प्रवृत्ति विश्वास पर आधारित प्रवृत्ति अनुसरण रणनीति

/*backtest
start: 2022-11-15 00:00:00
end: 2023-11-21 00:00:00
period: 1d
basePeriod: 1h
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/
// © carefulCamel61097

// ################################################################################################

// "This is a trend following strategy that performed very well on the past 5 years"
// "Intended to be used on BTC-USDT, 4hr timeframe"

// "A factor 2 Leverage can be added by changing Order Size to 200% of equity"
// "Higher leverage is not recommended due to big drawdowns"

// "Also seems to work on 1D timeframe, although ideal parameters may be different"
// "Also seems to work on ETH-USDT and some other altcoins, although ideal parameters are different"

// ################################################################################################

//@version=5
strategy("Trend Following based on Trend Confidence", overlay=false )

// Inputs

source      = input(close)

since       = input(timestamp('2000-01-01'), title='Start trading interval')
till        = input(timestamp('2030-01-01'), title='End trading interval')

length      = input(30, title='Length')

longs_on    = input.bool(true, title='Longs')
shorts_on   = input.bool(true, title='Shorts')

// Parameters for best performance 2018 - 2022
// long_entry  = input.float(0.26, step=0.01, title='Long entry threshold')
// long_exit   = input.float(-0.10, step=0.01, title='Long exit threshold')
// short_entry = input.float(-0.24, step=0.01, title='Short entry threshold')
// short_exit  = input.float(-0.04, step=0.01, title='Short exit threshold')

long_entry  = input.float(0.25, step=0.01, title='Long entry threshold')
long_exit   = input.float(-0.10, step=0.01, title='Long exit threshold')
short_entry = input.float(-0.25, step=0.01, title='Short entry threshold')
short_exit  = input.float(-0.05, step=0.01, title='Short exit threshold')

stop_loss   = input.float(10, step=1, title='Stop loss (percentage)') / 100

// Trend Confidence

linreg = ta.linreg(source, length, 0)
linreg_p = ta.linreg(source, length, 0+1)

x = bar_index
slope = linreg - linreg_p
intercept = linreg - x*slope
deviationSum = 0.0
for i = 0 to length-1
    deviationSum := deviationSum + math.pow(source[i]-(slope*(x-i)+intercept), 2)
deviation = math.sqrt(deviationSum/(length))

slope_perc = slope / source[0]
deviation_perc = deviation / source[0]
trend_confidence = slope_perc / deviation_perc

// Strategy

in_interval = true

sl_long = strategy.position_avg_price * (1 - stop_loss)
sl_short = strategy.position_avg_price * (1 + stop_loss)

if in_interval and longs_on and ta.crossover(trend_confidence, long_entry)
    strategy.entry("TC Long Entry", strategy.long)
    strategy.exit("TC Long Exit", stop=sl_long)
if in_interval and longs_on and ta.crossunder(trend_confidence, long_exit)
    strategy.close("TC Long Entry")

if in_interval and shorts_on and ta.crossunder(trend_confidence, short_entry)
    strategy.entry("TC Short Entry", strategy.short)
    strategy.exit("TC Short Exit", stop=sl_short)
if in_interval and shorts_on and ta.crossover(trend_confidence, short_exit)
    strategy.close("TC Short Entry")

// Plots 

plot(trend_confidence, "Trend Confidence", color.rgb(255, 255, 255))

plot(long_entry, "", color.rgb(0, 255, 0), linewidth=1)
plot(long_exit, "", color.rgb(255, 0, 0), linewidth=1)
plot(short_entry, "", color=bar_index % 10 == 0 ? color.rgb(0, 255, 0) : #00000000, linewidth=1)
plot(short_exit, "", color=bar_index % 10 == 0 ? color.rgb(255, 0, 0) : #00000000, linewidth=1)