EMA + AROON + ASH

저자:차오장, 날짜: 2022-05-10 10:34:06
태그:EMA아론아쉬

Jh. " 각 지표에 대한 크레딧은 그들에게 속합니다. 나는 단지 몇 가지 추가 옵션, 설정, 등을 추가하기 위해 변경, 또한 PineScript 5에 모든 코드를 업데이트했습니다.

=== 전략 === 기본 설정은 이미 트레이드 킹이 요구하는 대로, 그래서 당신은 아무것도 변경할 필요가 없습니다. FOR LONGS (녹색 배경에는 LONG 항목이 표시됩니다.)

가격은 EMA보다 높아야 합니다.
올린 아론 크로스오버
부일시 절대 강도 히스토그램 라인은 베어시 라인의 위쪽에 있어야 합니다.

SHORTS (붉은 배경에는 SHORT 항목이 표시됩니다.)

가격은 EMA보다 낮아야 합니다.
베어리쉬 아론 크로스오버
하향 절대 강도 히스토그램 라인은 상승선 위에 있어야 합니다.

더 많은 정보를 얻기 위해 트레이드 킹의 유튜브 채널을 확인하십시오.

=== 일반 개선 === 파인스크립트 5로 업그레이드 몇 가지 성능 개선.

=== 개인 메모 === 이 전략의 저자는 5M 차트를 권장하지만 4H는 가장 좋습니다.

이 스크립트를 구성하는 지표의 저자와 이 전략을 만든 TRADE KING에게 다시 한 번 감사드립니다.

백테스트

/*backtest
start: 2022-04-09 00:00:00
end: 2022-05-08 23:59:00
period: 3m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/


// © JoseMetal
//@version=5

// 

//== Constantes
c_verde_radiactivo = color.rgb(0, 255, 0, 0)
c_verde            = color.rgb(0, 128, 0, 0)
c_verde_oscuro     = color.rgb(0, 80, 0, 0)
c_rojo_radiactivo  = color.rgb(255, 0, 0, 0)
c_rojo             = color.rgb(128, 0, 0, 0)
c_rojo_oscuro      = color.rgb(80, 0, 0, 0)




//== Funciones



//== Declarar estrategia y período de testeo
//strategy("EMA + AROON + ASH (TRADE KING's STRATEGY)", shorttitle="EMA + AROON + ASH (TRADE KING's STRATEGY)", overlay=true, initial_capital=10000, pyramiding=0, default_qty_value=10, default_qty_type=strategy.percent_of_equity, commission_type=strategy.commission.percent, commission_value=0.00075, max_labels_count=500, max_bars_back=1000)
//fecha_inicio     = input.time(timestamp("1 Jan 2000"), title="• Start date", group="Test period", inline="periodo_de_pruebas")
vela_en_fecha    = true
posicion_abierta = strategy.position_size != 0
LONG_abierto     = strategy.position_size > 0
SHORT_abierto    = strategy.position_size < 0

//== Condiciones de entrada y salida de estrategia
GRUPO_P           = "Positions"
P_permitir_LONGS  = input.bool(title="¿LONGS?", group=GRUPO_P, defval=true)
P_permitir_SHORTS = input.bool(title="¿SHORTS?", group=GRUPO_P, defval=true)

GRUPO_TPSL   = "TP y SL"
TPSL_TP_pivot_lookback = input.int(title="• SL lookback for pivot / Mult. TP", group=GRUPO_TPSL, defval=20, minval=1, step=1, inline="tp_sl")
TPSL_SL_mult = input.float(title="", group=GRUPO_TPSL, defval=2.0, minval=0.1, step=0.2, inline="tp_sl")



//== Inputs de indicadores
// EMA
GRUPO_EMA  = "Exponential Moving Average (EMA)"
EMA_length = input.int(200, minval=1, title="Length", group=GRUPO_EMA)
EMA_src    = input(close, title="Source", group=GRUPO_EMA)
EMA = ta.ema(EMA_src, EMA_length)

// Aroon
GRUPO_Aroon = "Aroon"
Aroon_length = input.int(title="• Length", group=GRUPO_Aroon, defval=20, minval=1)
Aroon_upper = 100 * (ta.highestbars(high, Aroon_length+1) + Aroon_length) / Aroon_length
Aroon_lower = 100 * (ta.lowestbars(low, Aroon_length+1) + Aroon_length) / Aroon_length

// ASH
GRUPO_ASH = "Absolute Strength Histogram v2 | jh"
ASH_Length = input(9, title='Period of Evaluation', group=GRUPO_ASH)
ASH_Smooth = input(3, title='Period of Smoothing', group=GRUPO_ASH)
ASH_src = input(close, title='Source')
ASH_Mode = input.string(title='Indicator Method', defval='RSI', options=['RSI', 'STOCHASTIC', 'ADX'])
ASH_ma_type = input.string(title='MA', defval='WMA', options=['ALMA', 'EMA', 'WMA', 'SMA', 'SMMA', 'HMA'])
ASH_alma_offset = input.float(defval=0.85, title='* Arnaud Legoux (ALMA) Only - Offset Value', minval=0, step=0.01)
ASH_alma_sigma = input.int(defval=6, title='* Arnaud Legoux (ALMA) Only - Sigma Value', minval=0)

_MA(type, src, len) =>
    float result = 0
    if type == 'SMA'  // Simple
        result := ta.sma(src, len)
        result
    if type == 'EMA'  // Exponential
        result := ta.ema(src, len)
        result
    if type == 'WMA'  // Weighted
        result := ta.wma(src, len)
        result
    if type == 'SMMA'  // Smoothed
        w = ta.wma(src, len)
        result := na(w[1]) ? ta.sma(src, len) : (w[1] * (len - 1) + src) / len
        result
    if type == 'HMA'  // Hull
        result := ta.wma(2 * ta.wma(src, len / 2) - ta.wma(src, len), math.round(math.sqrt(len)))
        result
    if type == 'ALMA'  // Arnaud Legoux
        result := ta.alma(src, len, ASH_alma_offset, ASH_alma_sigma)
        result
    result

Price1 = _MA('SMA', ASH_src, 1)
Price2 = _MA('SMA', ASH_src[1], 1)

// RSI
Bulls0 = 0.5 * (math.abs(Price1 - Price2) + Price1 - Price2)
Bears0 = 0.5 * (math.abs(Price1 - Price2) - (Price1 - Price2))

// STOCHASTIC
Bulls1 = Price1 - ta.lowest(Price1, ASH_Length)
Bears1 = ta.highest(Price1, ASH_Length) - Price1

// ADX
Bulls2 = 0.5 * (math.abs(high - high[1]) + high - high[1])
Bears2 = 0.5 * (math.abs(low[1] - low) + low[1] - low)

Bulls = ASH_Mode == 'RSI' ? Bulls0 : ASH_Mode == 'STOCHASTIC' ? Bulls1 : Bulls2
Bears = ASH_Mode == 'RSI' ? Bears0 : ASH_Mode == 'STOCHASTIC' ? Bears1 : Bears2
AvgBulls = _MA(ASH_ma_type, Bulls, ASH_Length)
AvgBears = _MA(ASH_ma_type, Bears, ASH_Length)

SmthBulls = _MA(ASH_ma_type, AvgBulls, ASH_Smooth)
SmthBears = _MA(ASH_ma_type, AvgBears, ASH_Smooth)

difference = math.abs(SmthBulls - SmthBears)



//== Cálculo de condiciones
EMA_alcista = close > EMA
EMA_bajista = close < EMA
Aroon_cruce_alcista = ta.crossover(Aroon_upper, Aroon_lower)
Aroon_cruce_bajista = ta.crossunder(Aroon_upper, Aroon_lower)
ASH_alcista = SmthBulls > SmthBears
ASH_bajista = SmthBulls < SmthBears

//== Entrada (deben cumplirse todas para entrar)
longCondition1  = EMA_alcista
longCondition2  = Aroon_cruce_alcista
longCondition3  = ASH_alcista
long_conditions = longCondition1 and longCondition2 and longCondition3
entrar_en_LONG  = P_permitir_LONGS and long_conditions and vela_en_fecha and not posicion_abierta

shortCondition1  = EMA_bajista
shortCondition2  = Aroon_cruce_bajista
shortCondition3  = ASH_bajista
short_conditions = shortCondition1 and shortCondition2 and shortCondition3
entrar_en_SHORT  = P_permitir_SHORTS and short_conditions and vela_en_fecha and not posicion_abierta

var LONG_stop_loss    = 0.0
var LONG_take_profit  = 0.0
var SHORT_stop_loss   = 0.0
var SHORT_take_profit = 0.0

//psl = ta.pivotlow(TPSL_TP_pivot_lookback, TPSL_TP_pivot_lookback)
//psh = ta.pivothigh(TPSL_TP_pivot_lookback, TPSL_TP_pivot_lookback)
psl = ta.lowest(TPSL_TP_pivot_lookback)
psh = ta.highest(TPSL_TP_pivot_lookback)

if (entrar_en_LONG)
    LONG_stop_loss   := psl - close*0.001
    LONG_take_profit := close + ((close - LONG_stop_loss) * TPSL_SL_mult)
    strategy.entry("+ Long", strategy.long)
    strategy.exit("- Long", "+ Long", limit=LONG_take_profit, stop=LONG_stop_loss)

if (entrar_en_SHORT)
    SHORT_stop_loss   := psh + close*0.001
    SHORT_take_profit := close - ((SHORT_stop_loss - close) * TPSL_SL_mult)
    strategy.entry("+ Short", strategy.short)
    strategy.exit("- Short", "+ Short", limit=SHORT_take_profit, stop=SHORT_stop_loss)



//== Ploteo en pantalla
// EMA
plot(EMA, color=color.white, linewidth=2)

// Símbolo de entrada (entre o no en compra)
bgcolor = color.new(color.black, 100)

if (entrar_en_LONG or entrar_en_SHORT)
    bgcolor := color.new(color.green, 90)

bgcolor(bgcolor)

// Precio de compra, Take Profit, Stop Loss y relleno
avg_position_price_plot = plot(series=posicion_abierta ? strategy.position_avg_price : na, color=color.new(color.white, 25), style=plot.style_linebr, linewidth=2, title="Precio Entrada")

LONG_tp_plot            = plot(LONG_abierto and LONG_take_profit > 0.0 ? LONG_take_profit : na, color=color.new(color.lime, 25), style=plot.style_linebr, linewidth=3, title="LONG Take Profit")
LONG_sl_plot            = plot(LONG_abierto and LONG_stop_loss > 0.0 ? LONG_stop_loss : na, color=color.new(color.red, 25), style=plot.style_linebr, linewidth=3, title="Long Stop Loss")
fill(avg_position_price_plot, LONG_tp_plot, color=color.new(color.olive, 85))
fill(avg_position_price_plot, LONG_sl_plot, color=color.new(color.maroon, 85))

SHORT_tp_plot            = plot(SHORT_abierto and SHORT_take_profit > 0.0 ? SHORT_take_profit : na, color=color.new(color.lime, 25), style=plot.style_linebr, linewidth=3, title="SHORT Take Profit")
SHORT_sl_plot            = plot(SHORT_abierto and SHORT_stop_loss > 0.0 ? SHORT_stop_loss : na, color=color.new(color.red, 25), style=plot.style_linebr, linewidth=3, title="Short Stop Loss")
fill(avg_position_price_plot, SHORT_tp_plot, color=color.new(color.olive, 85))
fill(avg_position_price_plot, SHORT_sl_plot, color=color.new(color.maroon, 85))