Cette stratégie met en œuvre le trading de tendance basé sur l'indice de mouvement directionnel (DMI). DMI se compose de trois lignes: ADX, +DI et -DI. ADX montre la force de la tendance, les valeurs au-dessus d'un seuil indiquent une tendance; +DI et -DI montrent la force de la tendance à la hausse et à la baisse.
Calculez les lignes ADX, +DI et -DI. Définissez un seuil raisonnable pour ADX pour déterminer si une tendance est présente, par exemple 25. Lorsque ADX est au-dessus de ce niveau, si +DI est supérieur à -DI, une tendance à la hausse est identifiée, allez long. Si -DI est supérieur à +DI, une tendance à la baisse est identifiée, allez court. Maintenez la position jusqu'à ce qu'un signal inverse apparaisse.
Atténuer les effets en raccourcissant la période de détention ou en ajoutant d'autres indicateurs pour déterminer l'inversion de tendance.
La stratégie DMI détermine avec précision la direction de la tendance avec un retrait contrôlé. Des améliorations supplémentaires sont possibles grâce à l'optimisation des paramètres. Une stratégie de suivi de tendance simple et pratique.
/*backtest
start: 2023-09-10 00:00:00
end: 2023-09-17 00:00:00
period: 30m
basePeriod: 15m
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/
// ©wojak_bogdanoff
// @version=5
// Directional Movement Index (DMI)
strategy(title="Directional Movement Index", shorttitle="DMI︎", overlay=true, pyramiding=1, calc_on_every_tick=false, calc_on_order_fills=false, initial_capital=100.0, default_qty_type=strategy.percent_of_equity, default_qty_value=100.0, commission_type=strategy.commission.percent, commission_value=0.1, slippage=1)
trade_type = 'Long' // input.string(defval = "Long", title="Position Type", options=["Both", "Long", "Short"], group='Trading Settings')
strategy_type = 'DMI' // input.string(defval="ECS︎", title="Strategy Type", options='[ECS︎'], group='Trading Settings')
start_date = input(title='Testing Start Date', defval=timestamp("2017-01-01T00:00:00"), group='Trading Settings')
finish_date = input(title='Testing End Date', defval=timestamp("2025-01-01T00:00:00"), group='Trading Settings')
_testperiod = true
_check = _testperiod
// --- (Start) Directional Movement Index (DMI) ----------------------------- //
dmi_adxSmoothing = input.int(14, title="ADX Smoothing", minval=1, maxval=50)
dmi_len = input.int(7, minval=1, title="DI Length")
dmi_up = ta.change(high)
dmi_down = -ta.change(low)
dmi_plusDM = na(dmi_up) ? na : (dmi_up > dmi_down and dmi_up > 0 ? dmi_up : 0)
dmi_minusDM = na(dmi_down) ? na : (dmi_down > dmi_up and dmi_down > 0 ? dmi_down : 0)
dmi_rma = ta.rma(ta.tr, dmi_len)
dmi_plus = fixnan(100 * ta.rma(dmi_plusDM, dmi_len) / dmi_rma)
dmi_minus = fixnan(100 * ta.rma(dmi_minusDM, dmi_len) / dmi_rma)
dmi_sum = dmi_plus + dmi_minus
dmi_adx = 100 * ta.rma(math.abs(dmi_plus - dmi_minus) / (dmi_sum == 0 ? 1 : dmi_sum), dmi_adxSmoothing)
plot(dmi_adx, color=#F50057, title="ADX")
plot(dmi_plus, color=#2962FF, title="+DI")
plot(dmi_minus, color=#FF6D00, title="-DI")
dmi_consld_limit=input.int(defval=25, title='Consolidation ADX')
dmi_consld=dmi_adx<=dmi_consld_limit
dmi_strong_up=dmi_adx>dmi_consld_limit and dmi_plus>dmi_minus
dmi_strong_down=dmi_adx>dmi_consld_limit and dmi_plus<dmi_minus
barcolor(dmi_consld ? color.new(color.black,0) : na, title='Consolidation region', display=display.none)
barcolor(dmi_strong_up ? color.new(color.green,0) : na, title='Uptrend Region')
barcolor(dmi_strong_down ? color.new(color.red,0) : na, title='Downtrend Region')
dmi_long_e = (not dmi_strong_up[1]) and dmi_strong_up[0]
dmi_long_x = dmi_strong_up[1] and (not dmi_strong_up[0])
dmi_short_e = dmi_strong_up[1] and (not dmi_strong_up[0])
dmi_short_x = (not dmi_strong_up[1]) and dmi_strong_up[0]
// --- (End) Directional Movement Index (DMI) ------------------------------- //
// --- Trade Conditions ----------------------------------------------------- //
var is_long_open=false, var is_short_open=false
long_e = strategy_type == "DMI" ? dmi_long_e : na
long_x = strategy_type == "DMI" ? dmi_long_x : na
short_e = strategy_type == "DMI" ? dmi_short_e : na
short_x = strategy_type == "DMI" ? dmi_short_x : na
long_e_color = input.color(defval=color.new(color.teal,0), title='Long Entry', group='Signals Style - Setting')
long_x_color = input.color(defval=color.new(color.purple,0), title='Long Exit', group='Signals Style - Setting')
is_trade_bar = (long_e and not is_long_open) or (long_x and is_long_open)
barcolor(color=is_trade_bar ? na : (close>open ? color.new(color.green,90) : color.new(color.red,90)), title='Trade Bars')
barcolor(color=(trade_type == 'Long' or trade_type == 'Both') ? long_e and not is_long_open ? long_e_color : na : na, title="Long - Entry Bar", editable=false)
barcolor(color=(trade_type == 'Long' or trade_type == 'Both') ? long_x and is_long_open ? long_x_color : na : na, title="Long - Exit Bar", editable=false)
plotshape((trade_type == 'Long' or trade_type == 'Both') ? long_e and not is_long_open : na, text="B", textcolor=color.white, style=shape.labelup, color=long_e_color, size=size.tiny, location=location.belowbar, title="Long - Entry Labels")
plotshape((trade_type == 'Long' or trade_type == 'Both') ? long_x and is_long_open : na, text="S", textcolor=color.white, style=shape.labeldown, color=long_x_color, size=size.tiny, location=location.abovebar, title="Long - Exit Labels")
plotshape((trade_type == 'Short' or trade_type == 'Both') ? short_e and not is_short_open : na, text="E", textcolor=color.black, style=shape.labeldown, color=color.new(color.yellow,30), size=size.tiny, location=location.abovebar, title="Short - Entry Labels", editable=false)
plotshape((trade_type == 'Short' or trade_type == 'Both') ? short_x and is_short_open : na, text="X", textcolor=color.black, style=shape.labeldown, color=color.new(color.orange,30), size=size.tiny, location=location.abovebar, title="Short - Exit Labels", editable=false)
if long_e and not is_long_open
is_long_open:=true
if long_x and is_long_open
is_long_open:=false
if short_e and not is_short_open
is_short_open:=true
if short_x and is_short_open
is_short_open:=false
// --- Trade Executions ----------------------------------------------------- //
if trade_type == "Both" and _check
strategy.entry("Long", strategy.long, comment="Long", when=long_e and _testperiod)
strategy.close("Long", comment="Exit Long", when=long_x and _testperiod)
strategy.entry("Short", strategy.short, comment="Short", when=short_e and _testperiod)
strategy.close("Short", comment="Exit Short", when=short_x and _testperiod)
if trade_type == "Long" and _check
strategy.entry("Long", strategy.long, comment=" ", when=long_e and _testperiod)
strategy.close("Long", comment=" ", when=long_x and _testperiod)
if trade_type == "Short" and _check
strategy.entry("Short", strategy.short, comment="Short", when=short_e and _testperiod)
strategy.close("Short", comment="Exit Short", when=short_x and _testperiod)