反転と線形回帰切片の組み合わせ戦略

/*backtest
start: 2023-09-18 00:00:00
end: 2023-09-19 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 25/01/2021
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Linear Regression Intercept is one of the indicators calculated by using the 
// Linear Regression technique. Linear regression indicates the value of the Y 
// (generally the price) when the value of X (the time series) is 0. Linear 
// Regression Intercept is used along with the Linear Regression Slope to create 
// the Linear Regression Line. The Linear Regression Intercept along with the Slope 
// creates the Regression line.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos

LRI(Length,xSeria) =>
    pos = 0.0
    xX = Length * (Length - 1) * 0.5
    xDivisor = xX * xX - Length * Length * (Length - 1) * (2 * Length - 1) / 6
    xXY = 0.0
    for i = 0 to Length-1
    	xXY := xXY + (i * xSeria[i])
    xSlope = (Length * xXY - xX * sum(xSeria, Length)) / xDivisor
    xLRI = (sum(xSeria, Length) - xSlope * xX) / Length
    pos:= iff(close > xLRI, 1,
           iff(close < xLRI, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal & Line Regression Intercept", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Line Regression Intercept ----")
LengthLRI = input(14, minval=1)
xSeria = input(title="Source", type=input.source, defval=close)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posLRI = LRI(LengthLRI,xSeria)
pos = iff(posReversal123 == 1 and posLRI == 1 , 1,
	   iff(posReversal123 == -1 and posLRI == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )