Strategi ini menggabungkan berbagai indikator dan strategi teknis, terutama untuk menentukan titik masuk dan keluar indeks.
Logika kunci adalah:
Menghitung lilin rata-rata bergerak termasuk terbuka, dekat, tinggi dan rendah
Hitung momentum lilin MA dan regresi linier momentum
Menghitung regresi linier dari lilin MA sendiri
Gunakan SuperTrend untuk menentukan arah keseluruhan
Ketika momentum regresi berubah dari negatif menjadi positif, atau sangat positif, itu sinyal masuk
Ketika momentum berubah dari positif menjadi negatif, atau melemah, itu sinyal keluar
Strategi ini mensintesis berbagai indikator untuk menilai pergerakan pasar jangka pendek dan jangka panjang dan ritme untuk menentukan waktu perdagangan indeks.
Lilin MA mencerminkan tren jangka menengah hingga panjang
Analisis regresi mengidentifikasi perubahan tren
SuperTrend membantu arah keseluruhan
Berbagai indikator meningkatkan akurasi
Optimasi parameter kompleks
Sulit untuk menyeimbangkan beberapa indikator
Sinyal yang jarang berarti frekuensi perdagangan yang lebih rendah
Strategi ini bertujuan untuk mengungkap sinyal waktu pasar dengan menganalisis pola jangka pendek dan jangka panjang.
/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 15m
basePeriod: 5m
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/
// © HeWhoMustNotBeNamed
//@version=4
strategy("MACandles-LinearRegression-Strategy", shorttitle="MALinReg - Strategy",
overlay=false, initial_capital = 100000,
default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1,
commission_value = 0.01)
resolution = ""
MAType = input(title="Moving Average Type (MA Candles)", defval="hma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
LoopbackBars = input(60, title="Length (MA Candles)", step=10)
MMAType = input(title="Moving Average Type (Momentum)", defval="ema", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
MLength = input(20, title="MA Length (Momentum)", step=10)
lb = input(40 , title="Look Back Period Percentile High/Low", step=10, minval=10, maxval=100)
ph = input(.85, title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%")
pl = input(1.01, title="Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%")
mult = input(3.0 , minval=1, maxval=5, title="Bollinger Band Standard Devaition Up")
aggressiveLong = input(true)
longTrades = input(true)
useVixFix = input(false)
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "End Time", type = input.time)
inDateRange = true
f_getMovingAverage(source, MAType, length)=>
ma = sma(source, length)
if(MAType == "ema")
ma := ema(source,length)
if(MAType == "hma")
ma := hma(source,length)
if(MAType == "rma")
ma := rma(source,length)
if(MAType == "vwma")
ma := vwma(source,length)
if(MAType == "wma")
ma := wma(source,length)
ma
f_getMACandles(resolution, MAType, LoopbackBars)=>
oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
oClose = f_getMovingAverage(close, MAType, LoopbackBars)
oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
oLow = f_getMovingAverage(low, MAType, LoopbackBars)
[oOpen, oClose, oHigh, oLow]
f_getVixFixLinReg(oClose, oLow, MLength)=>
wvf = ((highest(oClose, MLength)-oLow)/(highest(oClose, MLength)))*100
sDev = mult * stdev(wvf, MLength)
midLine = sma(wvf, MLength)
lowerBand = midLine - sDev
upperBand = midLine + sDev
rangeHigh = (highest(wvf, lb)) * ph
rangeLow = (lowest(wvf, lb)) * pl
col = wvf >= upperBand or wvf >= rangeHigh ? color.lime : color.gray
val = linreg(wvf, MLength, 0)
absVal = abs(val)
linRegColor = val>val[1]? (val > 0 ? color.green : color.orange): (val > 0 ? color.lime : color.red)
vixFixState = (col == color.lime) ? 1: 0
vixFixState := strategy.position_size == 0? max(vixFixState, nz(vixFixState[1],0)) : vixFixState
[val, absVal, wvf, col, linRegColor, vixFixState]
f_getMACandlesLinReg(oClose, MMAType, MLength, mult, lb, ph, pl)=>
ma = f_getMovingAverage(oClose, MMAType, MLength)
maDiff = oClose - ma
val = linreg(maDiff, MLength,0)
absVal = abs(val)
linRegColor = iff( val > 0,
iff( val > nz(val[1]), color.green, color.lime),
iff( val < nz(val[1]), color.red, color.orange))
sDev = mult * stdev(maDiff, MLength)
midLine = sma(maDiff, MLength)
lowerBand = midLine - sDev
upperBand = midLine + sDev
rangeHigh = (highest(maDiff, lb)) * ph
rangeLow = (lowest(maDiff, lb)) * pl
col = maDiff >= upperBand or maDiff >= rangeHigh ? color.lime : maDiff <= lowerBand or maDiff <= rangeLow ? color.orange : color.silver
absMaDiff = abs(maDiff)
[val, absVal, maDiff, absMaDiff, col, linRegColor]
f_getSupertrend(resolution, oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, AtrMult, wicks)=>
truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
averagetruerange = f_getMovingAverage(truerange, AtrMAType, AtrLength)
atr = averagetruerange * AtrMult
longWicks = wicks
shortWicks = wicks
longStop = oClose - atr
longStopPrev = nz(longStop[1], longStop)
longStop := (longWicks ? oLow[1] : oClose[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop = oClose + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (shortWicks ? oHigh[1] : oClose[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (longWicks ? oHigh : oClose) > shortStopPrev ? 1 : dir == 1 and (shortWicks[1]? oLow : oClose) < longStopPrev ? -1 : dir
[dir, longStop, shortStop]
f_getMACandlesAndSupertrend(MAType, LoopbackBars, AtrMult, wicks)=>
oOpen = f_getMovingAverage(open, MAType, LoopbackBars)
oClose = f_getMovingAverage(close, MAType, LoopbackBars)
oHigh = f_getMovingAverage(high, MAType, LoopbackBars)
oLow = f_getMovingAverage(low, MAType, LoopbackBars)
[dir, longStop, shortStop] = f_getSupertrend(resolution, oOpen, oClose, oHigh, oLow, MAType, LoopbackBars, AtrMult, wicks)
dir
[oOpen, oClose, oHigh, oLow] = f_getMACandles(resolution, MAType, LoopbackBars)
dir = f_getMACandlesAndSupertrend("sma", 200, 1, false)
colorByPreviousClose = false
candleColor = colorByPreviousClose ?
(oClose[1] < oClose ? color.green : oClose[1] > oClose ? color.red : color.silver) :
(oOpen < oClose ? color.green : oOpen > oClose ? color.red : color.silver)
[vval, vabsVal, wvf, vcol, vlinRegColor, vixFixState] = f_getVixFixLinReg(oClose, oLow, MLength)
[val, absVal, maDiff, absMaDiff, col, linRegColor] = f_getMACandlesLinReg(oClose, MMAType, MLength, mult, lb, ph, pl)
plot(useVixFix?na:absMaDiff, title="Momentum", style=plot.style_histogram, linewidth = 4, color=col)
plot(useVixFix?wvf:na, title="VIX Fix", style=plot.style_histogram, linewidth = 4, color=vcol)
plot(useVixFix?na:-absVal, title="Linear Regression (Momentum)", style=plot.style_histogram, linewidth=4, color=linRegColor)
plot(useVixFix?-vabsVal:na, title="Linear Regression (VIX Fix)", style=plot.style_histogram, linewidth=4, color=vlinRegColor)
exitColor = longTrades? color.orange : color.silver
exitPreviousColor = longTrades? color.silver : color.lime
longCondition = (useVixFix? (vixFixState == 1 and vlinRegColor == color.lime) :
((linRegColor == color.orange and linRegColor[1] == color.red) or (linRegColor == color.green and linRegColor[1] != color.green and aggressiveLong))) and inDateRange and dir>0
exitLongCondition = (col == exitColor and col[1] == exitColor and col[2] == exitPreviousColor and (linRegColor != color.green or not aggressiveLong))
strategy.entry("Long", strategy.long, when=longCondition, oca_name="oca_buy")
strategy.close("Long", when=exitLongCondition)