लंबी और छोटी प्रवृत्ति खोजने वाली दोहरी लेजर रणनीति

/*backtest
start: 2023-10-06 00:00:00
end: 2023-11-05 00:00:00
period: 1h
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/
// © XaviZ

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//@version=4
strategy(title="M-SQUEEZE", overlay = true)

//study(title="M-SQUEEZE", overlay = true)

src = input(close, "SOURCE", type = input.source)

// ███▓▒░░ VARIABLES ░░▒▓███

var bool longCond = na, var bool shortCond = na
var int CondIni_long0 = 0, var int CondIni_short0 = 0
var int CondIni_long = 0, var int CondIni_short = 0
var float last_open_longCondition = na, var float last_open_shortCondition = na
var int last_longCondition0 = na, var int last_shortCondition0 = na
var int last_longCondition = na, var int last_shortCondition = na
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
var bool SMI_longCond = na, var bool SMI_shortCond = na
var bool RSI_longCond = na, var bool RSI_shortCond = na
var bool ADX_longCond = na, var bool ADX_shortCond = na
var bool SAR_longCond = na, var bool SAR_shortCond = na
var bool Final_longCondition0 = na, var bool Final_shortCondition0 = na
var bool Final_longCondition = na, var bool Final_shortCondition = na

// ███▓▒░░ SQUEEZE MOMENTUM INDICATOR ░░▒▓███

Act_SMI = input(true, "SQUEEZE MOMENTUM INDICATOR")
BB_length = input(85, title="BOLLINGER BANDS LENGTH", minval = 1)
BB_mult = input(2.1, title="BOLLINGER BANDS MULTI-FACTOR", minval = 0.1, step = 0.1)
KC_length = input(38, title="KELTNER CHANNEL LENGTH", minval = 1)
KC_mult = input(2.0, title="KELTNER CHANNEL MULTI-FACTOR", minval = 0.1, step = 0.1)

SQUEEZE_M(_src,_BB_length,_BB_mult,_KC_length,_KC_mult)=>

    // Calculate BB
    basis = sma(_src, _BB_length)
    dev = _BB_mult * stdev(_src, _BB_length)
    upperBB = basis + dev
    lowerBB = basis - dev
    // Calculate KC
    ma = sma(src, _KC_length)
    rangema = sma(tr, _KC_length)
    upperKC = ma + rangema * _KC_mult
    lowerKC = ma - rangema * _KC_mult
    // Squeeze
    sqzOn = lowerBB > lowerKC and upperBB < upperKC
    sqzOff = lowerBB < lowerKC and upperBB > upperKC
    nosqz = sqzOn == false and sqzOff == false
    // Linear Regression curve
    val = linreg(_src - avg(avg(highest(high, _KC_length), lowest(low, _KC_length)), sma(close, _KC_length)), _KC_length, 0)
    [nosqz,val]
    
[NOSQZ,VAL] = SQUEEZE_M(src,BB_length,BB_mult,KC_length,KC_mult)

barcolor(iff(VAL > 0, iff(VAL > nz(VAL[1]), color.lime, color.green), iff(VAL < nz(VAL[1]), color.red, color.maroon)))

// ███▓▒░░ SAR ░░▒▓███

Act_SAR = input(true, "PARABOLIC SAR")
Sst = input (0.73, "SAR STAR", step=0.01, minval = 0.01)
Sinc = input (0.5, "SAR INC", step=0.01, minval = 0.01)
Smax = input (0.06, "SAR MAX", step=0.01, minval = 0.01)

SAR = sar(Sst, Sinc, Smax)
plot(SAR, style = plot.style_cross, title = "SAR")

// ███▓▒░░ RSI VOLUME WEIGHTED ░░▒▓███

Act_RSI = input(true, "RSI VOLUME WEIGHTED")
RSI_len = input(22, "RSI LENGHT", minval = 1)
RSI_obos = input(45,title="RSI CENTER LINE", type=input.integer, minval = 1)

WiMA(_src, _length)=> 
    var float MA_s=0.0
    MA_s:=(_src + nz(MA_s[1] * (_length-1)))/_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))

RSI_V = RSI_Volume(src, RSI_len)

// ███▓▒░░ STRATEGY ░░▒▓███

SMI_longCond := (Act_SMI ? (VAL > 0 and (VAL > nz(VAL[1])) and not NOSQZ) : RSI_longCond) 
RSI_longCond := (Act_RSI ? (RSI_V > RSI_obos) : SAR_longCond)
SAR_longCond := (Act_SAR ? (SAR < close) : SMI_longCond)

SMI_shortCond := (Act_SMI ? (VAL < 0 and (VAL < nz(VAL[1])) and not NOSQZ) : RSI_shortCond) 
RSI_shortCond := (Act_RSI ? (RSI_V < RSI_obos) : SAR_shortCond)
SAR_shortCond := (Act_SAR ? (SAR > close) : SMI_shortCond)

longCond := SMI_longCond and RSI_longCond and SAR_longCond
shortCond := SMI_shortCond and RSI_shortCond and SAR_shortCond

CondIni_long0 := longCond ? 1 : shortCond ? -1 : CondIni_long0[1]
CondIni_short0 := longCond ? 1 : shortCond ? -1 : CondIni_short0[1]

longCondition0 = (longCond and CondIni_long0[1] == -1)
shortCondition0 = (shortCond and CondIni_short0[1] == 1)

CondIni_long := longCond[1] ? 1 : shortCond[1] ? -1 : CondIni_long[1]
CondIni_short := longCond[1] ? 1 : shortCond[1] ? -1 : CondIni_short[1]

longCondition = (longCond[1] and CondIni_long[1] == -1)
shortCondition = (shortCond[1] and CondIni_short[1] == 1)

// ███▓▒░░ ALERTS & SIGNALS ░░▒▓███

plotshape(longCondition, title = "Long Signal", style = shape.triangleup, location = location.belowbar, color = color.blue, transp = 0, size = size.tiny)
plotshape(shortCondition, title = "Short Signal", style = shape.triangledown, location = location.abovebar, color = #FF0000, transp = 0, size = size.tiny)

//alertcondition(longCondition, title="Long Alert", message = "LONG") 
//alertcondition(shortCondition, title="Short Alert", message = "SHORT")

// ███▓▒░░ BACKTESTING ░░▒▓███

testStartYear = input(2018, "BACKTEST START YEAR", minval = 1980, maxval = 2222) 
testStartMonth = input(01, "BACKTEST START MONTH", minval = 1, maxval = 12)
testStartDay = input(01, "BACKTEST START DAY", minval = 1, maxval = 31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2222, "BACKTEST STOP YEAR", minval=1980, maxval = 2222)
testStopMonth = input(12, "BACKTEST STOP MONTH", minval=1, maxval=12)
testStopDay = input(31, "BACKTEST STOP DAY", minval=1, maxval=31)
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)

testPeriod = time >= testPeriodStart and time <= testPeriodStop ? true : false

strategy.entry("Long", strategy.long, when = longCondition0 and testPeriod)
strategy.entry("Short", strategy.short, when = shortCondition0 and testPeriod)