パラボリック・ストップ・アンド・レザーブ・マルチインジケータ・トレーディング・戦略
作者: リン・ハーンチャオチャン開催日:2023年12月28日 17:42:10タグ:
概要
この戦略は,パラボリックSAR,トリプル指数関数移動平均 (TEMA),指数関数移動平均 (EMA),相対強度指数 (RSI),バランスボリューム (OBV) などを含む複数の技術指標を組み合わせ,株の価格逆転信号を特定し,追加的なトレンドフィルタリングとストップロスを利用して購入・売却信号を生成します.
戦略の論理
この戦略は,価格逆転シグナルの主な指標としてパラボリックSARを使用している.SARは上昇状態の価格の上,下落状態の価格の下に見られる.SARが価格の下から上向きに突破すると,販売信号が生成される.SARが価格上から下向きに突破すると,購入信号が誘発される.
偽信号をフィルタリングするために,戦略はTEMAまたはEMAクロスオーバーを確認信号として使用する.SAR信号がTEMA (スローライン上の高速線) またはEMA (スローライン上の高速線) クロスオーバーと一緒に現れる場合にのみ,購入信号が生成される.同様に,SAR信号とTEMA (スローライン下の高速線) またはEMA (スローライン下の高速線) のクロスオーバーのみが販売信号を誘発することができる.
戦略では,代替的な確認信号として RSI インジケーターと OBV インジケーターも提供されています.
さらに,価格動向の明確な見方をするために,トリプルEMA指標グラフが表示されています.また,トレンド逆転点を特定するのに役立つモダル指標Ehler
また,複数の指標値の概要表は,簡単な概要のために,グラフの下部に示されています.
優位性
SAR,EMA/TEMA,RSI,OBVおよび他の指標を組み合わせることで,戦略は価格逆転のシグナルを効果的に検知し,偽のブレイクを回避することができる.トライプルEMAおよびeMAMA分析からの追加のトレンド判断により,精度はさらに向上することができる.
多数の指標の豊かなグラフィック表示により,市場を全面的に観察し分析できます. 概要指標表は,複数の指標の最新状態を迅速に把握できます.
取引論理のルールは明確で,パラメータは設定可能で,戦略は異なる取引手段に適応できる.
リスク
この戦略は,シグナルを生成するために指標クロスオーバーに依存している.誤った指標パラメータ設定は過剰な騒音信号を生成する可能性がある.指標パラメータは,異なる取引機器の特徴に基づいて調整する必要があります.
バランスおよび横向市場では,SAR指標は頻繁に誤った信号を生む可能性があります.これらの場合,トレンド指標からの確認を考慮する必要があります.
戦略の失敗は,取引手段の不適切な選択からも生じます.この戦略の適用には,有意な傾向を持つ手段が好ましいです.
オプティマイゼーションの方向性
戦略は次の側面から強化される:
- 騒音信号を減らすためにSARパラメータを最適化
- より良いトレンド判断のために移動平均のパラメータを最適化
- RSIやOBVのような異なる確認指標を試してください
- 複数のタイムフレーム分析のための追加の指標を追加
- ストップ・ロスのメカニズムを最適化し,取引損失を制限する
結論
パラボリックストップ&リザーブマルチインジケーター・トレーディング戦略 (Parabolic Stop and Reserve Multi-Indicator Trading Strategy) は,体系的な購入・売却信号を形成するために,一般的に使用される様々な技術指標を統合している.価格逆転点を効果的に特定することができる.設定可能なパラメータにより,異なる取引手段の最適化が容易である.経験豊富な量子トレーダーはこの戦略を利用することができる.しかし,特定の楽器の特徴に基づいてパラメータチューニングは必須である.また,傾向のツールは過度に騒々しい信号を避けるために選択されるべきである.
/*backtest
start: 2023-12-20 00:00:00
end: 2023-12-27 00:00:00
period: 45m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//
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// ╚══════╝╚═╝ ╚═╝╚══════╝ ╚═════╝╚═╝ ╚═══╝ ╚═╝ ╚═════╝ ╚═════╝ ╚══════╝ ╚═╝ ╚═╝ ╚═════╝ ╚═╝ ╚═══╝╚═╝ ╚═╝
// https://www.tradingview.com/u/LasciviousMonk/
// © LasciviousMonk
//
//
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// This script provided freely. No guarantee of functionality is provided. You are welcome to use, revise, or modify
// this code in any way you wish. However, I kindly request that you publish any scripts originating from this code as
// 'Public'. Please do not use this code as a basis for "Protected" or "Invite Only" scripts.
//
//
// PSAR + EMA + TEMA combines Parabolic PSAR plus EMA and TEMA trendlines.
// - EMA and TEMA crossovers have an up or down triangle to indicate direction of cross. Please note
// that because these are Moving Averages (MAs), the triangle may not exactly line up with the crossover.
// - Added MESA Adaptive Moving Average (eMAMA). Crossovers of the fast and slow eMAMA may be used instead of
// EMA or TEMA.
// - Added third EMA line. May be used to filter entries. For example, set the additional EMA to 200. Buy signals
// wil only be sent if the price is greater than the additional EMA.
// - Added RSI and OBV as alternative PSAR confirmations.
//
// "Traffic Light" table: summarizes PSAR, RSI, SRSI, TEMA, EMA, eMAMA, MACD, OBV, and CMF indicators in a table.
// This is intended as a quick "heads up", not to replace the indicators themselves.
// - Arrows indicate direction of change since the last bar.
// - Moving average indicators are indicated as green if the fast MA > slow MA and fast [T]EMA is increasing, red otherwise.
// [T]EMA will be yellow if fast MA has increased over the last 2 periods but fast MA < slow MA.
// - PSAR is as green if the PSAR is increasing, red if it is decreasing.
// - RSI is indicated as green if RSI < oversold, red if RSI > overbought, yellow otherwise.
// - SRSI is indicated as green K < oversold, and red if K > overbought. If oversold < K < overbought,
// green if K > D and red if K < D.
// - MACD, OBV and CMF are green if bullish, red if bearish.
//
//
// Suggestions for use:
// - Use fast EMA crossing above slow EMA as a confirmation for PSAR signals.
// - TEMA or eMAMA can also be used for confirmation signals insead.
// - Instead of using a moving average (EMA, TEMA, etc) for confirmation, you may use RSI or OBV.
// - The "traffic light" table is intended as a "heads up" to call your attention to other indicators
// you may want to check. I suggest Cipher B/VMC Cipher_B, Neglected Volume, and/or CM_Ult_MacD_MTF
// as useful comparions.
//
// Please don't rely solely on the table. It is intended to alert you to look more closely at a plot, not to
// provide all the information you need to enter or exit a position. I find the table to be a nice companion
// to VMC Cipher_B, which can be overwhelming in its complexity.
//
// Code used:
// - TEMA With Alert by BerkSay
// - Parabolic SAR by Alex Orekhov (everget)
// - Ehlers MESA Adaptive Moving Average [LazyBear]
// - EMA, RSI and SRSI built-ins.
//@version=4
strategy(overlay=true, title="PSAR + EMA/TEMA/RSI/OBV", currency = 'USD', shorttitle="PSAR+",
pyramiding = 0, default_qty_type=strategy.percent_of_equity, default_qty_value=20,
initial_capital=5000, calc_on_every_tick=true, calc_on_order_fills=false,
commission_type=strategy.commission.percent, commission_value=0.1)
// ------------------------------------------------<[ Color Constants ]>----------------------------------------------
// Color values used from Pine Magic. https://www.tradingview.com/script/yyDYIrRQ-Pine-Color-Magic-and-Chart-Theme-Simulator/
var transparent = color.new(color.black, 100)
var darkpurple = #550055, dpurple = darkpurple // Alias for dark purple, Not recommended for use on "Dark Charts"
var purple = #990099
var fuchsia = #FF00FF
var violet = #AA00FF
var hanpurple = #6000FF
var blue = #0000FF
var cichlid = #0040FF
var azure = #0080FF
var skyblue = #00C0FF
var aqua = #00FFFF // Not recommended for use on "Light Charts" with 1px line thickness
var mint = #00FF80
var lime = #00FF00
var chartreuse = #80FF00
var yellow = #FFFF00 // Not recommended for use on "Light Charts"
var amber = #FFCC00
var orange = #FF8000
var redorange = #FF4000
var red = #FF0000
var hotpink = #FF0080
var pink = #FF80FF // Not recommended for use on "Light Charts"
// ------------------------------------------------<[ User Input ]>---------------------------------------------------
sourceGlobal = input(title="Source for indicator", defval=close, type=input.source, group="Global")
tradeLong = input(title="Create long positions?", defval=true, type=input.bool, group="Global")
tradeShort = input(title="Create short positions?", defval=false, type=input.bool, group="Global")
showPSAR = input(true, "Show PSAR?", group="PSAR")
psarStart = input(title="PSAR Start", type=input.float, step=0.001, defval=0.02, group="PSAR")
psarIncrement = input(title="PSAR Increment", type=input.float, step=0.001, defval=0.02, group="PSAR")
psarMaximum = input(title="PSAR Maximum", type=input.float, step=0.01, defval=0.2, group="PSAR")
psarConfirmation = input(title="Confirmation signal:", defval="EMA",
options=["EMA", "TEMA", "eMAMA", "RSI", "OBV"], group="PSAR")
psarHighlightStartPoints = input(title="PSAR Highlight Start Points?", type=input.bool, defval=true, group="PSAR")
psarShowLabels = input(title="PSAR Show Buy/Sell Labels?", type=input.bool, defval=true, group="PSAR")
psarHighlightState = input(title="PSAR Highlight State?", type=input.bool, defval=false, group="PSAR")
colorPSARLong = input(title="Long", type=input.color, defval=lime, group="PSAR", inline="colors")
colorPSARShort = input(title="Short", type=input.color, defval=red, group="PSAR", inline="colors")
useSL = input(defval=false, type=input.bool, title="Set stop loss to PSAR plot?")
showTEMA = input(false, "Show TEMA?", group="Triple EMA", inline="showTEMA")
showTEMAfill = input(title="Shade TEMA?", defval=false, type=input.bool, group="Triple EMA", inline="showTEMA")
lengthTEMAFast = input(title="TEMA Fast length", defval=13, minval=1, group="Triple EMA", inline="TemaFast")
colorTEMAFast = input(title="",type=input.color, defval=lime, inline="TemaFast", group="Triple EMA")
lengthTEMASlow = input(title="TEMA Slow length", defval=34, minval=1, group="Triple EMA", inline="TemaSlow")
colorTEMASlow = input(title="",type=input.color, defval=red, group="Triple EMA", inline="TemaSlow")
thicknessTEMA=input(title="Line thickness", defval=2, type=input.integer, minval=1, maxval=4, step=1, group="Triple EMA")
showEMA = input(defval=true, type=input.bool, title="Show EMA?", group="EMA", inline="showEMA")
showEMAfill = input(title="Shade EMA?", defval=false, type=input.bool, group="EMA", inline="showEMA")
lengthEMAFast = input(9, title='EMA Fast Length', step=1, type=input.integer, group="EMA", inline="EmaFast")
colorEMAFast = input(title="",type=input.color, defval=lime, inline="EmaFast", group="EMA")
lengthEMASlow = input(21, title='EMA Slow Length', step=1, type=input.integer, group="EMA", inline="EmaSlow")
colorEMASlow = input(title="",type=input.color, defval=red, group="EMA", inline="EmaSlow")
lengthEMA200 = input(200, title='EMA Additional Length', step=1, type=input.integer, group="EMA", inline="EMA200")
colorEMA200 = input(title="",type=input.color, defval=orange, group="EMA", inline="EMA200")
filterEMA200 = input(title="Use as filter?", defval=false, type=input.bool, group="EMA", inline="EMA200", tooltip="Buy and sell signals are filtered on the additional EMA line, commonly set to 200. This takes effect even if the PSAR confirmation is set to something other than EMA.")
thicknessEMA=input(title="Line thickness", defval=2, type=input.integer, minval=1, maxval=4, step=1, group="EMA")
lengthRSI = input(title="RSI Length", type=input.integer, defval=14, group="RSI")
rsiOverbought = input(title="Overbought Level", type=input.integer, defval=60, group="RSI", inline="levels")
rsiOversold = input(title="Oversold Level", type=input.integer, defval=40, group="RSI", inline="levels")
showeMAMA = input(defval=false, title="Show eMAMA?", type=input.bool, group="Ehler's MESA Adaptive Moving Average", inline="fill")
showEMAMAfill = input(title="Shade eMAMA?", defval=false, type=input.bool, group="Ehler's MESA Adaptive Moving Average", inline="fill")
fastlimitEMAMA=input(.5, title="Fast Limit", group="Ehler's MESA Adaptive Moving Average")
slowlimitEMAMA=input(.05, title="Slow Limit", group="Ehler's MESA Adaptive Moving Average")
thicknessEMAMA=input(title="Line thickness", defval=2, type=input.integer, minval=1, maxval=4, step=1, group="Ehler's MESA Adaptive Moving Average")
coloreMAMA = input(title="eMAMA",type=input.color, defval=lime, group="Ehler's MESA Adaptive Moving Average", inline="colors")
coloreFAMA = input(title="eFAMA",type=input.color, defval=red, group="Ehler's MESA Adaptive Moving Average", inline="colors")
lengthOBV = input(defval=20, title="OBV Length", type=input.integer, group="On Balance Volume")
emaOBV = input(defval=9, title="EMA length", type=input.integer, group="On Balance Volume")
lengthStoch = input(14, "Stochastic Length", minval=1, group="SRSI")
smoothK = input(3, "SRSI K Smoothing", minval=1, group="SRSI")
smoothD = input(3, "SRSI D Smoothing", minval=1, group="SRSI")
srsiOverbought = input(defval=80, title="Overbought level", type=input.integer, group="SRSI", inline="levels")
srsiOversold = input(defval=20, title="Oversold level", type=input.integer, group="SRSI", inline="levels")
lengthMACDfast = input(title="Fast Length", type=input.integer, defval=12, group="MACD")
lengthMACDslow = input(title="Slow Length", type=input.integer, defval=26, group="MACD")
lengthMACDsignal = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 9, group="MACD")
lengthCMF = input(20, minval=1, group="Chaiken Money Flow")
showTable = input(defval=false, title="Show summary table?", type=input.bool, group="Summary Table")
tablePosition = input(title="Summary Table Position", defval=position.bottom_left,
options=[position.bottom_left,
position.top_left, position.bottom_right, position.top_right], group="Summary Table")
tableTextSize = input(title="Table Text Size", defval=size.tiny,
options=[size.auto, size.tiny, size.small, size.normal, size.large, size.huge], group="Summary Table")
useDateRange = input(defval=true, title="Limit backtesting by date", type=input.bool, group="Limit by date",
tooltip="Limit window for backtesting. This allows you to compare different TFs over the same period.")
rangeType = input(defval="30 Days", title="Date range:", options=["Custom", "30 Days", "90 Days", "180 Days", "Year to Date"], group="Limit by date")
startDate = input(title="Start Date (DD/MM/YYYY)", type=input.time,
defval=timestamp("1 Jan 2021 1:01 -0400"), group="Limit by date")
endDate = input(title="End Date (DD/MM/YYYY) ", type=input.time,
defval=timestamp("31 Dec 2100 19:59 -0400"), group="Limit by date", tooltip="You likely want to leave this far in the future.")
startDate := rangeType == "Custom" ? startDate :
rangeType == "30 Days" ? timenow - 2592000000 :
rangeType == "90 Days" ? timenow - 7776000000 :
rangeType == "180 Days" ? timenow - 15552000000 :
rangeType == "Year to Date" ? timestamp(syminfo.timezone, year(timenow), 01, 01, 00, 01) : na
inDateRange = (time >= startDate) and (time < endDate)
inDateRange := true
// ------------------------------------------------<[ Variable Declarations ]>----------------------------------------------
var bool psarConfirmationBuy = na
var bool psarConfirmationSell = na
var float eMAMA = na
var float eFAMA = na
var float historicalHigh = 0 // for OBV scaling
// -------------------------------------------------------<[ Functions ]>----------------------------------------------------
fDirection(series, length) =>
rising(series,length) ? "↑" : "↓"
fTEMA(sourceTEMA, length) =>
Tema1 = ema(sourceTEMA, length)
Tema2 = ema(Tema1, length)
Tema3 = ema(Tema2, length)
3 * Tema1 - 3 * Tema2 + Tema3
fMAMA(sourceEMAMA, slowlimitEMAMA, fastlimitEMAMA) =>
var float p = na
var float i2 = na
var float q2 = na
var float re = na
var float im = na
var float spp = na
sp = (4*sourceEMAMA + 3*sourceEMAMA[1] + 2*sourceEMAMA[2] + sourceEMAMA[3]) / 10.0
dt = (.0962*sp + .5769*nz(sp[2]) - .5769*nz(sp[4])- .0962*nz(sp[6]))*(.075*nz(p[1]) + .54)
q1 = (.0962*dt + .5769*nz(dt[2]) - .5769*nz(dt[4])- .0962*nz(dt[6]))*(.075*nz(p[1]) + .54)
i1 = nz(dt[3])
jI = (.0962*i1 + .5769*nz(i1[2]) - .5769*nz(i1[4])- .0962*nz(i1[6]))*(.075*nz(p[1]) + .54)
jq = (.0962*q1 + .5769*nz(q1[2]) - .5769*nz(q1[4])- .0962*nz(q1[6]))*(.075*nz(p[1]) + .54)
i2_ = i1 - jq
q2_ = q1 + jI
i2 := .2*i2_ + .8*nz(i2[1])
q2 := .2*q2_ + .8*nz(q2[1])
re_ = i2*nz(i2[1]) + q2*nz(q2[1])
im_ = i2*nz(q2[1]) - q2*nz(i2[1])
re := .2*re_ + .8*nz(re[1])
im := .2*im_ + .8*nz(im[1])
p1 = iff(im!=0 and re!=0, 360/atan(im/re), nz(p[1]))
p2 = iff(p1 > 1.5*nz(p1[1]), 1.5*nz(p1[1]), iff(p1 < 0.67*nz(p1[1]), 0.67*nz(p1[1]), p1))
p3 = iff(p2<6, 6, iff (p2 > 50, 50, p2))
p := .2*p3 + .8*nz(p3[1])
spp := .33*p + .67*nz(spp[1])
phaseEMAMA = atan(q1 / i1)
dphase_ = nz(phaseEMAMA[1]) - phaseEMAMA
dphase = iff(dphase_< 1, 1, dphase_)
alpha_ = fastlimitEMAMA / dphase
alpha = iff(alpha_ < slowlimitEMAMA, slowlimitEMAMA, iff(alpha_ > fastlimitEMAMA, fastlimitEMAMA, alpha_))
fOBV(src) =>
changeOBV = change(src)
cum(changeOBV > 0 ? volume : changeOBV < 0 ? -volume : 0*volume)
// -------------------------------------------<[ Variable Calculations ]>------------------------------------------
temaSlow = fTEMA(sourceGlobal, lengthTEMASlow)
temaFast = fTEMA(sourceGlobal, lengthTEMAFast)
shortTema = crossover(temaSlow, temaFast)
longTema = crossunder(temaSlow, temaFast)
fillTema = temaFast>temaSlow ? color.new(colorTEMAFast,80) : color.new(colorTEMASlow,80)
emaFast = ema(sourceGlobal, lengthEMAFast)
emaSlow = ema(sourceGlobal, lengthEMASlow)
ema200 = ema(sourceGlobal, lengthEMA200)
longEMA = crossover(emaFast, emaSlow)
shortEMA = crossunder(emaFast , emaSlow)
fillEMA = emaFast>emaSlow ? color.new(colorEMAFast,80) : color.new(colorEMASlow,80)
cumOBV = fOBV(sourceGlobal)
oscOBV = (cumOBV - ema(cumOBV,lengthOBV))
changeOBV = change(sourceGlobal)
shortOBV = ema(cumOBV, lengthOBV)
psar = sar(psarStart, psarIncrement, psarMaximum)
psarDir = psar < close ? 1 : -1
colorPSAR = psarDir == 1 ? color.new(#3388bb,0) : color.new(#fdcc02,0)
colorPSARFill = psarHighlightState ? (psarDir == 1 ? color.new(colorPSARLong,90) : color.new(colorPSARShort,90)) : na
psarChangeCond = psarDir != psarDir[1]
valueRSI = rsi(sourceGlobal, lengthRSI)
if psarConfirmation == "EMA"
if emaFast > emaSlow
psarConfirmationBuy := true
psarConfirmationSell := false
else if emaFast < emaSlow
psarConfirmationSell := true
psarConfirmationBuy := false
else if psarConfirmation == "TEMA"
if temaFast > temaSlow
psarConfirmationBuy := true
psarConfirmationSell := false
else if temaFast < temaSlow
psarConfirmationSell := true
psarConfirmationBuy := false
else if psarConfirmation == "eMAMA"
if eMAMA > eFAMA
psarConfirmationBuy := true
psarConfirmationSell := false
else if eMAMA < eFAMA
psarConfirmationSell := true
psarConfirmationBuy := false
else if psarConfirmation == "RSI"
if valueRSI < 40
psarConfirmationBuy := true
psarConfirmationSell := false
else if valueRSI > 60
psarConfirmationSell := true
psarConfirmationBuy := false
else if psarConfirmation == "OBV"
if oscOBV > 0
psarConfirmationBuy := true
psarConfirmationSell := false
else if oscOBV < 0
psarConfirmationSell := true
psarConfirmationBuy := false
psarBuySignal = psarDir == 1 and psarDir[1] == -1 and (filterEMA200 ? open > ema200 : true) and inDateRange
psarSellSignal = psarDir == -1 and psarDir[1] == 1 and (filterEMA200 ? open < ema200 : true) and inDateRange
eMAMA := fMAMA(sourceGlobal, slowlimitEMAMA, fastlimitEMAMA)*sourceGlobal + (1 - fMAMA(sourceGlobal, slowlimitEMAMA, fastlimitEMAMA))*nz(eMAMA[1])
eFAMA := .5*fMAMA(sourceGlobal, slowlimitEMAMA, fastlimitEMAMA)*eMAMA + (1 - .5*fMAMA(sourceGlobal, slowlimitEMAMA, fastlimitEMAMA))*nz(eFAMA[1])
longMAMA=crossover(eMAMA, eFAMA)
shortMAMA=crossunder(eMAMA,eFAMA)
fillEMAMA = eMAMA>eFAMA ? color.new(coloreMAMA, 80) : color.new(coloreFAMA, 80)
srsiK = sma(stoch(valueRSI, valueRSI, valueRSI, lengthStoch), smoothK)
srsiD = sma(srsiK, smoothD)
fastMACD = ema(sourceGlobal, lengthMACDfast)
slowMACD = ema(sourceGlobal, lengthMACDslow)
macd = fastMACD - slowMACD
signalMACD = ema(macd, lengthMACDsignal)
adCMF = close==high and close==low or high==low ? 0 : ((2*close-low-high)/(high-low))*volume
mfCMF = sum(adCMF, lengthCMF) / sum(volume, lengthCMF)
// ================================== //
// ----> Conditional Parameters <---- //
// ================================== //
// ================================== //
// -------> Risk Mitigation <-------- //
// ================================== //
// ================================== //
// --------> Logical Order <--------- //
// ================================== //
// -------------------------------------------<[ Graphical Display ]>------------------------------------------
// TEMA plots
plotTemaSlow = plot(showTEMA ? temaSlow: na, color=color.new(colorTEMASlow,20), title="TEMA Slow plot", linewidth=thicknessTEMA)
plotTemaFast = plot(showTEMA ? temaFast: na, color=color.new(colorTEMAFast,20), title="TEMA Fast plot", linewidth=thicknessTEMA)
plotshape(showTEMA and longTema ? temaFast: na, style=shape.triangleup, location=location.absolute,
size=size.tiny, title="TEMA Cross Up", color=color.new(colorTEMAFast,10))
plotshape(showTEMA and shortTema ? temaSlow: na, style=shape.triangledown, location=location.absolute,
size=size.tiny, title="TEMA Cross Down", color=color.new(colorTEMASlow,10))
fill(plotTemaFast, plotTemaSlow, color=showTEMAfill ? fillTema : transparent, title="TEMA fill")
// EMA plots
plotEmaFast = plot(showEMA ? emaFast: na, title='EMA Fast Plot', color=colorEMAFast, linewidth=thicknessEMA)
plotEmaSlow = plot(showEMA ? emaSlow: na, title='EMA Slow Plot', color=colorEMASlow, linewidth=thicknessEMA)
plotEMA200 = plot(showEMA ? ema200: na, title='EMA Additional Plot', color=colorEMA200, linewidth=thicknessEMA)
plotshape(showEMA and longEMA ? emaFast : na, style=shape.triangleup, location=location.absolute, size=size.tiny,
title="EMA Cross Up",color=colorEMAFast)
plotshape(showEMA and shortEMA ? emaFast : na, style=shape.triangledown, location=location.absolute, size=size.tiny,
title="EMA Cross Down",color=colorEMASlow)
fill(plotEmaFast, plotEmaSlow, color=showEMAfill ? fillEMA : transparent, title="EMA fill")
// PSAR plots
psarPlot = plot(showPSAR ? psar: na, title="PSAR", style=plot.style_circles, linewidth=1, color=colorPSAR)
plotshape(showPSAR and psarBuySignal and psarHighlightStartPoints ? psar : na, title="PSAR Long Start", location=location.absolute,
style=shape.circle, size=size.tiny, color=colorPSARLong)
plotshape(showPSAR and psarBuySignal and psarShowLabels and psarConfirmationBuy ? psar : na, title="PSAR Buy Label", text="Buy", location=location.absolute,
style=shape.labelup, size=size.tiny, color=colorPSARLong, textcolor=color.white)
plotshape(showPSAR and psarSellSignal and psarHighlightStartPoints ? psar : na, title="PSAR Short Start", location=location.absolute,
style=shape.circle, size=size.tiny, color=colorPSARShort)
plotshape(showPSAR and psarSellSignal and psarShowLabels and psarConfirmationSell ? psar : na, title="PSAR Sell Label", text="Sell", location=location.absolute,
style=shape.labeldown, size=size.tiny, color=colorPSARShort, textcolor=color.white)
psarMidPricePlot = plot(ohlc4, title="", display=display.none, editable=false)
fill(psarMidPricePlot, psarPlot, title="PSAR Trade State Filling", color=colorPSARFill)
ploteMAMA = plot(showeMAMA ? eMAMA : na, title="Ehler's MAMA", linewidth=thicknessEMAMA, style=plot.style_line, color=coloreMAMA)
ploteFAMA = plot(showeMAMA ? eFAMA : na, title="Ehler's FAMA", linewidth=thicknessEMAMA, style=plot.style_line, color=coloreFAMA)
plotshape(showeMAMA and longMAMA ? eFAMA: na, style=shape.triangleup, location=location.absolute, size=size.tiny, title="eMAMA Cross Up",
color=color.new(coloreMAMA,10))
plotshape(showeMAMA and shortMAMA ? eFAMA: na, style=shape.triangledown, location=location.absolute, size=size.tiny, title="eMAMA Cross Down",
color=color.new(coloreFAMA,10))
fill(ploteMAMA, ploteFAMA, color=showEMAMAfill ? fillEMAMA : transparent, title="eMAMA fill")
// ---------------------------------------------------<[ Strategy Execution ]>-------------------------------------------------
strategy.entry(id="long", long=strategy.long, comment="enL", when=psarBuySignal and psarConfirmationBuy and tradeLong)
if useSL
strategy.exit(id="long", stop=psar, comment="SL")
strategy.close(id="long", comment="exL", when=psarSellSignal and psarConfirmationSell and tradeLong)
strategy.entry(id="short", long=strategy.short, comment="enS", when=psarSellSignal and psarConfirmationSell and tradeShort)
if useSL
strategy.exit(id="short", stop=psar, comment="SL")
strategy.close(id="short", comment="exS", when=psarBuySignal and psarConfirmationBuy and tradeShort)
// -------------------------------------------------------<[ Tables ]>---------------------------------------------------------
// Shows red for bearish signals, green for bullish signals.
var table summaryTable = table.new(tablePosition, 3, 3)
if (barstate.islast and showTable)
table.cell(summaryTable, 0, 0, "PSAR",text_size=tableTextSize, bgcolor = psarDir == 1 ? color.green : color.red)
rsiDirection = fDirection(valueRSI,1)
table.cell(summaryTable, 0, 1, "RSI " + tostring(round(valueRSI,0)) + rsiDirection,text_size=tableTextSize,
bgcolor = iff(valueRSI > rsiOverbought, color.red, iff(valueRSI < rsiOversold, color.green, color.yellow)))
srsiDirection = fDirection(srsiK,1)
table.cell(summaryTable, 0, 2, "K " + tostring(round(srsiK,0)) + srsiDirection, text_size=tableTextSize,
bgcolor=iff(srsiK > srsiOverbought, color.red, iff(srsiK < srsiOversold, color.green, srsiK > srsiD ? color.green : color.red)))
emaDirection = fDirection(emaFast,1)
table.cell(summaryTable, 1, 0, "EMA" + emaDirection,text_size=tableTextSize,
bgcolor = emaFast > emaSlow and emaFast > emaFast[1] ? color.green : color.red)
// See if emaFast has increased over the last two periods.
if rising(emaFast,2) and emaFast < emaSlow
table.cell_set_bgcolor(summaryTable, 1, 0, color.yellow)
directionTEMA = fDirection(temaFast,1)
table.cell(summaryTable, 1, 1, "TEMA" + directionTEMA,text_size=tableTextSize,
bgcolor = temaFast > temaSlow and temaFast > temaFast[1] ? color.green : color.red)
// See if temaFast has increased over the last two periods.
if rising(temaFast,2) and temaFast < temaSlow
table.cell_set_bgcolor(summaryTable, 1, 1, color.yellow)
directionMAMA = fDirection(eMAMA,1)
table.cell(summaryTable, 1, 2, "eMAMA" + directionMAMA,text_size=tableTextSize,
bgcolor = eMAMA > eFAMA and eMAMA > eFAMA[1] ? color.green : color.red)
// See if temaFast has increased over the last two periods.
if rising(eMAMA,2) and eMAMA < eFAMA
table.cell_set_bgcolor(summaryTable, 1, 2, color.yellow)
directionMACD = fDirection(macd,2)
table.cell(summaryTable, 2, 0, "MACD " + directionMACD, text_size=tableTextSize, bgcolor= macd > signalMACD ? color.green : color.red)
directionOBV = fDirection(shortOBV,2)
table.cell(summaryTable, 2, 1, "OBV " + directionOBV, text_size=tableTextSize, bgcolor= shortOBV > 0 ? color.green : color.red)
directionCMF = fDirection(mfCMF,2)
table.cell(summaryTable, 2, 2, "CMF " + directionCMF + tostring(mfCMF, "#.##"), text_size=tableTextSize, bgcolor= mfCMF > 0 ? color.green : color.red)
// ---------------------------------------------------<[ Alerts ]>-------------------------------------------------
if psarBuySignal and psarConfirmationBuy
alert("PSAR buy/long signal confirmed for {{ticker}} on {{interval}}.", alert.freq_once_per_bar)
if psarSellSignal and psarConfirmationSell
alert("PSAR sell/short signal confirmed for {{ticker}} on {{interval}}.", alert.freq_once_per_bar)
if psarChangeCond
alert("PSAR has changed direction for {{ticker}} on {{interval}}.", alert.freq_once_per_bar)
もっと
- 3つの内向的な逆転戦略
- 定量取引の二重移動平均戦略
- パインスクリプトにおけるレバレッジRSI戦略
- 量的な取引の逆転傾向 コンボ T3-CCI戦略
- ダイナミック・トラッキング・ストップ・ロスの戦略
- スロー RSI OB/OS 戦略
- 多指標性適応トレンド取引戦略
- 相対量価格戦略
- 戦略をフォローする緩やかなストカスティックトレンド
- 複数の指標に基づく包括的な量的な取引戦略
- プレミアム・ダブル・トレンド・フィルター・MA比率戦略
- 2つの移動平均の収束傾向を追跡する戦略
- トリプル・EMA・クロスオーバー・ブレイクアウト戦略
- ボリンジャー・バンドに基づく定量的な取引戦略
- 超トレンド逆転戦略
- 突破型移動平均傾向追跡戦略
- 最低/最高のセンターの見直し戦略
- 移動平均リバウンド戦略
- MACDとEMAのクロスオーバー戦略
- モメントギャップ・トレーディング戦略