明確なトレンドフォロー戦略

/*backtest
start: 2022-09-21 00:00:00
end: 2023-09-27 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
//Market Cipher Update 2 - updated 8th Oct 2019

//Momentum Curves with green and red dots
strategy(title="MarketCipher B", shorttitle="MarketCipher B")
n1 = input(9, "Channel Length")
n2 = input(12, "Average Length")
obLevel1 = input(60, "Over Bought Level 1")
obLevel2 = input(53, "Over Bought Level 2")
osLevel1 = input(-60, "Over Sold Level 1")
osLevel2 = input(-53, "Over Sold Level 2")
osLevel3 = input(-100, "Over Sold Level 2")

 
ap = hlc3 
esa = ema(ap, n1)
d = ema(abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * d)
tci = ema(ci, n2)
 
wt1 = tci
wt2 = sma(wt1,3)

plot(0, color=gray, title="Zero Line")
plot(obLevel1, color=red, style=3, title="Bottom")
plot(osLevel1, color=green, style=3, title="Top")
plot(wt1, color=#BFE4FF, style=4, title= "Lt Blue Wave")
plot(wt2, color=#673ab7, style=4, title="Blue Wave", transp=40)
plot(wt1-wt2, color=yellow, style=4, transp=40, title="wave1-wave2")

//green dots and crosses
plotshape(crossover(wt1, wt2) and osLevel1 ? wt2 : na, title="Pos Crossover", location=location.absolute, style=shape.cross, size=size.tiny, color=#3FFF00, transp=20)
plotshape(crossover(wt2, wt1) and osLevel1 ? wt1 : na, title="Neg Crossover", location=location.absolute, style=shape.cross, size=size.tiny, color=red, transp=20)
plotshape(crossover(wt1, wt2) and wt2 < -59 ? wt2 : na, title="Pos Crossover", location=location.bottom, style=shape.circle, size=size.tiny, color=#3FFF00, transp=20)
plotshape(crossover(wt2, wt1) and wt1 > 59 ? wt2 : na, title="Neg Crossover", location=location.top, style=shape.circle, size=size.tiny, color=red, transp=20)

buy= crossover(wt1,wt2) // Define our buy/sell conditions, using pine inbuilt functions.
sell= crossover(wt2,wt1)
ordersize=floor(strategy.equity/close) // To dynamically calculate the order size as the account equity increases or decreases.
strategy.entry("long",strategy.long,ordersize,when=buy) // Buys when buy condition met
strategy.close("long", when = sell ) // Closes position when sell condition met
strategy.entry("short",strategy.short,ordersize,when=sell)
strategy.close("short",when = buy )

//soch RSI with divergences
smoothKw = input(3, minval=1)
smoothDw = input(3, minval=1)
lengthRSIw = input(14, minval=1)
lengthStochw = input(14, minval=1)
uselogw = input(true, title="Log")
srcInw = input(close,  title="Source")
showdivsw = input(true, title="Show Divergences")
showhiddenw = input(false, title="Show Hidden Divergences")
showchanw = input(false, title="Show Divergences Channel")


srcw = uselogw ? log(srcInw) : srcInw
rsi1w = rsi(srcw, lengthRSIw)
kkw = sma(stoch(rsi1w, rsi1w, rsi1w, lengthStochw), smoothKw)
dw = sma(kkw, smoothDw)
hmw = input(false, title="Use Average of both K & D")
kw = hmw ? avg(kkw, dw) : kkw

aw = plot(kkw, color=blue, linewidth=1, transp=0, title="K")
bw = plot(dw, color=orange, linewidth=1, transp=0, title="D")
fw = kkw >= dw ? blue : orange
fill(aw, bw, title="KD Fill", color=white)


//------------------------------
//@RicardoSantos' Divergence Script

f_top_fractal(_src)=>_src[4] < _src[2] and _src[3] < _src[2] and _src[2] > _src[1] and _src[2] > _src[0]
f_bot_fractal(_src)=>_src[4] > _src[2] and _src[3] > _src[2] and _src[2] < _src[1] and _src[2] < _src[0]
f_fractalize(_src)=>f_top_fractal(_src) ? 1 : f_bot_fractal(_src) ? -1 : 0
//-------------------------
fractal_top = f_fractalize(kw) > 0 ? kw[2] : na
fractal_bot = f_fractalize(kw) < 0 ? kw[2] : na

high_prev = valuewhen(fractal_top, kw[2], 0)[2]
high_price = valuewhen(fractal_top, high[2], 0)[2]
low_prev = valuewhen(fractal_bot, kw[2], 0)[2]
low_price = valuewhen(fractal_bot, low[2], 0)[2]

regular_bearish_diva = fractal_top and high[2] > high_price and kw[2] < high_prev
hidden_bearish_diva = fractal_top and high[2] < high_price and kw[2] > high_prev
regular_bullish_diva = fractal_bot and low[2] < low_price and kw[2] > low_prev
hidden_bullish_diva = fractal_bot and low[2] > low_price and kw[2] < low_prev
//-------------------------
plot(showchanw?fractal_top:na, title="Top Div Channel", offset=-2, color=gray)
plot(showchanw?fractal_bot:na, title="Bottom Div Channel", offset=-2, color=gray)

col1 = regular_bearish_diva ? red : hidden_bearish_diva and showhiddenw ? red : na
col2 = regular_bullish_diva ? green : hidden_bullish_diva and showhiddenw ? green : na
col3 = regular_bearish_diva ? red : hidden_bearish_diva and showhiddenw ? red : showchanw ? gray : na
col4 = regular_bullish_diva ? green : hidden_bullish_diva and showhiddenw ? green : showchanw ? gray : na

plot(title='H F', series=showdivsw and fractal_top ? kw[2] : na, color=col1, linewidth=2, offset=-2)
plot(title='L F', series=showdivsw and fractal_bot ? kw[2] : na, color=col2, linewidth=2, offset=-2)
plot(title='H D', series=showdivsw and fractal_top ? kw[2] : na, style=circles, color=col3, linewidth=3, offset=-2)
plot(title='L D', series=showdivsw and fractal_bot ? kw[2] : na, style=circles, color=col4, linewidth=3, offset=-2)

plotshape(title='+RBD', series=showdivsw and regular_bearish_diva ? kw[2] : na, text='R', style=shape.labeldown, location=location.absolute, color=red, textcolor=white, offset=-2)
plotshape(title='+HBD', series=showdivsw and hidden_bearish_diva and showhiddenw ? kw[2] : na, text='H', style=shape.labeldown, location=location.absolute, color=red, textcolor=white, offset=-2)
plotshape(title='-RBD', series=showdivsw and regular_bullish_diva ? kw[2] : na, text='R', style=shape.labelup, location=location.absolute, color=green, textcolor=white, offset=-2)
plotshape(title='-HBD', series=showdivsw and hidden_bullish_diva  and showhiddenw ? kw[2] : na, text='H', style=shape.labelup, location=location.absolute, color=green, textcolor=white, offset=-2)


//money flow
colorRed = #ff0000
colorGreen = #03ff00

ma(matype, src, length) =>
    if matype == "RMA"
        rma(src, length)
    else
        if matype == "SMA"
            sma(src, length)
        else
            if matype == "EMA"
                ema(src, length)
            else
                if matype == "WMA"
                    wma(src, length)
                else
                    if matype == "VWMA"
                        vwma(src, length)
                    else
                        src

rsiMFIperiod = input(60, "RSI+MFI Period")
rsiMFIMultiplier = input(190, "RSI+MFI Area multiplier")
MFRSIMA = input(defval="SMA", title="MFRSIMA", options=["RMA", "SMA", "EMA", "WMA", "VWMA"])

candleValue = (close - open) / (high - low)
MVC = ma(MFRSIMA, candleValue, rsiMFIperiod)
color_area = MVC > 0 ? green : red

RSIMFIplot = plot(MVC * rsiMFIMultiplier, title="RSI+MFI Area", color=color_area, transp=35)
fill(RSIMFIplot, plot(0), color_area, transp=50)

//rsi
//Bullish Divergence (green triangle)
//Hidden Bullish Divergence (green circle)
//Bearish Divergence (red triangle)
//Hidden Bearish Divergence (red circle)

lend = 14
bearish_div_rsi = input(60, "Min Bearish RSI",  minval=50, maxval=100)
bullish_div_rsi = input(40, "Max Bullish RSI",  minval=0, maxval=50)

// RSI code
rsi = rsi(close, lend)
plot(rsi,  color=#6DFFE1, linewidth=2, transp=0, title="RSI")

// DIVS code
xbars = 60
hb = abs(highestbars(rsi, xbars)) // Finds bar with highest value in last X bars
lb = abs(lowestbars(rsi, xbars)) // Finds bar with lowest value in last X bars

// Defining variable values, mandatory in Pine 3
max = na
max_rsi = na
min = na
min_rsi = na
bearish_div = na
bullish_div = na
hidden_bearish_div = na
hidden_bullish_div = na
div_alert = na
hidden_div_alert = na

// If bar with lowest / highest is current bar, use it's value
max := hb == 0 ? close : na(max[1]) ? close : max[1]
max_rsi := hb == 0 ? rsi : na(max_rsi[1]) ? rsi : max_rsi[1]
min := lb == 0 ? close : na(min[1]) ? close : min[1]
min_rsi := lb == 0 ? rsi : na(min_rsi[1]) ? rsi : min_rsi[1]

// Compare high of current bar being examined with previous bar's high
// If curr bar high is higher than the max bar high in the lookback window range
if close > max // we have a new high
    max := close // change variable "max" to use current bar's high value
if rsi > max_rsi // we have a new high
    max_rsi := rsi // change variable "max_rsi" to use current bar's RSI value
if close < min // we have a new low
    min := close // change variable "min" to use current bar's low value
if rsi < min_rsi // we have a new low
    min_rsi := rsi // change variable "min_rsi" to use current bar's RSI value

// Detects divergences between price and indicator with 1 candle delay so it filters out repeating divergences
if (max[1] > max[2]) and (rsi[1] < max_rsi) and (rsi <= rsi[1]) and (rsi[1] >= bearish_div_rsi)
    bearish_div := true
	div_alert := true
if (min[1] < min[2]) and (rsi[1] > min_rsi) and (rsi >= rsi[1]) and (rsi[1] <= bullish_div_rsi)
    bullish_div := true
	div_alert := true
// Hidden divergences
if (max[1] < max[2]) and (rsi[1] < max_rsi)
	hidden_bearish_div := true
	hidden_div_alert := true
if (min[1] > min[2]) and (rsi[1] > min_rsi)
	hidden_bullish_div := true
	hidden_div_alert := true
// Alerts
alertcondition(div_alert, title='RSI Divergence', message='RSI Divergence')
alertcondition(hidden_div_alert, title='Hidden RSI Divergence', message='Hidden RSI Divergence')

// Plots divergences with offest
plotshape((bearish_div ? rsi[1] + 3 : na), location=location.absolute, style=shape.diamond, color=#ff0000, size=size.tiny, transp=0, offset=0, title="RSI Bear Div")
plotshape((bullish_div ? rsi[1] - 3 : na), location=location.absolute, style=shape.diamond, color=#00ff01, size=size.tiny, transp=0, offset=0, title="RSI Bull Div")
plotshape((hidden_bearish_div ? rsi[1] + 3 : na), location=location.absolute, style=shape.circle, color=#ff0000, size=size.tiny, transp=0, offset=0, title="RSI Bear hDiv")
plotshape((hidden_bullish_div ? rsi[1] - 3 : na), location=location.absolute, style=shape.circle, color=#00ff01, size=size.tiny, transp=0, offset=0, title="RSI Bull hDiv")


//wave divergences
WTCross = cross(wt1, wt2)
WTCrossUp = wt2 - wt1 <= 0
WTCrossDown = wt2 - wt1 >= 0
WTFractal_top = f_fractalize(wt1) > 0 and wt1[2] ? wt1[2] : na
WTFractal_bot = f_fractalize(wt1) < 0 and wt1[2] ? wt1[2] : na

WTHigh_prev  = valuewhen(WTFractal_top, wt1[2], 0)[2]
WTHigh_price = valuewhen(WTFractal_top, high[2], 0)[2]
WTLow_prev  = valuewhen(WTFractal_bot, wt1, 0)[2]
WTLow_price  = valuewhen(WTFractal_bot, low[2], 0)[2]

WTRegular_bearish_div = WTFractal_top and high[2] > WTHigh_price and wt1[2] < WTHigh_prev
WTRegular_bullish_div = WTFractal_bot and low[2] < WTLow_price and wt1[2] > WTLow_prev

bearWTSignal = WTRegular_bearish_div and WTCrossDown
bullWTSignal = WTRegular_bullish_div and WTCrossUp

WTCol1 = bearWTSignal ? #ff0000 : na
WTCol2 = bullWTSignal ? #00FF00EB : na

plot(series = WTFractal_top ? wt1[2] : na, title='Bearish Divergence', color=WTCol1, linewidth=5, transp=60)
plot(series = WTFractal_bot ? wt1[2] : na, title='Bullish Divergence', color=WTCol2, linewidth=5, transp=60)


//2nd wave
WTFractal_topa = f_fractalize(wt2) > 0 and wt2[2] ? wt2[2] : na
WTFractal_bota = f_fractalize(wt2) < 0 and wt2[2] ? wt2[2] : na

WTHigh_preva  = valuewhen(WTFractal_topa, wt2[2], 0)[2]
WTHigh_pricea = valuewhen(WTFractal_topa, high[2], 0)[2]
WTLow_preva  = valuewhen(WTFractal_bota, wt2, 0)[2]
WTLow_pricea  = valuewhen(WTFractal_bota, low[2], 0)[2]


WTRegular_bearish_diva = WTFractal_topa and high[2] > WTHigh_pricea and wt2[2] < WTHigh_preva
WTRegular_bullish_diva = WTFractal_bota and low[2] < WTLow_pricea and wt2[2] > WTLow_preva

bearWTSignala = WTRegular_bearish_diva and WTCrossDown
bullWTSignala = WTRegular_bullish_diva and WTCrossUp

WTCol1a = bearWTSignala ? #ff0000 : na
WTCol2a = bullWTSignala ? #00FF00EB : na

plot(series = WTFractal_topa ? wt2[2] : na, title='Bearish Divergence', color=WTCol1a, linewidth=5, transp=60)
plot(series = WTFractal_bota ? wt2[2] : na, title='Bullish Divergence', color=WTCol2a, linewidth=5, transp=60)