This is an improvement of drkhodakarami’s Scaled Normalized Vector strategy, mainly adding activation functions to enhance the strategy’s performance. The strategy calculates the rate of change in the market based on timeframe differences, and determines long and short signals based on threshold values. Meanwhile, swish, ReLU and step activation functions are introduced to smooth the differential sequence and improve the accuracy of signal judgement.
Solutions:
Based on drkhodakarami’s work, this strategy introduces activation functions to enhance performance. The expanded parameter customization better adapts to market changes. Meanwhile, the excellent visualization intuitively presents trading opportunities. Next steps are to further optimize activation functions and threshold settings, incorporate stop loss logic and more signal filtering to achieve even better strategy efficacy.
/*backtest start: 2023-01-15 00:00:00 end: 2024-01-21 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 // author: capissimo strategy("Scaled Normalized Vector Strategy, ver.4", precision=2, overlay=false) // This is a modification of my Scaled Normalized Vector Strategy // original: Drkhodakarami (https://www.tradingview.com/script/Fxv2xFWe-Normalized-Vector-Strategy-By-Drkhodakarami-Opensource/) price = input(close, "Price Data") tf = input(18, "Timeframe", minval=1, maxval=1440) thresh = input(14., "Threshold", minval=.1, step=.1) div = input(1000000,"Divisor", options=[1,10,100,1000,10000,100000,1000000,10000000,100000000]) mmx = input(233, "Minimax Lookback", options=[1, 2, 3, 5, 8, 13, 21, 34, 55, 89, 144, 233, 377, 610, 987, 1597, 2584]) showVol = input(false, "Volume") useold = input(true, "Use Old System") method = input("Swish", "Activation", options=["Step", "LReLU", "Swish", "None"]) scaleMinimax(X, p, min, max) => hi = highest(X, p), lo = lowest(X, p) (max - min) * (X - lo)/(hi - lo) + min getdiff(prc, tf) => prev = scaleMinimax((useold ? security(syminfo.tickerid, tostring(tf), prc[1], barmerge.gaps_off, barmerge.lookahead_on) : security(syminfo.tickerid, tostring(tf), prc[1])), tf, 0, 1) curr = scaleMinimax((useold ? security(syminfo.tickerid, tostring(tf), hlc3, barmerge.gaps_off, barmerge.lookahead_on) : security(syminfo.tickerid, tostring(tf), hlc3)), tf, 0, 1) (curr/prev) - 1 relu(x) => max(x, 0) lrelu(x, alpha) => relu(x) - alpha * relu(-x) step(x) => x >= 0 ? 1 : -1 log2(x) => log(x) / log(2) sigmoid(x) => 1 / (1 + exp(-x)) swish(x) => x * sigmoid(x) f(m) => method==m vol = useold ? security(syminfo.tickerid, tostring(tf), volume, barmerge.gaps_off, barmerge.lookahead_on) : security(syminfo.tickerid, tostring(tf), volume) obv = cum(change(price) > 0 ? vol : change(price) < 0 ? -vol : 0*vol) prix = showVol ? obv : price x = getdiff(prix, tf) p = f("Swish") ? swish(x) : f("Step") ? step(x) : f("LReLU") ? lrelu(x, .8) : x th = thresh/div long = crossover(p, th) short= crossunder(p, -th) lime = color.new(color.lime, 10), fuchsia = color.new(color.fuchsia, 10), black = color.new(color.black, 100), gray = color.new(color.gray, 50) bg = long ? lime : short ? fuchsia : black cl = p > th ? color.green : p < -th ? color.red : color.silver bgcolor(bg, editable=false) plot(scaleMinimax(th, mmx, -1, 1), color=lime, editable=false, transp=0) hline(0, linestyle=hline.style_dotted, title="base line", color=gray, editable=false) plot(scaleMinimax(-th, mmx, -1, 1), color=fuchsia, editable=false, transp=0) plot(scaleMinimax(p, mmx, -1, 1), color=cl, style=plot.style_histogram, transp=70, editable=false) plot(scaleMinimax(p, mmx, -1, 1), color=cl, style=plot.style_linebr, title="prediction", transp=0, editable=false) strategy.entry("L", true, 1, when=long) strategy.entry("S", false, 1, when=short) alertcondition(long, title='Long', message='Long Signal!') alertcondition(short, title='Short', message='Short Signal!') //*** Karobein Oscillator per = input(8, "Karobein Osc Lookback") prix2 = ema(price, per) a = ema(prix2 < prix2[1] ? prix2/prix2[1] : 0, per) b = ema(prix2 > prix2[1] ? prix2/prix2[1] : 0, per) c = (prix2/prix2[1])/(prix2/prix2[1] + b) d = 2*((prix2/prix2[1])/(prix2/prix2[1] + c*a)) - 1 plot(scaleMinimax(d, mmx, -1, 1), color=color.orange, transp=0)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6