定量取引双方向S/R戦略


作成日: 2024-02-06 12:13:22 最終変更日: 2024-02-06 12:13:22
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定量取引双方向S/R戦略

概要

この戦略は,価格の連続した上昇または下降期数を追跡することによって,サポートのレジスタンスレベルを識別し,その後,入場と停止信号として移動平均と組み合わせて,長ポジションと短ポジションの取引戦略を構築する.この戦略は,同時に多空または単一方向で行うことができます.

原則

  1. 抵抗位の識別
    • 4日間連続で閉店価格が前4日の閉店価格より高いとき,そのポイントを下方サポートとして記録します.
    • 閉店価格が前4日間の閉店価格より4日連続で低くなると,この点を上方レジスタンスとして記録します.
  2. 信号生成
    • サポートレベルが認識され,価格上昇期数が設定された長期ポジションの値 (デフォルト9日) に達した場合,多行シグナルが生成される
    • レスポンスレベルまで認識した後,価格の下落期数が設定されたショートポジションの値 (デフォルト9日) に達した場合,空調信号を生成する
  3. 移動平均のフィルターとストップ
    • 入場時に要求される価格は,設定期間中の移動平均より高くまたは低く,信号をフィルターするために使用されます.
    • スタート時の移動平均

利点

  1. サポート抵抗位の判断はより信頼性が高く,短期的な波動によって誤導されない
  2. 移動平均のフィルタリングと組み合わせると,偽信号を減らすことができます.
  3. 双方向取引により,取引頻度が高くなり,収益が増加します.
  4. パラメータは調整可能で,異なる品種と市場状況に応じて最適化できます

リスクと解決策

  1. トレンド市場では,短期間に複数の負債取引が発生する可能性があります.
    • 移動平均の周期を適正に上げ,取引の頻度を減らすことができます.
  2. サポート位またはレジスタンス位を誤判する確率
    • サポート抵抗位の長さの値を適切に調整できる
  3. 市場が激しく揺れ動いている中,ストップ・ロスは頻繁にトリガーされる可能性があります.
    • 適正に緩和できる
    • トレンド判断の指標を増やす

最適化の方向

  1. 戦略の安定性を高めるための技術指標の追加
    • 傾向や動力などの判断指標を増加させる
  2. サポート抵抗位判断論理を最適化
    • 異なるパラメータが結論に与える影響
  3. 特定の品種と周期に対するパラメータの最適化
    • 異なる品種のパラメータは異なる範囲で調整できます
  4. 適応性障害対策の開発
    • 市場変動の動向に合わせてストップ・ローズ幅の調整

要約する

この戦略は,全体的に比較的シンプルで信頼性があり,サポートレジスタンスレベルを正しく判断することで,価格逆転の機会をより高い確率で捉えることができます.移動平均と組み合わせることで,入場のタイミングを確実に確保し,套装を避けることができます.最後に,この戦略の方向判断は,比較的保守的ですが,強力な適応性と拡張性があり,ユーザーは,市場の理解に基づいて適切なパラメータを選択して最適化することができ,その結果,より優れたパフォーマンスを得ることができます.

ストラテジーソースコード 
/*backtest
start: 2023-01-30 00:00:00
end: 2024-02-05 00:00:00
period: 1d
basePeriod: 1h
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/
// © GlobalMarketSignals

//@version=4
strategy("GMS: TD Sequential Strategy", overlay=true)

LongShort     = input(title="Long Only or Short Only or Both?", type=input.string, defval="Both", options=["Both", "Long Only", "Short Only"])
PriceFlipL    = input(title="TD Sequential Long Price Flip", type = input.integer ,defval=9)
PriceFlipS    = input(title="TD Sequential Short Price Flip", type = input.integer ,defval=9)
MAs1          = input(title="Long MA", type=input.string, defval="SMA", options=["SMA", "EMA", "VWMA"])
MAs2          = input(title="Short MA", type=input.string, defval="SMA", options=["SMA", "EMA", "VWMA"])
SMAlenL       = input(title="Long MA Exit Length", type = input.integer ,defval=10)
SMAlenS       = input(title="Short MA Exit Length", type = input.integer ,defval=10)
AboveBelowL   = input(title="Long Trend Filter?", type=input.string, defval="Above", options=["Above", "Below", "Don't Include"])
AboveBelowS   = input(title="Short Trend Filter?", type=input.string, defval="Below", options=["Above", "Below", "Don't Include"])
TLma          = input(title="Trend MA", type=input.string, defval="SMA", options=["SMA", "EMA", "VWMA"])
TrendLength   = input(title="Trend MA Length", type = input.integer ,defval=200)
PTbutton      = input(title="Profit Target On/Off", type=input.bool, defval=true)
ProfitTarget  = input(title="Profit Target %", type=input.float, defval=1, step=0.1, minval=0)
SLbutton      = input(title="Stop Loss On/Off", type=input.bool, defval=true)
StopLoss      = input(title="Stop Loss %", type=input.float, defval=-1, step=0.1, maxval=0)

//PROFIT TARGET & STOPLOSS

if PTbutton == true and SLbutton == true
    strategy.exit("EXIT", profit=((close*(ProfitTarget*0.01))/syminfo.mintick), loss=((close*(StopLoss*-0.01))/syminfo.mintick))
else
    if PTbutton == true and SLbutton == false
        strategy.exit("PT EXIT", profit=((close*(ProfitTarget*0.01))/syminfo.mintick))
    else
        if PTbutton == false and SLbutton == true
            strategy.exit("SL EXIT", loss=((close*(StopLoss*-0.01))/syminfo.mintick))
        else    
            strategy.cancel("PT EXIT")

// S/R Code By johan.gradin (lines 36-46)
// Buy setup//
priceflip1 = barssince(close>close[4])
buysetup = close<close[4] and priceflip1
buy = buysetup and barssince(priceflip1!=9)
buyovershoot = barssince(priceflip1!=13) and buysetup
// Sell Setup //
priceflip = barssince(close<close[4])
sellsetup = close>close[4] and priceflip
sell = sellsetup and barssince(priceflip!=9)
sellovershoot = sellsetup and barssince(priceflip!=13)


///////
/////// SMA
///////

if LongShort =="Long Only" and AboveBelowL == "Above" and MAs1 == "SMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
if LongShort =="Long Only" and  AboveBelowL == "Below" and MAs1 == "SMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and  close<sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))

if LongShort =="Long Only" and  AboveBelowL == "Don't Include" and MAs1 == "SMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) )
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
///////
    
if LongShort =="Short Only" and  AboveBelowS == "Above" and MAs2 == "SMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,SMAlenS))
    
if LongShort =="Short Only" and  AboveBelowS == "Below" and MAs2 == "SMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close<sma(close,TrendLength))
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))

if LongShort =="Short Only" and  AboveBelowS == "Don't Include" and MAs2 == "SMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))

///////
    
if LongShort =="Both" and AboveBelowL == "Above" and MAs1 == "SMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
if LongShort =="Both" and  AboveBelowL == "Below" and MAs1 == "SMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and  close<sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))

if LongShort =="Both" and  AboveBelowL == "Don't Include" and MAs1 == "SMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) )
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
    
if LongShort =="Both" and  AboveBelowS == "Above" and MAs2 == "SMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,SMAlenS))
    
if LongShort =="Both" and  AboveBelowS == "Below" and MAs2 == "SMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close<sma(close,TrendLength))
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))

if LongShort =="Both" and  AboveBelowS == "Don't Include" and MAs2 == "SMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))  

///////
/////// EMA
///////

if LongShort =="Long Only" and AboveBelowL == "Above" and MAs1 == "EMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
if LongShort =="Long Only" and  AboveBelowL == "Below" and MAs1 == "EMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and  close<sma(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))

if LongShort =="Long Only" and  AboveBelowL == "Don't Include" and MAs1 == "EMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) )
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
///////
    
if LongShort =="Short Only" and  AboveBelowS == "Above" and MAs2 == "EMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<ema(close,SMAlenS))
    
if LongShort =="Short Only" and  AboveBelowS == "Below" and MAs2 == "EMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close<sma(close,TrendLength))
    strategy.close("SHORT",  when = close<ema(close,SMAlenS))

if LongShort =="Short Only" and  AboveBelowS == "Don't Include" and MAs2 == "EMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) )
    strategy.close("SHORT",  when = close<ema(close,SMAlenS))

///////
    
if LongShort =="Both" and AboveBelowL == "Above" and MAs1 == "EMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
if LongShort =="Both" and  AboveBelowL == "Below" and MAs1 == "EMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and  close<sma(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))

if LongShort =="Both" and  AboveBelowL == "Don't Include" and MAs1 == "EMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) )
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
    
if LongShort =="Both" and  AboveBelowS == "Above" and MAs2 == "EMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<ema(close,SMAlenS))
    
if LongShort =="Both" and  AboveBelowS == "Below" and MAs2 == "EMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close<sma(close,TrendLength))
    strategy.close("SHORT",  when = close<ema(close,SMAlenS))

if LongShort =="Both" and  AboveBelowS == "Don't Include" and MAs2 == "EMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) )
    strategy.close("SHORT",  when = close<ema(close,SMAlenS)) 



///////
/////// VWMA
///////

if LongShort =="Long Only" and AboveBelowL == "Above" and MAs1 == "VWMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
if LongShort =="Long Only" and  AboveBelowL == "Below" and MAs1 == "VWMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and  close<sma(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))

if LongShort =="Long Only" and  AboveBelowL == "Don't Include" and MAs1 == "VWMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) )
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
///////
    
if LongShort =="Short Only" and  AboveBelowS == "Above" and MAs2 == "VWMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<vwma(close,SMAlenS))
    
if LongShort =="Short Only" and  AboveBelowS == "Below" and MAs2 == "VWMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close<sma(close,TrendLength))
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS))

if LongShort =="Short Only" and  AboveBelowS == "Don't Include" and MAs2 == "VWMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS))

///////
    
if LongShort =="Both" and AboveBelowL == "Above" and MAs1 == "VWMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
if LongShort =="Both" and  AboveBelowL == "Below" and MAs1 == "VWMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and  close<sma(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))

if LongShort =="Both" and  AboveBelowL == "Don't Include" and MAs1 == "VWMA" and TLma == "SMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) )
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
    
if LongShort =="Both" and  AboveBelowS == "Above" and MAs2 == "VWMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<vwma(close,SMAlenS))
    
if LongShort =="Both" and  AboveBelowS == "Below" and MAs2 == "VWMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close<sma(close,TrendLength))
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS))

if LongShort =="Both" and  AboveBelowS == "Don't Include" and MAs2 == "VWMA" and TLma == "SMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS)) 

    
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

///////
/////// SMA
///////


if LongShort =="Long Only" and AboveBelowL == "Above" and MAs1 == "SMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and close>ema(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
if LongShort =="Long Only" and  AboveBelowL == "Below" and MAs1 == "SMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and  close<ema(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))

if LongShort =="Long Only" and  AboveBelowL == "Don't Include" and MAs1 == "SMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) )
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
///////
    
if LongShort =="Short Only" and  AboveBelowS == "Above" and MAs2 == "SMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close>ema(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,SMAlenS))
    
if LongShort =="Short Only" and  AboveBelowS == "Below" and MAs2 == "SMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close<ema(close,TrendLength))
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))

if LongShort =="Short Only" and  AboveBelowS == "Don't Include" and MAs2 == "SMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))

///////
    
if LongShort =="Both" and AboveBelowL == "Above" and MAs1 == "SMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and close>ema(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
if LongShort =="Both" and  AboveBelowL == "Below" and MAs1 == "SMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and  close<ema(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))

if LongShort =="Both" and  AboveBelowL == "Don't Include" and MAs1 == "SMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) )
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
    
if LongShort =="Both" and  AboveBelowS == "Above" and MAs2 == "SMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close>ema(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,SMAlenS))
    
if LongShort =="Both" and  AboveBelowS == "Below" and MAs2 == "SMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close<ema(close,TrendLength))
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))

if LongShort =="Both" and  AboveBelowS == "Don't Include" and MAs2 == "SMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))  

///////
/////// EMA
///////

if LongShort =="Long Only" and AboveBelowL == "Above" and MAs1 == "EMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and close>ema(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
if LongShort =="Long Only" and  AboveBelowL == "Below" and MAs1 == "EMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and  close<ema(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))

if LongShort =="Long Only" and  AboveBelowL == "Don't Include" and MAs1 == "EMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) )
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
///////
    
if LongShort =="Short Only" and  AboveBelowS == "Above" and MAs2 == "EMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close>ema(close,TrendLength))
    strategy.close("SHORT", when = close<ema(close,SMAlenS))
    
if LongShort =="Short Only" and  AboveBelowS == "Below" and MAs2 == "EMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close<ema(close,TrendLength))
    strategy.close("SHORT",  when = close<ema(close,SMAlenS))

if LongShort =="Short Only" and  AboveBelowS == "Don't Include" and MAs2 == "EMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) )
    strategy.close("SHORT",  when = close<ema(close,SMAlenS))

///////
    
if LongShort =="Both" and AboveBelowL == "Above" and MAs1 == "EMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and close>ema(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
if LongShort =="Both" and  AboveBelowL == "Below" and MAs1 == "EMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and  close<ema(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))

if LongShort =="Both" and  AboveBelowL == "Don't Include" and MAs1 == "EMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) )
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
    
if LongShort =="Both" and  AboveBelowS == "Above" and MAs2 == "EMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close>ema(close,TrendLength))
    strategy.close("SHORT", when = close<ema(close,SMAlenS))
    
if LongShort =="Both" and  AboveBelowS == "Below" and MAs2 == "EMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close<ema(close,TrendLength))
    strategy.close("SHORT",  when = close<ema(close,SMAlenS))

if LongShort =="Both" and  AboveBelowS == "Don't Include" and MAs2 == "EMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) )
    strategy.close("SHORT",  when = close<ema(close,SMAlenS)) 



///////
/////// VWMA
///////

if LongShort =="Long Only" and AboveBelowL == "Above" and MAs1 == "VWMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and close>ema(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
if LongShort =="Long Only" and  AboveBelowL == "Below" and MAs1 == "VWMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and  close<ema(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))

if LongShort =="Long Only" and  AboveBelowL == "Don't Include" and MAs1 == "VWMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) )
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
///////
    
if LongShort =="Short Only" and  AboveBelowS == "Above" and MAs2 == "VWMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close>ema(close,TrendLength))
    strategy.close("SHORT", when = close<vwma(close,SMAlenS))
    
if LongShort =="Short Only" and  AboveBelowS == "Below" and MAs2 == "VWMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close<ema(close,TrendLength))
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS))

if LongShort =="Short Only" and  AboveBelowS == "Don't Include" and MAs2 == "VWMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS))

///////
    
if LongShort =="Both" and AboveBelowL == "Above" and MAs1 == "VWMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and close>ema(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
if LongShort =="Both" and  AboveBelowL == "Below" and MAs1 == "VWMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and  close<ema(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))

if LongShort =="Both" and  AboveBelowL == "Don't Include" and MAs1 == "VWMA" and TLma == "EMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) )
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
    
if LongShort =="Both" and  AboveBelowS == "Above" and MAs2 == "VWMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close>ema(close,TrendLength))
    strategy.close("SHORT", when = close<vwma(close,SMAlenS))
    
if LongShort =="Both" and  AboveBelowS == "Below" and MAs2 == "VWMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close<ema(close,TrendLength))
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS))

if LongShort =="Both" and  AboveBelowS == "Don't Include" and MAs2 == "VWMA" and TLma == "EMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS)) 

    
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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///////
/////// SMA
///////


if LongShort =="Long Only" and AboveBelowL == "Above" and MAs1 == "SMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and close>vwma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
if LongShort =="Long Only" and  AboveBelowL == "Below" and MAs1 == "SMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and  close<vwma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))

if LongShort =="Long Only" and  AboveBelowL == "Don't Include" and MAs1 == "SMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) )
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
///////
    
if LongShort =="Short Only" and  AboveBelowS == "Above" and MAs2 == "SMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close>vwma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,SMAlenS))
    
if LongShort =="Short Only" and  AboveBelowS == "Below" and MAs2 == "SMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close<vwma(close,TrendLength))
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))

if LongShort =="Short Only" and  AboveBelowS == "Don't Include" and MAs2 == "SMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))

///////
    
if LongShort =="Both" and AboveBelowL == "Above" and MAs1 == "SMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and close>vwma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
if LongShort =="Both" and  AboveBelowL == "Below" and MAs1 == "SMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) and  close<vwma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,SMAlenL))

if LongShort =="Both" and  AboveBelowL == "Don't Include" and MAs1 == "SMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<sma(close,SMAlenL) )
    strategy.close("LONG", when = close>sma(close,SMAlenL))
    
    
if LongShort =="Both" and  AboveBelowS == "Above" and MAs2 == "SMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close>vwma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,SMAlenS))
    
if LongShort =="Both" and  AboveBelowS == "Below" and MAs2 == "SMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) and close<vwma(close,TrendLength))
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))

if LongShort =="Both" and  AboveBelowS == "Don't Include" and MAs2 == "SMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>sma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<sma(close,SMAlenS))  

///////
/////// EMA
///////

if LongShort =="Long Only" and AboveBelowL == "Above" and MAs1 == "EMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and close>vwma(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
if LongShort =="Long Only" and  AboveBelowL == "Below" and MAs1 == "EMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and  close<vwma(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))

if LongShort =="Long Only" and  AboveBelowL == "Don't Include" and MAs1 == "EMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) )
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
///////
    
if LongShort =="Short Only" and  AboveBelowS == "Above" and MAs2 == "EMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close>vwma(close,TrendLength))
    strategy.close("SHORT", when = close<ema(close,SMAlenS))
    
if LongShort =="Short Only" and  AboveBelowS == "Below" and MAs2 == "EMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close<vwma(close,TrendLength))
    strategy.close("SHORT",  when = close<ema(close,SMAlenS))

if LongShort =="Short Only" and  AboveBelowS == "Don't Include" and MAs2 == "EMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) )
    strategy.close("SHORT",  when = close<ema(close,SMAlenS))

///////
    
if LongShort =="Both" and AboveBelowL == "Above" and MAs1 == "EMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and close>vwma(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
if LongShort =="Both" and  AboveBelowL == "Below" and MAs1 == "EMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) and  close<vwma(close,TrendLength))
    strategy.close("LONG", when = close>ema(close,SMAlenL))

if LongShort =="Both" and  AboveBelowL == "Don't Include" and MAs1 == "EMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<ema(close,SMAlenL) )
    strategy.close("LONG", when = close>ema(close,SMAlenL))
    
    
if LongShort =="Both" and  AboveBelowS == "Above" and MAs2 == "EMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close>vwma(close,TrendLength))
    strategy.close("SHORT", when = close<ema(close,SMAlenS))
    
if LongShort =="Both" and  AboveBelowS == "Below" and MAs2 == "EMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) and close<vwma(close,TrendLength))
    strategy.close("SHORT",  when = close<ema(close,SMAlenS))

if LongShort =="Both" and  AboveBelowS == "Don't Include" and MAs2 == "EMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>ema(close,SMAlenS) )
    strategy.close("SHORT",  when = close<ema(close,SMAlenS)) 



///////
/////// VWMA
///////

if LongShort =="Long Only" and AboveBelowL == "Above" and MAs1 == "VWMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and close>vwma(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
if LongShort =="Long Only" and  AboveBelowL == "Below" and MAs1 == "VWMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and  close<vwma(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))

if LongShort =="Long Only" and  AboveBelowL == "Don't Include" and MAs1 == "VWMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) )
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
///////
    
if LongShort =="Short Only" and  AboveBelowS == "Above" and MAs2 == "VWMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close>vwma(close,TrendLength))
    strategy.close("SHORT", when = close<vwma(close,SMAlenS))
    
if LongShort =="Short Only" and  AboveBelowS == "Below" and MAs2 == "VWMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close<vwma(close,TrendLength))
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS))

if LongShort =="Short Only" and  AboveBelowS == "Don't Include" and MAs2 == "VWMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS))

///////
    
if LongShort =="Both" and AboveBelowL == "Above" and MAs1 == "VWMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and close>vwma(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
if LongShort =="Both" and  AboveBelowL == "Below" and MAs1 == "VWMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) and  close<vwma(close,TrendLength))
    strategy.close("LONG", when = close>vwma(close,SMAlenL))

if LongShort =="Both" and  AboveBelowL == "Don't Include" and MAs1 == "VWMA" and TLma == "VWMA"
    strategy.entry("LONG", true, when = buysetup and barssince(priceflip1!=PriceFlipL) and close<vwma(close,SMAlenL) )
    strategy.close("LONG", when = close>vwma(close,SMAlenL))
    
    
if LongShort =="Both" and  AboveBelowS == "Above" and MAs2 == "VWMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close>vwma(close,TrendLength))
    strategy.close("SHORT", when = close<vwma(close,SMAlenS))
    
if LongShort =="Both" and  AboveBelowS == "Below" and MAs2 == "VWMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) and close<vwma(close,TrendLength))
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS))

if LongShort =="Both" and  AboveBelowS == "Don't Include" and MAs2 == "VWMA" and TLma == "VWMA"
    strategy.entry("SHORT", false, when = sellsetup and barssince(priceflip!=PriceFlipS) and close>vwma(close,SMAlenS) )
    strategy.close("SHORT",  when = close<vwma(close,SMAlenS)) 

    
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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