Stratégie d'indicateur de momentum RSI/MFI basée sur la théorie de Dow

/*backtest
start: 2022-12-05 00:00:00
end: 2023-03-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

//MIT License

//Copyright (c) 2019 user-Noldo

//Permission is hereby granted, free of charge, to any person obtaining a copy
//of this software and associated documentation files (the "Software"), to deal
//in the Software without restriction, including without limitation the rights
//to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
//copies of the Software, and to permit persons to whom the Software is
//furnished to do so, subject to the following conditions:

//The above copyright notice and this permission notice shall be included in all
//copies or substantial portions of the Software.

//THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
//IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
//FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
//AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
//LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
//OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
//SOFTWARE.


strategy("Dow Factor RSI/MFI and Dependent Variable Odd Generator Strategy",shorttitle = "Dow_Factor RSI/MFI & DVOG Strategy", overlay = false, default_qty_type=strategy.percent_of_equity,commission_type=strategy.commission.percent, commission_value=0.125, default_qty_value=100 )
src = close 
lights          = input(title="Barcolor I / 0 ? ", options=["ON", "OFF"], defval="OFF")
method          = input(title="METHOD", options=["MFI", "RSI"], defval="RSI")

length = input(5, minval=2,maxval = 14, title = "Strategy Period")

// Essential Functions 

// Function Sum 

f_sum(_src , _length) => 

    _output  = 0.00 
    
    _length_adjusted = _length < 1 ? 1 : _length
    
    for i = 0 to _length_adjusted-1
        _output := _output + _src[i]


f_sma(_src, _length)=>
    _length_adjusted = _length < 1 ? 1 : _length
    float _sum = 0
    for _i = 0 to (_length_adjusted - 1)
        _sum := _sum + _src[_i]
    _return = _sum / _length_adjusted
   

// Unlocked Exponential Moving Average Function

f_ema(_src, _length)=>
    _length_adjusted = _length < 1 ? 1 : _length
    _multiplier = 2 / (_length_adjusted + 1)
    _return  = 0.00
    _return := na(_return[1]) ? _src : ((_src - _return[1]) * _multiplier) + _return[1]


// Function Standard Deviation

f_stdev(_src,_length) =>

    float _output = na 
    _length_adjusted = _length < 2 ? 2 : _length
    _avg  = f_ema(_src , _length_adjusted)
    evar  = (_src - _avg) * (_src - _avg)
    evar2 = ((f_sum(evar,_length_adjusted))/_length_adjusted)
    
    _output := sqrt(evar2)


// Linear Regression Channels : 

f_pearson_corr(_src1, _src2, _length) =>

    _length_adjusted = _length < 2 ? 2 : _length
    _ema1 = f_ema(_src1, _length_adjusted)
    _ema2 = f_ema(_src2, _length_adjusted)
    isum = 0.0
    for i = 0 to _length_adjusted - 1
        isum := isum + (_src1[i] - _ema1) * (_src2[i] - _ema2)
    isumsq1 = 0.0
    for i = 0 to _length_adjusted - 1
        isumsq1 := isumsq1 + pow(_src1[i] - _ema1, 2)
    isumsq2 = 0.0
    for i = 0 to _length_adjusted - 1
        isumsq2 := isumsq2 + pow(_src2[i] - _ema2, 2)
    pcc = isum/(sqrt(isumsq1*isumsq2))
    pcc


// Dow Theory Cycles 


dow_coeff = f_pearson_corr(src,volume,length)

dow_bull_factor = (1 + dow_coeff)
dow_bear_factor = (1 - dow_coeff)


// MONEY FLOW INDEX =====> FOR BULL OR BEAR MARKET (CLOSE)


upper_s = f_sum(volume * (change(src) <= 0 ? 0 : src), length)
lower_s = f_sum(volume * (change(src) >= 0 ? 0 : src), length)

_market_index = rsi(upper_s, lower_s)


// RSI (Close)

// Function RMA 

f_rma(_src, _length) =>
    _length_adjusted = _length < 1 ? 1 : _length
    alpha = _length_adjusted
    sum = 0.0
    sum := (_src + (alpha - 1) * nz(sum[1])) / alpha


// Function Relative Strength Index (RSI)

f_rsi(_src, _length) => 

    _output = 0.00 
    _length_adjusted = _length < 0 ? 0 : _length

    u = _length_adjusted < 1 ? max(_src - _src[_length_adjusted], 0) : max(_src - _src[1] , 0) // upward change
    d = _length_adjusted < 1 ? max(_src[_length_adjusted] - _src, 0) : max(_src[1] - _src , 0) // downward change
    rs = f_rma(u, _length) / f_rma(d, _length)
    res = 100 - 100 / (1 + rs)
    res


_rsi = f_rsi(src, length)


// Switchable Method Codes 

_method = 0.00 


if (method=="MFI")

    _method:= _market_index 
    
if (method=="RSI")

    _method:= _rsi   
    


// Conditions  

_bull_gross  = (_method )
_bear_gross  = (100 - _method )

_price_stagnant = ((_bull_gross * _bear_gross ) / 100)
_price_bull     =  (_bull_gross - _price_stagnant) 
_price_bear     =  (_bear_gross - _price_stagnant) 


_coeff_price = (_price_stagnant + _price_bull + _price_bear) / 100 

_bull     = _price_bull / _coeff_price 
_bear     = _price_bear / _coeff_price 
_stagnant = _price_stagnant / _coeff_price



// Market Types with Dow Factor

_temp_bull_gross     =  _bull     * dow_bull_factor       

_temp_bear_gross     =  _bear     * dow_bear_factor 


// Addition : Odds with Stagnant Market 


_coeff_normal = (_temp_bull_gross + _temp_bear_gross) / 100


// ********* OUR RSI / MFI VALUE ***********

_value        = _temp_bull_gross / _coeff_normal


// Temporary Pure Odds 

_temp_stagnant = ((_temp_bull_gross * _temp_bear_gross) / 100)
_temp_bull     = _temp_bull_gross - _temp_stagnant 
_temp_bear     = _temp_bear_gross - _temp_stagnant 


// Now we ll do venn scheme (Probability Cluster)
// Pure Bull + Pure Bear + Pure Stagnant = 100 
// Markets will get their share in the Probability Cluster 

 
_coeff = (_temp_stagnant + _temp_bull + _temp_bear) / 100

_odd_bull     = _temp_bull / _coeff
_odd_bear     = _temp_bear / _coeff
_odd_stagnant = _temp_stagnant / _coeff


_positive_condition     = crossover (_value,50)
_negative_condition     = crossunder(_value,50)
_stationary_condition   = ((_odd_stagnant > _odd_bull ) and (_odd_stagnant > _odd_bear))


// Strategy 

closePosition = _stationary_condition


if (_positive_condition)
    strategy.entry("Long", strategy.long, comment="Long")
    
strategy.close(id = "Long", when = closePosition )

if (_negative_condition)
    strategy.entry("Short", strategy.short, comment="Short")
    
strategy.close(id = "Short", when = closePosition )    


// Plot Data

// Plotage 

oversold   = input(25 , type = input.integer , title = "Oversold")   
overbought = input(75 , type = input.integer , title = "Overbought") 

zero    = 0 
hundred = 100
limit   = 50

// Plot Data 

stagline       = hline(limit      , color=color.new(color.white,0)   , linewidth=1, editable=false)
zeroline       = hline(zero       , color=color.new(color.silver,100), linewidth=0, editable=false)
hundredline    = hline(hundred    , color=color.new(color.silver,100), linewidth=0, editable=false)
oversoldline   = hline(oversold   , color=color.new(color.silver,100), linewidth=0, editable=false)
overboughtline = hline(overbought , color=color.new(color.silver,100), linewidth=0, editable=false)

// Filling Borders

fill(zeroline       , oversoldline   , color=color.maroon  , transp=88 , title = "Oversold Area")
fill(oversoldline   , stagline       , color=color.red     , transp=80 , title = "Bear Market")
fill(stagline       , overboughtline , color=color.green   , transp=80 , title = "Bull Market")
fill(overboughtline , hundredline    , color=color.teal    , transp=88 , title = "Overbought Market")


// Plot DOW Factor Methods

plot(_value, color = #F4C430 , linewidth = 2 , title = "DOW F-RSI" , transp = 0)

// Plot border lines

plot(oversold  ,style = plot.style_line,color = color.new(color.maroon,30),linewidth = 1)
plot(overbought,style = plot.style_line,color = color.new(color.teal,30)  ,linewidth = 1)


plot(zero     ,style = plot.style_line , color = color.new(color.silver,30) , linewidth = 1 ,editable = false)
plot(hundred  ,style = plot.style_line , color = color.new(color.silver,30) , linewidth = 1 ,editable = false)


// Switchable Barcolor ( On / Off)

_lights = 0.00 


if (lights=="ON")

    _lights:= 1.00
    
if (lights=="OFF")

    _lights:= -1.00   


bcolor_on  = _lights ==  1.00
bcolor_off = _lights == -1.00


barcolor((_positive_condition and bcolor_on)    ? color.green : (_negative_condition and bcolor_on) ? color.red : 
          (_stationary_condition and bcolor_on) ? color.yellow : na)


// Alerts 

alertcondition(_positive_condition , title='Strong Buy !', message='Strong Buy Signal ')
alertcondition(crossover(_value,overbought) , title='Gradual Buy', message='Gradual Buy Signal')
alertcondition(crossover(_value,oversold)   , title='Gradual Buy', message='Gradual Buy Signal')

alertcondition(crossunder(_value,overbought) , title='Gradual Sell', message='Gradual Sell Signal')
alertcondition(crossunder(_value,oversold)   , title='Gradual Sell', message='Gradual Sell Signal')

alertcondition(_negative_condition , title='Strong Sell !', message='Strong Sell Signal ')