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Chiến lược giao thoa đa xu hướng

FastTrend = User selected fast trend indicator
SlowTrend = User selected slow trend indicator

if FastTrend > SlowTrend:
    Go long
if FastTrend < SlowTrend:
    Close position

/*backtest
start: 2023-08-21 00:00:00
end: 2023-09-20 00:00:00
period: 3h
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/
// @version=5
// Author = TradeAutomation


strategy(title="Multi Trend Cross Strategy Template", shorttitle="Multi Trend Cross Strategy", process_orders_on_close=true, overlay=true, commission_type=strategy.commission.cash_per_contract, commission_value=0.0035, initial_capital = 1000000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)


// Backtest Date Range Inputs // 
StartTime = input(defval=timestamp('01 Jan 2000 05:00 +0000'), group="Date Range", title='Start Time')
EndTime = input(defval=timestamp('01 Jan 2099 00:00 +0000'), group="Date Range", title='End Time')
InDateRange = true

// Trend Selector //
TrendSelectorInput = input.string(title="Fast Trend Selector", defval="EMA", group="Core Settings", options=["ALMA", "DEMA", "DSMA", "EMA", "HMA", "JMA", "KAMA", "Linear Regression (LSMA)", "RMA", "SMA", "SMMA", "Price Source", "TEMA", "TMA", "VAMA", "VIDYA", "VMA", "VWMA", "WMA", "WWMA", "ZLEMA"], tooltip="Select your fast trend")
TrendSelectorInput2 = input.string(title="Slow Trend Selector", defval="EMA", group="Core Settings", options=["ALMA", "DEMA", "DSMA", "EMA", "HMA", "JMA", "KAMA", "Linear Regression (LSMA)", "RMA", "SMA", "SMMA", "Price Source", "TEMA", "TMA", "VAMA", "VIDYA", "VMA", "VWMA", "WMA", "WWMA", "ZLEMA"], tooltip="Select your slow trend")
src = input.source(close, "Price Source", group="Core Settings", tooltip="This is the price source being used for the trends to calculate based on")
length = input.int(10, "Fast Trend Length", group="Core Settings", step=5, tooltip="A long is entered when the selected fast trend crosses over the selected slow trend")
length2 = input.int(200, "Slow Trend Length", group="Core Settings", step=5, tooltip="A long is entered when the selected fast trend crosses over the selected slow trend")
LineWidth = input.int(1, "Line Width", group="Core Settings", tooltip="This is the width of the line plotted that represents the selected trend")

// Individual Moving Average / Regression Setting //
AlmaOffset = input.float(0.85, "ALMA Offset", group="Individual Trend Settings", tooltip="This only applies when ALMA is selected")
AlmaSigma = input.float(6, "ALMA Sigma", group="Individual Trend Settings", tooltip="This only applies when ALMA is selected")
ATRFactor = input.float(3, "ATR Multiplier For SuperTrend", group="Individual Trend Settings", tooltip="This only applies when SuperTrend is selected")
ATRLength = input.int(12, "ATR Length For SuperTrend", group="Individual Trend Settings", tooltip="This only applies when SuperTrend is selected")
ssfLength = input.int(20, "DSMA Super Smoother Filter Length", minval=1, tooltip="This only applies when EDSMA is selected", group="Individual Trend Settings")
ssfPoles = input.int(2, "DSMA Super Smoother Filter Poles", options=[2, 3], tooltip="This only applies when EDSMA is selected", group="Individual Trend Settings")
JMApower = input.int(2, "JMA Power Parameter", group="Individual Trend Settings", tooltip="This only applies when JMA is selected")
phase = input.int(-45, title="JMA Phase Parameter", step=10, minval=-110, maxval=110, group="Individual Trend Settings", tooltip="This only applies when JMA is selected")
KamaAlpha = input.float(3, "KAMA's Alpha", minval=1,step=0.5, group="Individual Trend Settings", tooltip="This only applies when KAMA is selected")
LinRegOffset = input.int(0, "Linear Regression Offset", group="Individual Trend Settings", tooltip="This only applies when Linear Regression is selected")
VAMALookback =input.int(12, "VAMA Volatility lookback", group="Individual Trend Settings", tooltip="This only applies when VAMA is selected")


// Trend Indicators With Library Functions //
ALMA = ta.alma(src, length, AlmaOffset, AlmaSigma) 
EMA = ta.ema(src, length)
HMA = ta.hma(src, length)
LinReg = ta.linreg(src, length, LinRegOffset)
RMA = ta.rma(src, length)
SMA = ta.sma(src, length)
VWMA = ta.vwma(src, length)
WMA = ta.wma(src, length)

ALMA2 = ta.alma(src, length2, AlmaOffset, AlmaSigma) 
EMA2 = ta.ema(src, length2)
HMA2 = ta.hma(src, length2)
LinReg2 = ta.linreg(src, length2, LinRegOffset)
RMA2 = ta.rma(src, length2)
SMA2 = ta.sma(src, length2)
VWMA2 = ta.vwma(src, length2)
WMA2 = ta.wma(src, length2)

// Additional Trend Indicators Built In And/Or Open Sourced //
//DEMA
de1 = ta.ema(src, length)
de2 = ta.ema(de1, length)
DEMA = 2 * de1 - de2

de3 = ta.ema(src, length2)
de4 = ta.ema(de3, length2)
DEMA2 = 2 * de3 - de4

// Ehlers Deviation-Scaled Moving Average - DSMA [Everget]
PI = 2 * math.asin(1)
get2PoleSSF(src, length) =>
    arg = math.sqrt(2) * PI / length
    a1 = math.exp(-arg)
    b1 = 2 * a1 * math.cos(arg)
    c2 = b1
    c3 = -math.pow(a1, 2)
    c1 = 1 - c2 - c3
    var ssf = 0.0
    ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])
get3PoleSSF(src, length) =>
    arg = PI / length
    a1 = math.exp(-arg)
    b1 = 2 * a1 * math.cos(1.738 * arg)
    c1 = math.pow(a1, 2)
    coef2 = b1 + c1
    coef3 = -(c1 + b1 * c1)
    coef4 = math.pow(c1, 2)
    coef1 = 1 - coef2 - coef3 - coef4
    var ssf = 0.0
    ssf := coef1 * src + coef2 * nz(ssf[1]) + coef3 * nz(ssf[2]) + coef4 * nz(ssf[3])
zeros = src - nz(src[2])
avgZeros = (zeros + zeros[1]) / 2
// Ehlers Super Smoother Filter 
ssf = ssfPoles == 2
     ? get2PoleSSF(avgZeros, ssfLength)
     : get3PoleSSF(avgZeros, ssfLength)
// Rescale filter in terms of Standard Deviations
stdev = ta.stdev(ssf, length)
scaledFilter = stdev != 0
     ? ssf / stdev
     : 0
alpha1 = 5 * math.abs(scaledFilter) / length
EDSMA = 0.0
EDSMA := alpha1 * src + (1 - alpha1) * nz(EDSMA[1])

get2PoleSSF2(src, length2) =>
    arg = math.sqrt(2) * PI / length2
    a1 = math.exp(-arg)
    b1 = 2 * a1 * math.cos(arg)
    c2 = b1
    c3 = -math.pow(a1, 2)
    c1 = 1 - c2 - c3
    var ssf2 = 0.0
    ssf2 := c1 * src + c2 * nz(ssf2[1]) + c3 * nz(ssf2[2])
get3PoleSSF2(src, length2) =>
    arg = PI / length2
    a1 = math.exp(-arg)
    b1 = 2 * a1 * math.cos(1.738 * arg)
    c1 = math.pow(a1, 2)
    coef2 = b1 + c1
    coef3 = -(c1 + b1 * c1)
    coef4 = math.pow(c1, 2)
    coef1 = 1 - coef2 - coef3 - coef4
    var ssf2 = 0.0
    ssf2 := coef1 * src + coef2 * nz(ssf2[1]) + coef3 * nz(ssf2[2]) + coef4 * nz(ssf2[3])
// Ehlers Super Smoother Filter 
ssf2 = ssfPoles == 2
     ? get2PoleSSF2(avgZeros, ssfLength)
     : get3PoleSSF2(avgZeros, ssfLength)
// Rescale filter in terms of Standard Deviations
stdev2 = ta.stdev(ssf2, length2)
scaledFilter2 = stdev2 != 0
     ? ssf2 / stdev2
     : 0
alpha12 = 5 * math.abs(scaledFilter2) / length2
EDSMA2 = 0.0
EDSMA2 := alpha12 * src + (1 - alpha12) * nz(EDSMA2[1])

//JMA [Everget]
phaseRatio = phase < -100 ? 0.5 : phase > 100 ? 2.5 : phase / 100 + 1.5
beta = 0.45 * (length - 1) / (0.45 * (length - 1) + 2)
alpha = math.pow(beta, JMApower)
var JMA = 0.0
var e0 = 0.0
e0 := (1 - alpha) * src + alpha * nz(e0[1])
var e1 = 0.0
e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
var e2 = 0.0
e2 := (e0 + phaseRatio * e1 - nz(JMA[1])) * math.pow(1 - alpha, 2) + math.pow(alpha, 2) * nz(e2[1])
JMA := e2 + nz(JMA[1])

beta2 = 0.45 * (length2 - 1) / (0.45 * (length2 - 1) + 2)
alpha2 = math.pow(beta2, JMApower)
var JMA2 = 0.0
var e02 = 0.0
e02 := (1 - alpha2) * src + alpha2 * nz(e02[1])
var e12 = 0.0
e12 := (src - e02) * (1 - beta2) + beta2 * nz(e12[1])
var e22 = 0.0
e22 := (e02 + phaseRatio * e12 - nz(JMA2[1])) * math.pow(1 - alpha2, 2) + math.pow(alpha2, 2) * nz(e22[1])
JMA2 := e22 + nz(JMA2[1])

//KAMA [Everget]
var KAMA = 0.0
fastAlpha = 2.0 / (KamaAlpha + 1)
slowAlpha = 2.0 / 31
momentum = math.abs(ta.change(src, length))
volatility = math.sum(math.abs(ta.change(src)), length)
efficiencyRatio = volatility != 0 ? momentum / volatility : 0
smoothingConstant = math.pow((efficiencyRatio * (fastAlpha - slowAlpha)) + slowAlpha, 2)
KAMA := nz(KAMA[1], src) + smoothingConstant * (src - nz(KAMA[1], src))

var KAMA2 = 0.0
momentum2 = math.abs(ta.change(src, length2))
volatility2 = math.sum(math.abs(ta.change(src)), length2)
efficiencyRatio2 = volatility2 != 0 ? momentum2 / volatility2 : 0
smoothingConstant2 = math.pow((efficiencyRatio2 * (fastAlpha - slowAlpha)) + slowAlpha, 2)
KAMA2 := nz(KAMA2[1], src) + smoothingConstant2 * (src - nz(KAMA2[1], src))

//SMMA
var SMMA = 0.0
SMMA := na(SMMA[1]) ? ta.sma(src, length) : (SMMA[1] * (length - 1) + src) / length

var SMMA2 = 0.0
SMMA2 := na(SMMA2[1]) ? ta.sma(src, length2) : (SMMA2[1] * (length2 - 1) + src) / length2

//TEMA
t1 = ta.ema(src, length)
t2 = ta.ema(t1, length)
t3 = ta.ema(t2, length)
TEMA = 3 * (t1 - t2) + t3

t12 = ta.ema(src, length2)
t22 = ta.ema(t12, length2)
t32 = ta.ema(t22, length2)
TEMA2 = 3 * (t12 - t22) + t32

//TMA
TMA = ta.sma(ta.sma(src, math.ceil(length / 2)), math.floor(length / 2) + 1)

TMA2 = ta.sma(ta.sma(src, math.ceil(length2 / 2)), math.floor(length2 / 2) + 1)

//VAMA [Duyck]
mid=ta.ema(src,length)
dev=src-mid
vol_up=ta.highest(dev,VAMALookback)
vol_down=ta.lowest(dev,VAMALookback)
VAMA = mid+math.avg(vol_up,vol_down)

mid2=ta.ema(src,length2)
dev2=src-mid2
vol_up2=ta.highest(dev2,VAMALookback)
vol_down2=ta.lowest(dev2,VAMALookback)
VAMA2 = mid2+math.avg(vol_up2,vol_down2)

//VIDYA [KivancOzbilgic]
var VIDYA=0.0
VMAalpha=2/(length+1)
ud1=src>src[1] ? src-src[1] : 0
dd1=src<src[1] ? src[1]-src : 0
UD=math.sum(ud1,9)
DD=math.sum(dd1,9)
CMO=nz((UD-DD)/(UD+DD))
VIDYA := na(VIDYA[1]) ? ta.sma(src, length) : nz(VMAalpha*math.abs(CMO)*src)+(1-VMAalpha*math.abs(CMO))*nz(VIDYA[1])

var VIDYA2=0.0
VMAalpha2=2/(length2+1)
ud12=src>src[1] ? src-src[1] : 0
dd12=src<src[1] ? src[1]-src : 0
UD2=math.sum(ud12,9)
DD2=math.sum(dd12,9)
CMO2=nz((UD2-DD2)/(UD2+DD2))
VIDYA2 := na(VIDYA2[1]) ? ta.sma(src, length2) : nz(VMAalpha2*math.abs(CMO2)*src)+(1-VMAalpha2*math.abs(CMO2))*nz(VIDYA2[1])

//VMA [LazyBear]
sc = 1/length
pdm = math.max((src - src[1]), 0)
mdm = math.max((src[1] - src), 0)
var pdmS = 0.0
var mdmS = 0.0
pdmS := ((1 - sc)*nz(pdmS[1]) + sc*pdm)
mdmS := ((1 - sc)*nz(mdmS[1]) + sc*mdm)
s = pdmS + mdmS
pdi = pdmS/s
mdi = mdmS/s
var pdiS = 0.0
var mdiS = 0.0
pdiS := ((1 - sc)*nz(pdiS[1]) + sc*pdi)
mdiS := ((1 - sc)*nz(mdiS[1]) + sc*mdi)
d = math.abs(pdiS - mdiS)
s1 = pdiS + mdiS
var iS = 0.0
iS := ((1 - sc)*nz(iS[1]) + sc*d/s1)
hhv = ta.highest(iS, length) 
llv = ta.lowest(iS, length) 
d1 = hhv - llv
vi = (iS - llv)/d1
var VMA=0.0
VMA := na(VMA[1]) ? ta.sma(src, length) : sc*vi*src + (1 - sc*vi)*nz(VMA[1])

sc2 = 1/length2
pdm2 = math.max((src - src[1]), 0)
mdm2 = math.max((src[1] - src), 0)
var pdmS2 = 0.0
var mdmS2 = 0.0
pdmS2 := ((1 - sc2)*nz(pdmS2[1]) + sc2*pdm2)
mdmS2 := ((1 - sc2)*nz(mdmS2[1]) + sc2*mdm2)
s2 = pdmS2 + mdmS2
pdi2 = pdmS2/s2
mdi2 = mdmS2/s2
var pdiS2 = 0.0
var mdiS2 = 0.0
pdiS2 := ((1 - sc2)*nz(pdiS2[1]) + sc2*pdi2)
mdiS2 := ((1 - sc2)*nz(mdiS2[1]) + sc2*mdi2)
d2 = math.abs(pdiS2 - mdiS2)
s12 = pdiS2 + mdiS2
var iS2 = 0.0
iS2 := ((1 - sc2)*nz(iS2[1]) + sc2*d2/s12)
hhv2 = ta.highest(iS2, length) 
llv2 = ta.lowest(iS2, length) 
d12 = hhv2 - llv2
vi2 = (iS2 - llv2)/d12
var VMA2=0.0
VMA2 := na(VMA2[1]) ? ta.sma(src, length2) : sc2*vi2*src + (1 - sc2*vi2)*nz(VMA2[1])

//WWMA
var WWMA=0.0
WWMA := (1/length)*src + (1-(1/length))*nz(WWMA[1])

var WWMA2=0.0
WWMA2 := (1/length2)*src + (1-(1/length2))*nz(WWMA2[1])

//Zero Lag EMA [KivancOzbilgic]
EMA1a = ta.ema(src,length)
EMA2a = ta.ema(EMA1a,length)
Diff = EMA1a - EMA2a
ZLEMA = EMA1a + Diff

EMA12 = ta.ema(src,length2)
EMA22 = ta.ema(EMA12,length2)
Diff2 = EMA12 - EMA22
ZLEMA2 = EMA12 + Diff2

// Trend Mapping and Plotting //
FastTrend = TrendSelectorInput == "ALMA" ? ALMA : TrendSelectorInput == "DEMA" ? DEMA : TrendSelectorInput == "DSMA" ? EDSMA : TrendSelectorInput == "EMA" ? EMA : TrendSelectorInput == "HMA" ? HMA : TrendSelectorInput == "JMA" ? JMA : TrendSelectorInput == "KAMA" ? KAMA : TrendSelectorInput == "Linear Regression (LSMA)" ? LinReg : TrendSelectorInput == "RMA" ? RMA : TrendSelectorInput == "SMA" ? SMA : TrendSelectorInput == "SMMA" ? SMMA : TrendSelectorInput == "Price Source" ? src : TrendSelectorInput == "TEMA" ? TEMA : TrendSelectorInput == "TMA" ? TMA : TrendSelectorInput == "VAMA" ? VAMA : TrendSelectorInput == "VIDYA" ? VIDYA : TrendSelectorInput == "VMA" ? VMA : TrendSelectorInput == "VWMA" ? VWMA : TrendSelectorInput == "WMA" ? WMA : TrendSelectorInput == "WWMA" ? WWMA : TrendSelectorInput == "ZLEMA" ? ZLEMA : SMA
SlowTrend = TrendSelectorInput2 == "ALMA" ? ALMA2 : TrendSelectorInput2 == "DEMA" ? DEMA2 : TrendSelectorInput2 == "DSMA" ? EDSMA2 : TrendSelectorInput2 == "EMA" ? EMA2 : TrendSelectorInput2 == "HMA" ? HMA2 : TrendSelectorInput2 == "JMA" ? JMA2 : TrendSelectorInput2 == "KAMA" ? KAMA2 : TrendSelectorInput2 == "Linear Regression (LSMA)" ? LinReg2 : TrendSelectorInput2 == "RMA" ? RMA2 : TrendSelectorInput2 == "SMA" ? SMA2 : TrendSelectorInput2 == "SMMA" ? SMMA2 : TrendSelectorInput2 == "Price Source" ? src : TrendSelectorInput2 == "TEMA" ? TEMA2 : TrendSelectorInput2 == "TMA" ? TMA2 : TrendSelectorInput2 == "VAMA" ? VAMA2 : TrendSelectorInput2 == "VIDYA" ? VIDYA2 : TrendSelectorInput2 == "VMA" ? VMA2 : TrendSelectorInput2 == "VWMA" ? VWMA2 : TrendSelectorInput2 == "WMA" ? WMA2 : TrendSelectorInput2 == "WWMA" ? WWMA2 : TrendSelectorInput2 == "ZLEMA" ? ZLEMA2 : SMA2
plot(FastTrend, color=color.green, linewidth=LineWidth)
plot(SlowTrend, color=color.red, linewidth=LineWidth)

//Short & Long Options
Long = input.bool(true, "Model Long Trades", group="Core Settings")
Short = input.bool(false, "Model Short Trades", group="Core Settings")

// Entry & Exit Functions //
if (InDateRange and Long==true and FastTrend>SlowTrend)
    strategy.entry("Long", strategy.long, alert_message="Long")

if (InDateRange and Long==true and FastTrend<SlowTrend)
    strategy.close("Long", alert_message="Close Long")

if (InDateRange and Short==true and FastTrend<SlowTrend)
    strategy.entry("Short", strategy.short, alert_message="Short")

if (InDateRange and Short==true and FastTrend>SlowTrend)
    strategy.close("Short", alert_message="Cover Short")  

if (not InDateRange)
    strategy.close_all(alert_message="End of Date Range")
    

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