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Strategi purata bergerak pelbagai jangka masa

Penulis:ChaoZhang, Tarikh: 2023-11-01 16:37:17
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/*backtest
start: 2023-01-01 00:00:00
end: 2023-06-16 00:00:00
period: 1h
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/
// © maxits
//@version=4

// MACD Divergence + Multi Time Frame EMA
// This Strategy uses 3 indicators: the Macd and two emas in different time frames
// The configuration of the strategy is:
// Macd standar configuration (12, 26, 9) in 1H resolution
// 10 periods ema, in 1H resolution
// 5 periods ema, in 15 minutes resolution

// We use the two emas to filter for long and short positions. 
// If 15 minutes ema is above 1H ema, we look for long positions
// If 15 minutes ema is below 1H ema, we look for short positions 

// We can use an aditional filter using a 100 days ema, so when the 15' and 1H emas are above the daily ema we take long positions
// Using this filter improves the strategy 

// We wait for Macd indicator to form a divergence between histogram and price
// If we have a bullish divergence, and 15 minutes ema is above 1H ema, we wait for macd line to cross above signal line and we open a long position
// If we have a bearish divergence, and 15 minutes ema is below 1H ema, we wait for macd line to cross below signal line and we open a short position

// We close both position after a cross in the oposite direction of macd line and signal line
// Also we can configure a Take profit parameter and a trailing stop loss


// strategy("Macd + MTF EMA",
//          overlay=true,
//          initial_capital=1000,
//          default_qty_value=20,
//          default_qty_type=strategy.percent_of_equity,
//          commission_value=0.1,
//          pyramiding=0)

// User Inputs
i_time          = input(defval = timestamp("01 Apr 2018 13:30 +0000"), title = "Start Time",  type = input.time)    // Starting  time for backtest
f_time          = input(defval = timestamp("30 Sep 2021 13:30 +0000"), title = "Finish Time", type = input.time)    // Finishing time for backtest

long_pos        = input(title="Show Long Positions",  defval=true, type=input.bool)                                 // Enable Long  Positions
short_pos       = input(title="Show Short Positions", defval=true, type=input.bool)                                 // Enable Short Positions
src             = input(close, title="Source")                                                                      // Price value to calculate indicators

emas_properties = input(title="============ EMAS Properties ============", defval=false, type=input.bool)           // Properties

mtf_15          = input(title="Fast EMA", type=input.resolution, defval="15")                                         // Resolucion para MTF EMA 15 minutes
ma_15_length    = input(5, title = "Fast EMA Period")                                                              // MTF EMA 15 minutes Length
mtf_60          = input(title="Slow EMA", type=input.resolution, defval="60")                                         // Resolucion para MTF EMA 60 minutes
ma_60_length    = input(10, title = "Slow EMA Period")                                                              // MTF EMA 60 minutes Length

e_new_filter    = input(title="Enable a Third Ema filter?", defval=true, type=input.bool) 
slowest_ema_len = input(100, title = "Fast EMA Period")
slowest_ema_res = input(title="Slowest EMA", type=input.resolution, defval="D")
macd_res        = input(title="MACD TimeFrame", type=input.resolution, defval="")                                   // MACD Time Frame

macd_properties = input(title="============ MACD Properties ============", defval="")                               // Properties

fast_len        = input(title="Fast Length", type=input.integer, defval=12)                                         // Fast MA Length
slow_len        = input(title="Sign Length", type=input.integer, defval=26)                                         // Sign MA Length
sign_len        = input(title="Sign Length", type=input.integer, defval=9) 

syst_properties = input(title="============ System Properties ============", defval="")                             // Properties

lookback        = input(title="Lookback period", type=input.integer, defval=14, minval=1)                            // Candles to lookback for swing high or low
multiplier      = input(title="Profit Multiplier based on Stop Loss", type=input.float, defval=6.0, minval=0.1)     // Profit multiplier based on stop loss
shortStopPer    = input(title="Short Stop Loss Percentage", type=input.float, defval=1.0, minval=0.0)/100           
longStopPer     = input(title="Long Stop Loss Percentage",  type=input.float, defval=2.0, minval=0.0)/100


// Indicators

[macd, signal, hist] = security(syminfo.tickerid, macd_res, macd(src, fast_len, slow_len, sign_len))
ma_15  = security(syminfo.tickerid, mtf_15, ema(src, ma_15_length))
ma_60  = security(syminfo.tickerid, mtf_60, ema(src, ma_60_length))
ma_slo = security(syminfo.tickerid, slowest_ema_res, ema(src, slowest_ema_len))

// Macd Plot

col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350

plot(macd,   color=color.new(color.blue, 0))              // Solo para visualizar que se plotea correctamente
plot(signal, color=color.new(color.orange, 0))
plot(hist,   style=plot.style_columns,
     color=(hist >= 0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : 
     (hist[1] < hist ? col_grow_below : col_fall_below)))


// MTF EMA Plot
 
bullish_filter = e_new_filter ? ma_15 > ma_60 and ma_60 > ma_slo : ma_15 > ma_60 
bearish_filter = e_new_filter ? ma_15 < ma_60 and ma_60 < ma_slo : ma_15 < ma_60
    
plot(ma_15,  color=color.new(color.blue, 0))
plot(ma_60,  color=color.new(color.yellow, 0))
plot(e_new_filter ? ma_slo : na, color = ma_60 > ma_slo ? color.new(color.green, 0) : color.new(color.red, 0))

////////////////////////////////////////////// Logic For Divergence

zero_cross = false                                     
zero_cross := crossover(hist,0) or crossunder(hist,0)  //Cruce del Histograma a la linea 0
// plot(zero_cross ? 1 : na)

// MACD DIVERGENCE TOPS (Bearish Divergence) 

highest_top  = 0.0
highest_top := (zero_cross == true ? 0.0 : (hist > 0 and hist > highest_top[1] ? hist : highest_top[1]))
prior_top    = 0.0
prior_top   := (crossunder(hist,0) ? highest_top[1] : prior_top[1])  // Búsqueda del Maximo en MACD
// plot(highest_top)
// plot(prior_top)

highest_top_close  = 0.0
highest_top_close := (zero_cross == true ? 0.0 : (hist > 0 and hist > highest_top[1] ? close : highest_top_close[1]))
prior_top_close    = 0.0
prior_top_close   := (crossunder(hist,0) ? highest_top_close[1] : prior_top_close[1]) // Búsqueda del Maximo en pRECIO
// plot(highest_top_close)
// plot(prior_top_close)

top = false 
top := highest_top[1] < prior_top[1]
     and highest_top_close[1] > prior_top_close[1]
     and hist < hist[1]
     and crossunder(hist,0)                         // Bearish Divergence: top == true 


// MACD DIVERGENCE BOTTOMS (Bullish Divergence) 

lowest_bottom  = 0.0
lowest_bottom := (zero_cross == true ? 0.0 : (hist < 0 and hist < lowest_bottom[1] ? hist : lowest_bottom[1]))
prior_bottom   = 0.0
prior_bottom  := (crossover(hist,0) ? lowest_bottom[1] : prior_bottom[1])

lowest_bottom_close = 0.0
lowest_bottom_close := (zero_cross == true ? 0.0 : (hist < 0 and hist < lowest_bottom[1] ? close : lowest_bottom_close[1]))
prior_bottom_close = 0.0
prior_bottom_close := (crossover(hist,0) ? lowest_bottom_close[1] : prior_bottom_close[1])

bottom = false
bottom := lowest_bottom[1] > prior_bottom[1]
     and lowest_bottom_close[1] < prior_bottom_close[1]
     and hist > hist[1]
     and crossover(hist,0)                              // Bullish Divergence: bottom == true 


////////////////////////////////////////////// System Conditions //////////////////////////////////////////////

inTrade     = strategy.position_size != 0       // In Trade
longTrade   = strategy.position_size  > 0       // Long position
shortTrade  = strategy.position_size  < 0       // Short position
notInTrade  = strategy.position_size == 0       // No trade
entryPrice  = strategy.position_avg_price       // Position Entry Price

////////////////////////////////////////////// Long Conditions //////////////////////////////////////////////

sl = lowest(low, lookback)                  // Swing Low for Long Entry

longStopLoss    = 0.0                       // Trailing Stop Loss calculation
longStopLoss   := if (longTrade)
    astopValue  = sl * (1 - longStopPer)
    max(longStopLoss[1], astopValue)
else
    0

longTakeProf  = 0.0                         // Profit calculation based on stop loss
longTakeProf := if (longTrade)
    profitValue = entryPrice + (entryPrice - longStopLoss) * multiplier
    max(longTakeProf[1], profitValue)
else
    0
    
// Long Entry Conditions

if bottom and notInTrade and bullish_filter and long_pos
    strategy.entry(id="Go Long", long=strategy.long, comment="Long Position")

// strategy.close(id="Go Long", when=zero_cross)

if longTrade
    strategy.exit("Exit Long", "Go Long", limit = longTakeProf, stop = longStopLoss)

plot(longTrade and longStopLoss ? longStopLoss  : na, title="Long Stop Loss",  color=color.new(color.red, 0),   style=plot.style_linebr)
plot(longTrade and longTakeProf ? longTakeProf  : na, title="Long Take Prof",  color=color.new(color.green, 0), style=plot.style_linebr)

////////////////////////////////////////////// Short Conditions //////////////////////////////////////////////

sh = highest(high, lookback) // Swing High for Short Entry

shortStopLoss  = 0.0 
shortStopLoss := if (shortTrade)
    bstopValue = sh * (1 + shortStopPer)
    min(shortStopLoss[1], bstopValue)
else 
    999999
    
shortTakeProf    = 0.0    
shortTakeProf   := if (shortTrade)
    SprofitValue = entryPrice - (shortStopLoss - entryPrice) * multiplier
    min(SprofitValue, shortTakeProf[1])
else 
    999999
    
// Short Entry
if top and notInTrade and bearish_filter and short_pos
    strategy.entry(id="Go Short", long=strategy.short, comment="Short Position")

// strategy.close(id="Go Short", when=zero_cross)

if shortTrade
    strategy.exit("Exit Short", "Go Short", limit = shortTakeProf, stop = shortStopLoss)


plot(shortTrade and shortStopLoss ? shortStopLoss : na, title="Short Stop Loss", color=color.new(color.red, 0),   style=plot.style_linebr)
plot(shortTrade and shortTakeProf ? shortTakeProf : na, title="Short Take Prof", color=color.new(color.green, 0), style=plot.style_linebr)

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