Los indicadores verifican las estrategias de trading automatizadas

Fecha de creación: 2023-09-28 11:57:23 Última modificación: 2023-09-28 11:57:23

Copiar: 0 Número de Visitas: 738

ChaoZhang

Seguir Mensajes Privados

Seguir

1617

Seguidores

Descripción general

888 BOT v4 es una estrategia de trading automática que combina varios indicadores para determinar tendencias y emitir señales de trading. Utiliza una combinación de 8 indicadores, como la línea media, el filtro de intervalo, el ADX, la línea de parálisis, el SAR, el RSI, el MACD y la banda de Brin, para emitir señales de trading más confiables.

Principio de estrategia

Resumen del índice

Línea media de Jurik (JMA): una línea media para eliminar el retraso de la señal diseñada por Mark Jurik para profesionales, cuyos parámetros de la longitud de la barra se controlan para eliminar el ruido, y los parámetros de la barra de la fase de la barra y la barra de la barra se equilibran para compensar el retraso y la desviación.
El filtro de espacio: Para determinar mejor las tendencias a corto plazo, se calcula el rango de fluctuación de los precios promedio durante un período de tiempo y se aumenta el rango para eliminar el ruido del mercado.
Indicador de dirección promedio (ADX)Creado por Wilder, mide la fuerza y la dirección de las tendencias. El ADX es de pendiente positiva y ha estado por encima de la desvalorización durante un tiempo, lo que indica que el movimiento de precios es fuerte.
Paralización de la línea de parálisis (SAR)La línea paralela es una línea de parálisis que se extiende hacia el otro lado del precio cuando el precio toca el indicador.
El RSI de las cargas: Añadir un parámetro de volumen de operaciones basado en el RSI clásico para que refleje con mayor precisión la tendencia del mercado.
MACD: Indicador de diferencias de medias rápidas y lentas creado por Appel, el histograma puede predecir el cruce de medias. El MAC-Z incluye el cálculo VWAP después de estandarizar los precios.
Condiciones de volumen: Se filtran las transacciones por debajo de la media de las señales, y los diferentes niveles de volumen corresponden a diferentes leves.
El cinturón de BrynEl indicador de bandas de ondas de John Bollinger puede servir como una oportunidad de reingreso.

Lógica de estrategia

Se determinan las condiciones de ocupación de espacio en función de los ocho indicadores.
Una vez confirmados varios indicadores, se genera una señal de negociación para entrar en una posición.
Establezca un nivel de stop-loss basado en el número de posiciones y los parámetros de riesgo.
Cuando el precio alcanza el punto de parada de pérdidas, la posición se cierra.
Cuando el precio vuelve a tocar la zona de Brin, hay una oportunidad de poner una posición para mejorar el precio de entrada.
Cada vez que se cierra una posición, se espera la confirmación del indicador para entrar en una nueva posición.

Análisis de las ventajas

La mayor ventaja de 888 BOT v4 es el uso de una combinación de indicadores, los diferentes indicadores se pueden verificar entre sí, reduciendo las falsas señales, lo que es más confiable que la estrategia de un solo indicador. Además, permite aumentar la posición y mejorar el precio de entrada, para perseguir más ganancias.

En concreto, sus ventajas son:

JMA elimina el retraso, elimina el ruido de los filtros de intervalo y mejora la calidad de la señal.
El ADX determina la intensidad de la tendencia, y la línea paralela determina la dirección del SAR, lo que hace que la entrada sea más precisa.
El RSI y el MACD añaden más información de mercado, una señal de verificación multicapa.
Las condiciones de volumen de transacción pueden filtrar las señales falsas, y los diferentes niveles de volumen corresponden al apalancamiento.
El modo de parada de pérdidas puede elegir entre parada de riesgo, parada de ATR o doble parada, para controlar el riesgo de caída.
El precio de entrada se puede mejorar con el aumento de la apuesta de Brin para obtener mayores ganancias.
Se puede elegir si dividir la posición de parada, equilibrar el beneficio y la probabilidad de beneficio.
Se puede elegir el segmento de tiempo y el par de operaciones para realizar un retrospectivo y evaluar la eficacia de la estrategia.

Análisis de riesgos

A pesar de que 888 BOT v4 reduce el riesgo a través de la combinación de indicadores y la optimización de parámetros, cualquier estrategia de negociación conlleva ciertos riesgos, que incluyen:

La probabilidad de que el indicador emita una señal errónea, se puede ajustar adecuadamente los parámetros para reducir.
El riesgo de aumento de pérdidas después de la acumulación de activos puede reducirse para evitar la optimización del precio de entrada.
Las pérdidas se expanden cuando la banda de Brin no se activa, lo que puede ser utilizado como indicador de tendencia para determinar el momento de aumentar la posición.
El riesgo de que el stop loss sea demasiado flexible puede reducirse adecuadamente.
El tiempo de detección es insuficiente, se puede ampliar el ciclo de detección para verificar.
El volumen de transacciones es insuficiente, por lo que hay que ajustar el tamaño de las posiciones.
“La situación no es tan excepcional, hay que hacer un buen manejo de los riesgos”, Jenkinson.

Dirección de optimización

888 BOT v4 también tiene un poco de espacio para optimización:

Ajustar los parámetros del indicador para encontrar la combinación óptima.
Intenta sustituirlo por otros indicadores, como el KDJ, el indicador de vibración, etc.
Optimizar el precio de la entrada.
Ajustar el algoritmo de parada y pérdida.
La garantía de pérdida se detiene después de configurar la parada.
Optimizar el tamaño de las posiciones y el tamaño del apalancamiento.
En este sentido, se han desarrollado métodos como el aprendizaje automático para la optimización.
Aumentar las condiciones de salida y evitar situaciones específicas.
Intentar arbitraje entre mercados.
Desarrollar una interfaz gráfica para mejorar la usabilidad.

En resumen, 888 BOT v4 es un ejemplo típico de una estrategia multi-indicador, que puede aumentar significativamente la probabilidad de ganancias a través de la negociación de una combinación de indicadores. Pero ninguna estrategia puede ser un paquete completo, que requiere prueba y optimización continuas y una buena gestión de riesgos para ser rentable de manera continua.

Código Fuente de la Estrategia

/*backtest
start: 2023-09-20 00:00:00
end: 2023-09-27 00:00:00
period: 10m
basePeriod: 1m
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/
// © Xaviz

//@version=4
strategy(title = "888 BOT #backtest", shorttitle = "888💹", overlay = true, initial_capital = 10000, pyramiding = 10, currency = "USD",
   default_qty_type = strategy.percent_of_equity, default_qty_value = 0, commission_value = 0.04)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Inputs
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Source input
src                 = input(hlc3,       title = "  SOURCE",                             type = input.source)

// ————— JMA inputs
Act_JMA             = input(true,       title = "JURIK MOVING AVERAGE",                 type = input.bool)
JMA_length          = input(30,         title = "  JMA LENGTH",                         type = input.integer,   minval = 0)
phase               = input(40,         title = "  JMA PHASE",                          type = input.integer,   minval = 0)
power               = input(2.5,        title = "  JMA POWER",                          type = input.float,     minval = 0,     step = 0.5)

// ————— Range Filter inputs
Act_RF              = input(true,       title = "RANGE FILTER",                         type = input.bool)
per                 = input(20,         title = "  SAMPLING PERIOD",                    type = input.integer,   minval = 1)
mult                = input(1.7,        title = "  RANGE MULTIPLIER",                   type = input.float,     minval = 0.1,   step = 0.1)

// ————— ADX inputs
Act_ADX             = input(true,       title = "AVERAGE DIRECTIONAL INDEX",            type = input.bool)
ADX_options         = input("CLASSIC",  title = "  ADX OPTION",                                                                                 options = ["CLASSIC", "MASANAKAMURA"])
ADX_len             = input(22,         title = "  ADX LENGTH",                         type = input.integer,   minval = 1)
th                  = input(20,         title = "  ADX THRESHOLD",                      type = input.float,     minval = 0,     step = 0.5)

// ————— SAR inputs
Act_SAR             = input(true,       title = "PARABOLIC SAR",                        type = input.bool)
Sst                 = input (0.25,      title = "  SAR STAR",                           type = input.float,     minval = 0.01,  step = 0.01)
Sinc                = input (0.25,      title = "  SAR INC",                            type = input.float,     minval = 0.01,  step = 0.01)
Smax                = input (0.13,      title = "  SAR MAX",                            type = input.float,     minval = 0.01,  step = 0.01)

// ————— RSI with volume inputs
Act_RSI             = input(true,       title = "RSI VOLUME WEIGHTED",                  type = input.bool)
RSI_len             = input(34,         title = "  RSI LENGHT",                         type = input.integer,   minval = 1)
RSI_obos            = input(45,         title = "  RSI CENTER LINE",                    type = input.integer,   minval = 1)

// ————— MACD / MAC-Z inputs
Act_MACD            = input(true,       title = "MA CONVERGENCE/DIVERGENCE",            type = input.bool)
MACD_options        = input("MAC-Z",    title = "  MACD OPTION",                                                                                options = ["MACD", "MAC-Z"])
fastLength          = input(45,         title = "  MACD FAST MA LENGTH",                type = input.integer,   minval = 1)
slowLength          = input(47,         title = "  MACD SLOW MA LENGTH",                type = input.integer,   minval = 1)
signalLength        = input(13,         title = "  MACD SIGNAL LENGTH",                 type = input.integer,   minval = 1)
lengthz             = input(9,          title = "  Z-VWAP LENGTH",                      type = input.integer,   minval = 1)
lengthStdev         = input(14,         title = "  STDEV LENGTH",                       type = input.integer,   minval = 1)

// ————— Volume inputs for entries condition and for calculate quantities later
Act_Vol             = input(true,       title = "VOLUME CONDITION",                     type = input.bool)
volume_f            = input(1.4,        title = "  VOLUME FACTOR",                      type = input.float,     minval = 0,     step = 0.1)
sma_length          = input(61,         title = "  SMA VOLUME LENGTH",                  type = input.integer,   minval = 1)

// ————— First take profit input
tp_long0            = input(1.7,        title = "  TAKE PROFIT LONG %",                 type = input.float,     minval = 0,     step = 0.1) 
tp_short0           = input(1.8,        title = "  TAKE PROFIT SHORT %",                type = input.float,     minval = 0,     step = 0.1) 

// ————— Stop Loss input
Act_sl              = input(true,       title = "ACTIVATE STOP LOSS 🧻",                type = input.bool)
SL_options          = input("NORMAL",   title = "  STOP LOSS OPTION",                                                                           options = ["NORMAL", "ATR", "BOTH"])
sl0                 = input(3.7,        title = "  STOP LOSS %",                        type = input.float,     minval = 0,     step = 0.1)

// ————— ATR Inputs
atrPeriod           = input(13,         title = "  ATR SL PERIOD",                      type = input.integer,   minval = 0)
multiplierPeriod    = input(7.0,        title = "  ATR SL MULTIPLIER",                  type = input.float,     minval = 0,     step = 0.1)

// ————— Risk input
Risk                = input(3.5,        title = "  % RISK ALLOWED",                     type = input.float,     minval = 0,     step = 0.5)

// ————— Confirmed Stop loss
Act_Conf_SL         = input(false,      title = "STOP LOSS CONFIRMED",                  type = input.bool)

// ————— Bollinger Bands inputs
Act_BB              = input(true,       title = "ACTIVATE BOLLINGER BANDS RE-ENTRY 🚀", type = input.bool)
BB_length           = input(20,         title = "  BB LENGTH",                          type = input.integer,   minval = 1)
BB_mult             = input(1.9,        title = "  BB MULTIPLIER",                      type = input.float,     minval = 0.001, step = 0.1)
bbBetterPrice       = input(0.5,        title = "  % MINIMUM BETTER PRICE",             type = input.float,     minval = 0.1,   step = 0.1)
Act_divide          = input(false,      title = "ACTIVATE DIVIDE TP",                   type = input.bool)

// ————— Backtest input
Act_BT              = input(true,       title = "BACKTEST 💹",                          type = input.bool)
backtest_time       = input(180,        title = "  BACKTEST DAYS",                      type = input.integer,   minval = 1)*24*60*60*1000
entry_Type          = input("% EQUITY", title = "  ENTRY TYPE",                                                                                 options = ["CONTRACTS","CASH","% EQUITY"])
et_Factor           = (entry_Type == "CONTRACTS") ? 1 : (entry_Type == "% EQUITY") ? (100/(strategy.equity/close)) : close
quanTity            = input(8.0,        title = "  QUANTITY (LEVERAGE 1X)",             type = input.float,     minval = 0,     step = 0.5) / et_Factor
Max_Lev             = input(8,          title = "  MAXIMUM LEVERAGE",                   type = input.integer,   minval = 1,     maxval = 8)   

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Variables
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Long/Short
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 float   last_dynamic_Leverage_long  = na,   var float   last_dynamic_Leverage_short = 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

// ————— Take profit
var bool    long_tp                     = na,   var bool    short_tp                    = na
var int     last_long_tp                = na,   var int     last_short_tp               = na
var bool    Final_Long_tp               = na,   var bool    Final_Short_tp              = na

// ————— Stop Loss
var int     CondIni_long_sl             = 0,    var int     CondIni_short_sl            = 0
var bool    Final_Long_sl0              = na,   var bool    Final_Short_sl0             = na
var bool    Final_Long_sl               = na,   var bool    Final_Short_sl              = na
var int     last_long_sl                = na,   var int     last_short_sl               = na

// ————— Indicators
var bool    JMA_longCond                = na,   var bool    JMA_shortCond               = na
var bool    RF_longCond                 = na,   var bool    RF_shortCond                = na
var bool    ADX_longCond                = na,   var bool    ADX_shortCond               = na
var bool    SAR_longCond                = na,   var bool    SAR_shortCond               = na
var bool    RSI_longCond                = na,   var bool    RSI_shortCond               = na
var bool    MACD_longCond               = na,   var bool    MACD_shortCond              = na
var bool    VOL_longCond                = na,   var bool    VOL_shortCond               = na
var bool    JMA_XlongCond               = na,   var bool    JMA_XshortCond              = na
var bool    RF_XlongCond                = na,   var bool    RF_XshortCond               = na
var bool    ADX_XlongCond               = na,   var bool    ADX_XshortCond              = na
var bool    SAR_XlongCond               = na,   var bool    SAR_XshortCond              = na
var int     CondIni_long_BB             = 0,    var int     CondIni_short_BB            = 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

// ————— Average Price
var float   sum_long                    = 0.0,  var float   sum_short                   = 0.0
var float   Position_Price              = 0.0

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Jurik Moving Average
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— JMA calculation
JMA(_JMA_length, _phase, _power, _src) =>
    phaseRatio      = _phase < -100 ? 0.5 : _phase > 100 ? 2.5 : _phase / 100 + 1.5
    beta            = 0.45 * (_JMA_length - 1) / (0.45 * (_JMA_length - 1) + 2)
    alpha           = pow(beta, _power)
    jma             = 0.0
    e0              = 0.0
    e0              := (1 - alpha) * _src + alpha * nz(e0[1])
    e1              = 0.0
    e1              := (_src - e0) * (1 - beta) + beta * nz(e1[1])
    e2              = 0.0
    e2              := (e0 + phaseRatio * e1 - nz(jma[1])) * pow(1 - alpha, 2) + pow(alpha, 2) * nz(e2[1])
    jma             := e2 + nz(jma[1])
    
// ————— Defining JMA trend
JMA_Rising          = JMA(JMA_length, phase, power, src) > JMA(JMA_length, phase, power, src)[1]
JMA_Falling         = JMA(JMA_length, phase, power, src) < JMA(JMA_length, phase, power, src)[1]

// ————— JMA Plotting
JMA_color           = JMA_Rising ? color.lime : JMA_Falling ? #e91e63 : color.orange
plot(Act_JMA ? JMA(JMA_length, phase, power, src) : na, color=JMA_color, linewidth = 2, title= "JMA")

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Range Filter
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Range Filter calculation
Range_filter(_src, _per, _mult) =>
    float _upward   = 0.0
    float _downward = 0.0
    wper            = (_per*2) - 1
    avrng           = ema(abs(_src - _src[1]), _per)
    _smoothrng      = ema(avrng, wper) * _mult
    _filt           = _src
    _filt           := _src  > nz(_filt[1]) ? ((_src-_smoothrng) < nz(_filt[1]) ? nz(_filt[1]) : (_src-_smoothrng)) : ((_src+_smoothrng) > nz(_filt[1]) ? nz(_filt[1]) : (_src+_smoothrng))
    _upward         := _filt > _filt[1]     ? nz(_upward[1])   + 1 : _filt < _filt[1] ? 0 : nz(_upward[1])
    _downward       := _filt < _filt[1]     ? nz(_downward[1]) + 1 : _filt > _filt[1] ? 0 : nz(_downward[1])
    [_smoothrng,_filt,_upward,_downward]
    
// ————— Defining variables for include in future conditions
[smoothrng, filt, upward, downward] = Range_filter(src, per, mult)

// ————— Defining high and low bands
hband               = filt + smoothrng
lband               = filt - smoothrng

// ————— Range Filter Plotting
filtcolor           = upward > 0 ? color.lime : downward > 0 ? color.red : color.orange
filtplot            = plot(Act_RF ? filt  : na, color = filtcolor,  linewidth = 1,                  title = "RF")
hbandplot           = plot(Act_RF ? hband : na, color = filtcolor,                  transp = 50,    title = "RF High Target")
lbandplot           = plot(Act_RF ? lband : na, color = filtcolor,                  transp = 50,    title = "RF Low Target")
fill(hbandplot, lbandplot,                      color = filtcolor,                                  title = "RF Target Range")

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— ADX
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Classic ADX calculating
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]

// ————— Masanakamura ADX calculating
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]

 // ————— Defining variables for include in future conditions   
[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

// ————— Plotting ADX bar colors
ADX_color = DIPlus > DIMinus and ADX > th ? color.green : DIPlus < DIMinus and ADX > th ? color.red : color.orange
barcolor(color = Act_ADX ? ADX_color : na, title = "ADX")

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— SAR
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— SAR calculation from TV
SAR = sar(Sst, Sinc, Smax)

// ————— SAR Plotting
plot(Act_SAR ? SAR : na, color = ADX_color, style = plot.style_circles, title = "SAR") 

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— RSI with Volume
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— RSI with volume calculation
WiMA(_src, W_length) => 
    var float MA_s  = 0.0
    MA_s            :=(_src + nz(MA_s[1] * (W_length-1)))/W_length
    MA_s
RSI_Volume(fv, _length) =>	
	up              = iff(fv > fv[1], abs(fv - fv[1]) * volume, 0)
	dn              = iff(fv < fv[1], abs(fv - fv[1]) * volume, 0)
	upt             = WiMA(up,_length)
	dnt             = WiMA(dn,_length)
	100 * (upt / (upt + dnt))

// ————— Defining variable for include in conditions
RSI_V               = RSI_Volume(src, RSI_len)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— MACD
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— MAC-Z calculation
calc_zvwap(pds) =>
	mean            = sum(volume * close, pds) / sum(volume, pds)
	vwapsd          = sqrt(sma(pow(close - mean, 2), pds))
	(close - mean ) / vwapsd

zscore              = calc_zvwap(lengthz)
fastMA              = sma(src, fastLength)
slowMA              = sma(src, slowLength)
macd                = fastMA - slowMA
macz                = zscore + macd / stdev(src, lengthStdev)
signal              = sma(macz, signalLength)
histmacz            = macz - signal

// ————— MACD calculation
[_,_,histmacd]      = macd(src,  fastLength, slowLength, signalLength)

hist                = MACD_options == "MACD" ? histmacd : histmacz

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Strategy
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— All indicators with long conditions and enable/disable option
JMA_longCond        := (Act_JMA     ? (JMA_Rising)                                  : VOL_longCond) 
RF_longCond         := (Act_RF      ? (high > hband and upward > 0)                 : JMA_longCond)
ADX_longCond        := (Act_ADX     ? (DIPlus > DIMinus and ADX > th)               : RF_longCond)
SAR_longCond        := (Act_SAR     ? (SAR < close)                                 : ADX_longCond)
RSI_longCond        := (Act_RSI     ? (RSI_V > RSI_obos)                            : SAR_longCond)
MACD_longCond       := (Act_MACD    ? (hist > 0)                                    : RSI_longCond)
VOL_longCond        := (Act_Vol     ? (volume > sma(volume,sma_length) * volume_f)  : MACD_longCond)

// ————— All indicators with short conditions and enable/disable option
JMA_shortCond       := (Act_JMA     ? (JMA_Falling)                                 : VOL_shortCond) 
RF_shortCond        := (Act_RF      ? (low < lband and downward > 0)                : JMA_shortCond)
ADX_shortCond       := (Act_ADX     ? (DIPlus < DIMinus and ADX > th)               : RF_shortCond)
SAR_shortCond       := (Act_SAR     ? (SAR > close)                                 : ADX_shortCond)
RSI_shortCond       := (Act_RSI     ? (RSI_V < RSI_obos)                            : SAR_shortCond)
MACD_shortCond      := (Act_MACD    ? (hist < 0)                                    : RSI_shortCond)
VOL_shortCond       := (Act_Vol     ? (volume > sma(volume,sma_length) * volume_f)  : MACD_shortCond)

// ————— Defining long/short condition from indicators + volume
longCond            := JMA_longCond  and RF_longCond  and ADX_longCond  and SAR_longCond  and RSI_longCond  and MACD_longCond  and VOL_longCond
shortCond           := JMA_shortCond and RF_shortCond and ADX_shortCond and SAR_shortCond and RSI_shortCond and MACD_shortCond and VOL_shortCond

// ————— Avoiding confirmed long/short simultaneity
CondIni_long        := longCond[1] ? 1 : shortCond[1] ? -1 : nz(CondIni_long[1])
CondIni_short       := longCond[1] ? 1 : shortCond[1] ? -1 : nz(CondIni_short[1])

// ————— Confirmed long/short conditions
longCondition       = (longCond[1]  and nz(CondIni_long[1])  == -1)
shortCondition      = (shortCond[1] and nz(CondIni_short[1]) == 1)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Position Price
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Last opened long/short price on unconfirmed/confirmed conditions
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])

// ————— Check if your last position was a confirmed long or a short
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

// ————— Check if your last position was a confirmed final long or short without BB
last_Final_longCondition    := longCondition  ? time : nz(last_Final_longCondition[1])
last_Final_shortCondition   := shortCondition ? time : nz(last_Final_shortCondition[1])

// ————— Counting long & short iterations
nLongs                      := nz(nLongs[1])
nShorts                     := nz(nShorts[1])

// ————— Longs Counter
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
    
// ————— Shorts Counter
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

// ————— Calculating and Plotting the price average
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
plot((nLongs > 1) or (nShorts > 1) ? Position_Price : na, title = "Average Price", color = in_longCondition ? color.aqua : color.orange, linewidth = 2, style = plot.style_cross)
    
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Take Profit
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Take Profit divided by n entries
tp_long             = (Act_divide and (nLongs  > 1) ? tp_long0  / nLongs  : tp_long0)  / 100
tp_short            = (Act_divide and (nShorts > 1) ? tp_short0 / nShorts : tp_short0) / 100

// ————— First TP Conditions
long_tp             := high > (fixnan(Position_Price) * (1 + tp_long))  and in_longCondition
short_tp            := low  < (fixnan(Position_Price) * (1 - tp_short)) and in_shortCondition

// ————— Get the time of the last tp close
last_long_tp        := long_tp  ? time : nz(last_long_tp[1])
last_short_tp       := short_tp ? time : nz(last_short_tp[1])

// ————— Final Take profit condition (never after the stop loss)
Final_Long_tp       := (long_tp  and last_longCondition  > nz(last_long_tp[1])  and last_longCondition  > nz(last_long_sl[1]))
Final_Short_tp      := (short_tp and last_shortCondition > nz(last_short_tp[1]) and last_shortCondition > nz(last_short_sl[1]))

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Stop Loss
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Stop Loss ATR calculation
ATR_SL_Long         = low  - atr(atrPeriod) * multiplierPeriod
ATR_SL_Short        = high + atr(atrPeriod) * multiplierPeriod
longStopPrev        = nz(ATR_SL_Long[1], ATR_SL_Long)
shortStopPrev       = nz(ATR_SL_Short[1], ATR_SL_Short)
ATR_SL_Long         := close[1] > longStopPrev  ? max(ATR_SL_Long, longStopPrev)   : ATR_SL_Long
ATR_SL_Short        := close[1] < shortStopPrev ? min(ATR_SL_Short, shortStopPrev) : ATR_SL_Short

// ————— Calculating Sl according Risk and Initial Capital
sl = in_longCondition ?      
     min(sl0, (((Risk / (100 / (strategy.equity / close)))*100) / (quanTity * max(1, last_dynamic_Leverage_long)  * max(1, nLongs)))) : 
     min(sl0, (((Risk / (100 / (strategy.equity / close)))*100) / (quanTity * max(1, last_dynamic_Leverage_short) * max(1, nShorts))))
      
// ————— Stop Loss long conditions
Normal_long_sl      = Act_Conf_SL ?  ((SL_options == "NORMAL") ? ((Act_sl and in_longCondition  and close <= ((1 - (sl / 100)) * (fixnan(Position_Price))))) : na) :
                                     ((SL_options == "NORMAL") ? ((Act_sl and in_longCondition  and low   <= ((1 - (sl / 100)) * (fixnan(Position_Price))))) : na)
ATR_long_sl         = Act_Conf_SL ?  ((SL_options == "ATR") ?    ((Act_sl and in_longCondition  and close <= (ATR_SL_Long))) : na) :
                                     ((SL_options == "ATR") ?    ((Act_sl and in_longCondition  and low   <= (ATR_SL_Long))) : na)
Both_long_sl        = Act_Conf_SL ?  ((SL_options == "BOTH") ?   ((Act_sl and in_longCondition  and close <= ((1 - (sl / 100)) * (fixnan(Position_Price)))) or 
                                                                 ((Act_sl and in_longCondition  and close <= (ATR_SL_Long)))) : na) :
                                     ((SL_options == "BOTH") ?   ((Act_sl and in_longCondition  and low   <= ((1 - (sl / 100)) * (fixnan(Position_Price)))) or 
                                                                 ((Act_sl and in_longCondition  and low   <= (ATR_SL_Long)))) : na)

// ————— Stop Loss short conditions
Normal_short_sl     = Act_Conf_SL ?  ((SL_options == "NORMAL") ? ((Act_sl and in_shortCondition and close >= ((1 + (sl / 100)) * (fixnan(Position_Price))))) : na) :
                                     ((SL_options == "NORMAL") ? ((Act_sl and in_shortCondition and high  >= ((1 + (sl / 100)) * (fixnan(Position_Price))))) : na)
ATR_short_sl        = Act_Conf_SL ?  ((SL_options == "ATR") ?    ((Act_sl and in_shortCondition and close >= (ATR_SL_Short))) : na) :
                                     ((SL_options == "ATR") ?    ((Act_sl and in_shortCondition and high  >= (ATR_SL_Short))) : na)
Both_short_sl       = Act_Conf_SL ?  ((SL_options == "BOTH") ?   ((Act_sl and in_shortCondition and close >= ((1 + (sl/100)) * (fixnan(Position_Price)))) or 
                                                                 ((Act_sl and in_shortCondition and close >= (ATR_SL_Short)))) : na) :
                                     ((SL_options == "BOTH") ?   ((Act_sl and in_shortCondition and high  >= ((1 + (sl/100)) * (fixnan(Position_Price)))) or 
                                                                 ((Act_sl and in_shortCondition and high  >= (ATR_SL_Short)))) : na)

// ————— Get the time of the last sl close
last_long_sl        := Normal_long_sl  or ATR_long_sl  or Both_long_sl  ? time : nz(last_long_sl[1])
last_short_sl       := Normal_short_sl or ATR_short_sl or Both_short_sl ? time : nz(last_short_sl[1])

// ————— Final Stop Loss condition
Final_Long_sl       := (Normal_long_sl  or ATR_long_sl  or Both_long_sl)  and last_longCondition  > nz(last_long_sl[1])  and last_longCondition  > nz(last_long_tp[1])  and not Final_Long_tp
Final_Short_sl      := (Normal_short_sl or ATR_short_sl or Both_short_sl) and last_shortCondition > nz(last_short_sl[1]) and last_shortCondition > nz(last_short_tp[1]) and not Final_Short_tp

//Plottin ATR SL
plot(Act_sl and (SL_options != "NORMAL") ? in_longCondition ? ATR_SL_Long[1] : ATR_SL_Short[1] : na, title = "ATR SL", color = color.purple)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  Bollinger Bands Re-entry
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

BB_basis            = sma(src, BB_length)
BB_dev              = BB_mult  * stdev(src, BB_length)
BB_upper            = BB_basis + BB_dev
BB_lower            = BB_basis - BB_dev
u_BB                = plot(Act_BB ? BB_upper : na,  title = "Upper Bollinger Band",      color = #009688, linewidth = 2)
l_BB                = plot(Act_BB ? BB_lower : na,  title = "Lower Bollinger Band",      color = #f06292, linewidth = 2)
fill(u_BB, l_BB,                                    title = "Bollinger Band Background", color = in_longCondition ? #009688 : #f06292, transp = 95)

// ————— Initial Bollinger Bands conditions
BB_long             = Act_BB and in_longCondition  and not (DIPlus < DIMinus and ADX > th) and (close <= BB_lower) and (close < last_open_longCondition  * (1 - (bbBetterPrice / 100)))
BB_short            = Act_BB and in_shortCondition and not (DIPlus > DIMinus and ADX > th) and (close >= BB_upper) and (close > last_open_shortCondition * (1 + (bbBetterPrice / 100)))

// ————— Get the time of the last BB close
last_long_BB        := BB_long  ? time : nz(last_long_BB[1])
last_short_BB       := BB_short ? time : nz(last_short_BB[1])

// ————— Final Bollinger Bands condition for long
Final_long_BB       := BB_long and last_Final_longCondition > nz(last_long_BB[1]) and 
                       last_longCondition > nz(last_long_tp[1]) and 
                       last_longCondition > nz(last_long_sl[1]) and not Final_Long_sl

// ————— Final Bollinger Bands condition for short                 
Final_short_BB      := BB_short and last_Final_shortCondition > nz(last_short_BB[1]) and 
                       last_shortCondition > nz(last_short_tp[1]) and 
                       last_shortCondition > nz(last_short_sl[1]) and not Final_Short_sl

// ————— Final confirmed Re-entries on long & short conditions
Final_Long_BB = Final_long_BB[1]
Final_Short_BB = Final_short_BB[1]

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  Signal Plotting
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— TP Long Levels
tplLevel            = (in_longCondition and 
                      (last_longCondition > nz(last_long_tp[1])) and 
                      (last_longCondition > nz(last_long_sl[1])) and not Final_Long_sl[1]) ? 
                      (nLongs > 1) ? 
                      (fixnan(Position_Price) * (1 + tp_long)) : (last_open_longCondition * (1 + tp_long)) : na

plot(tplLevel,            title = "Long TP Level",       style = plot.style_circles,                                   color = color.lime,  linewidth = 2)

tpsLevel            = (in_shortCondition and 
                      (last_shortCondition > nz(last_short_tp[1])) and 
                      (last_shortCondition > nz(last_short_sl[1])) and not Final_Short_sl[1]) ? 
                      (nShorts > 1) ? 
                      (fixnan(Position_Price) * (1 - tp_short)) : (last_open_shortCondition * (1 - tp_short)) : na

plot(tpsLevel,            title = "Short TP Level",      style = plot.style_circles,                                   color = color.red,   linewidth = 2)

// ————— Weekend
W_color             = (dayofweek == dayofweek.sunday or dayofweek == dayofweek.saturday) ? color.white : na
bgcolor(W_color,          title = "Weekend",    transp = 95)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  Re-entry Conditions
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Re-entry on long after tp, sl or Xlong
if Final_Long_tp or Final_Long_sl
    CondIni_long    := -1
    sum_long        := 0.0
    nLongs          := na
    
// ————— Re-entry on short after tp, sl or Xshort
if Final_Short_tp or Final_Short_sl
    CondIni_short   := 1
    sum_short       := 0.0
    nShorts         := na
    
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  Backtest
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Defining new final unconfirmed long conditions
_longCondition      = (longCond and not in_longCondition) or 
                      (longCond and Final_Long_tp) or 
                      (longCond and Final_Long_sl) or
                      (longCond and not longCondition and (last_long_tp >= nz(last_longCondition))) or 
                      (longCond and not longCondition and (last_long_sl >= nz(last_longCondition)))
   
// ————— Defining new final unconfirmed short conditions
_shortCondition     = (shortCond and not in_shortCondition) or 
                      (shortCond and Final_Short_tp) or 
                      (shortCond and Final_Short_sl) or 
                      (shortCond and not shortCondition and (last_short_tp >= nz(last_shortCondition))) or 
                      (shortCond and not shortCondition and (last_short_sl >= nz(last_shortCondition)))

// ————— Test period declaration
testPeriod = time >= timenow - backtest_time

// ————— Volume Factor for determine quantities
Volume_Factor_Leverage      = min(Max_Lev, max(1, round(volume / sma(volume, sma_length))))
last_dynamic_Leverage_long  := _longCondition ? Volume_Factor_Leverage  : nz(last_dynamic_Leverage_long[1])
last_dynamic_Leverage_short := _shortCondition ? Volume_Factor_Leverage : nz(last_dynamic_Leverage_short[1])

// ————— Entering long positions
if (_longCondition)
    strategy.entry("long", strategy.long, qty = Volume_Factor_Leverage * quanTity, when = Act_BT and testPeriod)
if (Final_long_BB)
    strategy.entry("long", strategy.long, qty = last_dynamic_Leverage_long * quanTity, when = Act_BT and testPeriod)
   
// ————— Entering short positions
if (_shortCondition) 
    strategy.entry("short", strategy.short, qty = Volume_Factor_Leverage * quanTity, when = Act_BT and testPeriod)
if (Final_short_BB) 
    strategy.entry("short", strategy.short, qty = last_dynamic_Leverage_short * quanTity, when = Act_BT and testPeriod)

// ————— Closing positions with first long TP
strategy.exit("Tpl", "long", 

   profit   = (abs((last_open_longCondition  * (1 + tp_long)) - last_open_longCondition) / syminfo.mintick), 

   limit    = nLongs >= 1 ? strategy.position_avg_price * (1 + tp_long) : na,

   loss     = Act_Conf_SL == false ? 
             (iff(Act_sl and (SL_options == "NORMAL"), (abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick), 
             iff(Act_sl  and (SL_options == "ATR"), (abs(ATR_SL_Long-last_open_longCondition)/syminfo.mintick), 
             iff(Act_sl  and (SL_options == "BOTH") and ((abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick) < 
             (abs(ATR_SL_Long-last_open_longCondition)/syminfo.mintick)), (abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick),
             iff(Act_sl  and (SL_options == "BOTH") and ((abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick) > 
             (abs(ATR_SL_Long-last_open_longCondition)/syminfo.mintick)), (abs(ATR_SL_Long-last_open_longCondition)/syminfo.mintick), na))))) : na,

   stop     = Act_Conf_SL == false and nLongs >= 1 ? 
             (iff(Act_sl and (SL_options == "NORMAL"), ((1-(sl/100))*strategy.position_avg_price),
             iff(Act_sl  and (SL_options == "ATR"), ATR_SL_Long, 
             iff(Act_sl  and (SL_options == "BOTH") and (((1-(sl/100))*strategy.position_avg_price) > ATR_SL_Long), ((1-(sl/100))*strategy.position_avg_price), 
             iff(Act_sl  and (SL_options == "BOTH") and (((1-(sl/100))*strategy.position_avg_price) < ATR_SL_Long), ATR_SL_Long, na))))) : na)

// Canceling long exit orders to avoid simultaneity with re-entry
strategy.cancel("Tpl", when = Final_long_BB)

// ————— Closing positions with first short TP
strategy.exit("Tps", "short",

   profit   = (abs((last_open_shortCondition * (1 - tp_short)) - last_open_shortCondition) / syminfo.mintick), 

   limit    = nShorts >= 1 ? strategy.position_avg_price*(1-(tp_short)) : na,

   loss     = Act_Conf_SL == false ? 
             (iff(Act_sl and (SL_options == "NORMAL"), (abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick), 
             iff(Act_sl  and (SL_options == "ATR"), (abs(ATR_SL_Short-last_open_shortCondition)/syminfo.mintick), 
             iff(Act_sl  and (SL_options == "BOTH") and ((abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick) < 
             (abs(ATR_SL_Short-last_open_shortCondition)/syminfo.mintick)), (abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick),
             iff(Act_sl  and (SL_options == "BOTH") and ((abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick) > 
             (abs(ATR_SL_Short-last_open_shortCondition)/syminfo.mintick)), (abs(ATR_SL_Short-last_open_shortCondition)/syminfo.mintick), na))))) : na,

   stop     = Act_Conf_SL == false and nShorts >= 1 ? 
             (iff(Act_sl and (SL_options == "NORMAL"), ((1+(sl/100))*strategy.position_avg_price),
             iff(Act_sl  and (SL_options == "ATR"), ATR_SL_Short, 
             iff(Act_sl  and (SL_options == "BOTH") and (((1+(sl/100))*strategy.position_avg_price) < ATR_SL_Short), ((1+(sl/100))*strategy.position_avg_price),
             iff(Act_sl  and (SL_options == "BOTH") and (((1+(sl/100))*strategy.position_avg_price) > ATR_SL_Short), ATR_SL_Short, na))))) : na)

// Canceling short exit orders to avoid simultaneity with re-entry
strategy.cancel("Tps", when = Final_short_BB)

// ————— Closing all positions with Xlong/Xshort
strategy.close_all(when = (Final_Long_sl and Act_Conf_SL) or (Final_Short_sl and Act_Conf_SL))

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  by Xaviz

Forums

PINE Language FAQ Summary MyLanguage Web3 About Us

Product

Robot Strategy Node Platforms Tickets

API

Syntax guide User guide Trading api Blockchain Indicator