VWAP تجارتی حکمت عملی اور حجم کی بے ضابطگی کی نگرانی

/*backtest
start: 2024-05-30 00:00:00
end: 2024-06-06 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("5 Anchored VWAP Strategy with Abnormally High Volume Candle", overlay=true)

// Initialize VWAP variables
var float vwap_open = na
var float vwap_high = na
var float vwap_low = na
var float vwap_high_volume = na

var float cum_v_open = 0
var float cum_v_high = 0
var float cum_v_low = 0
var float cum_v_high_volume = 0

var float cum_pv_open = 0
var float cum_pv_high = 0
var float cum_pv_low = 0
var float cum_pv_high_volume = 0

var float highest_volume = 0

// Initialize YTD high and low variables
var float ytd_high = na
var float ytd_low = na

// Parameters for abnormal volume detection
length = 20
volume_threshold = 2.0

// Displacement parameters
displacement_percentage = 0.01 // 1% displacement

// Calculate average volume
avg_volume = ta.sma(volume, length)

// Check if it's the first day of the year
is_first_day_of_year = year(time) != year(time[1])

// Reset YTD high and low on the first day of the year
if is_first_day_of_year
    ytd_high := high
    ytd_low := low

// Update YTD high and low
ytd_high := na(ytd_high) ? high : math.max(ytd_high, high)
ytd_low := na(ytd_low) ? low : math.min(ytd_low, low)

// Update cumulative variables for open VWAP
cum_v_open += volume
cum_pv_open += close * volume
if cum_v_open != 0
    vwap_open := cum_pv_open / cum_v_open

// Update cumulative variables for high VWAP
if high == ytd_high
    cum_v_high := 0
    cum_pv_high := 0

cum_v_high += volume
cum_pv_high += close * volume
if cum_v_high != 0
    vwap_high := cum_pv_high / cum_v_high

// Update cumulative variables for low VWAP
if low == ytd_low
    cum_v_low := 0
    cum_pv_low := 0

cum_v_low += volume
cum_pv_low += close * volume
if cum_v_low != 0
    vwap_low := cum_pv_low / cum_v_low

// Check for new high-volume candle that is also abnormally high and reset cumulative variables for high-volume VWAP
new_high_volume = false
if volume > highest_volume and volume > volume_threshold * avg_volume
    highest_volume := volume
    cum_v_high_volume := 0
    cum_pv_high_volume := 0
    new_high_volume := true

cum_v_high_volume += volume
cum_pv_high_volume += close * volume
if cum_v_high_volume != 0
    vwap_high_volume := cum_pv_high_volume / cum_v_high_volume

// Plot VWAPs
plot(vwap_open, color=color.red, linewidth=2, title="VWAP Open")
plot(vwap_high, color=color.green, linewidth=2, title="VWAP High")
plot(vwap_low, color=color.blue, linewidth=2, title="VWAP Low")
plot(vwap_high_volume, color=color.purple, linewidth=2, title="VWAP High Volume")

// Plot a vertical line on the chart only when a new high-volume VWAP anchor occurs
bgcolor(new_high_volume ? color.new(color.purple, 90) : na, offset=-1)

// Calculate displacement amounts
displacement_amount_open = vwap_open * displacement_percentage
displacement_amount_high = vwap_high * displacement_percentage
displacement_amount_low = vwap_low * displacement_percentage
displacement_amount_high_volume = vwap_high_volume * displacement_percentage

// Check for gaps on the opposite side of a VWAP
gap_up_opposite_open = na(close[1]) ? false : (open > close[1] and open < vwap_open and close[1] > vwap_open)
gap_down_opposite_open = na(close[1]) ? false : (open < close[1] and open > vwap_open and close[1] < vwap_open)

gap_up_opposite_high = na(close[1]) ? false : (open > close[1] and open < vwap_high and close[1] > vwap_high)
gap_down_opposite_high = na(close[1]) ? false : (open < close[1] and open > vwap_high and close[1] < vwap_high)

gap_up_opposite_low = na(close[1]) ? false : (open > close[1] and open < vwap_low and close[1] > vwap_low)
gap_down_opposite_low = na(close[1]) ? false : (open < close[1] and open > vwap_low and close[1] < vwap_low)

gap_up_opposite_high_volume = na(close[1]) ? false : (open > close[1] and open < vwap_high_volume and close[1] > vwap_high_volume)
gap_down_opposite_high_volume = na(close[1]) ? false : (open < close[1] and open > vwap_high_volume and close[1] < vwap_high_volume)

// RSI calculation for momentum change detection
rsi = ta.rsi(close, 14)
long_exit_condition = rsi > 70
short_exit_condition = rsi < 30

// Debugging Plots
plotshape(not gap_up_opposite_open and not gap_down_opposite_open and close > vwap_open and low < vwap_open - displacement_amount_open and close[1] < vwap_open, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small, title="Open Long Signal")
plotshape(not gap_up_opposite_open and not gap_down_opposite_open and close < vwap_open and high > vwap_open + displacement_amount_open and close[1] > vwap_open, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small, title="Open Short Signal")

plotshape(not gap_up_opposite_high and not gap_down_opposite_high and close > vwap_high and low < vwap_high - displacement_amount_high and close[1] < vwap_high, style=shape.triangledown, location=location.abovebar, color=color.blue, size=size.small, title="High Long Signal")
plotshape(not gap_up_opposite_high and not gap_down_opposite_high and close < vwap_high and high > vwap_high + displacement_amount_high and close[1] > vwap_high, style=shape.triangleup, location=location.belowbar, color=color.orange, size=size.small, title="High Short Signal")

plotshape(not gap_up_opposite_low and not gap_down_opposite_low and close > vwap_low and low < vwap_low - displacement_amount_low and close[1] < vwap_low, style=shape.triangledown, location=location.abovebar, color=color.purple, size=size.small, title="Low Long Signal")
plotshape(not gap_up_opposite_low and not gap_down_opposite_low and close < vwap_low and high > vwap_low + displacement_amount_low and close[1] > vwap_low, style=shape.triangleup, location=location.belowbar, color=color.yellow, size=size.small, title="Low Short Signal")

plotshape(not gap_up_opposite_high_volume and not gap_down_opposite_high_volume and close > vwap_high_volume and low < vwap_high_volume - displacement_amount_high_volume and close[1] < vwap_high_volume, style=shape.triangledown, location=location.abovebar, color=color.teal, size=size.small, title="High Volume Long Signal")
plotshape(not gap_up_opposite_high_volume and not gap_down_opposite_high_volume and close < vwap_high_volume and high > vwap_high_volume + displacement_amount_high_volume and close[1] > vwap_high_volume, style=shape.triangleup, location=location.belowbar, color=color.fuchsia, size=size.small, title="High Volume Short Signal")

// Trading signals based on VWAP support/resistance with displacement, no gaps on the opposite side, and bounce conditions
if not gap_up_opposite_open and not gap_down_opposite_open
    if (close > vwap_open and low < vwap_open)
        if close > open
            strategy.entry("Long_Open_Wick", strategy.long, comment="Wick")
        else
            strategy.entry("Long_Open_Crossover", strategy.long, comment="Crossover")
    
    if (close < vwap_open and high > vwap_open)
        if close < open
            strategy.entry("Short_Open_Wick", strategy.short, comment="Wick")
        else
            strategy.entry("Short_Open_Crossover", strategy.short, comment="Crossover")

if not gap_up_opposite_high and not gap_down_opposite_high
    if (close > vwap_high and low < vwap_high)
        if close > open
            strategy.entry("Long_High_Wick", strategy.long, comment="Wick")
        else
            strategy.entry("Long_High_Crossover", strategy.long, comment="Crossover")
    
    if (close < vwap_high and high > vwap_high)
        if close < open
            strategy.entry("Short_High_Wick", strategy.short, comment="Wick")
        else
            strategy.entry("Short_High_Crossover", strategy.short, comment="Crossover")

if not gap_up_opposite_low and not gap_down_opposite_low
    if (close > vwap_low and low < vwap_low)
        if close > open
            strategy.entry("Long_Low_Wick", strategy.long, comment="Wick")
        else
            strategy.entry("Long_Low_Crossover", strategy.long, comment="Crossover")
    
    if (close < vwap_low and high > vwap_low)
        if close < open
            strategy.entry("Short_Low_Wick", strategy.short, comment="Wick")
        else
            strategy.entry("Short_Low_Crossover", strategy.short, comment="Crossover")

if not gap_up_opposite_high_volume and not gap_down_opposite_high_volume
    if (close > vwap_high_volume and low < vwap_high_volume)
        if close > open
            strategy.entry("Long_High_Volume_Wick", strategy.long, comment="Wick")
        else
            strategy.entry("Long_High_Volume_Crossover", strategy.long, comment="Crossover")
    
    if (close < vwap_high_volume and high > vwap_high_volume)
        if close < open
            strategy.entry("Short_High_Volume_Wick", strategy.short, comment="Wick")
        else
            strategy.entry("Short_High_Volume_Crossover", strategy.short, comment="Crossover")

// Exit trades based on RSI momentum change
if strategy.position_size > 0 and long_exit_condition
    strategy.close("Long_Open_Wick")
    strategy.close("Long_Open_Crossover")
    strategy.close("Long_High_Wick")
    strategy.close("Long_High_Crossover")
    strategy.close("Long_Low_Wick")
    strategy.close("Long_Low_Crossover")
    strategy.close("Long_High_Volume_Wick")
    strategy.close("Long_High_Volume_Crossover")

if strategy.position_size < 0 and short_exit_condition
    strategy.close("Short_Open_Wick")
    strategy.close("Short_Open_Crossover")
    strategy.close("Short_High_Wick")
    strategy.close("Short_High_Crossover")
    strategy.close("Short_Low_Wick")
    strategy.close("Short_Low_Crossover")
    strategy.close("Short_High_Volume_Wick")
    strategy.close("Short_High_Volume_Crossover")