बहु-समय फ़्रेम मूविंग औसत और ट्रेडिंग समय को मिलाकर मात्रात्मक ट्रेडिंग रणनीति

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
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/
// © exlux99

//@version=5
strategy('Time MA strategy ', overlay=true)

longEntry = input.bool(true, group="Type of Entries")
shortEntry = input.bool(false, group="Type of Entries")


//==========DEMA
getDEMA(src, len) =>
    dema = 2 * ta.ema(src, len) - ta.ema(ta.ema(src, len), len)
    dema
//==========HMA
getHULLMA(src, len) =>
    hullma = ta.wma(2 * ta.wma(src, len / 2) - ta.wma(src, len), math.round(math.sqrt(len)))
    hullma
//==========KAMA
getKAMA(src, len, k1, k2) =>
    change = math.abs(ta.change(src, len))
    volatility = math.sum(math.abs(ta.change(src)), len)
    efficiency_ratio = volatility != 0 ? change / volatility : 0
    kama = 0.0
    fast = 2 / (k1 + 1)
    slow = 2 / (k2 + 1)
    smooth_const = math.pow(efficiency_ratio * (fast - slow) + slow, 2)
    kama := nz(kama[1]) + smooth_const * (src - nz(kama[1]))
    kama
//==========TEMA
getTEMA(src, len) =>
    e = ta.ema(src, len)
    tema = 3 * (e - ta.ema(e, len)) + ta.ema(ta.ema(e, len), len)
    tema
//==========ZLEMA
getZLEMA(src, len) =>
    zlemalag_1 = (len - 1) / 2
    zlemadata_1 = src + src - src[zlemalag_1]
    zlema = ta.ema(zlemadata_1, len)
    zlema
//==========FRAMA
getFRAMA(src, len) =>
    Price = src
    N = len
    if N % 2 != 0
        N := N + 1
        N
    N1 = 0.0
    N2 = 0.0
    N3 = 0.0
    HH = 0.0
    LL = 0.0
    Dimen = 0.0
    alpha = 0.0
    Filt = 0.0
    N3 := (ta.highest(N) - ta.lowest(N)) / N
    HH := ta.highest(N / 2 - 1)
    LL := ta.lowest(N / 2 - 1)
    N1 := (HH - LL) / (N / 2)
    HH := high[N / 2]
    LL := low[N / 2]
    for i = N / 2 to N - 1 by 1
        if high[i] > HH
            HH := high[i]
            HH
        if low[i] < LL
            LL := low[i]
            LL
    N2 := (HH - LL) / (N / 2)
    if N1 > 0 and N2 > 0 and N3 > 0
        Dimen := (math.log(N1 + N2) - math.log(N3)) / math.log(2)
        Dimen
    alpha := math.exp(-4.6 * (Dimen - 1))
    if alpha < .01
        alpha := .01
        alpha
    if alpha > 1
        alpha := 1
        alpha
    Filt := alpha * Price + (1 - alpha) * nz(Filt[1], 1)
    if bar_index < N + 1
        Filt := Price
        Filt
    Filt
//==========VIDYA
getVIDYA(src, len) =>
    mom = ta.change(src)
    upSum = math.sum(math.max(mom, 0), len)
    downSum = math.sum(-math.min(mom, 0), len)
    out = (upSum - downSum) / (upSum + downSum)
    cmo = math.abs(out)
    alpha = 2 / (len + 1)
    vidya = 0.0
    vidya := src * alpha * cmo + nz(vidya[1]) * (1 - alpha * cmo)
    vidya
//==========JMA
getJMA(src, len, power, phase) =>
    phase_ratio = phase < -100 ? 0.5 : phase > 100 ? 2.5 : phase / 100 + 1.5
    beta = 0.45 * (len - 1) / (0.45 * (len - 1) + 2)
    alpha = math.pow(beta, power)
    MA1 = 0.0
    Det0 = 0.0
    MA2 = 0.0
    Det1 = 0.0
    JMA = 0.0
    MA1 := (1 - alpha) * src + alpha * nz(MA1[1])
    Det0 := (src - MA1) * (1 - beta) + beta * nz(Det0[1])
    MA2 := MA1 + phase_ratio * Det0
    Det1 := (MA2 - nz(JMA[1])) * math.pow(1 - alpha, 2) + math.pow(alpha, 2) * nz(Det1[1])
    JMA := nz(JMA[1]) + Det1
    JMA
//==========T3
getT3(src, len, vFactor) =>
    ema1 = ta.ema(src, len)
    ema2 = ta.ema(ema1, len)
    ema3 = ta.ema(ema2, len)
    ema4 = ta.ema(ema3, len)
    ema5 = ta.ema(ema4, len)
    ema6 = ta.ema(ema5, len)
    c1 = -1 * math.pow(vFactor, 3)
    c2 = 3 * math.pow(vFactor, 2) + 3 * math.pow(vFactor, 3)
    c3 = -6 * math.pow(vFactor, 2) - 3 * vFactor - 3 * math.pow(vFactor, 3)
    c4 = 1 + 3 * vFactor + math.pow(vFactor, 3) + 3 * math.pow(vFactor, 2)
    T3 = c1 * ema6 + c2 * ema5 + c3 * ema4 + c4 * ema3
    T3
//==========TRIMA
getTRIMA(src, len) =>
    N = len + 1
    Nm = math.round(N / 2)
    TRIMA = ta.sma(ta.sma(src, Nm), Nm)
    TRIMA


src = input.source(close, title='Source', group='Parameters')
len = input.int(17, minval=1, title='Moving Averages', group='Parameters')
out_ma_source = input.string(title='MA Type', defval='ALMA', options=['SMA', 'EMA', 'WMA', 'ALMA', 'SMMA', 'LSMA', 'VWMA', 'DEMA', 'HULL', 'KAMA', 'FRAMA', 'VIDYA', 'JMA', 'TEMA', 'ZLEMA', 'T3', 'TRIM'], group='Parameters')
out_ma = out_ma_source == 'SMA' ? ta.sma(src, len) : out_ma_source == 'EMA' ? ta.ema(src, len) : out_ma_source == 'WMA' ? ta.wma(src, len) : out_ma_source == 'ALMA' ? ta.alma(src, len, 0.85, 6) : out_ma_source == 'SMMA' ? ta.rma(src, len) : out_ma_source == 'LSMA' ? ta.linreg(src, len, 0) : out_ma_source == 'VWMA' ? ta.vwma(src, len) : out_ma_source == 'DEMA' ? getDEMA(src, len) : out_ma_source == 'HULL' ? ta.hma(src, len) : out_ma_source == 'KAMA' ? getKAMA(src, len, 2, 30) : out_ma_source == 'FRAMA' ? getFRAMA(src, len) : out_ma_source == 'VIDYA' ? getVIDYA(src, len) : out_ma_source == 'JMA' ? getJMA(src, len, 2, 50) : out_ma_source == 'TEMA' ? getTEMA(src, len) : out_ma_source == 'ZLEMA' ? getZLEMA(src, len) : out_ma_source == 'T3' ? getT3(src, len, 0.7) : out_ma_source == 'TRIM' ? getTRIMA(src, len) : na


plot(out_ma)

long = close> out_ma and close[1] < out_ma and dayofweek==dayofweek.monday
short = close< out_ma and close[1] > out_ma and dayofweek==dayofweek.monday


stopPer = input.float(10.0, title='LONG Stop Loss % ', group='Fixed Risk Management') / 100
takePer = input.float(30.0, title='LONG Take Profit %', group='Fixed Risk Management') / 100

stopPerShort = input.float(5.0, title='SHORT Stop Loss % ', group='Fixed Risk Management') / 100
takePerShort = input.float(10.0, title='SHORT Take Profit %', group='Fixed Risk Management') / 100


longStop = strategy.position_avg_price * (1 - stopPer)
longTake = strategy.position_avg_price * (1 + takePer)

shortStop = strategy.position_avg_price * (1 + stopPerShort)
shortTake = strategy.position_avg_price * (1 - takePerShort)

// strategy.risk.max_intraday_filled_orders(2) // After 10 orders are filled, no more strategy orders will be placed (except for a market order to exit current open market position, if there is any).

if(longEntry)
    strategy.entry("long",strategy.long,when=long )
    strategy.exit('LONG EXIT', "long", limit=longTake, stop=longStop)
    strategy.close("long",when=dayofweek==dayofweek.sunday)

if(shortEntry)
    strategy.entry("short",strategy.short,when=short )
    strategy.exit('SHORT EXIT', "short", limit=shortTake, stop=shortStop)
    strategy.close("short",when=dayofweek==dayofweek.sunday)