マルチファクター定量取引戦略

//@version=2
persistent_bull = nz(persistent_bull[1],0) 
persistent_bear  = nz(persistent_bear[1],0) 

strategy("Strategy for The Bitcoin Buy/Sell Indicator", overlay=true, calc_on_every_tick=true)

// ****************************************Inputs***************************************************************
//@fixme if there is a buy and sell signal on the same bar, then it displays the first one and skips the second one. Fix this issue
buySellSignal = true // Make this false if you do not want to show Buy/Sell signal
inputIndividualSiganlPlot = true // = input (false, "Do you want to display each individual indicator's signal on the chart?")
sp = input (false, "Do you want to display Parabolic SAR?")
spLines = input (false, "Do you want to display Parabolic SAR on the chart?")
sCloud = input(false, "Do you want to display the Tenkan and Kijun lines of Ichimoku lines on the chart?")
sL = input (false, "Do you want to display Leledec Exhausion - Leledc on the chart?")
sTD = false
sRMO = input(false, "Do you want to display Rahul Mohindar Oscillator - RMO on the chart?")
inputAma = input(false, title="Do you want to display Kaufman AMA wave - AMA on the chart?")
tm = input (false, "Do you want to display Trend Magic signals on the chart?")
wtoLB = input (false, "Do you want to display WaveTrend Oscillator - WTO on the chart?")
vfiLB = input (false, "Do you want to display Volume Flow Indicator - VFI on the chart?")
cogRegionFillTransp = 100 // input(false, "Do you want to display COG Region Fill and ATR Starc+/-")
inputNeutralMinorSignals = input (false, title="Do you want to not display the minor or the not so strong signals from Ichimoku")
maj=true // input(true,title="Show Major Leledc Exhausion Bar signal")
min=input(false,title="Show Minor Leledc Exhausion Bar signal")

tenkanPeriods = input(20, minval=9, title="Tenkan Period - Ichimoku [9 or 10 or 20]")
kijunPeriods = input(60, minval=26, title="Kijun Period - Ichimoku [26 or 30 or 60]")
chikouPeriods = input(120, minval=52, title="Chikou - Ichimoku [52 or 60 or 120]")
displacement = input(30, minval=26, title="Displacement - Ichimoku [26 or 30]")

// ****************************************General Color Variables***************************************************************
colorLime = #006400 // Warning sign for long trade
colorBuy= #2DFF03 // Good sign for long trade
colorSell = #733629 // Good sign for short trade
colorMaroon =#8b0000 // Warning sign for short trade
colorBlue =#0000ff // No clear sign
colorGray = #a9a9a9 // Gray Color (For Squeeze momentum indicator)
colorBlack = #000000 // Black
colorWhite = #ffffff // White
colorTenkanViolet = #800000 // Tenkan-sen line color
colorKijun = #0000A6 // Kijun-sen line color

// TD Sequential bar colors
tdSell = #ff6666
tdSellOvershoot = #ff1a1a
tdSellOvershoot1 = #cc0000
tdSellOverShoot2 = #990000
tdSellOverShoot3 = #732626

tdBuy = #80ff80
tdBuyOverShoot = #33ff33
tdBuyOvershoot1 = #00cc00
tdBuyOverShoot2 = #008000 
tdBuyOvershoot3 = #004d00
    
// ****************************************Icons***************************************************************
upSign = '↑' // indicates the indicator shows uptrend
downSign = '↓' // incicates the indicator showing downtrend
exitSign ='x' //indicates the indicator uptrend/downtrend ending
// diamond signals weakBullishSignal or weakBearishsignal
// flag signals neutralBullishSignal or neutralBearishSignal

// ****************************************Parabolic SAR code***************************************************************
start = 2 
increment = 2
maximum = 2 
sus = true
sds = true
disc = false 

startCalc = start * .01
incrementCalc = increment * .01
maximumCalc = maximum * .10

sarUp = sar(startCalc, incrementCalc, maximumCalc)
sarDown = sar(startCalc, incrementCalc, maximumCalc)

colUp = spLines and close >= sarDown ? colorLime : na
colDown = spLines and close <= sarUp ? colorSell : na

//@fixme Does not display the correct values for up and down pSAR
plot(sp and sus and sarUp ? sarUp : na, title="↓ SAR", style=cross, linewidth=3,color=colUp)
plot(sp and sds and sarDown ? sarDown : na, title="↑ SAR", style=circles, linewidth=3,color=colDown)

startSAR = 0.02 
incrementSAR = 0.02 
maximumSAR = 0.2 

psar = sar(startSAR, incrementSAR, maximumSAR)
bullishPSAR = psar < high and psar[1] > low
bearishPSAR= psar > low and psar[1] < high 

//***********************Leledc Exhausion Bar***********************************************
maj_qual=6
maj_len=30
min_qual=5
min_len=5

lele(qual,len)=>
    bindex=nz(bindex[1],0)
    sindex=nz(sindex[1],0)
    ret=0
    if (close>close[4]) 
        bindex:=bindex + 1
    if(close<close[4]) 
        sindex:=sindex + 1
    if (bindex>qual) and (close<open) and high>=highest(high,len) 
        bindex:=0
        ret:=-1
    if ((sindex>qual) and (close>open) and (low<= lowest(low,len)))
        sindex:=0
        ret:=1
    return=ret

major=lele(maj_qual,maj_len)
minor=lele(min_qual,min_len)

leledecMajorBullish = maj ? (major==1?low:na) : na
leledecMajorBearish = maj ? (major==-1?high:na) : na

//****************Ichimoku ************************************
donchian(len) => avg(lowest(len), highest(len))

tenkan = donchian(tenkanPeriods)
kijun = donchian(kijunPeriods)
senkouA = avg(tenkan, kijun)
senkouB = donchian(chikouPeriods)
displacedSenkouA = senkouA[displacement]
displacedSenkouB = senkouB[displacement] 

bullishSignal = crossover(tenkan, kijun)
bearishSignal = crossunder(tenkan, kijun)

bullishSignalValues = iff(bullishSignal, tenkan, na)
bearishSignalValues = iff(bearishSignal, tenkan, na)

strongBullishSignal = crossover(tenkan, kijun) and bullishSignalValues > displacedSenkouA and bullishSignalValues > displacedSenkouB and low > tenkan and displacedSenkouA > displacedSenkouB
strongBearishSignal = bearishSignalValues < displacedSenkouA and bearishSignalValues < displacedSenkouB and high < tenkan and displacedSenkouA <  displacedSenkouB

neutralBullishSignal = (bullishSignalValues > displacedSenkouA and bullishSignalValues < displacedSenkouB) or (bullishSignalValues < displacedSenkouA and bullishSignalValues > displacedSenkouB)
weakBullishSignal = bullishSignalValues < displacedSenkouA and bullishSignalValues < displacedSenkouB
neutralBearishSignal = (bearishSignalValues > displacedSenkouA and bearishSignalValues < displacedSenkouB) or (bearishSignalValues < displacedSenkouA and bearishSignalValues > displacedSenkouB)
weakBearishSignal = bearishSignalValues > displacedSenkouA and bearishSignalValues > displacedSenkouB
 
//*********************Kaufman AMA wave*********************//
src=close
lengthAMA=20
filterp = 10

d=abs(src-src[1])
s=abs(src-src[lengthAMA])
noise=sum(d, lengthAMA)
efratio=s/noise
fastsc=0.6022
slowsc=0.0645 

smooth=pow(efratio*fastsc+slowsc, 2)
ama=nz(ama[1], close)+smooth*(src-nz(ama[1], close))
filter=filterp/100 * stdev(ama-nz(ama), lengthAMA)
amalow=ama < nz(ama[1]) ? ama : nz(amalow[1])
amahigh=ama > nz(ama[1]) ? ama : nz(amahigh[1])
bw=(ama-amalow) > filter ? 1 : (amahigh-ama > filter ? -1 : 0)
s_color=bw > 0 ? colorBuy : (bw < 0) ? colorSell : colorBlue

amaLongConditionEntry = s_color==colorBuy and s_color[1]!=colorBuy
amaShortConditionEntry = s_color==colorSell and s_color[1]!=colorSell

//***********************Rahul Mohindar Oscillator ******************************//
C=close
cm2(x) => sma(x,2)
ma1=cm2(C)
ma2=cm2(ma1)
ma3=cm2(ma2)
ma4=cm2(ma3)
ma5=cm2(ma4)
ma6=cm2(ma5)
ma7=cm2(ma6)
ma8=cm2(ma7)
ma9=cm2(ma8)
ma10=cm2(ma9)
SwingTrd1 = 100 * (close - (ma1+ma2+ma3+ma4+ma5+ma6+ma7+ma8+ma9+ma10)/10)/(highest(C,10)-lowest(C,10))
SwingTrd2=ema(SwingTrd1,30)
SwingTrd3=ema(SwingTrd2,30)
RMO= ema(SwingTrd1,81)
Buy=cross(SwingTrd2,SwingTrd3)
Sell=cross(SwingTrd3,SwingTrd2)
Bull_Trend=ema(SwingTrd1,81)>0
Bear_Trend=ema(SwingTrd1,81)<0
Ribbon_kol=Bull_Trend ? colorBuy : (Bear_Trend ? colorSell : colorBlue)
Impulse_UP= SwingTrd2 > 0
Impulse_Down= RMO < 0
bar_kol=Impulse_UP ? colorBuy : (Impulse_Down ? colorSell : (Bull_Trend ?  colorBuy : colorBlue))

rahulMohindarOscilllatorLongEntry = Ribbon_kol==colorBuy and Ribbon_kol[1]!=colorBuy and Ribbon_kol[1]==colorSell and bar_kol==colorBuy
rahulMohindarOscilllatorShortEntry = Ribbon_kol==colorSell and Ribbon_kol[1]!=colorSell and Ribbon_kol[1]==colorBuy and bar_kol==colorSell

//***********************TD Sequential code ******************************//
transp=0
Numbers=false 
SR=false
Barcolor=true

TD = close > close[4] ?nz(TD[1])+1:0
TS = close < close[4] ?nz(TS[1])+1:0

TDUp = TD - valuewhen(TD < TD[1], TD , 1 )
TDDn = TS - valuewhen(TS < TS[1], TS , 1 )

priceflip = barssince(close<close[4])
sellsetup = close>close[4] and priceflip
sell = sellsetup and barssince(priceflip!=9)
sellovershoot = sellsetup and barssince(priceflip!=13)
sellovershoot1 = sellsetup and barssince(priceflip!=14)
sellovershoot2 = sellsetup and barssince(priceflip!=15)
sellovershoot3 = sellsetup and barssince(priceflip!=16)

priceflip1 = barssince(close>close[4])
buysetup = close<close[4] and priceflip1
buy = buysetup and barssince(priceflip1!=9)
buyovershoot = barssince(priceflip1!=13) and buysetup
buyovershoot1 = barssince(priceflip1!=14) and buysetup
buyovershoot2 = barssince(priceflip1!=15) and buysetup
buyovershoot3 = barssince(priceflip1!=16) and buysetup

TDbuyh = valuewhen(buy,high,0)
TDbuyl = valuewhen(buy,low,0)
TDsellh = valuewhen(sell,high,0)
TDselll = valuewhen(sell,low,0)
//***********************Volume Flow Indicator [LazyBear] ******************************//
lengthVFI = 130 
coefVFI = 0.2 
vcoefVFI = 2.5 
signalLength= 5 
smoothVFI=true 

ma(x,y) => smoothVFI ? sma(x,y) : x

typical=hlc3
inter = log( typical ) - log( typical[1] )
vinter = stdev(inter, 30 )
cutoff = coefVFI * vinter * close
vave = sma( volume, lengthVFI )[1]
vmax = vave * vcoefVFI
vc = iff(volume < vmax, volume, vmax)
mf = typical - typical[1]
vcp = iff( mf > cutoff, vc, iff ( mf < -cutoff, -vc, 0 ) )

vfi = ma(sum( vcp , lengthVFI )/vave, 3)
vfima=ema( vfi, signalLength )
dVFI=vfi-vfima

bullishVFI = vfi > 0 and vfi[1] <=0
bearishVFI =  vfi < 0 and vfi[1] >=0

//***********************WaveTrend Oscillator [WT] ******************************//
n1 = 10
n2 = 21
obLevel1 = 60
obLevel2 = 53
osLevel1 = -60
osLevel2 = -53
 
ap = hlc3 
esa = ema(ap, n1)
dWTI = ema(abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * dWTI)
tci = ema(ci, n2)
 
wt1 = tci
wt2 = sma(wt1,4)

wtiSignal = wt1-wt2

bullishWTI = wt1 > osLevel1 and wt1[1] <= osLevel1 and wtiSignal > 0
bearishWTI = wt1 < obLevel1 and wt1[1] >= obLevel1 and wtiSignal < 0

// **************** Trend Magic code adapted from  Glaz ********************* /
CCI = 20 // input(20)
ATR = 5 // input(5)
Multiplier=1 // input(1,title='ATR Multiplier')
original=true // input(true,title='original coloring')
thisCCI = cci(close, CCI)
lastCCI = nz(thisCCI[1])
bufferDn= high + Multiplier * sma(tr,ATR)
bufferUp= low - Multiplier * sma(tr,ATR)
if (thisCCI >= 0 and lastCCI < 0) 
    bufferUp := bufferDn[1]
if (thisCCI <= 0 and lastCCI > 0) 
    bufferDn := bufferUp[1]

if (thisCCI >= 0)
    if (bufferUp < bufferUp[1])
        bufferUp := bufferUp[1]
else
    if (thisCCI <= 0)
        if (bufferDn > bufferDn[1])
            bufferDn := bufferDn[1]

x=thisCCI >= 0 ?bufferUp:thisCCI <= 0 ?bufferDn:x[1]
swap=x>x[1]?1:x<x[1]?-1:swap[1]
swap2=swap==1?lime:red
swap3=thisCCI >=0 ?lime:red
swap4=original?swap3:swap2

bullTrendMagic = swap4 == lime and swap4[1] == red
bearTrendMagic = swap4 == red and swap4[1] == lime

// ************ Indicator: Custom COG channel by Lazy Bear **************** //
srcCOG = close
lengthCOG = 34
median=0
multCOG= 2.5 // input(2.5)
offset = 20 //input(20)

tr_custom() => 
    x1=high-low
    x2=abs(high-close[1])
    x3=abs(low-close[1])
    max(x1, max(x2,x3))
    
atr_custom(x,y) => 
    sma(x,y)
    
dev = (multCOG * stdev(srcCOG, lengthCOG))
basis=linreg(srcCOG, lengthCOG, median)
ul = (basis + dev)
ll = (basis - dev)
tr_v = tr_custom()
acustom=(2*atr_custom(tr_v, lengthCOG))
uls=basis+acustom
lls=basis-acustom

// Plot STDEV channel
plot(basis, linewidth=1, color=navy, style=line, linewidth=1, title="Median : STDEV COG")
lb=plot(ul, color=red, linewidth=1, title="BB+ : COG", style=hline.style_dashed)
tb=plot(ll, color=green, linewidth=1, title="BB- : COG ", style=hline.style_dashed)
fill(tb,lb, silver, title="Region fill: STDEV COG",  transp=cogRegionFillTransp)

// Plot ATR channel
plot(basis, linewidth=2, color=navy, style=line, linewidth=2, title="Median : ATR COG ")
ls=plot(uls, color=red, linewidth=1, title="Starc+ : ATR COG", style=circles, transp=cogRegionFillTransp)
ts=plot(lls, color=green, linewidth=1, title="Star- : ATR COG", style=circles, transp=cogRegionFillTransp)
fill(ts,tb, green, title="Region fill : ATR COG", transp=cogRegionFillTransp)
fill(ls,lb, red, title="Region fill : ATR COG", transp=cogRegionFillTransp)

// Mark SQZ
plot_offs_high=0.002 
plot_offs_low=0.002 
sqz_f=(uls>ul) and (lls<ll) 
b_color=sqz_f ? colorBlack : na 
plot(sqz_f ? lls - (lls * plot_offs_low) : na, color=b_color, style=cross, linewidth=3, title="SQZ : COG", trasp=0) 
plot(sqz_f ? uls + (uls * plot_offs_high) : na, color=b_color, style=cross, linewidth=3, title="SQZ : COG", trasp=0)

// ****************************************All the plots and coloring of bars***************************************************************
// Trend Magic
plotchar(tm and bullTrendMagic, title="TM", char=upSign, location=location.belowbar, color=colorBuy, transp=0, text="TM", textcolor=colorBuy, size=size.auto)
plotchar(tm and bearTrendMagic, title="TM", char=downSign, location=location.abovebar, color=colorSell, transp=0, text="TM", textcolor=colorSell, size=size.auto)

// WaveTrend Oscillator
plotshape(wtoLB and bullishWTI, color=colorBuy, style=shape.labelup, textcolor=#000000, text="WTI", location=location.belowbar, transp=0)
plotshape(wtoLB and bearishWTI, color=colorSell, style=shape.labeldown, textcolor=#ffffff,  text="WTI", location=location.abovebar, transp=0)

// VFI
plotshape(vfiLB and bullishVFI, color=colorBuy, style=shape.labelup, textcolor=#000000, text="VFI", location=location.belowbar, transp=0)
plotshape(vfiLB and bearishVFI, color=colorSell, style=shape.labeldown, textcolor=#ffffff,  text="VFI", location=location.abovebar, transp=0)

// PSAR
plotshape(inputIndividualSiganlPlot and sp and bullishPSAR, color=colorBuy, style=shape.labelup, textcolor=#000000, text="Sar", location=location.belowbar, transp=0)
plotshape(inputIndividualSiganlPlot and sp and bearishPSAR, color=colorSell, style=shape.labeldown, textcolor=#ffffff,  text="Sar", location=location.abovebar, transp=0)

// Leledec
plotshape(inputIndividualSiganlPlot and sL and leledecMajorBearish, color=colorSell, style=shape.labeldown, textcolor=#ffffff,  text="Leledec", location=location.abovebar, transp=0)
plotshape(inputIndividualSiganlPlot and sL and leledecMajorBullish, color=colorBuy, style=shape.labelup, textcolor=#000000, text="Leledec", location=location.belowbar, transp=0)

plotshape(min ? (minor==1?low:na) : na, style=shape.diamond, text="Leledec", size=size.tiny, location=location.belowbar, title="Weak Bullish Signals - Leledec", color=colorLime)
plotshape(min ? (minor==-1?high:na) : na, style=shape.diamond, text="Leledec", size=size.tiny, location=location.abovebar, title="Weak Bearish Signals - Leleded", color=colorSell)

// Ichimoku
plot(tenkan, color=iff(sCloud, colorTenkanViolet, na), title="Tenkan", linewidth=2, transp=0)
plot(kijun, color=iff(sCloud, colorKijun, na), title="Kijun", linewidth=2, transp=0)

plot(close, offset = -displacement, color=iff(sCloud, colorLime, na), title="Chikou", linewidth=1)
p1 = plot(senkouA, offset=displacement, color=colorBuy, title="Senkou A", linewidth=3, transp=0)
p2 = plot(senkouB, offset=displacement, color=colorSell, title="Senkou B", linewidth=3, transp=0)
fill(p1, p2, color = senkouA > senkouB ? #1eb600 : colorSell)  

plotshape(inputIndividualSiganlPlot and strongBearishSignal, color=colorSell, style=shape.labelup, textcolor=#000000,  text="Ichimoku", location=location.abovebar, transp=0)
plotshape(inputIndividualSiganlPlot and strongBullishSignal, color=colorBuy, style=shape.labeldown, textcolor=#ffffff,  text="Ichimoku", location=location.belowbar, transp=0)

plotshape(inputNeutralMinorSignals and neutralBullishSignal, style=shape.flag, text="Ichimoku", size=size.small, location=location.belowbar, title="Neutral Bullish Signals - Ichimoku", color=colorLime)
plotshape(inputNeutralMinorSignals and weakBullishSignal, style=shape.diamond, text="Ichimoku", size=size.tiny, location=location.belowbar, title="Weak Bullish Signals - Ichimoku", color=colorLime)

plotshape(inputNeutralMinorSignals and neutralBearishSignal, style=shape.flag, text="Ichimoku", size=size.small, location=location.abovebar, title="Neutral Bearish Signals - Ichimoku", color=colorMaroon)
plotshape(inputNeutralMinorSignals and weakBearishSignal, style=shape.diamond, text="Ichimoku", size=size.tiny, location=location.abovebar, title="Weak Bearish Signals - Ichimoku", color=colorMaroon)

// AMA
plotshape(inputIndividualSiganlPlot and inputAma and amaLongConditionEntry, color=colorBuy, style=shape.labelup, textcolor=#000000, text="AMA", location=location.belowbar, transp=0)
plotshape(inputIndividualSiganlPlot and inputAma and amaShortConditionEntry, color=colorSell, style=shape.labeldown, textcolor=#ffffff,  text="AMA", location=location.abovebar, transp=0)

// RMO
plotshape(inputIndividualSiganlPlot and sRMO and rahulMohindarOscilllatorLongEntry, color=colorBuy, style=shape.labelup, textcolor=#000000, text="RMO", location=location.belowbar, transp=0)
plotshape(inputIndividualSiganlPlot and sRMO and rahulMohindarOscilllatorShortEntry, color=colorSell, style=shape.labeldown, textcolor=#ffffff,  text="RMO", location=location.abovebar, transp=0)

// TD
plot(sTD and SR?(TDbuyh ? TDbuyl: na):na,style=circles, linewidth=1, color=red)
plot(sTD and SR?(TDselll ? TDsellh : na):na,style=circles, linewidth=1, color=lime)

barColour = sell? tdSell : buy? tdBuy : sellovershoot? tdSellOvershoot : sellovershoot1? tdSellOvershoot1 : sellovershoot2?tdSellOverShoot2 : sellovershoot3? tdSellOverShoot3 : buyovershoot? tdBuyOverShoot : buyovershoot1? tdBuyOvershoot1 : buyovershoot2? tdBuyOverShoot2 : buyovershoot3? tdBuyOvershoot3 : na
barcolor(color=barColour, title ="TD Sequential Bar Colour")

// ****************************************BUY/SELL Signal ***************************************************************
bull = leledecMajorBullish or bullishPSAR or strongBullishSignal or amaLongConditionEntry or rahulMohindarOscilllatorLongEntry or bullishVFI
bear = leledecMajorBearish or bearishPSAR or strongBearishSignal or amaShortConditionEntry or rahulMohindarOscilllatorShortEntry or bearishVFI

if bull
    persistent_bull := 1 
    persistent_bear := 0
    
if bear
    persistent_bull := 0
    persistent_bear := 1

plotshape(bull and persistent_bull[1] != 1, style=shape.labelup, location=location.belowbar, color=colorBuy, text="Buy", textcolor=#000000, transp=0)
plotshape(bear and persistent_bear[1] != 1, style=shape.labeldown, color=colorSell, text="Sell", location=location.abovebar, textcolor =#ffffff, transp=0)

// ****************************************Alerts***************************************************************
// For global buy/sell
alertcondition(bull and persistent_bull[1] != 1, title='Buy', message='Buy') 
alertcondition(bear and persistent_bear[1] != 1, title='Sell', message='Sell')

// Strategy
longCondition = leledecMajorBullish or bullishPSAR or strongBullishSignal or amaLongConditionEntry or rahulMohindarOscilllatorLongEntry or bullishVFI
closeLongCondition = leledecMajorBearish or bearishPSAR or strongBearishSignal or amaShortConditionEntry or rahulMohindarOscilllatorShortEntry or bearishVFI


monthfrom =input(1)
monthuntil =input(12)
dayfrom=input(1)
dayuntil=input(31)
yearfrom=input(2017)
yearuntil=input(2020)
leverage=input(1)

if (longCondition )
    strategy.entry("Long", strategy.long, leverage, comment="Enter Long")
else
    strategy.close("Long", when=closeLongCondition)


//if (closeLongCondition and month>=monthfrom and month <=monthuntil and dayofmonth>=dayfrom and dayofmonth <= dayuntil and year <= yearuntil and year>=yearfrom)
//    strategy.entry("Short", strategy.short, leverage, comment="Enter Short")
//else
//    strategy.close("Short", when=longCondition)