二重信頼価格ショック定量戦略

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 22/04/2019
// This is combo strategies for get 
// a cumulative signal. Result signal will return 1 if two strategies 
// is long, -1 if all strategies is short and 0 if signals of strategies is not equal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Secon strategy
// The Absolute Price Oscillator displays the difference between two exponential 
// moving averages of a security's price and is expressed as an absolute value.
// How this indicator works
//    APO crossing above zero is considered bullish, while crossing below zero is bearish.
//    A positive indicator value indicates an upward movement, while negative readings 
//      signal a downward trend.
//    Divergences form when a new high or low in price is not confirmed by the Absolute Price 
//      Oscillator (APO). A bullish divergence forms when price make a lower low, but the APO 
//      forms a higher low. This indicates less downward momentum that could foreshadow a bullish 
//      reversal. A bearish divergence forms when price makes a higher high, but the APO forms a 
//      lower high. This shows less upward momentum that could foreshadow a bearish reversal.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos

AbsolutePriceOscillator(LengthShortEMA, LengthLongEMA) =>
    xPrice = close
    xShortEMA = ema(xPrice, LengthShortEMA)
    xLongEMA = ema(xPrice, LengthLongEMA)
    xAPO = xShortEMA - xLongEMA
    pos = 0.0    
    pos := iff(xAPO > 0, 1,
           iff(xAPO < 0, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal and Absolute Price Oscillator (APO)", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
LengthShortEMA = input(10, minval=1)
LengthLongEMA = input(20, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posAbsolutePriceOscillator = AbsolutePriceOscillator(LengthShortEMA, LengthLongEMA)
pos = iff(posReversal123 == 1 and posAbsolutePriceOscillator == 1 , 1,
	   iff(posReversal123 == -1 and posAbsolutePriceOscillator == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1, 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? red: possig == 1 ? green : blue )