策略
Welcome-to-the-BEARMARKET-30MIN
ChaoZhang · PineScript · 趋势跟踪 · 2022-05-16 15:52:51
无说明：源文件没有中文正文。
参数
| 参数 | 默认值 | 说明 |
|---|---|---|
| v_input_1 | 2 | PP period |
| v_input_2 | 10 | ATR Factor |
| v_input_3 | 14 | ATR Period |
| v_input_4 | 2 | Cloud Length |
| v_input_10 | 22 | Rsi vwap lenght |
| v_input_11 | 6 | stop loss |
| v_input_12 | 100 | qty percent |
| v_input_5 | 0 | (?ADX_options)ADX_options OPTION: CLASSIC |
| v_input_6 | 17 | ADX_options LENGTH |
| v_input_7 | 14 | ADX_options THRESHOLD |
| v_input_8 | 51 | (?Relative Strenght Indeks)RSI lenght |
| v_input_9_high | 0 | RSI Source: high |
源码（242 行）
/*backtest
start: 2022-04-15 00:00:00
end: 2022-05-14 23:59:00
period: 30m
basePeriod: 15m
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/
// © wielkieef
//@version=4
src = close
//strategy("Welcome to the BEARMARKET [30MIN]", overlay=true, initial_capital = 10000, pyramiding = 1, currency = "USD", calc_on_order_fills = false, calc_on_every_tick = false, default_qty_type = strategy.fixed, default_qty_value = 1, commission_value = 0.04)
//Inputs -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
prd = input(2, title="PP period")
Factor = input(10, title = "ATR Factor")
Pd = input(14, title = "ATR Period")
len = input(2, title="Cloud Length")
ADX_options = input("CLASSIC", title="ADX OPTION", options = ["CLASSIC", "MASANAKAMURA"], group = "ADX")
ADX_len = input(17, title="ADX LENGTH", type = input.integer, minval = 1, group = "ADX")
th = input(14, title="ADX THRESHOLD", type = input.float, minval = 0, step = 0.5, group = "ADX")
len_3 = input(51, title="RSI lenght", group = "Relative Strenght Indeks")
src_3 = input(high, title="RSI Source", group = "Relative Strenght Indeks")
RSI_VWAP_length = input(22, title="Rsi vwap lenght")
//INDICATORS -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
//Cloud -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
PI = 2 * asin(1)
hilbertTransform(src) =>
0.0962 * src + 0.5769 * nz(src[2]) - 0.5769 * nz(src[4]) - 0.0962 * nz(src[6])
computeComponent(src, mesaPeriodMult) =>
hilbertTransform(src) * mesaPeriodMult
computeAlpha(src, fastLimit, slowLimit) =>
mesaPeriod = 0.0
mesaPeriodMult = 0.075 * nz(mesaPeriod[1]) + 0.54
smooth = 0.0
smooth := (4 * src + 3 * nz(src[1]) + 2 * nz(src[2]) + nz(src[3])) / 10
detrender = 0.0
detrender := computeComponent(smooth, mesaPeriodMult)
I1 = nz(detrender[3])
Q1 = computeComponent(detrender, mesaPeriodMult)
jI = computeComponent(I1, mesaPeriodMult)
jQ = computeComponent(Q1, mesaPeriodMult)
I2 = 0.0
Q2 = 0.0
I2 := I1 - jQ
Q2 := Q1 + jI
I2 := 0.2 * I2 + 0.8 * nz(I2[1])
Q2 := 0.2 * Q2 + 0.8 * nz(Q2[1])
Re = I2 * nz(I2[1]) + Q2 * nz(Q2[1])
Im = I2 * nz(Q2[1]) - Q2 * nz(I2[1])
Re := 0.2 * Re + 0.8 * nz(Re[1])
Im := 0.2 * Im + 0.8 * nz(Im[1])
if Re != 0 and Im != 0
mesaPeriod := 2 * PI / atan(Im / Re)
if mesaPeriod > 1.5 * nz(mesaPeriod[1])
mesaPeriod := 1.5 * nz(mesaPeriod[1])
if mesaPeriod < 0.67 * nz(mesaPeriod[1])
mesaPeriod := 0.67 * nz(mesaPeriod[1])
if mesaPeriod < 6
mesaPeriod := 6
if mesaPeriod > 50
mesaPeriod := 50
mesaPeriod := 0.2 * mesaPeriod + 0.8 * nz(mesaPeriod[1])
phase = 0.0
if I1 != 0
phase := (180 / PI) * atan(Q1 / I1)
deltaPhase = nz(phase[1]) - phase
if deltaPhase < 1
deltaPhase := 1
alpha = fastLimit / deltaPhase
if alpha < slowLimit
alpha := slowLimit
[alpha,alpha/2.0]
er = abs(change(src,len)) / sum(abs(change(src)),len)
[a,b] = computeAlpha(src, er, er*0.1)
mama = 0.0
mama := a * src + (1 - a) * nz(mama[1])
fama = 0.0
fama := b * mama + (1 - b) * nz(fama[1])
alpha = pow((er * (b - a)) + a, 2)
kama = 0.0
kama := alpha * src + (1 - alpha) * nz(kama[1])
L_cloud = kama > kama[1]
S_cloud = kama < kama[1]
CLOUD_COLOR = L_cloud ? color.lime : S_cloud ? color.red : na
// ATR -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
float ph = pivothigh(prd, prd)
float pl = pivotlow(prd, prd)
var float center = na
float lastpp = ph ? ph : pl ? pl : na
if lastpp
if na(center)
center := lastpp
else
center := (center * 2 + lastpp) / 3
Up = center - (Factor * atr(Pd))
Dn = center + (Factor * atr(Pd))
float TUp = na
float TDown = na
Trend = 0
TUp := close[1] > TUp[1] ? max(Up, TUp[1]) : Up
TDown := close[1] < TDown[1] ? min(Dn, TDown[1]) : Dn
Trend := close > TDown[1] ? 1: close < TUp[1]? -1: nz(Trend[1], 1)
Trailingsl = Trend == 1 ? TUp : TDown
bsignal = Trend == 1 and Trend[1] == -1
ssignal = Trend == -1 and Trend[1] == 1
L_ATR = Trend == 1
S_ATR = Trend == -1
//RSI------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
up_3 = rma(max(change(src_3), 0), len_3)
down_3 = rma(-min(change(src_3), 0), len_3)
rsi_3 = down_3 == 0 ? 100 : up_3 == 0 ? 0 : 100 - (100 / (1 + up_3 / down_3))
Ob_rsi = (rsi_3 >= 70)
Os_rsi = (rsi_3 <= 30)
RSI_VWAP = rsi(vwap(close), RSI_VWAP_length)
RSI_VWAP_overSold = 13
RSI_VWAP_overBought = 68
L_VAP = (crossover(RSI_VWAP, RSI_VWAP_overSold))
S_VAP = (crossunder(RSI_VWAP, RSI_VWAP_overBought))
//ADX-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
calcADX(_len) =>
up = change(high)
down = -change(low)
plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
truerange = rma(tr, _len)
_plus = fixnan(100 * rma(plusDM, _len) / truerange)
_minus = fixnan(100 * rma(minusDM, _len) / truerange)
sum = _plus + _minus
_adx = 100 * rma(abs(_plus - _minus) / (sum == 0 ? 1 : sum), _len)
[_plus,_minus,_adx]
calcADX_Masanakamura(_len) =>
SmoothedTrueRange = 0.0
SmoothedDirectionalMovementPlus = 0.0
SmoothedDirectionalMovementMinus = 0.0
TrueRange = max(max(high - low, abs(high - nz(close[1]))), abs(low - nz(close[1])))
DirectionalMovementPlus = high - nz(high[1]) > nz(low[1]) - low ? max(high - nz(high[1]), 0) : 0
DirectionalMovementMinus = nz(low[1]) - low > high - nz(high[1]) ? max(nz(low[1]) - low, 0) : 0
SmoothedTrueRange := nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1]) /_len) + TrueRange
SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1]) / _len) + DirectionalMovementPlus
SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1]) / _len) + DirectionalMovementMinus
DIP = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
DIM = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
DX = abs(DIP-DIM) / (DIP+DIM)*100
adx = sma(DX, _len)
[DIP,DIM,adx]
[DIPlusC,DIMinusC,ADXC] = calcADX(ADX_len)
[DIPlusM,DIMinusM,ADXM] = calcADX_Masanakamura(ADX_len)
DIPlus = ADX_options == "CLASSIC" ? DIPlusC : DIPlusM
DIMinus = ADX_options == "CLASSIC" ? DIMinusC : DIMinusM
ADX = ADX_options == "CLASSIC" ? ADXC : ADXM
L_adx = DIPlus > DIMinus and ADX > th
S_adx = DIPlus < DIMinus and ADX > th
// Strategy logic ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
var bool longCond = na, var bool shortCond = na
var int CondIni_long = 0, var int CondIni_short = 0
var bool _Final_longCondition = na, var bool _Final_shortCondition = na
var float last_open_longCondition = na, var float last_open_shortCondition = na
var int last_longCondition = na, var int last_shortCondition = na
var int last_Final_longCondition = na, var int last_Final_shortCondition = na
var int nLongs = na, var int nShorts = na
Short_condition = S_ATR and S_adx and not Os_rsi or S_VAP and not Os_rsi and L_cloud and L_ATR and L_adx
Short_close = L_ATR or Os_rsi or L_VAP
longCond := Short_close
shortCond := Short_condition
CondIni_long := longCond[1] ? 1 : shortCond[1] ? -1 : nz(CondIni_long[1] )
CondIni_short := longCond[1] ? 1 : shortCond[1] ? -1 : nz(CondIni_short[1] )
longCondition = (longCond[1] and nz(CondIni_long[1]) == -1 )
shortCondition = (shortCond[1] and nz(CondIni_short[1]) == 1 )
var float sum_long = 0.0, var float sum_short = 0.0
var float Position_Price = 0.0
var bool Final_long_BB = na, var bool Final_short_BB = na
var int last_long_BB = na, var int last_short_BB = na
last_open_longCondition := longCondition or Final_long_BB[1] ? close[1] : nz(last_open_longCondition[1] )
last_open_shortCondition := shortCondition or Final_short_BB[1] ? close[1] : nz(last_open_shortCondition[1] )
last_longCondition := longCondition or Final_long_BB[1] ? time : nz(last_longCondition[1] )
last_shortCondition := shortCondition or Final_short_BB[1] ? time : nz(last_shortCondition[1] )
in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition
last_Final_longCondition := longCondition ? time : nz(last_Final_longCondition[1] )
last_Final_shortCondition := shortCondition ? time : nz(last_Final_shortCondition[1] )
nLongs := nz(nLongs[1] )
nShorts := nz(nShorts[1] )
if longCondition or Final_long_BB
nLongs := nLongs + 1
nShorts := 0
sum_long := nz(last_open_longCondition) + nz(sum_long[1])
sum_short := 0.0
if shortCondition or Final_short_BB
nLongs := 0
nShorts := nShorts + 1
sum_short := nz(last_open_shortCondition)+ nz(sum_short[1])
sum_long := 0.0
Position_Price := nz(Position_Price[1])
Position_Price := longCondition or Final_long_BB ? sum_long/nLongs : shortCondition or Final_short_BB ? sum_short/nShorts : na
colors = (in_longCondition ? color.gray : in_shortCondition ? color.red : color.orange)
//barcolor (color = colors)
mama_p = plot(mama, title="Cloud A", color=colors )
fama_p = plot(fama, title="Cloud B", color=colors )
fill (mama_p,fama_p, color=colors )
plotshape(longCondition, title="Long", style=shape.xcross, location=location.belowbar, color=color.green, size=size.small , transp = 0 )
plotshape(shortCondition, title="Short", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small , transp = 0 )
if Short_condition
strategy.entry("S", strategy.short)
per(pcnt) =>
strategy.position_size != 0 ? round(pcnt / 100 * strategy.position_avg_price / syminfo.mintick) : float(na)
stoploss=input(title=" stop loss", defval=6, minval=0.01)
los = per(stoploss)
q=input(title=" qty percent", defval=100, minval=1)
strategy.exit("SL", qty_percent = q,loss = los)
strategy.close_all(when = Short_close)
//By wielkieef