Strategi ini menggunakan penunjuk EMA Zero Lag Adaptif untuk penentuan trend dan isyarat perdagangan. EMA adaptif secara dinamik menyesuaikan parameter untuk menghapuskan lag. Ia bertujuan untuk mengikuti trend.
Logik Strategi:
Mengira EMA Lag Zero Adaptif dengan algoritma adaptif cosinus dan I-Q.
EMA adalah EMA normal, EC adalah EMA adaptif tanpa lag.
Pergi panjang apabila EC melintasi di atas EMA, dan pendek apabila melintasi di bawah.
Mengira lengkung ralat dan menetapkan ambang untuk menapis isyarat palsu.
Gunakan titik tetap untuk stop loss dan mengambil keuntungan untuk kawalan risiko.
Kelebihan:
Adaptive EMA mengurangkan ketinggalan penunjuk dengan ketara.
Penapisan ambang meningkatkan kualiti isyarat dan mengelakkan gangguan palsu.
Perhentian dan sasaran mudah dilaksanakan.
Risiko:
Parameter EMA adaptif boleh menjadi tidak stabil.
Hentian / sasaran tetap gagal menyesuaikan diri dengan keadaan pasaran yang berubah.
Tidak ada had pada saiz kerugian, risiko kehilangan perdagangan besar.
Ringkasnya, strategi ini menggunakan EMA adaptif untuk mengikuti trend, mengurangkan lag ke tahap tertentu.
/*backtest
start: 2023-09-05 00:00:00
end: 2023-09-12 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy(title="Adaptive Zero Lag EMA v2 (w/ Backtest Date Range)", shorttitle="AZLEMA", overlay = true, commission_type=strategy.commission.cash_per_contract, slippage = 5, pyramiding=1, calc_on_every_tick=true)
src = input(title="Source", defval=close)
secType = input(title="Security Type", options=["Forex", "Metal Spot", "Cryptocurrency","Custom"], defval="Forex")
contracts = input(title="Custom # of Contracts", defval=1, step=1)
limit = input(title="Max Lots", defval=100)
Period = input(title="Period", defval = 20)
adaptive = input(title="Adaptive Method", options=["Off", "Cos IFM", "I-Q IFM", "Average"], defval="Cos IFM")
GainLimit = input(title="Gain Limit", defval = 8)
Threshold = input(title="Threshold", defval=0.05, step=0.01)
fixedSL = input(title="SL Points", defval=70)
fixedTP = input(title="TP Points", defval=10)
risk = input(title='Risk', defval=0.01, step=0.01)
// === INPUT BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear = input(defval = 2019, title = "From Year", minval = 2015)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear = input(defval = 9999, title = "To Year", minval = 2015)
// === FUNCTION EXAMPLE ===
start = timestamp(FromYear, FromMonth, FromDay, 00, 00) // backtest start window
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) // backtest finish window
window() => true
range = 50 //input(title="Max Period", defval=60, minval=8, maxval=100)
PI = 3.14159265359
lenIQ = 0.0
lenC = 0.0
//##############################################################################
//I-Q IFM
//##############################################################################
if(adaptive=="I-Q IFM" or adaptive=="Average")
imult = 0.635
qmult = 0.338
inphase = 0.0
quadrature = 0.0
re = 0.0
im = 0.0
deltaIQ = 0.0
instIQ = 0.0
V = 0.0
P = src - src[7]
inphase := 1.25*(P[4] - imult*P[2]) + imult*nz(inphase[3])
quadrature := P[2] - qmult*P + qmult*nz(quadrature[2])
re := 0.2*(inphase*inphase[1] + quadrature*quadrature[1]) + 0.8*nz(re[1])
im := 0.2*(inphase*quadrature[1] - inphase[1]*quadrature) + 0.8*nz(im[1])
if (re!= 0.0)
deltaIQ := atan(im/re)
for i=0 to range
V := V + deltaIQ[i]
if (V > 2*PI and instIQ == 0.0)
instIQ := i
if (instIQ == 0.0)
instIQ := nz(instIQ[1])
lenIQ := 0.25*instIQ + 0.75*nz(lenIQ[1])
//##############################################################################
//COSINE IFM
//##############################################################################
if(adaptive == "Cos IFM" or adaptive == "Average")
s2 = 0.0
s3 = 0.0
deltaC = 0.0
instC = 0.0
v1 = 0.0
v2 = 0.0
v4 = 0.0
v1 := src - src[7]
s2 := 0.2*(v1[1] + v1)*(v1[1] + v1) + 0.8*nz(s2[1])
s3 := 0.2*(v1[1] - v1)*(v1[1] - v1) + 0.8*nz(s3[1])
if (s2 != 0)
v2 := sqrt(s3/s2)
if (s3 != 0)
deltaC := 2*atan(v2)
for i = 0 to range
v4 := v4 + deltaC[i]
if (v4 > 2*PI and instC == 0.0)
instC := i - 1
if (instC == 0.0)
instC := instC[1]
lenC := 0.25*instC + 0.75*nz(lenC[1])
if (adaptive == "Cos IFM")
Period := round(lenC)
if (adaptive == "I-Q IFM")
Period := round(lenIQ)
if (adaptive == "Average")
Period := round((lenC + lenIQ)/2)
//##############################################################################
//ZERO LAG EXPONENTIAL MOVING AVERAGE
//##############################################################################
LeastError = 1000000.0
EC = 0.0
Gain = 0.0
EMA = 0.0
Error = 0.0
BestGain = 0.0
alpha =2/(Period + 1)
EMA := alpha*src + (1-alpha)*nz(EMA[1])
for i = -GainLimit to GainLimit
Gain := i/10
EC := alpha*(EMA + Gain*(src - nz(EC[1]))) + (1 - alpha)*nz(EC[1])
Error := src - EC
if(abs(Error)<LeastError)
LeastError := abs(Error)
BestGain := Gain
EC := alpha*(EMA + BestGain*(src - nz(EC[1]))) + (1-alpha)*nz(EC[1])
plot(EC, title="EC", color=orange, linewidth=2)
plot(EMA, title="EMA", color=red, linewidth=2)
//##############################################################################
//Trade Logic & Risk Management
//##############################################################################
buy = crossover(EC,EMA) and 100*LeastError/src > Threshold
sell = crossunder(EC,EMA) and 100*LeastError/src > Threshold
secScaler = secType == "Forex" ? 100000 : secType == "Metal Spot" ? 100 : secType == "Cryptocurrency" ? 10000 : secType == "Custom" ? contracts : 0
strategy.initial_capital = 50000
balance = strategy.initial_capital + strategy.netprofit
if (time>timestamp(2016, 1, 1 , 0, 0) and balance > 0)
//LONG
lots = ((risk * balance)/fixedSL)*secScaler
lots := lots > limit * secScaler ? limit * secScaler : lots
strategy.entry("BUY", strategy.long, oca_name="BUY", when=buy and window())
strategy.exit("B.Exit", "BUY", qty_percent = 100, loss=fixedSL, trail_offset=15, trail_points=fixedTP)
//SHORT
strategy.entry("SELL", strategy.short, oca_name="SELL",when=sell and window())
strategy.exit("S.Exit", "SELL", qty_percent = 100, loss=fixedSL, trail_offset=15, trail_points=fixedTP)