Cette stratégie de négociation combine plusieurs indicateurs, notamment le RSI, le stochastique, les bandes de Bollinger et la SuperTrend, pour générer des signaux de négociation.
Plus précisément, il considère le RSI supérieur à 50 et la valeur stochastique K supérieure à D comme des signaux haussiers.
À l'inverse, le RSI inférieur à 50 et le stochastique K inférieur à D donnent des signaux baissiers.
La combinaison de plusieurs indicateurs sert de filtre efficace pour améliorer la fiabilité du signal.
Cependant, la combinaison d'indicateurs entraîne également un retard, manquant potentiellement des entrées optimales.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-03-10 00:00:00
period: 45m
basePeriod: 5m
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/
// © rajm14
//@version=5
strategy(title = "Golden Swing Strategy - Souradeep Dey", shorttitle = "GSS", overlay = true, process_orders_on_close = true, default_qty_type = strategy.cash, default_qty_value=100000, currency = currency.USD)
// Indicator - RSI - 20
rsiSrc = input(defval = close, title = "RSI Source")
rsiLen = input.int(defval = 20, title = "RSI Length", minval = 0, maxval = 200, step = 1)
rsi = ta.rsi(rsiSrc, rsiLen)
//plot(rsi)
// Indicator - Stochastic (55,34,21)
kLength = input.int(defval = 55, title="Stoch %K Length", minval=1)
kSmooth = input.int(defval = 34, title="Stoch %K Smoothing", minval=1)
dLength = input.int(defval = 21, title="Stoch %D Smoothing", minval=1)
kLine = ta.sma(ta.stoch(close, high, low, kLength), kSmooth)
dLine = ta.sma(kLine, dLength)
// plot(kLine, color=color.red)
// plot(dLine, color=color.green)
// Indicator - ATR(5)
atrLength = input(5, "ATR Length")
atr = ta.atr(5)
// plot(atr)
// Indicator - SuperTrend(10,2)
atrPeriod = input(10, "SuperTrend ATR Length")
stSrc = hl2
stfactor = input.float(2.0, "SuperTrend Multiplier", step = 0.1)
stAtr = ta.atr(atrPeriod)
[supertrend, direction] = ta.supertrend(stfactor, atrPeriod)
bodyMiddle = (open + close) / 2
upTrend = direction < 0 ? supertrend : na
downTrend = direction < 0? na : supertrend
// plot(bodyMiddle, display=display.none)
// plot(upTrend)
// plot(downTrend)
// Indicator - Bollinger Bands (20,2)
bblength = input.int(defval = 20, title = "BB Length")
bbsource = input(defval = close, title = "BB Source")
bbStdDev = input.float(defval = 2.0, title = "BB Std Dev", step = 0.1)
bbmultiplier = bbStdDev * ta.stdev(bbsource, bblength)
bbMband = ta.sma(bbsource, bblength)
bbUband = bbMband + bbmultiplier
bbLband = bbMband - bbmultiplier
// plot (bbUband, color = color.red, linewidth = 2)
// plot (bbMband, color = color.black, linewidth = 2)
// plot (bbLband, color = color.green, linewidth = 2)
// Trade Entry
LongEntry = rsi >= 50 and kLine > dLine and low < supertrend and direction < 0 and supertrend < bbMband
ShortEntry = rsi <= 50 and kLine < dLine and high > supertrend and direction > 0 and supertrend > bbMband
plotshape(LongEntry, style = shape.triangleup, text = "Long", location = location.belowbar, size = size.large, color = color.green)
plotshape(ShortEntry, style = shape.triangledown, text = "Short", location = location.abovebar, size = size.large, color = color.red)
//Trade execution
if LongEntry
strategy.entry(id = "Buy", direction = strategy.long, limit = close * .5 * atr)
closelong = close >= strategy.position_avg_price * 2.2 * atr
stoplong = close <= strategy.position_avg_price * 1.1 * atr
if closelong
strategy.close(id = "Buy")
if stoplong
strategy.close(id = "Buy")
if ShortEntry
strategy.entry(id = "Sell", direction = strategy.long, limit = close * .5 * atr)
closeshort = close <= strategy.position_avg_price * 2.2 * atr
stopshort = close >= strategy.position_avg_price * 1.1 * atr
if closeshort
strategy.close(id = "Sell")
if stopshort
strategy.close(id = "Sell")