + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (shortWicks ? oHigh[1] : oClose[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (longWicks ? oHigh : oClose) > shortStopPrev ? 1 : dir == 1 and (shortWicks[1]? oLow : oClose) < longStopPrev ? -1 : dir
[dir, longStop, shortStop]
f_getMACandlesAndSupertrend(MAType, LoopbackBars, AtrMult, wicks)=>
oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
oClose = f_getMovingAverage(close, MAType, LoopbackBars)
oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
oLow = f_getMovingAverage(low, MAType, LoopbackBars)
[dir, longStop, shortStop] = f_getSupertrend(resolution, oOpen, oClose, oHigh, oLow, MAType, LoopbackBars, AtrMult, wicks)
dir
[oOpen, oClose, oHigh, oLow] = f_getMACandles(resolution, MAType, LoopbackBars)
dir = f_getMACandlesAndSupertrend("sma", 200, 1, false)
colorByPreviousClose = false
candleColor = colorByPreviousClose ?
(oClose[1] < oClose ? color.green : oClose[1] > oClose ? color.red : color.silver) :
(oOpen < oClose ? color.green : oOpen > oClose ? color.red : color.silver)
[vval, vabsVal, wvf, vcol, vlinRegColor, vixFixState] = f_getVixFixLinReg(oClose, oLow, MLength)
[val, absVal, maDiff, absMaDiff, col, linRegColor] = f_getMACandlesLinReg(oClose, MMAType, MLength, mult, lb, ph, pl)
plot(useVixFix?na:absMaDiff, title="Momentum", style=plot.style_histogram, linewidth = 4, color=col)
plot(useVixFix?wvf:na, title="VIX Fix", style=plot.style_histogram, linewidth = 4, color=vcol)
plot(useVixFix?na:-absVal, title="Linear Regression (Momentum)", style=plot.style_histogram, linewidth=4, color=linRegColor)
plot(useVixFix?-vabsVal:na, title="Linear Regression (VIX Fix)", style=plot.style_histogram, linewidth=4, color=vlinRegColor)
exitColor = longTrades? color.orange : color.silver
exitPreviousColor = longTrades? color.silver : color.lime
longCondition = (useVixFix? (vixFixState == 1 and vlinRegColor == color.lime) :
((linRegColor == color.orange and linRegColor[1] == color.red) or (linRegColor == color.green and linRegColor[1] != color.green and aggressiveLong))) and inDateRange and dir>0
exitLongCondition = (col == exitColor and col[1] == exitColor and col[2] == exitPreviousColor and (linRegColor != color.green or not aggressiveLong))
strategy.entry("Long", strategy.long, when=longCondition, oca_name="oca_buy")
strategy.close("Long", when=exitLongCondition)