হাল মুভিং এভারেজ এবং WT সূচকের ক্রসওভারের উপর ভিত্তি করে ট্রেডিং কৌশল

/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 1h
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/
// WT CROSS @author [© LazyBear]
// © pigsq
// @version=5

strategy("Kahlman HullMA / WT Cross Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=100)

_1 = input(false, '───────── SP/TP SETTINGS ─────────')

stoploss1 = input(title='Stop Loss On/Off?', defval=true)
stoploss = input.float(5, "Stop Loss", minval = 1, step = 1)/100
takeprofit1 = input(title='Take Profit On/Off?', defval=true)
takeprofit = input.float(10, "Take Profit", minval = 1, step = 1)/100

_2 = input(false, '──────── WT CROSS SETTINGS ────────')

wtcross = input(title='WT Cross On/Off?', defval=true)
wtcross2 = input(title='Change WT Cross Method ( If WT Cross ON )', defval=false)

/// WT CROSS ///

n1 = input(10, 'Channel Length')
n2 = input(21, 'Average Length')

ap = hlc3
esa = ta.ema(ap, n1)
r = ta.ema(math.abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * r)
tci = ta.ema(ci, n2)

wt1 = tci
wt2 = ta.sma(wt1, 4)

/// WT CROSS ///

/// HULL TREND WITH KAHLMAN ///

_3 = input(false, '──────── HULLMA SETTINGS ────────')

srchull = input(hl2, 'Source')
lengthhull = input(24, 'Lookback')
gain = input(10000, 'Gain')
kh = input(true, 'Use Kahlman')

hma(_srchull, _lengthhull) =>
    ta.wma((2 * ta.wma(_srchull, _lengthhull / 2)) - ta.wma(_srchull, _lengthhull), math.round(math.sqrt(_lengthhull)))

hma3(_srchull, _lengthhull) =>
    p = lengthhull / 2
    ta.wma(ta.wma(close, p / 3) * 3 - ta.wma(close, p / 2) - ta.wma(close, p), p)

kahlman(x, g) =>
    kf = 0.0
    dk = x - nz(kf[1], x)
    smooth = nz(kf[1], x) + dk * math.sqrt(g / 10000 * 2)
    velo = 0.0
    velo := nz(velo[1], 0) + g / 10000 * dk
    kf := smooth + velo
    kf

a = kh ? kahlman(hma(srchull, lengthhull), gain) : hma(srchull, lengthhull)
b = kh ? kahlman(hma3(srchull, lengthhull), gain) : hma3(srchull, lengthhull)
c = b > a ? color.lime : color.red
crossdn = a > b and a[1] < b[1]
crossup = b > a and b[1] < a[1]

p1hma = plot(a, color=c, linewidth=1, title='Long Plot', transp=75)
p2hma = plot(b, color=c, linewidth=1, title='Short Plot', transp=75)
fill(p1hma, p2hma, color=c, title='Fill', transp=55)

/// HULL TREND WITH KAHLMAN ///

/// DATE ///

_4 = input(false, '───────── DATE SETTINGS ─────────')

FromMonth = input.int(defval=1, title='From Month', minval=1, maxval=12)
FromDay = input.int(defval=1, title='From Day', minval=1, maxval=31)
FromYear = input.int(defval=999, title='From Year', minval=999)
ToMonth = input.int(defval=1, title='To Month', minval=1, maxval=12)
ToDay = input.int(defval=1, title='To Day', minval=1, maxval=31)
ToYear = input.int(defval=9999, title='To Year', minval=999)
start = timestamp(FromYear, FromMonth, FromDay, 00, 00)
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59)
window() =>
    time >= start and time <= finish ? true : false

/// DATE ///

/// LONG/SHORT CONDITION ///

longCondition = crossup and ta.crossover(wt1,wt2)
longCondition1 = crossup
longCondition2 = crossup and wt1 > wt2

if (wtcross == true ? longCondition : wtcross == false ? longCondition1:na)
    strategy.entry("LONG", strategy.long, when=window(), comment="Enter Long")
else if (wtcross2 == true ? longCondition2 : wtcross2 == false ? longCondition:na)
    strategy.entry("LONG", strategy.long, when=window(), comment="Enter Long")
    
shortCondition = crossdn and ta.crossunder(wt1,wt2)
shortCondition1 = crossdn
shortCondition2 = crossdn and wt1 < wt2

if (wtcross == true ? shortCondition : wtcross == false ? shortCondition1:na)
    strategy.entry("SHORT", strategy.short, when=window(), comment="Enter Short")
else if (wtcross2 == true ? shortCondition2 : wtcross2 == false ? shortCondition:na)
    strategy.entry("LONG", strategy.long, when=window(), comment="Enter Short")

/// LONG/SHORT CONDITION ///

/// CLOSE STRATEGY ///

strategy.close("LONG", when=wtcross == true ? shortCondition : wtcross == false ? shortCondition1:na, comment = "Close Long")
strategy.close("SHORT", when=wtcross == true ? longCondition : wtcross == false ? longCondition1:na, comment = "Close Short")

/// EXIT STRATEGY ///

strategy.exit("LONG", when=strategy.position_size > 0, stop=stoploss1 == true ? strategy.position_avg_price * (1 - stoploss):na, limit=takeprofit1 == true ? strategy.position_avg_price * (1 + takeprofit):na, comment="Exit Long")
strategy.exit("SHORT", when=strategy.position_size < 0, stop=stoploss1 == true ? strategy.position_avg_price * (1 + stoploss):na, limit=takeprofit1 == true ? strategy.position_avg_price * (1 - takeprofit):na, comment ="Exit Short")

/// LONG SL/TP LINE ///

plot(strategy.position_size > 0 ? strategy.position_avg_price * (1 - stoploss) : na, title='Long Stop Loss', color=stoploss1 == true ? color.new(color.red, 0):na, style=plot.style_linebr)
plot(strategy.position_size > 0 ? strategy.position_avg_price * (1 + takeprofit) : na, title='Long Take Profit', color=takeprofit1 == true ? color.new(color.green, 0):na, style=plot.style_linebr)

/// LONG SL/TP LINE ///

/// SHORT SL/TP LINE ///

plot(strategy.position_size < 0 ? strategy.position_avg_price * (1 + stoploss) : na, title='Short Stop Loss', color=stoploss1 == true ? color.new(color.red, 0):na, style=plot.style_linebr)
plot(strategy.position_size < 0 ? strategy.position_avg_price * (1 - takeprofit) : na, title='Short Take Profit', color=takeprofit1 == true ? color.new(color.green, 0):na, style=plot.style_linebr)

/// SHORT SL/TP LINE ///