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Advanced Multi-Indicator Multi-Dimensional Trend Cross Quantitative Strategy

Author: ChaoZhang, Date: 2025-01-17 16:00:03
Tags: RSIMACDEMAHTFSMACCIMA

Overview

This strategy is a comprehensive trading system that combines multiple technical indicators, including Ichimoku Cloud, Relative Strength Index (RSI), Moving Average Convergence Divergence (MACD), Higher Time Frame (HTF) divergence, and Exponential Moving Average (EMA) crossovers. The strategy utilizes multiple signal confirmations to improve trading accuracy while leveraging market information from different time frames to capture more reliable trading opportunities.

Strategy Principles

The core principle of the strategy is to confirm trading signals through multi-layer technical analysis. It uses the Ichimoku Cloud components to determine overall market trends, combines RSI to judge market overbought/oversold conditions, utilizes MACD to identify trend momentum changes, and captures potential trend reversal signals through HTF RSI and MACD divergences. Additionally, the strategy incorporates EMA50 and EMA100 crossovers for confirmation, along with EMA200 as a primary trend filter, creating a multi-layered trading confirmation system.

Strategy Advantages

Multi-dimensional signal confirmation significantly reduces false breakout risks and improves trading accuracy
HTF divergence analysis enhances the ability to predict market turning points
Integration of trend-following and reversal trading characteristics provides strong adaptability
EMA crossovers provide additional trend confirmation, improving entry timing accuracy
Comprehensive technical indicator system enables all-round market state analysis

Strategy Risks

Multiple indicator confirmations may cause missed opportunities in rapid market movements
May generate numerous false signals in ranging markets
High complexity in parameter optimization increases the risk of overfitting
Multiple indicators may introduce certain latency in signal generation
Multiple confirmation mechanisms may fail under extreme market conditions

Strategy Optimization Directions

Introduce adaptive parameter mechanisms to dynamically adjust indicator parameters based on market conditions
Add volatility filters to adjust strategy parameters in high-volatility environments
Develop more intelligent stop-loss and take-profit mechanisms to improve money management efficiency
Add market state classification modules to apply different trading logic for different market conditions
Optimize HTF divergence identification algorithms to improve signal timeliness

Summary

This strategy constructs a relatively complete trading system through the coordination of multiple technical indicators. Its strength lies in its multi-dimensional signal confirmation mechanism, while also facing challenges in parameter optimization and market adaptability. Through the proposed optimization directions, the strategy has the potential to further enhance its performance across different market environments while maintaining its robustness.

/*backtest
start: 2024-01-17 00:00:00
end: 2025-01-16 00:00:00
period: 3h
basePeriod: 3h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":49999}]
*/

//@version=6
strategy("Ichimoku + RSI + MACD + HTF Divergence + EMA Cross Strategy", overlay=true)

// تنظیمات تایم‌فریم بالاتر
htf_timeframe = input.timeframe("D", title="تایم‌فریم بالاتر")

// تنظیمات پارامترهای ایچیموکو
tenkan_period = input(9, title="Tenkan Sen Period")
kijun_period = input(26, title="Kijun Sen Period")
senkou_span_b_period = input(52, title="Senkou Span B Period")
displacement = input(26, title="Displacement")

// محاسبه خطوط ایچیموکو
tenkan_sen = (ta.highest(high, tenkan_period) + ta.lowest(low, tenkan_period)) / 2
kijun_sen = (ta.highest(high, kijun_period) + ta.lowest(low, kijun_period)) / 2
senkou_span_a = (tenkan_sen + kijun_sen) / 2
senkou_span_b = (ta.highest(high, senkou_span_b_period) + ta.lowest(low, senkou_span_b_period)) / 2
chikou_span = close  // قیمت بسته شدن فعلی

// رسم خطوط ایچیموکو
plot(tenkan_sen, color=color.blue, title="Tenkan Sen")
plot(kijun_sen, color=color.red, title="Kijun Sen")
plot(senkou_span_a, offset=displacement, color=color.green, title="Senkou Span A")
plot(senkou_span_b, offset=displacement, color=color.orange, title="Senkou Span B")
plot(chikou_span, offset=-displacement, color=color.purple, title="Chikou Span")

// رنگ‌آمیزی ابر ایچیموکو
fill(plot(senkou_span_a, offset=displacement, color=color.green, title="Senkou Span A"), plot(senkou_span_b, offset=displacement, color=color.orange, title="Senkou Span B"), color=senkou_span_a > senkou_span_b ? color.new(color.green, 90) : color.new(color.red, 90), title="Cloud")

// تنظیمات RSI
rsi_length = input(14, title="RSI Length")
rsi_overbought = input(70, title="RSI Overbought Level")
rsi_oversold = input(30, title="RSI Oversold Level")

// محاسبه RSI
rsi_value = ta.rsi(close, rsi_length)

// تنظیمات MACD
fast_length = input(12, title="MACD Fast Length")
slow_length = input(26, title="MACD Slow Length")
signal_smoothing = input(9, title="MACD Signal Smoothing")

// محاسبه MACD
[macd_line, signal_line, hist_line] = ta.macd(close, fast_length, slow_length, signal_smoothing)

// شناسایی واگرایی‌ها در تایم‌فریم بالاتر
f_find_divergence(src, lower, upper) =>
    var int divergence = na  // تعریف نوع متغیر به‌صورت صریح
    if (src >= upper and src[1] < upper)
        divergence := 1  // واگرایی نزولی
    else if (src <= lower and src[1] > lower)
        divergence := -1  // واگرایی صعودی
    divergence

// محاسبه RSI و MACD در تایم‌فریم بالاتر
htf_rsi_value = request.security(syminfo.tickerid, htf_timeframe, rsi_value)
htf_macd_line = request.security(syminfo.tickerid, htf_timeframe, macd_line)

// شناسایی واگرایی‌ها در تایم‌فریم بالاتر
htf_rsi_divergence = f_find_divergence(htf_rsi_value, rsi_oversold, rsi_overbought)
htf_macd_divergence = f_find_divergence(htf_macd_line, 0, 0)

// فیلتر روند با EMA 200
ema_200 = ta.ema(close, 200)

// اضافه کردن EMA 50 و 100
ema_50 = ta.ema(close, 50)
ema_100 = ta.ema(close, 100)

// کراس‌های EMA
ema_cross_up = ta.crossover(ema_50, ema_100)  // کراس صعودی EMA 50 و 100
ema_cross_down = ta.crossunder(ema_50, ema_100)  // کراس نزولی EMA 50 و 100

// شرایط ورود و خروج
long_condition = (close > senkou_span_a and close > senkou_span_b) and  // قیمت بالای ابر
                 (rsi_value > 50) and  // RSI بالای 50
                 (macd_line > signal_line) and  // MACD خط سیگنال را قطع کرده
                 (htf_rsi_divergence == -1 or htf_macd_divergence == -1) and  // واگرایی صعودی در تایم‌فریم بالاتر
                 (close > ema_200) and  // قیمت بالای EMA 200
                 (ema_cross_up)  // کراس صعودی EMA 50 و 100

short_condition = (close < senkou_span_a and close < senkou_span_b) and  // قیمت زیر ابر
                  (rsi_value < 50) and  // RSI زیر 50
                  (macd_line < signal_line) and  // MACD خط سیگنال را قطع کرده
                  (htf_rsi_divergence == 1 or htf_macd_divergence == 1) and  // واگرایی نزولی در تایم‌فریم بالاتر
                  (close < ema_200) and  // قیمت زیر EMA 200
                  (ema_cross_down)  // کراس نزولی EMA 50 و 100

// نمایش نقاط ورود در چارت
plotshape(series=long_condition, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="BUY", size=size.small)
plotshape(series=short_condition, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="SELL", size=size.small)

// اجرای استراتژی
if (long_condition)
    strategy.entry("Long", strategy.long)

if (short_condition)
    strategy.entry("Short", strategy.short)

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