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VWMA-ADX Momentum and Trend-Based Bitcoin Long Strategy

Author: ChaoZhang, Date: 2024-04-03 17:47:49
Tags: VWMAADXDMISMAEMARMAWMAHMASMMA

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/*backtest
start: 2024-03-01 00:00:00
end: 2024-03-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Q_D_Nam_N_96

//@version=5
strategy("Long BTC Strategy", overlay=true, 
     default_qty_type = strategy.percent_of_equity, 
     default_qty_value = 100, initial_capital = 1000, currency = currency.USD)

Volume_Quartile(vol) =>
    qvol1 = ta.percentile_linear_interpolation(vol, 60,15)
    qvol2 = ta.percentile_linear_interpolation(vol, 60,95)
    vol > qvol1 and vol < qvol2

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

ma(source, length, type) =>
    switch type
        "SMA" => ta.sma(source, length)
        "EMA" => ta.ema(source, length)
        "RMA" => ta.rma(source, length)
        "WMA" => ta.wma(source, length)
        "VWMA" => ta.vwma(source, length)
        "HMA" => ta.hma(source, length)
        "SMMA" => smma(source, length)

DMI(len, lensig) =>
    up = ta.change(high)
    down = -ta.change(low)
    plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
    minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
    trur = ta.rma(ta.tr, len)
    plus = fixnan(100 * ta.rma(plusDM, len) / trur)+11
    minus = fixnan(100 * ta.rma(minusDM, len) / trur)-11
    sum = plus + minus
    adx = 100 * ta.vwma(math.abs(plus - minus-11) / (sum == 0 ? 1 : sum), lensig)

    [adx, plus, minus]

cond1 = Volume_Quartile(volume*hlcc4)

ma1 = ma(close,9, "VWMA")
// plot(ma1, color = color.blue)
ma2 = ma(close,14, "VWMA")
// plot(ma2, color = color.orange)

n = switch timeframe.period
    "240" => 0.997
    => 0.995

ma3 = (0.1*ma(ta.highest(close,89),89, "VWMA") + 
     0.9*ma(ta.lowest(close,89),89, "VWMA"))*n

plot(ma3, color = color.white)

[adx, plus, minus] = DMI(7, 10)


cond2 = adx > 18 and plus - math.abs(minus) > 15

var int count = 0

if barstate.isconfirmed and strategy.position_size != 0
    count += 1
else
    count := 0

p_roc = 0
if timeframe.period == '240'
    p_roc := 14
else
    p_roc := 10

longCondition = ta.crossover(ma1, ma2) and (close > open ? close > ma3 : open > ma3) and ((ma3 - ma3[1])*100/ma3[1] >= -0.2) and ((close-close[p_roc])*100/close[p_roc] > -2.0)
float alpha = 0.0
float sl_src = high[1]
if (longCondition and cond1 and cond2 and strategy.position_size == 0)
    strategy.entry("buy", strategy.long)
    if timeframe.period == '240'
        alpha := 0.96
        strategy.exit("exit-buy","buy", stop = sl_src*alpha)
        // line.new(bar_index, sl_src*alpha, bar_index+5, sl_src*alpha, width = 2, color = color.white)
    else if timeframe.period == '30'
        alpha := 0.985
        strategy.exit("exit-buy","buy", stop = sl_src*alpha)
        // line.new(bar_index, sl_src*alpha, bar_index+20, sl_src*alpha, width = 2, color = color.white)
    else if timeframe.period == '45'
        alpha := 0.985
        strategy.exit("exit-buy","buy", stop = sl_src*alpha)
        // line.new(bar_index, sl_src*alpha, bar_index+20, sl_src*alpha, width = 2, color = color.white)
    else if timeframe.period == '60'
        alpha := 0.98
        strategy.exit("exit-buy","buy", stop = sl_src*alpha)
        // line.new(bar_index, sl_src*alpha, bar_index+20, sl_src*alpha, width = 2, color = color.white)
    else if timeframe.period == '120'
        alpha := 0.97
        strategy.exit("exit-buy","buy", stop = sl_src*alpha)
        // line.new(bar_index, sl_src*alpha, bar_index+20, sl_src*alpha, width = 2, color = color.white)
    else if timeframe.period == '180'
        alpha := 0.96
        strategy.exit("exit-buy","buy", stop = sl_src*alpha)
        // line.new(bar_index, sl_src*alpha, bar_index+20, sl_src*alpha, width = 2, color = color.white)
    else if timeframe.period == 'D'
        alpha := 0.95
        strategy.exit("exit-buy","buy", stop = sl_src*alpha)
        // line.new(bar_index, sl_src*alpha, bar_index+20, sl_src*alpha, width = 2, color = color.white)
    else 
        alpha := 0.93
        strategy.exit("exit-buy","buy", stop = sl_src*alpha)
        // line.new(bar_index, sl_src*alpha, bar_index+20, sl_src*alpha, width = 2, color = color.white)

period = switch timeframe.period
    "240" => 90
    "180" => 59
    "120" => 35
    "30" => 64
    "45" => 40
    "60" => 66
    "D" => 22
    => 64

if (count > period or close < ma3)
    strategy.close('buy', immediately = true) 

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