1. वर्ग
2. समय श्रृंखला विघटन और वॉल्यूम भारित बोलिंगर बैंड पर आधारित रणनीति का अनुसरण करने वाली प्रवृत्ति

समय श्रृंखला विघटन और वॉल्यूम भारित बोलिंगर बैंड पर आधारित रणनीति का अनुसरण करने वाली प्रवृत्ति

लेखक:चाओझांग, दिनांक: 2023-11-24 11:29:40
टैगः

---

---

/*backtest
start: 2023-10-24 00:00:00
end: 2023-11-23 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/
//// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © oakwhiz and tathal

//@version=4
strategy("BBPBΔ(OBV-PVT)BB", default_qty_type=strategy.percent_of_equity, default_qty_value=100)

startDate = input(title="Start Date", type=input.integer,
     defval=1, minval=1, maxval=31)
startMonth = input(title="Start Month", type=input.integer,
     defval=1, minval=1, maxval=12)
startYear = input(title="Start Year", type=input.integer,
     defval=2010, minval=1800, maxval=2100)

endDate = input(title="End Date", type=input.integer,
     defval=31, minval=1, maxval=31)
endMonth = input(title="End Month", type=input.integer,
     defval=12, minval=1, maxval=12)
endYear = input(title="End Year", type=input.integer,
     defval=2021, minval=1800, maxval=2100)

// Normalize Function
normalize(_src, _min, _max) =>
    // Normalizes series with unknown min/max using historical min/max.
    // _src      : series to rescale.
    // _min, _min: min/max values of rescaled series.
    var _historicMin =  10e10
    var _historicMax = -10e10
    _historicMin := min(nz(_src, _historicMin), _historicMin)
    _historicMax := max(nz(_src, _historicMax), _historicMax)
    _min + (_max - _min) * (_src - _historicMin) / max(_historicMax - _historicMin, 10e-10)
    

// STEP 2:
// Look if the close time of the current bar
// falls inside the date range
inDateRange = true
     
     
// Stop loss & Take Profit Section     
sl_inp = input(2.0, title='Stop Loss %')/100
tp_inp = input(4.0, title='Take Profit %')/100
 
stop_level = strategy.position_avg_price * (1 - sl_inp)
take_level = strategy.position_avg_price * (1 + tp_inp)

icreturn = false
innercandle = if (high < high[1]) and (low > low[1])
    icreturn := true

src = close

float change_src = change(src)
float i_obv = cum(change_src > 0 ? volume : change_src < 0 ? -volume : 0*volume)
float i_pvt = pvt

float result = change(i_obv - i_pvt)

float nresult = ema(normalize(result, -1, 1), 20)



length = input(20, minval=1)
mult = input(2.0, minval=0.001, maxval=50, title="StdDev")
basis = ema(nresult, length)
dev = mult * stdev(nresult, length)
upper = basis + dev
lower = basis - dev
bbr = (nresult - lower)/(upper - lower)



////////////////INPUTS///////////////////
lambda = input(defval = 1000, type = input.float, title = "Smoothing Factor (Lambda)", minval = 1)
leng = input(defval = 100, type = input.integer, title = "Filter Length", minval = 1)
srcc = close

///////////Construct Arrays///////////////
a = array.new_float(leng, 0.0) 
b = array.new_float(leng, 0.0)
c = array.new_float(leng, 0.0)
d = array.new_float(leng, 0.0)
e = array.new_float(leng, 0.0)
f = array.new_float(leng, 0.0)

/////////Initialize the Values///////////
//for more details visit:
//          https://asmquantmacro.com/2015/06/25/hodrick-prescott-filter-in-excel/

ll1 = leng-1
ll2 = leng-2

for i = 0 to ll1
    array.set(a,i, lambda*(-4))
    array.set(b,i, src[i])
    array.set(c,i, lambda*(-4))
    array.set(d,i, lambda*6 + 1)
    array.set(e,i, lambda)
    array.set(f,i, lambda)

array.set(d, 0,  lambda + 1.0)
array.set(d, ll1, lambda + 1.0)
array.set(d, 1,  lambda * 5.0 + 1.0)
array.set(d, ll2, lambda * 5.0 + 1.0)

array.set(c, 0 , lambda * (-2.0))
array.set(c, ll2, lambda * (-2.0))

array.set(a, 0 , lambda * (-2.0))
array.set(a, ll2, lambda * (-2.0))

//////////////Solve the optimization issue/////////////////////
float r = array.get(a, 0)
float s = array.get(a, 1)
float t = array.get(e, 0)
float xmult = 0.0

for i = 1 to ll2
    xmult := r / array.get(d, i-1) 
    array.set(d, i, array.get(d, i) - xmult * array.get(c, i-1))
    array.set(c, i, array.get(c, i) - xmult * array.get(f, i-1))
    array.set(b, i, array.get(b, i) - xmult * array.get(b, i-1))

    xmult := t / array.get(d, i-1)
    r     := s - xmult*array.get(c, i-1)
    array.set(d, i+1, array.get(d, i+1) - xmult * array.get(f, i-1))
    array.set(b, i+1, array.get(b, i+1) - xmult * array.get(b, i-1))
    
    s     := array.get(a, i+1)
    t     := array.get(e, i)

xmult := r / array.get(d, ll2)
array.set(d, ll1, array.get(d, ll1) - xmult * array.get(c, ll2))

x = array.new_float(leng, 0) 
array.set(x, ll1, (array.get(b, ll1) - xmult * array.get(b, ll2)) / array.get(d, ll1))
array.set(x, ll2, (array.get(b, ll2) - array.get(c, ll2) * array.get(x, ll1)) / array.get(d, ll2))

for j = 0 to leng-3
    i = leng-3 - j
    array.set(x, i, (array.get(b,i) - array.get(f,i)*array.get(x,i+2) - array.get(c,i)*array.get(x,i+1)) / array.get(d, i))



//////////////Construct the output///////////////////
o5 = array.get(x,0)

////////////////////Plottingd///////////////////////



TimeFrame = input('1', type=input.resolution)
start = security(syminfo.tickerid, TimeFrame, time)

//------------------------------------------------
newSession = iff(change(start), 1, 0)
//------------------------------------------------
vwapsum = 0.0
vwapsum := iff(newSession, o5*volume, vwapsum[1]+o5*volume)
volumesum = 0.0
volumesum := iff(newSession, volume, volumesum[1]+volume)
v2sum = 0.0
v2sum := iff(newSession, volume*o5*o5, v2sum[1]+volume*o5*o5)
myvwap = vwapsum/volumesum
dev2 = sqrt(max(v2sum/volumesum - myvwap*myvwap, 0))
Coloring=close>myvwap?color.green:color.red
av=myvwap
showBcol = input(false, type=input.bool, title="Show barcolors")
showPrevVWAP = input(false, type=input.bool, title="Show previous VWAP close")
prevwap = 0.0
prevwap := iff(newSession, myvwap[1], prevwap[1])
nprevwap= normalize(prevwap, 0, 1)

l1= input(20, minval=1)
src2 = close
mult1 = input(2.0, minval=0.001, maxval=50, title="StdDev")
basis1 = sma(src2, l1)
dev1 = mult1 * stdev(src2, l1)
upper1 = basis1 + dev1
lower1 = basis1 - dev1
bbr1 = (src - lower1)/(upper1 - lower1)

az = plot(bbr, "Δ(OBV-PVT)", color.rgb(0,153,0,0), style=plot.style_columns)
bz = plot(bbr1, "BB%B", color.rgb(0,125,125,50), style=plot.style_columns)
fill(az, bz, color=color.white)



deltabbr = bbr1 - bbr
oneline = hline(1)
twoline = hline(1.2)
zline = hline(0)
xx = input(.3)
yy = input(.7)
zz = input(-1)
xxx = hline(xx)
yyy = hline(yy)
zzz = hline(zz)
fill(oneline, twoline, color=color.red, title="Sell Zone")
fill(yyy, oneline, color=color.orange, title="Slightly Overbought")
fill(yyy, zline, color=color.white, title="DO NOTHING ZONE")
fill(zzz, zline, color=color.green, title="GO LONG ZONE")

l20 = crossover(deltabbr, 0)
l30 = crossunder(deltabbr, 0)
l40 = crossover(o5, 0)
l50 = crossunder(o5, 0)


z1 = bbr1 >= 1
z2 = bbr1 < 1 and bbr1 >= .7
z3 = bbr1 < .7 and bbr1 >= .3
z4 = bbr1 < .3 and bbr1 >= 0
z5 = bbr1 < 0
a1 = bbr >= 1
a2 = bbr < 1 and bbr >= .7

a4 = bbr < .3 and bbr >= 0
a5 = bbr < 0
b4 = deltabbr < .3 and deltabbr >= 0
b5 = deltabbr < 0
c4 = o5 < .3 and o5 >= 0
c5 = o5 < 0
b1 = deltabbr >= 1
b2 = deltabbr < 1 and o5 >= .7
c1 = o5 >= 1
c2 = o5 < 1 and o5 >= .7

///

n = input(16,"Period")
H = highest(hl2,n)
L = lowest(hl2,n)
hi = H[1]
lo = L[1]
up = high>hi
dn = low<lo
lowerbbh = lowest(10)[1]
bbh = (low == open ?  open < lowerbbh ? open < close ? close > ((high[1] - low[1]) / 2) + low[1] :na  : na : na)




plot(normalize(av,-1,1), linewidth=2, title="Trendline", color=color.yellow)


long5 = close < av and av[0] > av[1]
sell5 = close > av

cancel = false
if open >= high[1]
    cancel = true


long = (long5 or z5 or a5) and (icreturn or bbh or up)
sell = ((z1 or a1) or (l40 and l20)) and (icreturn or dn) and (c1 or b1)
short = ((z1 or z2 or a1 or sell5) and (l40 or l20)) and icreturn
buy= (z5 or z4 or a5 or long5) and (icreturn or dn)


plotshape(long and not sell ? -0.5 : na, title="Long", location=location.absolute, style=shape.circle, size=size.tiny, color=color.green, transp=0)
plotshape(short and not sell? 1 : na, title="Short", location=location.absolute, style=shape.circle, size=size.tiny, color=color.red, transp=0)




if (inDateRange)
    strategy.entry("long", true, when = long )

if (inDateRange) and (strategy.position_size > 0)
    strategy.close_all(when = sell or cancel)
    

if (inDateRange)
    strategy.entry("short", false, when = short )

if (inDateRange) and (strategy.position_size < 0)
    strategy.close_all(when = buy)

---

• उन्नत बोलिंगर बैंड मूविंग एवरेज ग्रिड ट्रेंड ट्रैकिंग रणनीति
• Ichimoku Kinko Hyo संकेतक संतुलन प्रवृत्ति रणनीति
• वॉल्यूम प्राइस इंडिकेटर संतुलित ट्रेडिंग रणनीति
• घुमावदार एसएमए अनुकूलन क्रॉसओवर लंबी लाइन रणनीति
• दोहरी चलती औसत मध्यस्थता रणनीति
• मासिक खरीद तिथि के आधार पर मात्रात्मक निवेश रणनीति
• भारित मानक विचलन व्यापार रणनीति
• त्रिगुट चलती औसत मात्रात्मक ट्रेडिंग रणनीति
• ईएमए क्रॉसओवर रणनीति
• अल्पकालिक, मध्यमकालिक और दीर्घकालिक ईएमए क्रॉसओवर ट्रेडिंग रणनीति
• विकेंद्रीकृत मूल्य थरथरानवाला मात्रात्मक व्यापार रणनीति
• बहु-निर्देशकों का रुझान रणनीति का पालन
• सीसीआई द्वैध समय-सीमा प्रवृत्ति रणनीति का पालन करना
• T3-CCI ट्रेंड ट्रैकिंग रणनीति
• क्रॉस टाइमफ्रेम सुपरट्रेंड ब्रेकआउट रणनीति
• गति उलटा चलती औसत संयोजन रणनीति
• गतिशील चलती औसत रिट्रेसमेंट मार्टिन रणनीति
• कॉम्बो इम्पैक्टम रिवर्स डबल-रेल मिलान रणनीति
• इचिमोकू क्लाउड क्वांट रणनीति
• दोहरी समय सीमाओं और गति संकेतकों के आधार पर अनुकूलन लाभ और स्टॉप लॉस रणनीति