Strategi Pengesanan Momentum Jangkauan

Penulis:ChaoZhang, Tarikh: 2023-09-14 15:10:46
Tag:

Logika Strategi

Strategi ini menggabungkan rentang, momentum dan penunjuk trend untuk menangkap trend jangka pendek.

Mengira julat harga dalam tempoh (tinggi dikurangkan rendah) dan meluruskannya untuk mendapatkan penunjuk julat halus.
Mengira penunjuk momentum seperti lengkung Hull dalam satu jangka masa. lengkung Hull berkesan dalam mengukur arah trend jangka pendek dan kekuatan.
Apabila penunjuk julat halus berubah warna (contohnya merah menjadi hijau), ia menandakan julat yang berkembang, dan entri panjang diambil jika lengkung Hull sejajar (contohnya menunjuk ke atas).
Apabila julat yang dihaluskan membalik warna (contohnya hijau ke merah), ia menandakan julat kontrak, dan entri pendek jika diambil jika lengkung Hull sejajar (contohnya menunjuk ke bawah).
Tambahkan mekanisme stop loss mengikut trend seperti keluar panjang jika lengkung Hull bertukar ke bawah.

Memperluas julat dengan momentum hala tuju membolehkan menangkap trend jangka pendek dengan cepat.

Kelebihan

Menggabungkan pelbagai penunjuk untuk isyarat yang kukuh
Jangkauan mengukur pengembangan, momentum memberi arah
Memulihkan peluang jangka pendek dengan cepat

Risiko

Cenderung terperangkap, perlu berhenti tepat pada masanya
Kekerapan perdagangan yang lebih tinggi bermakna lebih banyak kos
Kurang berkesan dalam jarak sampingan yang panjang

Ringkasan

Strategi ini menggunakan pelbagai penunjuk teknikal untuk dengan cepat memanfaatkan trend jangka pendek. Berbanding dengan strategi jangka panjang, ia diperdagangkan lebih kerap untuk menangkap perubahan harga. Hentian yang ketat diperlukan untuk mengawal risiko.

/*backtest
start: 2023-01-01 00:00:00
end: 2023-04-30 00:00:00
period: 4h
basePeriod: 15m
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/
// © flygalaxies

// Strategy based on the Follow Line Indicator by Dreadblitz, Hull Suite by InSilico and Range Filter Buy and Sell 5 min by guikroth
// Designed for the purpose of back testing
// Strategy:
//  - When the Range Filter Color Changes, And the HULL Suite is in that direction, Enter In that direction
//  - e.g Range Filter Changes color from red to green, and Hull Suite is in Green. Enter Long
//  - e.g Range Filter Changes color from green to red, and Hull Suite is in red. Enter Short
//
// Credits:
// Hull Suite by InSilico  https://www.tradingview.com/u/InSilico/
// Range Filter Buy and Sell 5 min https://www.tradingview.com/u/guikroth/
// Follow Line Indicator by Dreadblitz https://www.tradingview.com/u/Dreadblitz/
// Follow line not used at this moment

//@version=5
strategy("Follow The Ranging Hull", overlay=true, initial_capital = 50000)




////////////////////
// COLOR INPUTS ///
//////////////////
rngFilterColorUp = input.color(title="Range Filter Color Up", defval = color.green, group="Color")
rngFilterColorDown = input.color(title="Range Filter Color Up", defval = color.red, group="Color")
hullColorUp = input.color(title="Hull Color Up", defval = color.green, group="Color")
hullColorDown = input.color(title="Hull Color Up", defval = color.red, group="Color")
fliColorUp = input.color(title="Follow Line Color Up", defval = color.green, group="Color")
fliColorDown = input.color(title="Follow Line Color Up", defval = color.red, group="Color")
    

///////////////////////////
// Range Filter INPUTS ///
/////////////////////////
src = input(defval=ohlc4, title="Source", group="Range Filter")
per = input.int(defval=33, minval=1, title="Sampling Period", group="Range Filter")
mult = input.float(defval=2.1, minval=0.1, title="Range Multiplier", group="Range Filter", step=0.1)

/////////////////////////
// Hull Suite INPUTS ///
///////////////////////
srcHull = input(close, title="Source", group="Hull Suite")
modeSwitch = input("Ehma", title="Hull Variation", options=["Hma", "Thma", "Ehma"], group="Hull Suite")
length = input(55, title="Length(180-200 for floating S/R , 55 for swing entry)")
switchColor = input(true, "Color Hull according to trend?", group="Hull Suite")
visualSwitch  = input(true, title="Show as a Band?", group="Hull Suite")
thicknesSwitch = input(1, title="Line Thickness", group="Hull Suite")
transpSwitch = input.int(40, title="Band Transparency",step=5, group="Hull Suite")

//////////////////////////
// FOLLOW LINE INPUTS ///
////////////////////////
BBperiod      = input.int(defval = 21, title = "BB Period", minval = 1)
BBdeviations  = input.float(defval = 1.00, title = "BB Deviations", minval = 0.1, step=0.05)
UseATRfilter  = input.bool(defval = true, title = "ATR Filter")
ATRperiod     = input.int(defval = 5, title = "ATR Period", minval = 1)
hl            = input.bool(defval = false, title = "Hide Labels")

//////////////////////////
// Range Filter Logic ///
////////////////////////

smoothrng(x, t, m) =>
    wper = t * 2 - 1
    avrng = ta.ema(math.abs(x - x[1]), t)
    smoothrng = ta.ema(avrng, wper) * m
    smoothrng
smrng = smoothrng(src, per, mult)

rngfilt(x, r) =>
    rngfilt = x
    rngfilt := x > nz(rngfilt[1]) ? x - r < nz(rngfilt[1]) ? nz(rngfilt[1]) : x - r : 
       x + r > nz(rngfilt[1]) ? nz(rngfilt[1]) : x + r
    rngfilt
filt = rngfilt(src, smrng)

upward = 0.0
upward := filt > filt[1] ? nz(upward[1]) + 1 : filt < filt[1] ? 0 : nz(upward[1])
downward = 0.0
downward := filt < filt[1] ? nz(downward[1]) + 1 : filt > filt[1] ? 0 : nz(downward[1])

filtcolor = upward > 0 ? rngFilterColorUp : downward > 0 ? rngFilterColorDown : color.orange

filtplot = plot(filt, color=filtcolor, linewidth=3, title="Range Filter")

////////////////////////
// Hull Suite Logic ///
//////////////////////


HMA(_srcHull, _length) =>  ta.wma(2 * ta.wma(_srcHull, _length / 2) - ta.wma(_srcHull, _length), math.round(math.sqrt(_length)))
EHMA(_srcHull, _length) =>  ta.ema(2 * ta.ema(_srcHull, _length / 2) - ta.ema(_srcHull, _length), math.round(math.sqrt(_length)))
THMA(_srcHull, _length) =>  ta.wma(ta.wma(_srcHull,_length / 3) * 3 - ta.wma(_srcHull, _length / 2) - ta.wma(_srcHull, _length), _length)

Mode(modeSwitch, src, len) =>
      modeSwitch == "Hma"  ? HMA(src, len) :
      modeSwitch == "Ehma" ? EHMA(src, len) : 
      modeSwitch == "Thma" ? THMA(src, len/2) : na

_hull = Mode(modeSwitch, src, int(length))
HULL =  _hull
MHULL = HULL[0]
SHULL = HULL[2]

hullColor = switchColor ? (HULL > HULL[2] ? hullColorUp : hullColorDown) : #ff9800
Fi1 = plot(MHULL, title="MHULL", color=hullColor, linewidth=thicknesSwitch, transp=50)
Fi2 = plot(visualSwitch ? SHULL : na, title="SHULL", color=hullColor, linewidth=thicknesSwitch, transp=50)

fill(Fi1, Fi2, title="Band Filler", color=hullColor, transp=transpSwitch)


/////////////////////////
// Follow Line Logic ///
///////////////////////
BBUpper=ta.sma (close,BBperiod)+ta.stdev(close, BBperiod)*BBdeviations
BBLower=ta.sma (close,BBperiod)-ta.stdev(close, BBperiod)*BBdeviations

TrendLine = 0.0
iTrend = 0.0
buy = 0.0
sell = 0.0

BBSignal = close>BBUpper? 1 : close<BBLower? -1 : 0

if BBSignal == 1 and UseATRfilter == 1
    TrendLine:=low-ta.atr(ATRperiod)
    if TrendLine<TrendLine[1] 
        TrendLine:=TrendLine[1]
if BBSignal == -1 and UseATRfilter == 1
    TrendLine:=high+ta.atr(ATRperiod)
    if TrendLine>TrendLine[1]
        TrendLine:=TrendLine[1]
if BBSignal == 0 and UseATRfilter == 1
    TrendLine:=TrendLine[1]
//
if BBSignal == 1 and UseATRfilter == 0
    TrendLine:=low
    if TrendLine<TrendLine[1] 
        TrendLine:=TrendLine[1]
if BBSignal == -1 and UseATRfilter == 0
    TrendLine:=high
    if TrendLine>TrendLine[1]
        TrendLine:=TrendLine[1]
if BBSignal == 0 and UseATRfilter == 0
    TrendLine:=TrendLine[1]
//
iTrend:=iTrend[1]
if TrendLine>TrendLine[1] 
    iTrend:=1
if TrendLine<TrendLine[1] 
    iTrend:=-1
//
buy:=iTrend[1]==-1 and iTrend==1 ? 1 : na
sell:=iTrend[1]==1 and iTrend==-1? 1 : na
//
plot(TrendLine, color=iTrend > 0? fliColorUp : fliColorDown ,style=plot.style_line,linewidth=2,transp=0,title="Trend Line") 
plotshape(buy == 1 and hl == false? TrendLine-ta.atr(8) :na, text='💣', style= shape.labelup, location=location.absolute, color=color.blue, textcolor=color.white, offset=0, transp=0,size=size.auto)
plotshape(sell == 1 and hl == false ?TrendLine+ta.atr(8):na, text='🔨', style=shape.labeldown, location=location.absolute, color=color.red, textcolor=color.white, offset=0, transp=0,size=size.auto)



if(true)
    // RANGE FILTER ENTRY LONG WITH HULL
    // if(filtcolor[1] == rngFilterColorDown and filtcolor == rngFilterColorUp)
    strategy.entry("rngFiltLong", strategy.long, when = buy == 1 and hl == false)
    // RANGE FILTER ENTRY SHORT WITH HULL
    // if(filtcolor[1] == rngFilterColorUp and filtcolor == rngFilterColorDown)
    strategy.entry("rngFiltShort", strategy.short, when = sell == 1 and hl == false)
        
    
    // strategy.close("rngFiltLong", when = HULL < HULL[2] )
    // strategy.close("rngFiltShort", when = HULL > HULL[2] )

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