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Handelsstrategie für die stündliche Schwankung

Schriftsteller:ChaoZhang, Datum: 2023-09-20 16:50:27
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//@version=5
strategy(title="SPY 1 Hour Swing Trader", initial_capital=300000, default_qty_type=strategy.percent_of_equity, default_qty_value=15, pyramiding=0, commission_type=strategy.commission.cash_per_order, commission_value=0, overlay=true, calc_on_every_tick=false, process_orders_on_close=true, max_labels_count=500)

//The purpose of this script is to spot 1 hour pivots that indicate ~5 to 6 trading day swings.
//Results indicate that swings are held approximately 5 to 6 trading days on average, over the last 6 years.
//This indicator spots a go long opportunity when the 5 ema crosses the 13 ema on the 1 hour along with the RSI > 50.
//It also spots uses a couple different means to determine when to exit the trade. Sell condition is 
//primarily when the 13 ema crosses the 5 ema and the MACD line crosses below the signal line and
//the smoothed Stoichastic appears oversold (greater than 60). Stop Losses and Take Profits are configurable
//in Inputs along with ability to include short trades plus other MACD and Stoichastic settings.
//If a stop loss is encountered the trade will close. Also once twice the expected move is encountered
//partial profits will taken and stop losses and take profits will be re-established based on most recent close
//Once long trades are exited, short trades will be initiated if recent conditions appeared oversold and
//input option for short trading is enabled. If trying to use this for something other than SPXL it is best
//to update stop losses and take profit percentages and check backtest results to ensure proper levels have
//been selected and the script gives satisfactory results.

// Initialize variables
var float long_entry_price = na
var float short_entry_price = na
var float stop_loss = na
var float take_profit = na
var float twoxtake_profit = na
var float short_stop_loss = na
var float short_take_profit = na
var float short_twoxtake_profit = na
var int startshort = 0

// Inputs
short = input.bool(true, "Include Short Trades!")
option_SL_P = input.float(0.02, "Input Stop Loss Percentage (0.02 = 2%)")
option_TP_P = input.float(0.03, "Input Take Profit Percentage (0.03 = 3%)")
pp = input.int(50, "Partial Profit Percentage in whole numbers (50 is 50%)")
ema5 = input.int(5, "Fast EMA Period", minval=1)
ema13 = input.int(13, "Slow EMA Period", minval=1)
rsi_length = input.int(14, "RSI Length", minval=1)
macd_fast_length = input.int(8, "MACD Fast Length", minval=1)
macd_slow_length = input.int(21, "MACD Slow Length", minval=1)
macd_signal_length = input.int(5, "MACD Signal Length", minval=1)
len = input.int(14, title="ADX Length", minval=1)
length = input.int(14, "Stochastic Length")
smoothK = input.int(3, "Stoicastic Smooth K")
src = input(close, "Stoicastic Source")

// Calculating EMA 
ema_13 = ta.ema(close, ema13)
ema_5 = ta.ema(close, ema5)

// Calculate RSI
rsi = ta.rsi(close, rsi_length)
smooth_rsi = ta.ema(rsi, 5)

// Calculate MACD
[macd_line, signal_line, _] = ta.macd(close, macd_fast_length, macd_slow_length, macd_signal_length)

// Calculate the True Range
tr = ta.tr(true)

// Calculate slope of MACD line
rsiSlope = (smooth_rsi - smooth_rsi[3]) / (bar_index - bar_index[3])

// Calculate the Directional Movement
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)

// Calculate the Smoothed Directional Movement
plusDI = 100 * ta.ema(plusDM, len) / ta.ema(tr, len)
minusDI = 100 * ta.ema(minusDM, len) / ta.ema(tr, len)

// Calculate the Directional Index (DX)
DX = 100 * math.abs(plusDI - minusDI) / (plusDI + minusDI)

// Calculate the ADX
adx = ta.ema(DX, len)

//Stochastic Calculation
highestHigh = ta.highest(src, length)
lowestLow = ta.lowest(src, length)
k = 100 * ((src - lowestLow) / (highestHigh - lowestLow))
d = ta.sma(k, smoothK)

// Determine current VIX
vixClose = request.security("VIX", timeframe.period, close[3])
//plot(vixClose, title="VIX Close", color=color.red)

// Buy and Sell Conditions
buy_condition = ta.crossover(ema_5 , ema_13) and rsi > 50
sell_condition = ema_13 > ema_5 and macd_line < signal_line and (d > 60)

// Plotting indicators
plot(ema_13, color=color.orange, title="Slow EMA Period")
plot(ema_5, color=color.blue, title="Fast EMA Period")

// Executing trades
if buy_condition and strategy.position_size == 0 and barstate.isconfirmed
    strategy.entry("Pivot Up", strategy.long, alert_message = "Pivoting Up")
    long_entry_price := close
    stop_loss := long_entry_price - (option_SL_P * close)
    take_profit := long_entry_price + (option_TP_P * close)
    twoxtake_profit := long_entry_price + (2 * option_TP_P * close)

if strategy.position_size > 0 and barstate.isconfirmed
    if close < stop_loss and barstate.isconfirmed
        strategy.close("Pivot Up", "Exit Longs Stopped")
        if short == 1 
            startshort := 1
    else if sell_condition and barstate.isconfirmed
        if short == 1
            startshort := 1
        strategy.close("Pivot Up", "Exit Longs Sell Condition Met")
    else if close >= twoxtake_profit and barstate.isconfirmed
        stop_loss := close - (.5*option_TP_P*close)
        take_profit := close + (.5*option_TP_P*close)
        strategy.exit("Exit Partial Longs", "Pivot Up", stop=stop_loss, limit = take_profit, qty_percent = pp)

if startshort == 1
    if (d[6] > 80) and barstate.isconfirmed
        strategy.entry("Pivot Down", strategy.short, alert_message = "Pivoting Down")
        short_entry_price := close
        short_stop_loss := short_entry_price + (option_SL_P * close)
        short_take_profit := short_entry_price - (option_TP_P * close)
        short_twoxtake_profit := short_entry_price - (2 * option_TP_P * close)
        startshort := 0
    else
        startshort := 0

if strategy.position_size < 0 and barstate.isconfirmed
    if close > short_stop_loss and barstate.isconfirmed
        strategy.close("Pivot Down", "Exit Shorts Stopped")
    else if close <= short_twoxtake_profit and barstate.isconfirmed
        short_stop_loss := close + (.5*option_TP_P*close)
        short_take_profit := close - (.5*option_TP_P*close)
        strategy.exit("Exit Partial Shorts", "Pivot Down", stop=short_stop_loss, limit = short_take_profit, qty_percent = pp)

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