This strategy uses technical indicator rating methods to dynamically select entry and exit timing by comparing with moving averages. The strategy contains both long and short positions, which can be customized to enable or disable. The strategy is more friendly to low risk long term holding trading.
This strategy combines multiple technical indicators in real time to evaluate market timing. The main steps are:
The advantage of the strategy is rating methods can more comprehensively determine market timing compared to single indicator, thus more reliability. In addition, custom parameters enable strategy customization.
The main solution is optimizing indicator weights based on historical data backtest. Reducing indicator count can also increase efficiency.
The strategy can optimize from below aspects:
Through parameter optimization, the strategy can better adapt to more products with higher return.
The strategy combines technical indicator rating methods to determine market timing for long/short. Advantages include customizability, dynamic SL/TP, position direction enable/disable. Risks mainly come from rating subjectivity and invalid indicators. Future optimization space lies in parameter selection and efficiency improvement. Overall the strategy fits investors with high requiremens on market timing judgement.
/*backtest start: 2024-01-05 00:00:00 end: 2024-02-04 00:00:00 period: 3h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 strategy(title="Ratings", shorttitle="Ratings", default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_value = 0.1, overlay=true) //Settings useLong = input(true, title = "Long") useShort = input(true, title = "Short") res = input("", title="Indicator Timeframe", type=input.resolution) ratingSignal = input(defval = "All", title = "Rating is based on", options = ["MAs", "Oscillators", "All"]) startTime = input(defval = timestamp("01 Jan 2000 00:00 +0000"), title = "Start Time", type = input.time, inline = "time1") finalTime = input(defval = timestamp("31 Dec 2099 23:59 +0000"), title = "Final Time", type = input.time, inline = "time1") trueTime = true // Awesome Oscillator AO() => sma(hl2, 5) - sma(hl2, 34) // Stochastic RSI StochRSI() => rsi1 = rsi(close, 14) K = sma(stoch(rsi1, rsi1, rsi1, 14), 3) D = sma(K, 3) [K, D] // Ultimate Oscillator tl() => close[1] < low ? close[1]: low uo(ShortLen, MiddlLen, LongLen) => Value1 = sum(tr, ShortLen) Value2 = sum(tr, MiddlLen) Value3 = sum(tr, LongLen) Value4 = sum(close - tl(), ShortLen) Value5 = sum(close - tl(), MiddlLen) Value6 = sum(close - tl(), LongLen) float UO = na if Value1 != 0 and Value2 != 0 and Value3 != 0 var0 = LongLen / ShortLen var1 = LongLen / MiddlLen Value7 = (Value4 / Value1) * (var0) Value8 = (Value5 / Value2) * (var1) Value9 = (Value6 / Value3) UO := (Value7 + Value8 + Value9) / (var0 + var1 + 1) UO // Ichimoku Cloud donchian(len) => avg(lowest(len), highest(len)) ichimoku_cloud() => conversionLine = donchian(9) baseLine = donchian(26) leadLine1 = avg(conversionLine, baseLine) leadLine2 = donchian(52) [conversionLine, baseLine, leadLine1, leadLine2] calcRatingMA(ma, src) => na(ma) or na(src) ? na : (ma == src ? 0 : ( ma < src ? 1 : -1 )) calcRating(buy, sell) => buy ? 1 : ( sell ? -1 : 0 ) calcRatingAll() => //============== MA ================= SMA10 = sma(close, 10) SMA20 = sma(close, 20) SMA30 = sma(close, 30) SMA50 = sma(close, 50) SMA100 = sma(close, 100) SMA200 = sma(close, 200) EMA10 = ema(close, 10) EMA20 = ema(close, 20) EMA30 = ema(close, 30) EMA50 = ema(close, 50) EMA100 = ema(close, 100) EMA200 = ema(close, 200) HullMA9 = hma(close, 9) // Volume Weighted Moving Average (VWMA) VWMA = vwma(close, 20) [IC_CLine, IC_BLine, IC_Lead1, IC_Lead2] = ichimoku_cloud() // ======= Other ============= // Relative Strength Index, RSI RSI = rsi(close,14) // Stochastic lengthStoch = 14 smoothKStoch = 3 smoothDStoch = 3 kStoch = sma(stoch(close, high, low, lengthStoch), smoothKStoch) dStoch = sma(kStoch, smoothDStoch) // Commodity Channel Index, CCI CCI = cci(close, 20) // Average Directional Index float adxValue = na, float adxPlus = na, float adxMinus = na [P, M, V] = dmi(14, 14) adxValue := V adxPlus := P adxMinus := M // Awesome Oscillator ao = AO() // Momentum Mom = mom(close, 10) // Moving Average Convergence/Divergence, MACD [macdMACD, signalMACD, _] = macd(close, 12, 26, 9) // Stochastic RSI [Stoch_RSI_K, Stoch_RSI_D] = StochRSI() // Williams Percent Range WR = wpr(14) // Bull / Bear Power BullPower = high - ema(close, 13) BearPower = low - ema(close, 13) // Ultimate Oscillator UO = uo(7,14,28) if not na(UO) UO := UO * 100 //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// PriceAvg = ema(close, 50) DownTrend = close < PriceAvg UpTrend = close > PriceAvg // calculate trading recommendation based on SMA/EMA float ratingMA = 0 float ratingMAC = 0 if not na(SMA10) ratingMA := ratingMA + calcRatingMA(SMA10, close) ratingMAC := ratingMAC + 1 if not na(SMA20) ratingMA := ratingMA + calcRatingMA(SMA20, close) ratingMAC := ratingMAC + 1 if not na(SMA30) ratingMA := ratingMA + calcRatingMA(SMA30, close) ratingMAC := ratingMAC + 1 if not na(SMA50) ratingMA := ratingMA + calcRatingMA(SMA50, close) ratingMAC := ratingMAC + 1 if not na(SMA100) ratingMA := ratingMA + calcRatingMA(SMA100, close) ratingMAC := ratingMAC + 1 if not na(SMA200) ratingMA := ratingMA + calcRatingMA(SMA200, close) ratingMAC := ratingMAC + 1 if not na(EMA10) ratingMA := ratingMA + calcRatingMA(EMA10, close) ratingMAC := ratingMAC + 1 if not na(EMA20) ratingMA := ratingMA + calcRatingMA(EMA20, close) ratingMAC := ratingMAC + 1 if not na(EMA30) ratingMA := ratingMA + calcRatingMA(EMA30, close) ratingMAC := ratingMAC + 1 if not na(EMA50) ratingMA := ratingMA + calcRatingMA(EMA50, close) ratingMAC := ratingMAC + 1 if not na(EMA100) ratingMA := ratingMA + calcRatingMA(EMA100, close) ratingMAC := ratingMAC + 1 if not na(EMA200) ratingMA := ratingMA + calcRatingMA(EMA200, close) ratingMAC := ratingMAC + 1 if not na(HullMA9) ratingHullMA9 = calcRatingMA(HullMA9, close) ratingMA := ratingMA + ratingHullMA9 ratingMAC := ratingMAC + 1 if not na(VWMA) ratingVWMA = calcRatingMA(VWMA, close) ratingMA := ratingMA + ratingVWMA ratingMAC := ratingMAC + 1 float ratingIC = na if not (na(IC_Lead1) or na(IC_Lead2) or na(close) or na(close[1]) or na(IC_BLine) or na(IC_CLine)) ratingIC := calcRating( IC_Lead1 > IC_Lead2 and close > IC_Lead1 and close < IC_BLine and close[1] < IC_CLine and close > IC_CLine, IC_Lead2 > IC_Lead1 and close < IC_Lead2 and close > IC_BLine and close[1] > IC_CLine and close < IC_CLine) if not na(ratingIC) ratingMA := ratingMA + ratingIC ratingMAC := ratingMAC + 1 ratingMA := ratingMAC > 0 ? ratingMA / ratingMAC : na float ratingOther = 0 float ratingOtherC = 0 ratingRSI = RSI if not(na(ratingRSI) or na(ratingRSI[1])) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + calcRating(ratingRSI < 30 and ratingRSI[1] < ratingRSI, ratingRSI > 70 and ratingRSI[1] > ratingRSI) if not(na(kStoch) or na(dStoch) or na(kStoch[1]) or na(dStoch[1])) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + calcRating(kStoch < 20 and dStoch < 20 and kStoch > dStoch and kStoch[1] < dStoch[1], kStoch > 80 and dStoch > 80 and kStoch < dStoch and kStoch[1] > dStoch[1]) ratingCCI = CCI if not(na(ratingCCI) or na(ratingCCI[1])) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + calcRating(ratingCCI < -100 and ratingCCI > ratingCCI[1], ratingCCI > 100 and ratingCCI < ratingCCI[1]) if not(na(adxValue) or na(adxPlus[1]) or na(adxMinus[1]) or na(adxPlus) or na(adxMinus)) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + calcRating(adxValue > 20 and adxPlus[1] < adxMinus[1] and adxPlus > adxMinus, adxValue > 20 and adxPlus[1] > adxMinus[1] and adxPlus < adxMinus) if not(na(ao) or na(ao[1])) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + calcRating(crossover(ao,0) or (ao > 0 and ao[1] > 0 and ao > ao[1] and ao[2] > ao[1]), crossunder(ao,0) or (ao < 0 and ao[1] < 0 and ao < ao[1] and ao[2] < ao[1])) if not(na(Mom) or na(Mom[1])) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + calcRating(Mom > Mom[1], Mom < Mom[1]) if not(na(macdMACD) or na(signalMACD)) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + calcRating(macdMACD > signalMACD, macdMACD < signalMACD) float ratingStoch_RSI = na if not(na(DownTrend) or na(UpTrend) or na(Stoch_RSI_K) or na(Stoch_RSI_D) or na(Stoch_RSI_K[1]) or na(Stoch_RSI_D[1])) ratingStoch_RSI := calcRating( DownTrend and Stoch_RSI_K < 20 and Stoch_RSI_D < 20 and Stoch_RSI_K > Stoch_RSI_D and Stoch_RSI_K[1] < Stoch_RSI_D[1], UpTrend and Stoch_RSI_K > 80 and Stoch_RSI_D > 80 and Stoch_RSI_K < Stoch_RSI_D and Stoch_RSI_K[1] > Stoch_RSI_D[1]) if not na(ratingStoch_RSI) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + ratingStoch_RSI float ratingWR = na if not(na(WR) or na(WR[1])) ratingWR := calcRating(WR < -80 and WR > WR[1], WR > -20 and WR < WR[1]) if not na(ratingWR) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + ratingWR float ratingBBPower = na if not(na(UpTrend) or na(DownTrend) or na(BearPower) or na(BearPower[1]) or na(BullPower) or na(BullPower[1])) ratingBBPower := calcRating( UpTrend and BearPower < 0 and BearPower > BearPower[1], DownTrend and BullPower > 0 and BullPower < BullPower[1]) if not na(ratingBBPower) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + ratingBBPower float ratingUO = na if not(na(UO)) ratingUO := calcRating(UO > 70, UO < 30) if not na(ratingUO) ratingOtherC := ratingOtherC + 1 ratingOther := ratingOther + ratingUO ratingOther := ratingOtherC > 0 ? ratingOther / ratingOtherC : na float ratingTotal = 0 float ratingTotalC = 0 if not na(ratingMA) ratingTotal := ratingTotal + ratingMA ratingTotalC := ratingTotalC + 1 if not na(ratingOther) ratingTotal := ratingTotal + ratingOther ratingTotalC := ratingTotalC + 1 ratingTotal := ratingTotalC > 0 ? ratingTotal / ratingTotalC : na [ratingTotal, ratingOther, ratingMA, ratingOtherC, ratingMAC] [ratingTotal, ratingOther, ratingMA, ratingOtherC, ratingMAC] = security(syminfo.tickerid, res, calcRatingAll()) StrongBound = 0.5 WeakBound = 0.1 getSignal(ratingTotal, ratingOther, ratingMA) => float _res = ratingTotal if ratingSignal == "MAs" _res := ratingMA if ratingSignal == "Oscillators" _res := ratingOther _res tradeSignal = getSignal(ratingTotal, ratingOther, ratingMA) dynSLpoints(factor) => factor * atr(14) / syminfo.mintick //Trading lotLong = useLong and trueTime ? na : 0 lotShort = useShort and trueTime ? na : 0 strategy.entry("long", strategy.long, lotLong, when = tradeSignal > StrongBound) strategy.entry("short", strategy.short, lotShort, when = tradeSignal < -StrongBound) strategy.exit("sl/tp", loss = dynSLpoints(3), trail_points = dynSLpoints(5), trail_offset = dynSLpoints(2)) //Cancel all if time > finalTime strategy.close_all() strategy.cancel("long") strategy.cancel("short")template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6