Двунаправленная стратегия отслеживания тренда перемещающейся средней перекрестности
Автор:Чао Чжан, Дата: 2023-11-23 15:26:25Тэги:
Обзор
Эта стратегия рассчитывает двунаправленные сглаженные скользящие средние в сочетании с индикатором тренда для реализации автоматизированной стратегии перекрестного торгового отслеживания трендов.
Логика стратегии
- Вычислять двунаправленные сглаженные скользящие средние цены активов, включая скользящую среднюю открытой цены и скользящую среднюю закрытой цены.
- Использовать коэффициент корреляции и индикатор ATR для расчета индикатора ценовой тенденции.
- Комбинируйте индикатор ценовой тенденции с двунаправленными скользящими средними для получения общего суждения о тренде.
- Продолжительная позиция, когда открытая скользящая средняя цена пересекает пересечение сверх скользящей средней цены закрытия; закрыть позицию, когда пересекается ниже.
- Пройти длинный курс только тогда, когда индикатор тренда также указывает на восходящий тренд; короткий курс только тогда, когда индикатор тренда указывает на понижающий тренд.
Преимущества
- Двухнаправленные скользящие средние отслеживают тенденции более плавно и стабильно.
- Индикатор тренда помогает лучше определить направление тренда и избежать неправильных сделок.
- Кроссоверы дают более четкие торговые сигналы.
- Настраиваемая плавность с помощью настройки параметров, чтобы соответствовать более широкой рыночной среде.
- Многократное перекрестное подтверждение между показателями помогает избежать ложных сигналов.
Риски
- Риск отсутствия реверсии в переломные моменты тренда может быть смягчен путем настройки скользящих средних периодов.
- У скользящих средних есть задержка, нужно подтверждение от индикатора тренда.
- Неправильные периоды скользящей средней могут привести к переоценке или отсутствию хороших записей.
- Для адаптации к различным временным рамкам и рынкам необходима широкая оптимизация параметров.
Улучшения
- Проверьте больше типов скользящих средних.
- Попробуйте другие типы индикаторов тренда.
- Оптимизировать параметры скользящих средних и показателей тренда.
- Включите другие показатели, такие как волатильность.
- Добавьте стратегии стоп-лосса.
Заключение
С настройкой параметров эта многомерная стратегия тренда может последовательно отслеживать долгосрочные тенденции с относительно низким риском. Но будьте осторожны с перенастройкой. В целом она обеспечивает долгосрочное отслеживание тренда с контролируемыми рисками и стоит дальнейших исследований и применения.
/*backtest
start: 2022-11-22 00:00:00
end: 2023-11-22 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//Author Josef Tainsh PhD 6Sept2020
//USE STUDY FOR ALERTS WITH AUTO TRADING BOT
//study(title = "Open Close Crossover for BOT Alerts", shorttitle = "OCC for BOT Alerts",overlay = true)
//USE STRATEGY TO FIT THE MOVING AVERAGE AND THE TREND FITS BY MINIMISING LOSS (OR MAXIMISING PROFITS)
//NOT THAT STRATEGIES RARELY SHOW A PROFIT ALSO THE STRATEGIES USE THE CROSS OVER ON THE MOVING AVERAGE TO ENTER A POSITION
strategy(title = "OCC Trend Combo 1 day BTC Moonflag", overlay = true, initial_capital=1000, commission_type=strategy.commission.percent, commission_value=0.2, default_qty_type = strategy.percent_of_equity, default_qty_value=100, pyramiding=0, calc_on_order_fills=false)
//CalcOnTick = true
//calc_on_every_tick = false
// Function for coders who want to offer their users a repainting/no-repainting version of the HTF data.
// It has the advantage of using only one `security()` call for both.
f_security(_symbol, _res, _src, _repaint) => security(_symbol, _res, _src[_repaint ? 0 : barstate.isrealtime ? 1 : 0])[_repaint ? 0 : barstate.isrealtime ? 0 : 1]
/////////////////////////////////////////////////////////////////////////////
// === BASE FUNCTIONS ===
/////////////////////////////////////////////////////////////////////////////
//This function returns true if execution is at the start of a new bar (so the last bar is previous close where alerts are determined)
is_newBar(stratRes) =>
t = time(stratRes)
not na(t) and (na(t[1]) or t > t[1])
///////////////////////////////////////////////////////////////////////////////////////////////////
// Returns MA input selection variant, default to SMA if blank or typo.
variant(type, src, len, offSig, offALMA) =>
v1 = sma(src, len) // Simple
v2 = ema(src, len) // Exponential
v3 = 2 * v2 - ema(v2, len) // Double Exponential
v4 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len) // Triple Exponential
v5 = wma(src, len) // Weighted
v6 = vwma(src, len) // Volume Weighted
v7 = na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len // Smoothed
v8 = wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len))) // Hull
v9 = linreg(src, len, offSig) // Least Squares
v10 = alma(src, len, offALMA, offSig) // Arnaud Legoux
type=="EMA"?v2 : type=="DEMA"?v3 : type=="TEMA"?v4 : type=="WMA"?v5 : type=="VWMA"?v6 : type=="SMMA"?v7 : type=="HullMA"?v8 : type=="LSMA"?v9 : type=="ALMA"?v10 : v1
/////////////////////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////
//SAMPLE SETTINGS FOR THE TREND INDICATOR FUNCTION
//1MIN 31, 0.2 (+-12%)
//timeResForTrend_1min = 1, [bLongs_1min, oscLongs_1min] = functionTrend(timeResForTrend_1min,31, 0.2)
//plot(bLongs1_1min,"Trend Indicator", color=oscLongs_1min == 1 ? color.blue :#e65100,linewidth=3,transp=0)
//OTHER 20, 0.2 5min(LONG -5%, SHORT -4%), 10min(LONG -17%, SHORT -6%), 60min(long +16%, SHORT )
//timeResForTrend_Not1min = XXXX, [bLongs_Not1Min, oscLongs_Not1Min] = functionTrend(timeResForTrend_Not1min,20, 0.2)
//plot(bLongs5_Not1Min,"Trend Indicator", color=oscLongs_Not1Min == 1 ? color.blue :#e65100,linewidth=3,transp=0)
/////////////////////////////////////////////
functionTrend(trendRes_Function,length_Function,sc_Function)=>
b_Function =0.
ls_Function = 0.
src_Function = sc_Function*security(syminfo.tickerid, trendRes_Function, close)+(1-sc_Function)*nz(ls_Function[1],security(syminfo.tickerid, trendRes_Function, close))
if (is_newBar(trendRes_Function)==false)
src_Function := src_Function[1]
er_Function = 1 - abs(change(src_Function,length_Function))/sum(abs(change(src_Function)),length_Function)
n_Function = cum(1)-1
a_Function = cum(abs(src_Function - nz(b_Function[1],src_Function)))/n_Function*(1+er_Function)
b_Function := src_Function > nz(b_Function[1],src_Function) + a_Function ? src_Function : src_Function < nz(b_Function[1],src_Function) - a_Function ? src_Function : nz(b_Function[1],src_Function)
alpha_Function = fixnan(correlation(src_Function,b_Function,length_Function) * (stdev(src_Function,length_Function)/stdev(b_Function,length_Function)))
beta_Function = sma(src_Function,length_Function) - alpha_Function*sma(b_Function,length_Function)
ls_Function := alpha_Function*b_Function+beta_Function
osc_Function = 0
osc_Function := b_Function > b_Function[1] ? 1 : b_Function < b_Function[1] ? 0 : osc_Function[1]
if (is_newBar(trendRes_Function)==false)
er_Function := er_Function[1]
n_Function := n_Function[1]
a_Function := a_Function[1]
b_Function := b_Function[1]
alpha_Function := alpha_Function[1]
beta_Function := beta_Function[1]
ls_Function := ls_Function[1]
osc_Function := osc_Function[1]
[b_Function, osc_Function]
/////////////////////////////////////////////////////////////////
pine_atr(length,stratRes_atr) =>
trueRange = max(max(security(syminfo.tickerid, stratRes_atr, high) - security(syminfo.tickerid, stratRes_atr, low), abs(security(syminfo.tickerid, stratRes_atr, high) - security(syminfo.tickerid, stratRes_atr, close[1]))), abs(security(syminfo.tickerid, stratRes_atr, low) - security(syminfo.tickerid, stratRes_atr, close[1])))
sum = 0.0
sum := (trueRange + (length - 1) * nz(sum[1])) / length
sum
//////////////////////////////////////////////////////////////////////////////////////////////
//STOP LOSS AND TAKE PROFIT
//ALSO NEEDS TO BE ACTIVATED IN THE STRATEGY
//long_tp_inp = input(1000, title='Long Take Profit %', step=0.1)/100/// Long Take Profit
//long_sl_inp = input(5, title='Long Stop Loss %', step=0.1)/100/// Long Stop Loss
//short_tp_inp = input(75, title='Short Take Profit %', step=0.1)/100/// Short Take Profit
//short_sl_inp = input(5, title='Short Stop Loss %', step=0.1)/100/// Short Stop Loss
//long_take_level = strategy.position_avg_price * (1 + long_tp_inp)
//long_stop_level = strategy.position_avg_price * (1 - long_sl_inp)
//short_take_level = strategy.position_avg_price * (1 - short_tp_inp)
//short_stop_level = strategy.position_avg_price * (1 + short_sl_inp)
//plot(long_take_level, color=color.green)
//plot(long_stop_level, color=color.red)
//plot(short_take_level, color=color.green)
//plot(short_stop_level, color=color.red)
//////////////////////////////////////////
//oneMinChartTrend = input(title="One Min Chart, TrendRes[ATR(15), Corr(18)]",defval=false)
//fourHourChartTrendLongsOnly = input(title="Four Hour Chart, Longs, Choppy TrendRes[ATR(5), Corr{60)]",defval=false)
//oneHourChartTrendShortsOnly = input(title="One Hour Chart Trend, Shorts, TrendRes[ATR(15), Corr(10)]",defval=false)
//oneMDayChartTrend = input(title="One Day Chart Longs best, Shorts poor, TrendRes[ATR(25), Corr(60)]",defval=false)
trendRes_ATR = input(title="ATR Trend Resolution: (mins)", defval="60", options=["1","2","3","5", "7", "9", "10", "11", "12", "15", "20", "25", "30", "45", "60", "90", "120", "180", "240", "1D", "3D"], type = input.resolution)
Length = input(title="ATR Trend Length",defval=15, minval=1)
Multiplier = input(title="ATR Trend Multiplier",defval=6, minval=1) //avgTR = wma(atr(1), Length)
trendRes = input(title="Correlation Trend Resolution: (mins)", defval="120", options=["1","2","3","5", "7", "9", "10", "11", "12", "15", "20", "25", "30", "45", "60", "90", "120", "180", "240", "1D", "3D"], type = input.resolution)
lengthTrend = input(24, "Correlation Trend Length (eg 28 for 1 hour)")
scTrend = input(.2, "Correlation Trend Tuner (0 to 1)", step=0.1)
trendCombination = input(.2, "Trend Combination Tuner (0 to 1): 0=all ATR, 1 = all Corr", step=0.1)
//with sl
//1day longs only (works also with shorts)
//20,10,20,10 ___ 25,15,6,60, 24, 0.2, 0.4
//1min chart, long and short -70% but visible trend
//1.5, 1.5, 1.5, 1.5____15,7,2,10,12,0.5,0.4
//if (oneMinChartTrend)
// trendRes_ATR := "15"
// trendRes := "10"
// Length := 7
// Multiplier := 2
// lengthTrend := 12
// scTrend := 0.5
// trendCombination := 0.4
//choppy region with chart on 4hour
//with sl long only - shorts at -2% could not get a positive result with shorts, only when ma crosses through after a run up
//longs on 4h 8%
//2.7, 2, 2,1,___5,15,6,60,21,0.2, 0.4
//if (fourHourChartTrendLongsOnly)
// trendRes_ATR := "5"
// trendRes := "60"
// Length := 15
// Multiplier := 6
// lengthTrend := 21
// scTrend := 0.2
// trendCombination := 0.4
//shorts on 1h -30% but only shorts to catch are when the MA after a long run with lots of green turns red when pops out of back of price action with a long drop
//in this case use the trend indicator to stop the run after a long while
//not sure about sl and tp but
//3.7,2, 3.7,2, _15,11,5,10,17,0.8, 0.3
//if (oneHourChartTrendShortsOnly)
// trendRes_ATR := "15"
// trendRes := "10"
// Length := 11
// Multiplier := 5
// lengthTrend := 17
// scTrend := 0.8
// trendCombination := 0.3
//1day longs only
//20,10,20,10 _25,15,6,60, 24, 0.2, 0.4
//if (oneMDayChartTrend)
// trendRes_ATR := "25"
// trendRes := "60"
// Length := 15
// Multiplier := 6
// lengthTrend := 24
// scTrend := 0.2
// trendCombination := 0.4
//This shows 111% since start of 2020, and 323% since the start of 2020
//1day longs only
//100,3,?,? _25,15,6,60, 24, 0.2, 0.5 (longs only) (300% back to 2019)
//?,?,60,0.3 _25,15,6,60, 24, 0.2, 0.5 (shorts only) (50% back to 2019)
//A take profit with the shorts worked, but the long had >100% in some runs
//The stop loss on the long did not really have any effect however, with the shorts a stop loss of 0.3% heloed
//However, the algo on the chart was the daily close and not sure if this works in the same way when calculating all the time on new ticks
//if (oneMDayChartTrend)
// trendRes_ATR := "25"
// trendRes := "60"
// Length := 15
// Multiplier := 6
// lengthTrend := 24
// scTrend := 0.2
// trendCombination := 0.4
//This shows 37% since the start of 2019, a few big wins with lots of small losses, much more trades than just with longs (46 compared to 2)
//[retA, posA] = trendATR(trendRes_ATR)
//plot(retA, color= color.blue , title="Second Trend Identifier")
//plot(retA, color= color.white , title="ATR Trend")
////////////////////////////////////////////////////////////////////////////////////////////
//THE TREND TRADER OVERLAY WHICH COLOURS THE BARS
avgTR = wma(pine_atr(1, trendRes_ATR), Length)
highestC = highest(Length)
lowestC = lowest(Length)
hiLimit = highestC[1]-(avgTR[1] * Multiplier)
loLimit = lowestC[1]+(avgTR[1] * Multiplier)
closeA =security(syminfo.tickerid, trendRes_ATR, close)
ret=0.
ret := iff(closeA > hiLimit and closeA > loLimit, hiLimit, iff(closeA < loLimit and closeA < hiLimit, loLimit, nz(ret[1], 0)))
pos=0.
pos := iff(closeA > ret, 1, iff(closeA < ret, -1, nz(pos[1], 0)))
//barcolor(pos == -1 ? color.red: pos == 1 ? color.green : color.blue )
//plot(ret, color= color.white , title="ATR Trend")
////////////////////////////////////////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////////////////
// === END BASE FUNCTIONS ===
/////////////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////////////
//SET THE RESOLUTION AND INPUT CHARAGERISTICS FOR THE TREND INDICATOR
/////////////////////////////////////////////////////////////////////////
[bTrend, oscTrend] = functionTrend(trendRes,lengthTrend, scTrend)
cssTrend = oscTrend == 1 ? color.blue :#e65100
//plot(bTrend,"Trend Indicator", color=cssTrend[1],linewidth=3,transp=0)//bgcolor(oscLongs < 0 ? color.green : color.red, transp=82)
//plot(bLongs,"Trend Indicator", color=cssLongs,linewidth=3,transp=0)//bgcolor(oscLongs < 0 ? color.green : color.red, transp=82)
//alertcondition(change(oscTrend)>0,title="New Up Trend",message="New Up Trend")
//alertcondition(change(oscTrend)<0,title="New Down Trend",message="New Down Trend")
////////////////////////////////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////////////////////////////////
//TREND COMBINATION
///////////////////////////////////////////////////////////////////////////////////////////////
trendCombinationVal = (ret - bTrend) * trendCombination + bTrend//ret := iff(closeA > hiLimit and closeA > loLimit, hiLimit, iff(closeA < loLimit and closeA < hiLimit, loLimit, nz(ret[1], 0)))
posTrendCombination=0.
posTrendCombination := iff(closeA >= trendCombinationVal, 1, iff(closeA < trendCombinationVal, -1, nz(posTrendCombination[1], 0)))
//barcolor(posTrendCombination[1] == -1 ? color.red: posTrendCombination[1] == 1 ? color.green : color.blue )
posTrendCombinationColor = posTrendCombination == 1 ? color.blue :#e65100
plot(trendCombinationVal, color= posTrendCombinationColor[2] ,linewidth=3 , title="Trend Combo")
barcolor(posTrendCombinationColor[1])
//////////////////////////////////////////////////////////////////////////////////////////////
// === INPUTS ===
//DEFAULT SETTINGS BELOW ARE FOR 15MIN CHART TIMEFRAME, FOR THE DAYILY TIMEFRAME ON CHART AND ALGO USE SMA 29PERIOD
//MA RESOLUTION IS SET TO PREDEFINED VALUES THERE ARE A LOT MISSING WHICH MIGHT BE VERY IMPORTANT CONSIDER HAVING AN INTEGER FOR THE MINUTES
stratRes = input(defval = "1D", title = "Set MA Resolution ( note run alerts on 1min chart )", type = input.resolution)
basisType = input(title="MA Type: ", defval="ALMA", options=["SMA", "EMA", "DEMA", "TEMA", "WMA", "VWMA", "SMMA", "HullMA", "LSMA", "ALMA"], type = input.string)
basisLen = input(defval = 18, title = "MA Period", minval = 1)
offsetSigma = input(defval = 1, title = "Offset for LSMA / Sigma for ALMA (6 is large)", minval = 0)
offsetALMA = input(defval = 0.88, title = "Alma Offset (between 0 and 1, 0.99 = resposive, 0.01 = smooth)", minval = 0, step = 0.01)
//ignoreSmallCrossOvers = input(defval = 0, title = "Ignore Small Cross Over if $USD Less Than", minval = 0)
so = security(syminfo.tickerid, stratRes, open, lookahead=barmerge.lookahead_on)
sh = security(syminfo.tickerid, stratRes, high, lookahead=barmerge.lookahead_on)
sl1 = security(syminfo.tickerid, stratRes, low, lookahead=barmerge.lookahead_on)
sc = security(syminfo.tickerid, stratRes, close, lookahead=barmerge.lookahead_on)
br= so != so[1] and sc != sc[1] and sh != sh[1] and sl1 != sl1[1]
col= so > sc ? color.red : color.green
a1=na(br) ? so : na
a2=na(br) ? sh : na
a3=na(br) ? sl1 : na
a4=na(br) ? sc : na
p1=plot(a1,"MTF Open", color.white, style = plot.style_linebr, transp = 100, editable = false)
p2=plot(a2,"MTF High", color.black, style=plot.style_linebr, transp = 100, editable = false)
p3=plot(a3,"MTF Low", color.black, style=plot.style_linebr, transp = 100, editable = false)
p4=plot(a4, "MTF Close", col, style=plot.style_linebr, transp = 100, editable = false)
fill(p1,p4,col, transp = 100, editable = false)
fill(p2,p3,color.silver, transp = 100, editable = false)
reso(exp, res) => security(syminfo.tickerid, res, exp, lookahead=barmerge.lookahead_on)
closeSeries = reso(variant(basisType, close, basisLen, offsetSigma, offsetALMA), stratRes)
openSeries = reso(variant(basisType, open, basisLen, offsetSigma, offsetALMA), stratRes)
//6HOUR CHART 1 DAY TIMEFRAME BACK TO 2019
//SMA (19) , 360% 300%LONGS 60% SHORTS
//alma (38,,0.86) 560% (400% LONGS, 28%SHORTS) 20TRADES
//If there are any crossovers in a bar, how many are there
//Just one crossover might signify a change in trend for the given timeframe
//Lots of crossovers might signify a sidewards trend which this algo does not work well with
crossOverInBar = crossover(closeSeries, openSeries)
crossUnderInBar = crossunder(closeSeries, openSeries)
crossedOverOrUnderInBar = crossOverInBar or crossUnderInBar
trendState=false
trendState := closeSeries > openSeries ? true : closeSeries < openSeries ? false : trendState[1]
//closePlot = plot(closeSeries, title = "Close Line", color = #009900, linewidth = 2, style = plot.style_line, transp = 100, editable = false)
//openPlot = plot(openSeries, title = "Open Line", color = #CC0000, linewidth = 2, style = plot.style_line, transp = 100, editable = false)
closePlot = plot(closeSeries, title = "Close Line", color = #009900, linewidth = 2, style = plot.style_line)
openPlot = plot(openSeries, title = "Open Line", color = #CC0000, linewidth = 2, style = plot.style_line)
closePlotU = plot(trendState ? closeSeries : na, transp = 100, editable = false)
openPlotU = plot(trendState ? openSeries : na, transp = 100, editable = false)
closePlotD = plot(trendState ? na : closeSeries, transp = 100, editable = false)
openPlotD = plot(trendState ? na : openSeries, transp = 100, editable = false)
fill(openPlotU, closePlotU, title = "MA Up Trend", color = #009900, transp = 0)
fill(openPlotD, closePlotD, title = "MA Down Trend", color = #CC0000, transp = 0)
// === /PLOTTING ===
coLor = closeSeries > openSeries ? color.green : color.red
hclose = plot(closeSeries, title="Close Series", color = coLor, linewidth = 1, transp = 100, editable = false)
hopen = plot(openSeries, title="Open Series", color = coLor, linewidth = 1, transp = 100, editable = false)
//longCond = crossover(closeSeries, openSeries)
//shortCond = crossunder(closeSeries, openSeries)
openLongCond = false
openShortCond = false
closeLongCond = false
closeShortCond = false
longCondLastBarClose = false
longCondLastBarClose := nz(longCondLastBarClose[1], false)
longCondThisBarClose = false
crossOver = false
if (is_newBar(stratRes))
longCondThisBarClose := closeSeries[1] >= openSeries[1] //+ ignoreSmallCrossOvers
if (longCondLastBarClose != longCondThisBarClose)
crossOver := true
longCondLastBarClose := longCondThisBarClose
longCondCrossOver = false
shortCondCrossOver = false
if (crossOver)
longCondCrossOver := longCondThisBarClose
shortCondCrossOver := not longCondThisBarClose
openLongCond := longCondCrossOver
openShortCond := shortCondCrossOver
closeLongCond := shortCondCrossOver
closeShortCond := longCondCrossOver
//ACTIVATE THIS TO STRATEGY TEST THE CORRELATION COMBINATION
//CORRELATION TREND
//longCondTrend=change(oscTrend)>0
//shortCondTrend=change(oscTrend)<0
//openLongCond := longCondTrend
//openShortCond := shortCondTrend
//closeLongCond := shortCondTrend
//closeShortCond := longCondTrend
////ACTIVATE THIS TO STRATEGY TEST THE ATR TREND
//longCondATRTrend = pos==1
//shortCondATRTrend = pos==-1
//openLongCond := longCondATRTrend
//openShortCond := shortCondATRTrend
//closeLongCond := shortCondATRTrend
//closeShortCond := longCondATRTrend
//ACTIVATE THIS TO STRATEGY TEST THE TREND COMBINATION
//TREND COMBINATION
//longCondTrendCombination = posTrendCombination==1
//shortCondTrendCombination = posTrendCombination==-1
//openLongCond := longCondTrendCombination
//openShortCond := shortCondTrendCombination
//closeLongCond := shortCondTrendCombination
//closeShortCond := longCondTrendCombination
//posTrendCombinationColor = posTrendCombination == 1 ? color.blue :#e65100
//Only get into a trade when both conditions are satisfied
//Get out of a trade when either conidition is satisfied
///////////////// LONG //////////////////
isEntry_Long = false
isEntry_Long := nz(isEntry_Long[1], false)
isExit_Long = false
isExit_Long := nz(isExit_Long[1], false)
entry_long = not isEntry_Long[1] and openLongCond
exit_long = not isExit_Long and closeLongCond
if (entry_long)
isEntry_Long := true
isExit_Long := false
if (exit_long)
isEntry_Long := false
isExit_Long := true
entry_long := entry_long
exit_long := exit_long
///////////// SHORT ///////////////////////////
isEntry_Short = false
isEntry_Short := nz(isEntry_Short[1], false)
isExit_Short = false
isExit_Short := nz(isExit_Short[1], false)
entry_short = not isEntry_Short[1] and openShortCond
exit_short = not isExit_Short and closeShortCond
if (entry_short)
isEntry_Short := true
isExit_Short := false
if (exit_short)
isEntry_Short := false
isExit_Short := true
entry_short := entry_short
exit_short := exit_short
//////////////////////////////////////////////////
//plotshape(series=entry_long, text="OpenLong", style=shape.triangleup, location=location.belowbar, color=color.white, size=size.small)
//plotshape(series=exit_long, text="ExitLong",style=shape.triangledown, location=location.belowbar, color=color.white, size=size.small)
//plotshape(series=entry_short, text="OpenShort", style=shape.triangledown, location=location.abovebar, color=color.white, size=size.small)
//plotshape(series=exit_short, text="ExitShort",style=shape.triangleup, location=location.abovebar, color=color.white, size=size.small)
//Alerts are for the study mode
alertcondition(entry_long, title="Enter Long")
alertcondition(entry_short, title="Enter Short")
alertcondition(exit_long, title="Exit Long")
alertcondition(exit_short, title="Exit Short")
/////////////////////////////////////////////////////////////
//TO TEST THE STRATEGY
///////////////////////////////////////////////////////////
/// PERIOD - This is for the strategy mode///
testStartYear = input(2019, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2020, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
testPeriod() => true
includeLongTrades=input(title="Include Long Trades", defval = true, type=input.bool)
includeShortTrades=input(title="Include Short Trades", defval = false, type=input.bool)
entry_long := entry_long and includeLongTrades
exit_long := exit_long and includeLongTrades
entry_short := entry_short and includeShortTrades
exit_short := exit_short and includeShortTrades
//if testPeriod()
// if (entry_long)
// strategy.close("ENTRY_SHORT", comment="close short")
// strategy.entry("ENTRY_LONG", strategy.long, oca_name="oca1", comment="open long")
// if (exit_long)
// strategy.close("ENTRY_LONG", comment="close long")
// if (entry_short)
// strategy.close("ENTRY_LONG", comment="close long")
// strategy.entry("ENTRY_SHORT", strategy.short, oca_name="oca1", comment="open short")
// if (exit_short)
// strategy.close("ENTRY_SHORT", comment="close short")
if testPeriod()
if (entry_long)
strategy.close("ENTRY_SHORT", comment="close short")
strategy.entry("ENTRY_LONG", strategy.long, oca_name="oca1", comment="open long")
if (exit_long)
strategy.close("ENTRY_LONG", comment="close long")
if (entry_short)
strategy.close("ENTRY_LONG", comment="close long")
strategy.entry("ENTRY_SHORT", strategy.short, oca_name="oca1", comment="open short")
if (exit_short)
strategy.close("ENTRY_SHORT", comment="close short")
//STOP LOSS AND TAKE PROFIT
//if (close < long_stop_level or close > long_take_level)
// strategy.close("ENTRY_LONG", comment="close long SL/TP")
//if (close > short_stop_level or close < short_take_level)
// strategy.close("ENTRY_SHORT", comment="close short SL/TP")
//closeNowA =0.
//closeNow = security(syminfo.tickerid, "1", close)
//closeNowA := closeNow
//if (is_newBar("1")==false)
// closeNowA := closeNowA[1]
//plot (closeNowA)
////if (openLongCond)
//if (closeNowA < long_stop_level or closeNowA > long_take_level)
// strategy.close("ENTRY_LONG", comment="close long SL/TP")
////if (openShortCond)
//if (closeNowA > short_stop_level or closeNowA < short_take_level)
// strategy.close("ENTRY_SHORT", comment="close short SL/TP")
//if (strategy.position_avg_price)
//strategy.entry(id="Long", long=true, when=entry_long)
//strategy.exit("Take Profit/ Stop Loss","Long", stop=long_stop_level, limit=long_take_level)
//strategy.close(id="Long", when=exit_long, comment = "ExitLong TP/SL")
//strategy.entry(id="Short", short=true, when=entry_short)
//strategy.exit("Take Profit/ Stop Loss","Long", stop=short_stop_level, limit=short_take_level)
//strategy.close(id="Short", when=exit_short, comment = "ExitShort TP/SL")
//if testPeriod()
// if (entry_long)
// strategy.close("ENTRY_SHORT", comment="josef.tainsh@gmail.com_EXIT-SHORT_BINANCE-FUTURES_BTC/USDT_josef.tainsh@gmail.com-BOT-NAME_3M")
// strategy.entry("ENTRY_LONG", strategy.long, oca_name="oca1", comment="josef.tainsh@gmail.com_ENTER-LONG_BINANCE-FUTURES_BTC/USDT_josef.tainsh@gmail.com-BOT-NAME_3M")
// if (exit_long)
// strategy.close("ENTRY_LONG", comment="josef.tainsh@gmail.com_EXIT-LONG_BINANCE-FUTURES_BTC/USDT_josef.tainsh@gmail.com-BOT-NAME_3M")
// if (entry_short)
// strategy.close("ENTRY_LONG", comment="josef.tainsh@gmail.com_EXIT-LONG_BINANCE-FUTURES_BTC/USDT_josef.tainsh@gmail.com-BOT-NAME_3M")
// strategy.entry("ENTRY_SHORT", strategy.short, oca_name="oca1", comment="josef.tainsh@gmail.com_ENTER-SHORT_BINANCE-FUTURES_BTC/USDT_josef.tainsh@gmail.com-BOT-NAME_3M")
// if (exit_short)
// strategy.close("ENTRY_SHORT", comment="josef.tainsh@gmail.com_EXIT-SHORT_BINANCE-FUTURES_BTC/USDT_josef.tainsh@gmail.com-BOT-NAME_3M")
// if (close < long_stop_level or close > long_take_level)
// strategy.close("ENTRY_LONG", comment="josef.tainsh@gmail.com_EXIT-LONG_BINANCE-FUTURES_BTC/USDT_josef.tainsh@gmail.com-BOT-NAME_3M")
// if (close > short_stop_level or close < short_take_level)
// strategy.close("ENTRY_SHORT", comment="josef.tainsh@gmail.com_EXIT-SHORT_BINANCE-FUTURES_BTC/USDT_josef.tainsh@gmail.com-BOT-NAME_3M")
//strategy.cancel(id="ENTRY_LONG")
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