基于双包络EMA系统的自适应趋势检测策略

/*backtest
start: 2024-02-19 00:00:00
end: 2024-11-14 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//  This work is licensed under a Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) 
//  https://creativecommons.org/licenses/by-nc-sa/4.0/
//  © alexgrover
//
//  Original post: 
//  https://alpaca.markets/learn/andean-oscillator-a-new-technical-indicator-based-on-an-online-algorithm-for-trend-analysis/

//@version=5
strategy(title="Andean Oscillator [Strategy]",
     shorttitle="AndeanOsc_Strategy",
     overlay=false,              // Zobraziť sa môže v samostatnom okne
     initial_capital=10000,      // Počiatočný kapitál
     default_qty_type=strategy.percent_of_equity,
     default_qty_value=100,      // Použiť 100% z účtu na jeden obchod
     pyramiding=0)               // Nenavyšovať pozície

//------------------------------------------------------------------------------
//Inputs
//------------------------------------------------------------------------------
length     = input.int(50, "Length")
sig_length = input.int(9, "Signal Length")

//------------------------------------------------------------------------------
//Výpočet Andean Oscillatora
//------------------------------------------------------------------------------
var float alpha = 2.0 / (length + 1)

// Premenné musia byť deklarované ako `var` pre zachovanie stavu
var float up1 = 0.
var float up2 = 0.
var float dn1 = 0.
var float dn2 = 0.

C = close
O = open

// Výpočet EMA obálok
up1 := nz(math.max(C, O, up1[1] - (up1[1] - C) * alpha), C)
up2 := nz(math.max(C * C, O * O, up2[1] - (up2[1] - C * C) * alpha), C * C)

dn1 := nz(math.min(C, O, dn1[1] + (C - dn1[1]) * alpha), C)
dn2 := nz(math.min(C * C, O * O, dn2[1] + (C * C - dn2[1]) * alpha), C * C)

// Býčia zložka a medvedia zložka
bull   = math.sqrt(dn2 - dn1 * dn1)
bear   = math.sqrt(up2 - up1 * up1)

// Signál = EMA z max(bull, bear)
signal = ta.ema(math.max(bull, bear), sig_length)

//------------------------------------------------------------------------------
//Jednoduchá LOGIKA STRATÉGIE (iba demonštrácia)
//------------------------------------------------------------------------------
// Príklad: 
// - Ak je bull > bear, vstúpime do long (býčia sila väčšia ako medvedia)
// - Ak je bear > bull, vstúpime do short (medvedia sila väčšia ako býčia)
//
// S pyramiding=0 sa otvorí vždy iba jedna pozícia – ak príde opačný signál, 
// TradingView zatvorí starú a otvorí novú.

if bull > bear
    strategy.entry("Long", strategy.long, comment="Bull > Bear")

if bear > bull
    strategy.entry("Short", strategy.short, comment="Bear > Bull")

//------------------------------------------------------------------------------
// Plotovanie (na posúdenie v samostatnom paneli)
//------------------------------------------------------------------------------
plot(bull,   "Bullish Component",  color=#089981)
plot(bear,   "Bearish Component",  color=#f23645)
plot(signal, "Signal",             color=#ff9800)

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