ChaoZhang
概述
震荡盈利波段Grid策略是一种趋势跟踪策略,它根据价格的波动自动建立网格,在价格波动的时候可以持续盈利。
策略原理
该策略的核心思想是建立一个价格波段网格,当价格进入不同的波段时,会产生新的交易信号。例如,如果网格间距设置为500美元,那么当价格上涨超过500美元时会产生新的做多信号。
具体来说,该策略通过追踪价格的新高价或新低价来不断移动建立新的网格。在代码中,我们定义了一个变量re_grid来存储当前的网格价位。价格只要突破这个网格价位超过设置的网格间距,就会重新计算下一个网格价位。
这样,当价格出现足够大的波动时,就会产生新的交易信号,我们可以通过做多或做空来获利。当价格开始向反方向移动超过网格间距时,原来的头寸会止损。
优势分析
该策略最大的优势在于可以自动跟踪价格趋势,持续获利。只要价格保持足够大的波动,我们的头寸规模会不断增大,利润也会越来越多。
另外,通过合理设置网格参数,可以有效控制风险。此外,结合Ichimoku 云图等技术指标过滤信号,可以提高策略稳定性。
风险分析
该策略主要的风险在于价格可能会突然反转,导致止损。这时之前积累的利润可能会减少或者亏损。
为了控制这种风险,我们可以设置止损线,合理调整网格参数,选择趋势性较强的交易品种,结合多个技术指标进行信号过滤等方法。
优化方向
我们可以从以下几个方面继续优化该策略:
优化网格参数,找到最佳的网格间距、仓位规模等参数组合
增加或调整止损机制,更好地控制风险
测试不同的交易品种,选择波动较大、趋势更明显的品种
增加更多技术指标判断,提高策略稳定性
总结
该震荡盈利波段Grid策略通过建立价格网格自动跟踪趋势,可以有效地持续获利。同时也存在一定的回撤风险。通过参数优化、止损设置、品种选择等手段可以有效控制风险,提高策略稳定性。
策略源码
/*backtest
start: 2023-01-16 00:00:00
end: 2024-01-22 00:00:00
period: 1d
basePeriod: 1h
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/
// © ramsay09
//@version=4
strategy(title="Grid Tool",shorttitle= "Grid", overlay= true )
backtest = input(title= "Backtest (no comment-string, disable for API-trading)", type= input.bool, defval= true)
entry_type = input("Long", title= "Long/Short Entry", options= ["Long", "Short"])
X_opt = input("Grid - reentry", title="--- 1st ENTRY SIGNAL ---", options= ["---", "Grid - reentry", "Grid - counter trend", "Fractals", "Reverse fractal"])
X_opt_2 = input("---", title="--- 2nd ENTRY SIGNAL ---", options= ["---", "Grid - reentry", "Grid - counter trend", "Fractals", "Reverse fractal"])
entry_f_1 = input("---", title="Entry filter 1", options= ["---", "Bar breakout 1 filter", "Bar breakout 2 filter", "SMA filter", "MACD filter", "RSI50 filter", "Fractals filter",
"Segments filter", "Fractals 1-2-3 filter", "Reverse fractal filter", "EMA21/SMA20 filter", "TRIX filter",
"SuperTrend filter", "Parabolic SAR filter", "ADX filter", "Price X Kumo filter", "Price X Kijun filter", "Kumo flip filter",
"Price filtered Kumo flip filter", "Chikou X price filter", "Chikou X Kumo filter", "Price X Tenkan filter", "Tenkan X Kumo filter",
"Tenkan X Kijun filter"])
entry_f_2 = input("---", title="Entry filter 2", options= ["---", "Bar breakout 1 filter", "Bar breakout 2 filter", "SMA filter", "MACD filter", "RSI50 filter", "Fractals filter",
"Segments filter", "Fractals 1-2-3 filter", "Reverse fractal filter", "EMA21/SMA20 filter", "TRIX filter",
"SuperTrend filter", "Parabolic SAR filter", "ADX filter", "Price X Kumo filter", "Price X Kijun filter", "Kumo flip filter",
"Price filtered Kumo flip filter", "Chikou X price filter", "Chikou X Kumo filter", "Price X Tenkan filter", "Tenkan X Kumo filter",
"Tenkan X Kijun filter"])
exit_f_1 = input("---", title="Exit filter 1", options= ["---", "TRIX exit", "Reverse fractal exit", "SMA exit", "MACD exit",
"RSI50 exit", "Fractals exit", "SuperTrend exit", "Parabolic SAR exit", "ADX exit", "Cloud exit", "Kijun exit"])
exit_f_2 = input("---", title="Exit filter 2", options= ["---", "TRIX exit", "Reverse fractal exit", "SMA exit", "MACD exit",
"RSI50 exit", "Fractals exit", "SuperTrend exit", "Parabolic SAR exit", "ADX exit", "Cloud exit", "Kijun exit"])
//--------------------- Signal inputs -----------------------
grid_gap = input(500, type= input.float, title= "Grid gap - base currency", minval= 0, step= 10)
//--------------------- filter inputs --------------------
shared_param = input(false, title= " Shared filter and entry parameters :", type= input.bool)
sb = input(title="Segment max bars", defval= 10, minval= 0, step= 1)
fr_period = input(2, title= "Fractals period", minval= 1)
rsi_period = input(14, title= "RSI period", minval= 1)
ma_period = input(50, title= "MA period", minval= 1)
mult = input(3, type= input.float, title= "SuperTrend multiplier", minval= 1, step= 0.1)
len = input(6, type= input.integer, title= "SuperTrend length", minval= 1)
start = 0.02//input(0.02, title= "PSAR Start (Filter/Entry)", minval= 0)
inc = 0.02//input(0.02, title= "PSAR Increment (Filter/Entry)", minval= 0)
max = 0.2//input(.2, title= "PSAR Maximum (Filter/Entry)", minval= 0)
di_length_s = input(10, title= "DI length (signals)", minval= 1)
adx_smooth_s = input(10, title= "ADX smooth (signals)", minval= 1)
adx_thres_s = input(25, title= "ADX threshold (signals)", minval= 1)
trix_len_f = input(14, title= "TRIX Length", type=input.integer, minval=1)
smooth_length_f = input(6, title= "Signal Smoothing Length (TRIX)", type=input.integer, minval=1)
//--------------------- exit inputs --------------------
exit_param = input(false, title= " Exit Parameters :", type= input.bool)
trix_len_x = input(14, title= "TRIX Length", type=input.integer, minval=1)
smooth_length_x = input(6, title= "Signal Smoothing Length (TRIX)", type=input.integer, minval=1)
fr_period_x = input(2, title= "Exit fractals - period", minval= 1)
fr_past_x = input(0, title= "Exit fractals - past fractal", minval= 0)
rsi_period_x = input(14, title= "Exit RSI period", minval= 1)
ma_period_x = input(50, title= "Exit MA period", minval= 1)
mult_x = input(2, type= input.float, title= "Exit SuperTrend multiplier", minval= 1)
len_x = input(5, type= input.integer, title= "Exit SuperTrend length", minval= 1)
di_length_x = input(10, title= "Exit ADX period", minval= 1)
adx_smooth_x = input(10, title= "Exit ADX smooth", minval= 1)
adx_thres_x = input(25, title= "Exit ADX threshold", minval= 1)
//----------------------- Backtest periode --------------------------------
b_t_per_start = input(false, title= " Set backtest start or/and trend start :", type= input.bool)
start_year = input(2020, "Start year")
start_month = input(3, "Start month", minval= 1, maxval= 12)
start_day = input(13, "Start day", minval= 1, maxval= 31)
period_start = timestamp(start_year, start_month, start_day, 0, 0)
stop_year = input(2120, "Stop year")
stop_month = input(12, "Stop month", minval= 1, maxval= 12)
stop_day = input(31, "Stop day", minval= 1, maxval= 31)
period_stop = timestamp(stop_year, stop_month, stop_day, 0, 0)
backtest_period() => time >= period_start and time <= period_stop ? true : false
//-------------------- Ichimoku --------------------
TKlength = 9 //input(9, "Tenkan-sen length", minval= 1)
KJlength = 26 //input(26, "Kijun-sen length", minval= 1)
CSHSlength = 26 //input(26, "Chikouspan length/horizontal shift", minval= 1)
SBlength = 52 //input(52, "SenkouspanB length", minval= 1)
SAlength = 26 //input(26, "SenkouspanA length", minval= 1)
// calculation
TK = avg(lowest(TKlength), highest(TKlength))
KJ = avg(lowest(KJlength), highest(KJlength))
CS = close
SB = avg(lowest(SBlength), highest(SBlength))
SA = avg(TK,KJ)
kumo_high = max(SA[CSHSlength-1], SB[CSHSlength-1])
kumo_low = min(SA[CSHSlength-1], SB[CSHSlength-1])
//------------------------------------- Filters and entry signals --------------------------------------
//---------------------- Ichimoku filter ------------------------
// cross conditions for "Strong" filtered signals
var bool sasb_x = true
if crossover(SA, SB) and low > kumo_high
sasb_x := true
if crossunder(SA, SB) and high < kumo_low
sasb_x := false
var bool tkkj_x = true
if crossover(TK, KJ) and TK > kumo_high and KJ > kumo_high
tkkj_x := true
if crossunder(TK, KJ) and TK < kumo_low and KJ < kumo_low
tkkj_x := false
// Ichimoku filters
kijun_buy_f = close > KJ
kumo_buy_f = close > kumo_high
kumo_flip_buy_f = SA > SB
price_filtered_kumo_flip_buy_f = sasb_x and low > kumo_high
chikou_X_price_buy_f = CS > high[(26-1)]
chikou_X_kumo_buy_f = CS > kumo_high[26-1]
price_X_tenkan_buy_f = close > TK
tenkan_X_kumo_buy_f = TK > kumo_high
tenkan_X_kijun_buy_f = TK > KJ
kumo_filtered_tenkan_X_kijun_buy_f = tkkj_x and TK > kumo_high and KJ > kumo_high and TK > KJ
kijun_sell_f = close < KJ
kumo_sell_f = close < kumo_low
kumo_flip_sell_f = SA < SB
price_filtered_kumo_flip_sell_f = not sasb_x and high < kumo_low
chikou_X_price_sell_f = CS < low[(26-1)]
chikou_X_kumo_sell_f = CS < kumo_low[26-1]
price_X_tenkan_sell_f = close < TK
tenkan_X_kumo_sell_f = TK < kumo_low
tenkan_X_kijun_sell_f = TK < KJ
kumo_filtered_tenkan_X_kijun_sell_f = not tkkj_x and TK < kumo_low and KJ < kumo_low and TK < KJ
// Ichimoku exits
kijun_buy_x = close > KJ
kumo_buy_x = close > kumo_high
kijun_sell_x = close < KJ
kumo_sell_x = close < kumo_low
//------------------------ grid --------------------------
//up_grid = 0.
//up_grid := nz(high > up_grid[1] + grid_gap and backtest_period() ? close : up_grid[1]) // forward grid long
//dn_grid = 0.
//dn_grid := nz(low < dn_grid[1] - grid_gap and backtest_period() ? close : dn_grid[1]) // forward grid short
re_grid = 0.
re_grid := nz(high > re_grid[1] + grid_gap or low < re_grid[1] - grid_gap ? close : re_grid[1])
//grid_up_buy = up_grid > up_grid[1]
//grid_dn_sell = dn_grid < dn_grid[1]
grid_ct_buy = re_grid < re_grid[1]
grid_ct_sell = re_grid > re_grid[1]
grid_re_buy = re_grid > re_grid[1]
grid_re_sell = re_grid < re_grid[1]
//plot(re_grid,"Plot", color= color.yellow, linewidth= 2)
//---------------------- reverse fractal signal and filter --------------------------
up_bar = close[0] > open[0]
dn_bar = close[0] < open[0]
hl = low[0] > low[1]
lh = high[0] < high[1]
rev_up_fr_sell = pivothigh(high, 3, 0) and dn_bar and up_bar[1] or
pivothigh(high, 4, 1) and dn_bar and up_bar[1] or
pivothigh(high, 4, 1) and lh and up_bar and up_bar[1]
rev_dn_fr_buy = pivotlow(low, 3, 0) and up_bar and dn_bar[1] or
pivotlow(low, 4, 1) and up_bar and dn_bar[1] or
pivotlow(low, 4, 1) and hl and dn_bar and dn_bar[1]
ema_f(src, ema_len) => ema(src, ema_len) // ma function definition
sma_f(src, sma_len) => sma(src, sma_len)
ema_21 = ema_f(close, 21) // ema21/sma20 signal
sma_20 = sma_f(close, 20)
ma_cross_buy = close > ema_21 and close > sma_20 and ema_21 > sma_20
ma_cross_sell = close < ema_21 and close < sma_20 and ema_21 < sma_20
//--------------------- TRIX ------------------------
triple_ema_f = ema(ema(ema(close, trix_len_f), trix_len_f), trix_len_f)
trix_f = roc(triple_ema_f, 1)
signal_f = sma(trix_f, smooth_length_f)
triple_ema_x = ema(ema(ema(close, trix_len_x), trix_len_x), trix_len_x)
trix_x = roc(triple_ema_x, 1)
signal_x = sma(trix_x, smooth_length_x)
//filters
trix_buy_f = trix_f > signal_f
trix_sell_f = trix_f < signal_f
//exits
trix_buy_x = trix_x > signal_x
trix_sell_x = trix_x < signal_x
//----------------------- macd filter -----------------------
[macdLine_f, signalLine_f, histLine_f] = macd(close, 12, 26, 9)
//filters
macd_buy = macdLine_f > signalLine_f
macd_sell = macdLine_f < signalLine_f
//exit
macd_buy_x = macdLine_f > signalLine_f
macd_sell_x = macdLine_f < signalLine_f
//---------------------- rsi filter and entry signal------------------------
//entry
rsi_f = rsi(close, rsi_period)
rsi_f_buy = rsi_f > 50
rsi_f_sell = rsi_f < 50
//filters
rsi_f_buy_f = rsi_f > 50
rsi_f_sell_f = rsi_f < 50
//exit
rsi_f_x = rsi(close, rsi_period_x)
rsi_f_buy_x = rsi_f_x > 50
rsi_f_sell_x = rsi_f_x < 50
//---------------- Bill Williams Fractals (filter and entry signal) -----------------
up_fr = pivothigh(fr_period, fr_period)
dn_fr = pivotlow(fr_period, fr_period)
fractal_up_v = valuewhen(up_fr, high[fr_period],0)
fractal_dn_v = valuewhen(dn_fr, low[fr_period],0)
//entry signal
fr_upx = crossover(high, fractal_up_v)
fr_dnx = crossunder(low, fractal_dn_v)
//filters
fr_upx_f = high > fractal_up_v
fr_dnx_f = low < fractal_dn_v
//exit
up_fr_x = pivothigh(fr_period_x, fr_period_x)
dn_fr_x = pivotlow(fr_period_x, fr_period_x)
fractal_up_v_x = valuewhen(up_fr_x, high[fr_period_x], fr_past_x)
fractal_dn_v_x = valuewhen(dn_fr_x, low[fr_period_x], fr_past_x)
fr_upx_x = high > fractal_up_v_x
fr_dnx_x = low < fractal_dn_v_x
//higher low and higher high - lower high and lower low - entry
fractal_dn_v_1 = valuewhen(dn_fr, low[fr_period],1)
fractal_up_v_1 = valuewhen(up_fr, high[fr_period],1)
hl_hh_buy = fractal_dn_v > fractal_dn_v_1 and high > fractal_up_v // 123 signal and filter
lh_ll_sell = fractal_up_v < fractal_up_v_1 and low < fractal_dn_v
//-------------------- SuperTrend filter and entry signal ---------------------
//entry
[SuperTrend, Dir] = supertrend(mult, len)
sup_buy = close > SuperTrend
sup_sell = close < SuperTrend
//filters
sup_buy_f = close > SuperTrend
sup_sell_f = close < SuperTrend
//exit
[SuperTrend_x, Dir_x] = supertrend(mult_x, len_x)
sup_buy_x = close > SuperTrend_x
sup_sell_x = close < SuperTrend_x
//----------------- Parabolic SAR Signal (pb/ps) and filter -------------------
psar_buy = high > sar(start, inc, max)[0]
psar_sell = low < sar(start, inc, max)[0]
//filters
psar_buy_f = high > sar(start, inc, max)[0]
psar_sell_f = low < sar(start, inc, max)[0]
//-------------------------- ADX entry and filter ---------------------------
//exit
[diplus_f_x, diminus_f_X, adx_f_x] = dmi(di_length_x, adx_smooth_x)
adx_thres_f_x = adx_f_x < adx_thres_x
//adx signal 1/2 and filters
[diplus_s, diminus_s, adx_s] = dmi(di_length_s, adx_smooth_s)
adx_above_thres = adx_s > adx_thres_s
long_1 = diplus_s > diminus_s and adx_s < diplus_s and adx_s > diminus_s
short_1 = diplus_s < diminus_s and adx_s > diplus_s and adx_s < diminus_s
long_2 = diplus_s > diminus_s and adx_above_thres
short_2 = diplus_s < diminus_s and adx_above_thres
//-------------------------- SMA50 filter and entry---------------------------
//entry
sma_buy = close[2] > ema_f(close, ma_period)
sma_sell = close[2] < ema_f(close, ma_period)
//filters
sma_buy_f = close[2] > sma_f(close, ma_period)
sma_sell_f = close[2] < sma_f(close, ma_period)
//exit
sma_buy_x = close[1] > sma_f(close, ma_period_x)
sma_sell_x = close[1] < sma_f(close, ma_period_x)
//--------------------------- Segments signal ----------------------------
count1_l = 0
count2_l = 0
segment_1_stat_l = false
segment_2_stat_l = false
segment_3_stat_l = false
higher_low = low > low[1]
var line segment_low_1_l = na
var line segment_low_2_l = na
var line segment_low_3_l = na
// long segments
for i=0 to sb
count1_l := count1_l + 1
if low[1] > low[i+2] and higher_low
segment_1_stat_l := true
break
for i=count1_l to sb+count1_l
count2_l := count2_l + 1
if low[1+count1_l] > low[i+2] and segment_1_stat_l
segment_2_stat_l := true
break
for i=count2_l to sb+count2_l
if low[1+count1_l+count2_l] > low[i+2+count1_l] and segment_2_stat_l
segment_3_stat_l := true
break
// short segments
count1_s = 0
count2_s = 0
segment_1_stat_s = false
segment_2_stat_s = false
segment_3_stat_s = false
lower_high = high < high[1]
var line segment_high_1 = na
var line segment_high_2 = na
var line segment_high_3 = na
for i=0 to sb
count1_s := count1_s + 1
if high[1] < high[i+2] and lower_high
segment_1_stat_s := true
break
for i=count1_s to sb+count1_s
count2_s := count2_s + 1
if high[1+count1_s] < high[i+2] and segment_1_stat_s
segment_2_stat_s := true
break
for i=count2_s to sb+count2_s
if high[1+count1_s+count2_s] < high[i+2+count1_s] and segment_2_stat_s
segment_3_stat_s := true
break
// segments signals
seg_stat_l = segment_1_stat_l and segment_2_stat_l and segment_3_stat_l
seg_stat_s = segment_1_stat_s and segment_2_stat_s and segment_3_stat_s
//entry
segments_buy = high > high[1] and seg_stat_l[1]
segments_sell = low < low[1] and seg_stat_s[1]
//filters
segments_buy_f = high > high[1] and seg_stat_l[1]
segments_sell_f = low < low[1] and seg_stat_s[1]
//--------------------------- Entry Signal Options ---------------------------
// buy signal options 1
opt_sig_buy =
X_opt == "---" ? na :
// X_opt == "Grid - forward sig" ? grid_up_buy :
X_opt == "Grid - counter trend" ? grid_ct_buy :
X_opt == "Grid - reentry" ? grid_re_buy :
X_opt == "Fractals" ? fr_upx :
X_opt == "Reverse fractal" ? rev_dn_fr_buy : na
// sell signal options 1
opt_sig_sell =
X_opt == "---" ? na :
// X_opt == "Grid - forward sig" ? grid_dn_sell :
X_opt == "Grid - counter trend" ? grid_ct_sell :
X_opt == "Grid - reentry" ? grid_re_sell :
X_opt == "Fractals" ? fr_dnx :
X_opt == "Reverse fractal" ? rev_up_fr_sell : na
// buy signal options 2
opt_sig_buy_2 =
X_opt_2 == "---" ? na :
// X_opt_2 == "Grid - forward sig" ? grid_up_buy :
X_opt_2 == "Grid - counter trend" ? grid_ct_buy :
X_opt_2 == "Grid - reentry" ? grid_re_buy :
X_opt_2 == "Fractals" ? fr_upx :
X_opt_2 == "Reverse fractal" ? rev_dn_fr_buy : na
// sell signal options 2
opt_sig_sell_2 =
X_opt_2 == "---" ? na :
// X_opt_2 == "Grid - forward sig" ? grid_dn_sell :
X_opt_2 == "Grid - counter trend" ? grid_ct_sell :
X_opt_2 == "Grid - reentry" ? grid_re_sell :
X_opt_2 == "Fractals" ? fr_dnx :
X_opt_2 == "Reverse fractal" ? rev_up_fr_sell : na
//-------------------------- entry filter -------------------------------
//entry buy filter 1 options
entry_filter_buy_1 =
entry_f_1 == "---" ? true :
entry_f_1 == "MACD filter" ? macd_buy :
entry_f_1 == "RSI50 filter" ? rsi_f_buy_f :
entry_f_1 == "Fractals filter" ? fr_upx_f :
entry_f_1 == "SuperTrend filter" ? sup_buy_f :
entry_f_1 == "Parabolic SAR filter" ? psar_buy_f :
entry_f_1 == "SMA filter" ? sma_buy_f :
entry_f_1 == "ADX filter" ? adx_above_thres :
entry_f_1 == "Segments filter" ? segments_buy :
entry_f_1 == "Fractals 1-2-3 filter" ? hl_hh_buy :
entry_f_1 == "Reverse fractal filter" ? rev_dn_fr_buy :
entry_f_1 == "EMA21/SMA20 filter" ? ma_cross_buy :
entry_f_1 == "TRIX filter" ? trix_buy_f :
entry_f_1 == "Price X Kumo filter" ? kumo_buy_f :
entry_f_1 == "Price X Kijun filter" ? kijun_buy_f :
entry_f_1 == "Kumo flip filter" ? kumo_flip_buy_f :
entry_f_1 == "Price filtered Kumo flip filter" ? price_filtered_kumo_flip_buy_f :
entry_f_1 == "Chikou X price filter" ? chikou_X_price_buy_f :
entry_f_1 == "Chikou X Kumo filter" ? chikou_X_kumo_buy_f :
entry_f_1 == "Price X Tenkan filter" ? price_X_tenkan_buy_f :
entry_f_1 == "Tenkan X Kumo filter" ? tenkan_X_kumo_buy_f :
entry_f_1 == "Tenkan X Kijun filter" ? tenkan_X_kijun_buy_f : true
//entry sell filter 1 options
entry_filter_sell_1 =
entry_f_1 == "---" ? true :
entry_f_1 == "MACD filter" ? macd_sell :
entry_f_1 == "RSI50 filter" ? rsi_f_sell_f :
entry_f_1 == "Fractals filter" ? fr_dnx_f :
entry_f_1 == "SuperTrend filter" ? sup_sell_f :
entry_f_1 == "Parabolic SAR filter" ? psar_sell_f :
entry_f_1 == "SMA filter" ? sma_sell_f :
entry_f_1 == "ADX filter" ? adx_above_thres :
entry_f_1 == "Segments filter" ? segments_sell :
entry_f_1 == "Fractals 1-2-3 filter" ? lh_ll_sell :
entry_f_1 == "Reverse fractal filter" ? rev_up_fr_sell :
entry_f_1 == "EMA21/SMA20 filter" ? ma_cross_sell :
entry_f_1 == "TRIX filter" ? trix_sell_f :
entry_f_1 == "Price X Kumo filter" ? kumo_sell_f :
entry_f_1 == "Price X Kijun filter" ? kijun_sell_f :
entry_f_1 == "Kumo flip filter" ? kumo_flip_sell_f :
entry_f_1 == "Price filtered Kumo flip filter" ?price_filtered_kumo_flip_sell_f :
entry_f_1 == "Chikou X price filter" ? chikou_X_price_sell_f :
entry_f_1 == "Chikou X Kumo filter" ? chikou_X_kumo_sell_f :
entry_f_1 == "Price X Tenkan filter" ? price_X_tenkan_sell_f :
entry_f_1 == "Tenkan X Kumo filter" ? tenkan_X_kumo_sell_f :
entry_f_1 == "Tenkan X Kijun filter" ? tenkan_X_kijun_sell_f : true
//entry buy filter 2 options
entry_filter_buy_2 =
entry_f_2 == "---" ? true :
entry_f_2 == "MACD filter" ? macd_buy :
entry_f_2 == "RSI50 filter" ? rsi_f_buy_f :
entry_f_2 == "Fractals filter" ? fr_upx_f :
entry_f_2 == "SuperTrend filter" ? sup_buy_f :
entry_f_2 == "Parabolic SAR filter" ? psar_buy_f :
entry_f_2 == "SMA filter" ? sma_buy_f :
entry_f_2 == "ADX filter" ? adx_above_thres :
entry_f_2 == "Segments filter" ? segments_buy :
entry_f_2 == "Fractals 1-2-3 filter" ? hl_hh_buy :
entry_f_2 == "Reverse fractal filter" ? rev_dn_fr_buy :
entry_f_2 == "EMA21/SMA20 filter" ? ma_cross_buy :
entry_f_2 == "TRIX filter" ? trix_buy_f :
entry_f_2 == "Price X Kumo filter" ? kumo_buy_f :
entry_f_2 == "Price X Kijun filter" ? kijun_buy_f :
entry_f_2 == "Kumo flip filter" ? kumo_flip_buy_f :
entry_f_2 == "Price filtered Kumo flip filter" ? price_filtered_kumo_flip_buy_f :
entry_f_2 == "Chikou X price filter" ? chikou_X_price_buy_f :
entry_f_2 == "Chikou X Kumo filter" ? chikou_X_kumo_buy_f :
entry_f_2 == "Price X Tenkan filter" ? price_X_tenkan_buy_f :
entry_f_2 == "Tenkan X Kumo filter" ? tenkan_X_kumo_buy_f :
entry_f_2 == "Tenkan X Kijun filter" ? tenkan_X_kijun_buy_f : true
//entry sell filter 2 options
entry_filter_sell_2 =
entry_f_2 == "---" ? true :
entry_f_2 == "MACD filter" ? macd_sell :
entry_f_2 == "RSI50 filter" ? rsi_f_sell_f :
entry_f_2 == "Fractals filter" ? fr_dnx_f :
entry_f_2 == "SuperTrend filter" ? sup_sell_f :
entry_f_2 == "Parabolic SAR filter" ? psar_sell_f :
entry_f_2 == "SMA filter" ? sma_sell_f :
entry_f_2 == "ADX filter" ? adx_above_thres :
entry_f_2 == "Segments filter" ? segments_sell :
entry_f_2 == "Fractals 1-2-3 filter" ? lh_ll_sell :
entry_f_2 == "Reverse fractal filter" ? rev_up_fr_sell :
entry_f_2 == "EMA21/SMA20 filter" ? ma_cross_sell :
entry_f_2 == "TRIX filter" ? trix_sell_f :
entry_f_2 == "Price X Kumo filter" ? kumo_sell_f :
entry_f_2 == "Price X Kijun filter" ? kijun_sell_f :
entry_f_2 == "Kumo flip filter" ? kumo_flip_sell_f :
entry_f_2 == "Price filtered Kumo flip filter" ? price_filtered_kumo_flip_sell_f :
entry_f_2 == "Chikou X price filter" ? chikou_X_price_sell_f :
entry_f_2 == "Chikou X Kumo filter" ? chikou_X_kumo_sell_f :
entry_f_2 == "Price X Tenkan filter" ? price_X_tenkan_sell_f :
entry_f_2 == "Tenkan X Kumo filter" ? tenkan_X_kumo_sell_f :
entry_f_2 == "Tenkan X Kijun filter" ? tenkan_X_kijun_sell_f : true
//------------------------- exit filter -----------------------
//short exit buy filter 1 options
exit_filter_buy_1 =
exit_f_1 == "---" ? false :
exit_f_1 == "TRIX exit" ? trix_buy_x :
exit_f_1 == "Reverse fractal exit" ? rev_dn_fr_buy :
exit_f_1 == "MACD exit" ? macd_buy_x :
exit_f_1 == "RSI50 exit" ? rsi_f_buy_x :
exit_f_1 == "Fractals exit" ? fr_upx_x :
exit_f_1 == "SuperTrend exit" ? sup_buy_x :
exit_f_1 == "Parabolic SAR exit" ? psar_buy :
exit_f_1 == "SMA exit" ? sma_buy_x :
exit_f_1 == "ADX exit" ? adx_thres_f_x :
exit_f_1 == "Cloud exit" ? kumo_buy_x :
exit_f_1 == "Kijun exit" ? kijun_buy_x : false
//long exit sell filter 1 options
exit_filter_sell_1 =
exit_f_1 == "---" ? false :
exit_f_1 == "TRIX exit" ? trix_sell_x :
exit_f_1 == "Reverse fractal exit" ? rev_up_fr_sell :
exit_f_1 == "MACD exit" ? macd_sell_x :
exit_f_1 == "RSI50 exit" ? rsi_f_sell_x :
exit_f_1 == "Fractals exit" ? fr_dnx_x :
exit_f_1 == "SuperTrend exit" ? sup_sell_x :
exit_f_1 == "Parabolic SAR exit" ? psar_sell :
exit_f_1 == "SMA exit" ? sma_sell_x :
exit_f_1 == "ADX exit" ? adx_thres_f_x :
exit_f_1 == "Cloud exit" ? kumo_sell_x :
exit_f_1 == "Kijun exit" ? kijun_sell_x : false
//short exit buy filter 2 options
exit_filter_buy_2 =
exit_f_2 == "---" ? false :
exit_f_2 == "TRIX exit" ? trix_buy_x :
exit_f_2 == "Reverse fractal exit" ? rev_dn_fr_buy :
exit_f_2 == "MACD exit" ? macd_buy_x :
exit_f_2 == "RSI50 exit" ? rsi_f_buy_x :
exit_f_2 == "Fractals exit" ? fr_upx_x :
exit_f_2 == "SuperTrend exit" ? sup_buy_x :
exit_f_2 == "Parabolic SAR exit" ? psar_buy :
exit_f_2 == "SMA exit" ? sma_buy_x :
exit_f_2 == "ADX exit" ? adx_thres_f_x :
exit_f_2 == "Cloud exit" ? kumo_buy_x :
exit_f_2 == "Kijun exit" ? kijun_buy_x : false
//long exit sell filter 2 options
exit_filter_sell_2 =
exit_f_2 == "---" ? false :
exit_f_2 == "TRIX exit" ? trix_sell_x :
exit_f_2 == "Reverse fractal exit" ? rev_up_fr_sell :
exit_f_2 == "MACD exit" ? macd_sell_x :
exit_f_2 == "RSI50 exit" ? rsi_f_sell_x :
exit_f_2 == "Fractals exit" ? fr_dnx_x :
exit_f_2 == "SuperTrend exit" ? sup_sell_x :
exit_f_2 == "Parabolic SAR exit" ? psar_sell :
exit_f_2 == "SMA exit" ? sma_sell_x :
exit_f_2 == "ADX exit" ? adx_thres_f_x :
exit_f_2 == "Cloud exit" ? kumo_sell_x :
exit_f_2 == "Kijun exit" ? kijun_sell_x : false
//--------------------- strategy entry ---------------------
long = entry_type != "Short"
short = entry_type != "Long"
exit_long = exit_filter_sell_1 or exit_filter_sell_2
exit_short = exit_filter_buy_1 or exit_filter_buy_2
if backtest_period()
if long
strategy.entry("os_b", strategy.long, when = opt_sig_buy and entry_filter_buy_1 and entry_filter_buy_2 and not exit_long,
comment= not backtest ? "BybitAPI(BTCUSD) { market(side=buy, amount=100); }" : na)
strategy.entry("os_b", strategy.long, when = opt_sig_buy_2 and entry_filter_buy_1 and entry_filter_buy_2 and not exit_long,
comment= not backtest ? "BybitAPI(BTCUSD) { market(side=buy, amount=100); }" : na)
strategy.close("os_b", when = exit_long)
if short
strategy.entry("os_s",strategy.short, when = opt_sig_sell and entry_filter_sell_1 and entry_filter_sell_2 and not exit_short,
comment= not backtest ? "BybitAPI(BTCUSD) { market(side=sell, amount=100); }" : na)
strategy.entry("os_s",strategy.short, when = opt_sig_sell_2 and entry_filter_sell_1 and entry_filter_sell_2 and not exit_short,
comment= not backtest ? "BybitAPI(BTCUSD) { market(side=sell, amount=100); }" : na)
strategy.close("os_s", when = exit_short)
// {{strategy.order.comment}} #bot - altert message