ChaoZhang
这种策略通过集成多个指标包括均线、区间滤波器、ADX、抛物线止损、量价rancesar、MACD和交易量,构建长线和短线的交易信号。具体来说,策略会同时监控快线JMA、中线MACD、慢线ADX、量价指标RSI、止损指标SAR以及区间滤波器,只有当快中慢多个时间轴上的趋势指标都发出一致信号时,才会做出交易决策。这可以过滤掉部分假信号,避免不必要的失误交易。
进入信号条件包括: 1. 快线JMA上涨且中线MACD大于0 2. 慢线ADX上的+DI线超过-DI线,表明目前处于趋势状态 3. SAR下穿价格,给出看涨信号 4. RSI高于中轨,表明目前处于超买状态 5. 区间滤波器价格突破上轨 6. 成交量大幅放量
只要上述条件同时满足,就表明大趋势进入看涨状态,这时策略会选择适当时机建立好多单,进行趋势跟踪。
止盈条件也会同时监控多个指标,包括移动止盈、缩量止盈、时间止盈等。这保证了跟踪止盈的顺畅进行,避免过早离场或者止盈过于滞后。
整体来说,这种多指标集成的量化策略,可以充分发掘市场中的趋势机会,使得资金配置效率大大提高。同时,策略参数优化空间也非常大,用户可以根据自身需求,对参数组合进行调整,从而获得更加可靠的交易系统。
当然,这类趋势跟踪策略也存在一定的风险。具体来说主要有:
回撤风险:跟踪过程中可能出现一定程度的回撤,需要心理承受能力
震荡风险:震荡行情中,可能产生多次小幅止损,降低盈利水平
突破失败风险:跟踪的趋势突破信号可能是假突破,需要及时止损控制损失
参数风险:参数设置不当也可能导致策略效果差强人意
过优化风险:针对历史数据过度优化,可能导致参数不具有普适性
交易成本风险:交易次数较多时,手续费也会对盈利造成一定影响
总体来说,这种量化趋势跟踪策略,可以通过参数调整获得稳定而高效的交易系统,值得推荐。但用户在使用过程中,也要注意控制交易风险,进行适度优化,以获得长期稳定收益。
策略源码
/*backtest
start: 2023-08-15 00:00:00
end: 2023-09-14 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/
// © XaviZ
//@version=4
strategy(title = "SuPeR-RePaNoCHa #2TP#", overlay = true, initial_capital = 10000, pyramiding = 100, currency = "USD",
calc_on_order_fills = false, calc_on_every_tick = false, default_qty_type = strategy.fixed, default_qty_value = 1, commission_value = 0.03)
//study(title="SuPeR-RePaNoCHa #2TP#", overlay=true)
// VARIABLES
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
var bool longCond = na, var bool shortCond = na
var bool XlongCond = na, var bool XshortCond = na
var int CondIni_long0 = 0, var int CondIni_short0 = 0
var int CondIni_long = 0, var int CondIni_short = 0
var int CondIniX0 = 0, var int CondIniX = 0
var float last_open_longCondition = na, var float last_open_shortCondition = na
var int last_longCondition0 = na, var int last_shortCondition0 = na
var int last_longCondition = na, var int last_shortCondition = na
var int last_XlongCondition0 = na, var int last_XshortCondition0 = na
var int last_XlongCondition = na, var int last_XshortCondition = na
var bool long_tp = na, var bool short_tp = na
var bool long_tp2 = na, var bool short_tp2 = na
var bool long_tp_pump_last_minute = na, var bool short_tp_pump_last_minute = na
var bool long_tp_pump = na, var bool short_tp_pump = na
var int last_long_tp = na, var int last_short_tp = na
var int last_long_tp_pump = na, var int last_short_tp_pump = na
var int last_long_tp2 = na, var int last_short_tp2 = na
var int CondIni_long_sl = 0, var int CondIni_short_sl = 0
var bool Final_Long_sl0 = na, var bool Final_Short_sl0 = na
var bool Final_Long_sl = na, var bool Final_Short_sl = na
var int last_long_sl = na, var int last_short_sl = na
var bool Final_XlongCondition0 = na, var bool Final_XshortCondition0 = na
var bool Final_XlongCondition = na, var bool Final_XshortCondition = na
var int CondIni_Xlong0 = 0, var int CondIni_Xshort0 = 0
var int CondIni_Xlong = 0, var int CondIni_Xshort = 0
var bool Final_longCondition0 = na, var bool Final_shortCondition0 = na
var bool Final_longCondition = na, var bool Final_shortCondition = na
var bool BT_Final_longCondition = na, var bool BT_Final_shortCondition = na
var bool Final_Long_tp = na, var bool Final_Short_tp = na
var bool Final_Long_tp2 = na, var bool Final_Short_tp2 = na
var bool Final_Long_tp_pump = na, var bool Final_Short_tp_pump = na
var bool JMA_longCond = na, var bool JMA_shortCond = na
var bool RF_longCond = na, var bool RF_shortCond = na
var bool ADX_longCond = na, var bool ADX_shortCond = na
var bool SAR_longCond = na, var bool SAR_shortCond = na
var bool RSI_longCond = na, var bool RSI_shortCond = na
var bool MACD_longCond = na, var bool MACD_shortCond = na
var bool JMA_XlongCond = na, var bool JMA_XshortCond = na
var bool RF_XlongCond = na, var bool RF_XshortCond = na
var bool ADX_XlongCond = na, var bool ADX_XshortCond = na
var bool SAR_XlongCond = na, var bool SAR_XshortCond = na
// INITIAL SETTINGS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Position = input("BOTH", "LONG / SHORT", options = ["BOTH","LONG","SHORT"])
src = hlc3, src2 = hl2
is_Long = Position == "SHORT" ? na : true
is_Short = Position == "LONG" ? na : true
// JURIK MOVING AVERAGE
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Act_JMA = input(true, "JURIK MOVING AVERAGE")
length = input(18, title="JMA LENGTH", type=input.integer, minval = 0)
phase = input(21, title="JMA PHASE", type=input.integer, minval = 0)
power = input(2, title="JMA POWER", type=input.float, minval = 0, step = 0.5)
JMA(src)=>
phaseRatio = phase < -100 ? 0.5 : phase > 100 ? 2.5 : phase / 100 + 1.5
beta = 0.45 * (length - 1) / (0.45 * (length - 1) + 2)
alpha = pow(beta, power)
jma = 0.0
e0 = 0.0
e0 := (1 - alpha) * src + alpha * nz(e0[1])
e1 = 0.0
e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
e2 = 0.0
e2 := (e0 + phaseRatio * e1 - nz(jma[1])) * pow(1 - alpha, 2) + pow(alpha, 2) * nz(e2[1])
jma := e2 + nz(jma[1])
JMA_Rising = JMA(src) > JMA(src)[1]
JMA_Falling = JMA(src) < JMA(src)[1]
JMA_Rising2 = JMA(src2) > JMA(src2)[1]
JMA_Falling2 = JMA(src2) < JMA(src2)[1]
JMA_color = JMA_Rising ? color.green : JMA_Falling ? color.red : color.yellow
plot(Act_JMA ? JMA(src) : na, color=JMA_color, linewidth = 3, title= "JMA")
// RANGE FILTER
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Act_RF = input(true, "RANGE FILTER")
per = input(defval=28, title="SAMPLING PERIOD", minval=1)
mult = input(defval=1.6, title="RANGE MULTIPLIER", minval=0.1, step = 0.1)
Range_filter(_src, _per, _mult)=>
var float _upward = 0.0
var float _downward = 0.0
wper = (_per*2) - 1
avrng = ema(abs(_src - _src[1]), _per)
_smoothrng = ema(avrng, wper)*_mult
_filt = _src
_filt := _src > nz(_filt[1]) ? ((_src-_smoothrng) < nz(_filt[1]) ? nz(_filt[1]) : (_src-_smoothrng)) : ((_src+_smoothrng) > nz(_filt[1]) ? nz(_filt[1]) : (_src+_smoothrng))
_upward := _filt > _filt[1] ? nz(_upward[1]) + 1 : _filt < _filt[1] ? 0 : nz(_upward[1])
_downward := _filt < _filt[1] ? nz(_downward[1]) + 1 : _filt > _filt[1] ? 0 : nz(_downward[1])
[_smoothrng,_filt,_upward,_downward]
[smoothrng, filt, upward, downward] = Range_filter(src, per, mult)
[_, _, upward2, downward2] = Range_filter(src2, per, mult)
hband = filt + smoothrng
lband = filt - smoothrng
filtcolor = upward > 0 ? color.lime : downward > 0 ? color.red : color.orange
filtplot = plot(Act_RF ? filt : na, color = filtcolor, linewidth = 3, title="Range Filter", editable = false)
hbandplot = plot(Act_RF ? hband : na, color = color.aqua, transp = 60, title = "High Target", editable = false)
lbandplot = plot(Act_RF ? lband : na, color = color.aqua, transp = 60, title = "Low Target", editable = false)
fill(hbandplot, filtplot, color = color.aqua, title = "High Target Range", editable = false)
fill(lbandplot, filtplot, color = color.aqua, title = "Low Target Range", editable = false)
// ADX
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Act_ADX = input(true, "ORIGINAL AVERAGE DIRECTIONAL INDEX")
ADX_len = input(16, title="ADX LENGTH", type=input.integer, minval = 1)
th = input(17, title="ADX THRESHOLD", type=input.integer, minval = 0)
calcADX(_len)=>
up = change(high)
down = -change(low)
plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
truerange = rma(tr, _len)
_plus = fixnan(100 * rma(plusDM, _len) / truerange)
_minus = fixnan(100 * rma(minusDM, _len) / truerange)
sum = _plus + _minus
_adx = 100 * rma(abs(_plus - _minus) / (sum == 0 ? 1 : sum), _len)
[_plus,_minus,_adx]
[DIPlus,DIMinus,ADX] = calcADX(ADX_len)
macol = DIPlus > DIMinus and ADX > th ? color.lime : DIPlus < DIMinus and ADX > th ? color.red : color.orange
barcolor(color = Act_ADX ? macol : na, title = "ADX")
// SAR
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Act_SAR = input(true, "PARABOLIC SAR")
Sst = input (0.22, "SAR STAR", step=0.01, minval = 0.01)
Sinc = input (0.2, "SAR INC", step=0.01, minval = 0.01)
Smax = input (0.12, "SAR MAX", step=0.01, minval = 0.01)
SAR = sar(Sst, Sinc, Smax)
plot(Act_SAR ? SAR : na, color = macol, style = plot.style_cross, title = "SAR")
// RSI VOLUME WEIGHTED
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Act_RSI = input(true, "RSI VOLUME WEIGHTED")
RSI_len = input(21, "RSI LENGHT", minval = 1)
RSI_obos = input(52,title="RSI CENTER LINE", type=input.integer, minval = 1)
WiMA(src, length) =>
var float MA_s=0.0
MA_s:=(src + nz(MA_s[1] * (length-1)))/length
MA_s
RSI_Volume(fv, length) =>
up=iff(fv>fv[1],abs(fv-fv[1])*volume,0)
dn=iff(fv<fv[1],abs(fv-fv[1])*volume,0)
upt=WiMA(up,length)
dnt=WiMA(dn,length)
100*(upt/(upt+dnt))
RSI_V = RSI_Volume(src, RSI_len)
// MACD
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Act_MACD = input(true, "MOVING AVERAGE CONVERGENCE / DIVERGENCE")
fast_length = input(7, title="MACD FAST LENGTH", type=input.integer, minval = 1)
slow_length = input(16, title="MACD SLOW LENGTH", type=input.integer, minval = 1)
signal_length = input(10, title="MACD SIGNAL SMOOTHING", type=input.integer, minval = 1, maxval = 50)
[_,_,hist] = macd(src,fast_length,slow_length,signal_length)
// STRATEGY
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Act_not_conf = input(true, "UNCONFIRMED FIRST ENTRY 🤞")
Act_not_conf_X = input(false, "UNCONFIRMED XL/XS")
JMA_longCond := (Act_JMA ? ((JMA_Rising) or (JMA_Rising2)) : RF_longCond)
RF_longCond := (Act_RF ? ((high > hband and upward > 0) or (high > hband and upward2 > 0)) : ADX_longCond)
ADX_longCond := (Act_ADX ? (DIPlus > DIMinus and ADX > th) : SAR_longCond)
SAR_longCond := (Act_SAR ? (SAR < close) : RSI_longCond)
RSI_longCond := (Act_RSI ? (RSI_V > RSI_obos) : MACD_longCond)
MACD_longCond := (Act_MACD ? (hist > 0) : JMA_longCond)
JMA_shortCond := (Act_JMA ? ((JMA_Falling) or (JMA_Falling2)) : RF_shortCond)
RF_shortCond := (Act_RF ? ((low < lband and downward > 0) or (low < lband and downward2 > 0)) : ADX_shortCond)
ADX_shortCond := (Act_ADX ? (DIPlus < DIMinus and ADX > th) : SAR_shortCond)
SAR_shortCond := (Act_SAR ? (SAR > close) : RSI_shortCond)
RSI_shortCond := (Act_RSI ? (RSI_V < RSI_obos) : MACD_shortCond)
MACD_shortCond := (Act_MACD ? (hist < 0) : JMA_shortCond)
longCond := JMA_longCond and RF_longCond and ADX_longCond and SAR_longCond and RSI_longCond and MACD_longCond and volume > sma(volume,30)*0.5
shortCond := JMA_shortCond and RF_shortCond and ADX_shortCond and SAR_shortCond and RSI_shortCond and MACD_shortCond and volume > sma(volume,30)*0.5
JMA_XlongCond := (Act_JMA ? ((JMA_Falling) or (JMA_Falling2)) : RF_XlongCond)
RF_XlongCond := (Act_RF ? ((low < lband and downward > 0) or (low < lband and downward2 > 0)) : ADX_XlongCond)
ADX_XlongCond := (Act_ADX ? (DIPlus > DIMinus and ADX > th) : SAR_XlongCond)
SAR_XlongCond := (Act_SAR ? (SAR > close) : JMA_XlongCond)
JMA_XshortCond := (Act_JMA ? ((JMA_Rising) or (JMA_Rising2)) : RF_XshortCond)
RF_XshortCond := (Act_RF ? ((high > hband and upward > 0) or (high > hband and upward2 > 0)) : ADX_XshortCond)
ADX_XshortCond := (Act_ADX ? (DIPlus < DIMinus and ADX > th) : SAR_XshortCond)
SAR_XshortCond := (Act_SAR ? (SAR < close) : JMA_XshortCond)
XlongCond := JMA_XlongCond and RF_XlongCond and ADX_XlongCond and SAR_XlongCond
XshortCond := JMA_XshortCond and RF_XshortCond and ADX_XshortCond and SAR_XshortCond
CondIni_long0 := longCond ? 1 : shortCond ? -1 : CondIni_long0[1]
CondIni_short0 := longCond ? 1 : shortCond ? -1 : CondIni_short0[1]
longCondition0 = (longCond and CondIni_long0[1] == -1)
shortCondition0 = (shortCond and CondIni_short0[1] == 1)
CondIni_long := longCond[1] ? 1 : shortCond[1] ? -1 : CondIni_long[1]
CondIni_short := longCond[1] ? 1 : shortCond[1] ? -1 : CondIni_short[1]
longCondition = (longCond[1] and CondIni_long[1] == -1)
shortCondition = (shortCond[1] and CondIni_short[1] == 1)
CondIniX0 := XlongCond ? 1 : XshortCond ? -1 : CondIniX0[1]
XlongCondition0 = XlongCond and CondIniX0[1] == -1
XshortCondition0 = XshortCond and CondIniX0[1] == 1
CondIniX := XlongCond[1] ? 1 : XshortCond[1] ? -1 : CondIniX[1]
XlongCondition = XlongCond[1] and CondIniX[1] == -1
XshortCondition = XshortCond[1] and CondIniX[1] == 1
// Get the price of the last opened long or short
last_open_long0 = max(SAR[1],hband)
last_open_short0 = min(SAR[1],lband)
last_open_longCondition := longCondition0 and not longCondition ? max(last_open_long0,open) : longCondition ? open : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition0 and not shortCondition ? min(last_open_short0, open) : shortCondition ? open : nz(last_open_shortCondition[1])
// Check if your last postion was a long or a short
last_longCondition0 := longCondition0 ? time : nz(last_longCondition0[1])
last_shortCondition0 := shortCondition0 ? time : nz(last_shortCondition0[1])
in_longCondition0 = last_longCondition0 > last_shortCondition0
in_shortCondition0 = last_shortCondition0 > last_longCondition0
last_longCondition := longCondition ? time : nz(last_longCondition[1])
last_shortCondition := shortCondition ? time : nz(last_shortCondition[1])
in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition
last_XlongCondition0 := XlongCondition0 ? time : nz(last_XlongCondition0[1])
last_XshortCondition0 := XshortCondition0 ? time : nz(last_XshortCondition0[1])
in_longConditionX0 = last_longCondition > last_XlongCondition0
in_shortConditionX0 = last_shortCondition > last_XshortCondition0
last_XlongCondition := XlongCondition ? time : nz(last_XlongCondition[1])
last_XshortCondition := XshortCondition ? time : nz(last_XshortCondition[1])
in_longConditionX = last_longCondition > last_XlongCondition
in_shortConditionX = last_shortCondition > last_XshortCondition
// TAKE PROFIT 1
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp = input(0.7, "TAKE PROFIT 1 %", type = input.float, step = 0.1)
// TP Conditions
long_tp := (is_Long and high > (last_open_longCondition*(1+(tp/100))) and not (shortCondition0 and Act_not_conf) and in_longCondition and in_longConditionX)
short_tp := (is_Short and low < (last_open_shortCondition*(1-(tp/100))) and not (longCondition0 and Act_not_conf) and in_shortCondition and in_shortConditionX)
// Get the time of the last tp close
last_long_tp := long_tp ? time : nz(last_long_tp[1])
last_short_tp := short_tp ? time : nz(last_short_tp[1])
Final_Long_tp := (long_tp and last_longCondition > nz(last_long_tp[1]) and last_longCondition > nz(last_long_sl[1]))
Final_Short_tp := (short_tp and last_shortCondition > nz(last_short_tp[1]) and last_shortCondition > nz(last_short_sl[1]))
// TAKE PROFIT 2
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp2 = input(1.8, "TAKE PROFIT 2 %", type = input.float, step = 0.1)
// TP Conditions
long_tp2 := (is_Long and high > (last_open_longCondition*(1+(tp2/100))) and not (shortCondition0 and Act_not_conf) and in_longCondition and in_longConditionX)
short_tp2 := (is_Short and low < (last_open_shortCondition*(1-(tp2/100))) and not (longCondition0 and Act_not_conf) and in_shortCondition and in_shortConditionX)
// Get the time of the last tp2 close
last_long_tp2 := long_tp2 ? time : nz(last_long_tp2[1])
last_short_tp2 := short_tp2 ? time : nz(last_short_tp2[1])
Final_Long_tp2 := (long_tp2 and last_longCondition > nz(last_long_tp2[1]) and last_longCondition > nz(last_long_sl[1]))
Final_Short_tp2 := (short_tp2 and last_shortCondition > nz(last_short_tp2[1]) and last_shortCondition > nz(last_short_sl[1]))
// Tp for Pumps
tp_pump = input(1.0, "TAKE PROFIT FOR PUMPS % ", type = input.float, step = 0.1)
long_tp_pump := is_Long and longCondition0 and not longCondition and high > last_open_longCondition*(1+(tp_pump/100)) and Act_not_conf
short_tp_pump := is_Short and shortCondition0 and not shortCondition and low < last_open_shortCondition*(1-(tp_pump/100)) and Act_not_conf
// Get the time of the last ts close
last_long_tp_pump := long_tp_pump ? time : nz(last_long_tp2[1])
last_short_tp_pump := short_tp_pump ? time : nz(last_short_tp2[1])
Final_Long_tp_pump := (long_tp_pump and last_longCondition > nz(last_long_tp_pump[1]) and last_longCondition > nz(last_long_sl[1]))
Final_Short_tp_pump := (short_tp_pump and last_shortCondition > nz(last_short_tp_pump[1]) and last_shortCondition > nz(last_short_sl[1]))
// STOP LOSS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Act_sl = input(false, "ACTIVATE STOP LOSS")
sl = input(4.0, "STOP LOSS %", type = input.float, step = 0.1)
long_sl = Act_sl and is_Long and low <= ((1-(sl/100))*last_open_longCondition) and not (open < ((1-(sl/100))*last_open_longCondition))
short_sl = Act_sl and is_Short and high >= ((1+(sl/100))*last_open_shortCondition) and not (open > ((1+(sl/100))*last_open_shortCondition))
// Sl
Final_Long_sl0 := Position == "BOTH" ? long_sl and CondIni_long_sl[1] == -1 and not Final_Long_tp2 and not shortCondition and not (shortCondition0 and Act_not_conf) :
long_sl and CondIni_long_sl[1] == -1 and not Final_Long_tp2
Final_Short_sl0 := Position == "BOTH" ? short_sl and CondIni_short_sl[1] == -1 and not Final_Short_tp2 and not longCondition and not (longCondition0 and Act_not_conf) :
short_sl and CondIni_short_sl[1] == -1 and not Final_Short_tp2
// Get the time of the last sl close
last_long_sl := Final_Long_sl ? time : nz(last_long_sl[1])
last_short_sl := Final_Short_sl ? time : nz(last_short_sl[1])
Final_Long_sl := Final_Long_sl0 and last_longCondition > nz(last_long_tp2[1]) and last_longCondition > nz(last_long_sl[1])
Final_Short_sl := Final_Short_sl0 and last_shortCondition > nz(last_short_tp2[1]) and last_shortCondition > nz(last_short_sl[1])
// SIGNALS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// long & short
Final_longCondition0 := is_Long and longCondition0 and not longCondition and nz(CondIni_long0[1]) == -1 and Act_not_conf
Final_shortCondition0 := is_Short and shortCondition0 and not shortCondition and nz(CondIni_short0[1]) == 1 and Act_not_conf
plotshape(Final_longCondition0, title = "Not_Conf Long Signal", text = "🤞", style=shape.triangleup, location=location.belowbar, color = color.blue, transp = 0, size=size.tiny)
plotshape(Final_shortCondition0, title = "Not_Conf Short Signal", text = "🤞", style=shape.triangledown, location=location.abovebar, color = #FF0000, transp = 0, size=size.tiny)
Final_longCondition := is_Long and longCondition and not Final_shortCondition0 //and not (Final_longCondition0[1] and not Final_Long_ts_pump[1])
Final_shortCondition := is_Short and shortCondition and not Final_longCondition0 //and not (Final_shortCondition0[1] and not Final_Short_ts_pump[1])
plotshape(Final_longCondition, title = "Long Signal", style=shape.triangleup, location=location.belowbar, color = color.blue, transp = 0, size=size.tiny)
plotshape(Final_shortCondition, title = "Short Signal", style=shape.triangledown, location=location.abovebar, color = #FF0000, transp = 0, size=size.tiny)
// Xlong0 & Xshort0
CondIni_Xlong0 := Final_Long_tp or Final_Short_tp or Final_Long_sl or Final_XlongCondition0 or Final_shortCondition0 or Final_shortCondition ? 1 :
Final_longCondition0 or Final_longCondition ? -1 : nz(CondIni_Xlong0[1])
CondIni_Xshort0 := Final_Long_tp or Final_Short_tp or Final_Short_sl or Final_XshortCondition0 or Final_longCondition0 or Final_longCondition ? 1 :
Final_shortCondition0 or Final_shortCondition ? -1 : nz(CondIni_Xshort0[1])
Final_XlongCondition0 := (Position == "SHORT" ? na : Position == "BOTH" ? (XlongCondition0 and last_longCondition > last_XlongCondition0[1]) :
((shortCondition0 and last_longCondition > last_shortCondition0[1]) or (XlongCondition0 and last_longCondition > last_XlongCondition0[1])))
and CondIni_Xlong0 == -1 and not Final_longCondition0 and not Final_shortCondition0 and not Final_longCondition and not Final_shortCondition
Final_XshortCondition0 := (Position == "LONG" ? na : Position == "BOTH" ? (XshortCondition0 and last_shortCondition > last_XshortCondition0[1]) :
((longCondition0 and last_shortCondition > last_longCondition0[1]) or (XshortCondition0 and last_shortCondition > last_XshortCondition0[1])))
and CondIni_Xshort0 == -1 and not Final_longCondition0 and not Final_shortCondition0 and not Final_longCondition and not Final_shortCondition
// Xlong & Xshort
CondIni_Xlong := Final_Long_tp or Final_Short_tp or Final_Long_sl or Final_XlongCondition or Final_shortCondition0 or Final_shortCondition ? 1 :
Final_longCondition0 or Final_longCondition ? -1 : nz(CondIni_Xlong[1])
CondIni_Xshort := Final_Long_tp or Final_Short_tp or Final_Short_sl or Final_XshortCondition or Final_longCondition0 or Final_longCondition ? 1 :
Final_shortCondition0 or Final_shortCondition ? -1 : nz(CondIni_Xshort[1])
Final_XlongCondition := (Position == "SHORT" ? na : Position == "BOTH" ? (XlongCondition and last_longCondition > last_XlongCondition[1]) :
((shortCondition and last_longCondition > last_shortCondition[1]) or (XlongCondition and last_longCondition > last_XlongCondition[1])))
and CondIni_Xlong == -1 and not Final_longCondition0 and not Final_shortCondition0
Final_XshortCondition := (Position == "LONG" ? na : Position == "BOTH" ? (XshortCondition and last_shortCondition > last_XshortCondition[1]) :
((longCondition and last_shortCondition > last_longCondition[1]) or (XshortCondition and last_shortCondition > last_XshortCondition[1])))
and CondIni_Xshort == -1 and not Final_longCondition0 and not Final_shortCondition0
Final_XL = (Final_XlongCondition0 and Act_not_conf_X) or (Final_XlongCondition and not Act_not_conf_X)
Final_XS = (Final_XshortCondition0 and Act_not_conf_X) or (Final_XshortCondition and not Act_not_conf_X)
plotshape(Final_XL, title = "XL Signal", text = "XL", style=shape.triangledown, location=location.abovebar, color = color.orange, transp = 0, size=size.tiny)
plotshape(Final_XS, title = "XS Signal", text = "XS", style=shape.triangleup, location=location.belowbar, color = color.aqua, transp = 0, size=size.tiny)
// TP
plotshape(Final_Long_tp and not Final_Long_tp2, text ="TP", title="Take Profit Long", style=shape.triangledown, location=location.abovebar, color = color.red, editable = false, transp = 0)
plotshape(Final_Short_tp and not Final_Short_tp2, text ="TP", title="Take Profit Short", style=shape.triangleup, location=location.belowbar, color = color.lime, editable = false, transp = 0)
ltp = iff(Final_Long_tp, last_open_longCondition*(1+(tp/100)), na), plot(ltp, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
stp = iff(Final_Short_tp, last_open_shortCondition*(1-(tp/100)), na), plot(stp, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
// TP2
plotshape(Final_Long_tp2 and not Final_Long_tp, text ="TP2", title="Take Profit Long 2", style=shape.triangledown, location=location.abovebar, color = color.red, editable = false, transp = 0)
plotshape(Final_Short_tp2 and not Final_Short_tp, text ="TP2", title="Take Profit Short 2", style=shape.triangleup, location=location.belowbar, color = color.lime, editable = false, transp = 0)
ltp2 = iff(Final_Long_tp2, last_open_longCondition*(1+(tp2/100)), na), plot(ltp2, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
stp2 = iff(Final_Short_tp2, last_open_shortCondition*(1-(tp2/100)), na), plot(stp2, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
// TP & TP2
plotshape(Final_Long_tp and Final_Long_tp2, title="TP & TP2 Long", style=shape.flag, location=location.abovebar, color = color.red, editable = false, transp = 0, size=size.tiny)
plotshape(Final_Short_tp and Final_Short_tp2, title="TP & TP2 Short", style=shape.flag, location=location.belowbar, color = color.green, editable = false, transp = 0, size=size.tiny)
// TP on Pumps
plotshape(Final_Long_tp_pump and Final_longCondition0, text ="PUMP", title="Take Profit Long Pump", style=shape.triangledown,
location=location.abovebar, color = color.red, editable = false, transp = 0)
plotshape(Final_Short_tp_pump and Final_shortCondition0, text ="PUMP", title="Take Profit Short Pump", style=shape.triangleup,
location=location.belowbar, color = color.lime, editable = false, transp = 0)
ltp_pump = iff(Final_Long_tp_pump and Final_longCondition0, last_open_longCondition*(1+(tp_pump/100)), na), plot(ltp_pump, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
stp_pump = iff(Final_Short_tp_pump and Final_shortCondition0, last_open_shortCondition*(1-(tp_pump/100)), na), plot(stp_pump, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
// Sl
plotshape(Final_Long_sl, text ="SL", title="Stop Loss Long", style=shape.triangledown, location=location.abovebar, color = color.fuchsia, editable = false, transp = 0)
plotshape(Final_Short_sl, text ="SL", title="Stop Loss Short", style=shape.triangleup, location=location.belowbar, color = color.fuchsia, editable = false, transp = 0)
lsl = iff(Final_Long_sl, (1-(sl/100))*last_open_longCondition, na), plot(lsl, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
ssl = iff(Final_Short_sl, (1+(sl/100))*last_open_shortCondition, na), plot(ssl, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
// Final Long & Short Counter
if Final_Long_tp or Final_Long_sl or Final_XlongCondition
CondIni_long := -1
CondIni_long0 := -1
if Final_Short_tp or Final_Short_sl or Final_XshortCondition
CondIni_short := 1
CondIni_short0 := 1
if Final_longCondition
CondIni_long0 := 1
if Final_shortCondition
CondIni_short0 := -1
// Final SL Counter
CondIni_long_sl := Final_Long_sl or Final_shortCondition0 or Final_shortCondition or Final_XlongCondition ? 1 : Final_longCondition0 or Final_longCondition ? -1 : CondIni_long_sl[1]
CondIni_short_sl := Final_Short_sl or Final_longCondition0 or Final_longCondition or Final_XshortCondition ? 1 : Final_shortCondition0 or Final_shortCondition ? -1 : CondIni_short_sl[1]
// Levels
plot(is_Long and in_longCondition0 and not longCondition0 ? (last_open_longCondition*(1+(tp/100))) : na, "Long Take Profit", color = color.green, style=3, linewidth=1, editable = false)
plot(is_Short and in_shortCondition0 and not shortCondition0 ? (last_open_shortCondition*(1-(tp/100))) : na, "Short Take Profit", color =color.red , style=3, linewidth=1, editable = false)
plot(is_Long and in_longCondition0 and not longCondition0 ? (last_open_longCondition*(1+(tp2/100))) : na, "Long Take Profit 2", color = color.aqua, style=3, linewidth=1, editable = false)
plot(is_Short and in_shortCondition0 and not shortCondition0 ? (last_open_shortCondition*(1-(tp2/100))) : na, "Short Take Profit 2", color = color.orange, style=3, linewidth=1, editable = false)
// Weekend
Weekend = true
W_color = Weekend and (dayofweek == dayofweek.sunday or dayofweek == dayofweek.saturday) ? color.teal : na
bgcolor(W_color, title = "WEEKEND")
// BACKTESTING
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
Act_BT = input(true, "BACKTEST 💹")
BT_Final_longCondition := Position == "SHORT" ? na : (longCondition0 and not in_longCondition) or (Final_Long_tp and longCond) or (longCondition0 and not longCondition) or
(longCondition0 and CondIni_long[1] == -1) and not (Final_Long_tp[1] and longCond) and not (Final_Long_tp[1] and longCond[1])
BT_Final_shortCondition := Position == "LONG" ? na : (shortCondition0 and not in_shortCondition) or (Final_Short_tp and shortCond) or (shortCondition0 and not shortCondition) or
(shortCondition0 and CondIni_short[1] == 1) and not (Final_Short_tp[1] and shortCond) and not (Final_Short_tp[1] and shortCond[1])
testStartYear = input(2019, "BACKTEST START YEAR", minval = 1980, maxval = 2222)
testStartMonth = input(06, "BACKTEST START MONTH", minval = 1, maxval = 12)
testStartDay = input(01, "BACKTEST START DAY", minval = 1, maxval = 31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2222, "BACKTEST STOP YEAR", minval=1980, maxval = 2222)
testStopMonth = input(12, "BACKTEST STOP MONTH", minval=1, maxval=12)
testStopDay = input(31, "BACKTEST STOP DAY", minval=1, maxval=31)
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)
contracts_or_cash = input("CONTRACTS", "CONTRACTS ₿ / CASH $", options = ["CONTRACTS","CASH"])
cc_factor = (contracts_or_cash == "CASH") ? open : 1
quantity_cash_1TP = input(0.5, "QUANTITY 1ST TP", type = input.float) / cc_factor
quantity_cash_2TP = input(0.5, "QUANTITY 2ND TP", type = input.float) / cc_factor
testPeriod = time >= testPeriodStart and time <= testPeriodStop ? true : false
if (BT_Final_longCondition)
strategy.entry("long1", strategy.long, qty = quantity_cash_1TP, when = Act_BT and testPeriod)
strategy.entry("long2", strategy.long, qty = quantity_cash_2TP, when = Act_BT and testPeriod)
if (BT_Final_shortCondition)
strategy.entry("short1", strategy.short, qty = quantity_cash_1TP, when = Act_BT and testPeriod)
strategy.entry("short2", strategy.short, qty = quantity_cash_2TP, when = Act_BT and testPeriod)
strategy.exit("Tpl", "long1", profit = (abs((last_open_longCondition*(1+(tp/100)))-last_open_longCondition)/syminfo.mintick),
loss = Act_sl ? (abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick) : na)
strategy.exit("Tps", "short1", profit = (abs((last_open_shortCondition*(1-(tp/100)))-last_open_shortCondition)/syminfo.mintick),
loss = Act_sl ? (abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick) : na)
strategy.exit("Tpl2", "long2", profit = (abs((last_open_longCondition*(1+(tp2/100)))-last_open_longCondition)/syminfo.mintick),
loss = Act_sl ? (abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick) : na)
strategy.exit("Tps2", "short2", profit = (abs((last_open_shortCondition*(1-(tp2/100)))-last_open_shortCondition)/syminfo.mintick),
loss = Act_sl ? (abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick) : na)
strategy.close_all(when = Final_XlongCondition0 or Final_XshortCondition0)
// ALERTS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
//alertcondition(Final_longCondition0, title="Not_Conf Long Alert", message = "NC LONG")
//alertcondition(Final_shortCondition0, title="Not_Conf Short Alert", message = "NC SHORT")
//alertcondition(Final_longCondition, title="Long Alert", message = "LONG")
//alertcondition(Final_shortCondition, title="Short Alert", message = "SHORT")
//alertcondition(Final_Long_tp, title="Take Profit on Longs Alert", message = "LONG TP")
//alertcondition(Final_Short_tp, title="Take Profit on Shorts Alert", message = "SHORT TP")
//alertcondition(Final_Long_tp2, title="Take Profit2 on Longs Alert", message = "LONG TP2")
//alertcondition(Final_Short_tp2, title="Take Profit2 on Shorts Alert", message = "SHORT TP2")
//alertcondition(Final_XlongCondition or Final_Long_sl or (Final_Long_tp_pump and Act_not_conf), title="XLong/PUMP/Stop-Loss on Longs Alert", message = "XLONG/PUMP/STOP-LOSS")
//alertcondition(Final_XshortCondition or Final_Short_sl or (Final_Short_tp_pump and Act_not_conf), title="XShort/PUMP/Stop-Loss on Shorts Alert", message = "XSHORT/PUMP/STOP-LOSS")
// BTC BINANCE FUTURES
alertcondition(Final_longCondition0, title="BTC NC Long Alert",
message = "NC LONG | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=order b=short | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=short t=market ro=1 | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT b=long q=25% t=market")
alertcondition(Final_shortCondition0, title="BTC NC Short Alert",
message = "NC SHORT | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=order b=long | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=long t=market ro=1 | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT b=short q=25% t=market")
alertcondition(Final_longCondition, title="BTC Long Alert",
message = "LONG | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=order b=short | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=short t=market ro=1 | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT b=long q=100% t=market | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=long p=0.70% q=50% t=limit ro=1 | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=long p=1.8% q=50% t=limit ro=1")
alertcondition(Final_shortCondition, title="BTC Short Alert",
message = "SHORT | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=order b=long | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=long t=market ro=1 | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT b=short q=100% t=market | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=short p=-0.70% q=50% t=limit ro=1 | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=short p=-1.8% q=50% t=limit ro=1")
//alertcondition(Final_Long_tp, title="BTC Take Profit on Longs Alert",
// message = "LONG TP | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position q=50% t=market ro=1")
//alertcondition(Final_Short_tp, title="BTC Take Profit on Shorts Alert",
// message = "SHORT TP | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position q=50% t=market ro=1")
//alertcondition(Final_Long_tp2, title="BTC Take Profit on Longs Alert",
// message = "LONG TP2 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=long q=100% t=market ro=1")
//alertcondition(Final_Short_tp2, title="BTC Take Profit on Shorts Alert",
// message = "SHORT TP2 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=short q=100% t=market ro=1")
alertcondition(Final_XL or Final_Long_sl or (Final_Long_tp_pump and Act_not_conf), title="BTC XLong/PUMP/Stop-Loss on Longs Alert",
message = "XLONG/PUMP/STOP-LOSS | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=order b=long | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=long t=market ro=1")
alertcondition(Final_XS or Final_Short_sl or (Final_Short_tp_pump and Act_not_conf), title="BTC XShort/PUMP/Stop-Loss on Shorts Alert",
message = "XSHORT/PUMP/STOP-LOSS | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=order b=short | delay=1 | e=BINANCEFUTURES a=BINANCE s=BTCUSDT c=position b=short t=market ro=1")