Cette stratégie s'appelle
L'oscillateur ultime intègre des informations sur les prix sur plusieurs périodes pour évaluer les conditions de surachat/survente du marché.
La logique de négociation est la suivante:
Lorsque l'oscillateur ultime franchit un niveau inférieur (comme 45), le marché est survendu et des transactions longues sont envisagées.
Continuez à détenir des positions longues jusqu'à ce que l'indicateur dépasse un niveau moyen (comme 70) pour réaliser un profit.
Si l'indicateur montre une divergence haussière, le stop peut être ajusté en conséquence.
Si l'indicateur dépasse à nouveau le point le plus bas, l'ajout à des positions longues peut être envisagé.
L'avantage de cette stratégie est de capturer les opportunités de rebond survendues. Mais l'optimisation des paramètres est nécessaire, et la nature en retard de l'indicateur nécessite une combinaison d'analyse de tendance.
En conclusion, l'utilisation d'indicateurs pour déterminer le moment de l'inversion est courante.
/*backtest
start: 2023-09-11 00:00:00
end: 2023-09-12 00:00:00
period: 5m
basePeriod: 1m
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/
// © mohanee
//@version=4
strategy(title="Ultimate Oscillator [Long] Strategy", shorttitle="UO" , overlay=false, pyramiding=2, default_qty_type=strategy.percent_of_equity, default_qty_value=20, initial_capital=10000, currency=currency.USD) //default_qty_value=10, default_qty_type=strategy.fixed,
//Ultimate Oscillator logic copied from TradingView builtin indicator
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length1 = input(5, minval=1), length2 = input(10, minval=1), length3 = input(15, minval=1)
//rsiUOLength = input(7, title="RSI UO length", minval=1)
signalLength = input(9, title="Signal length", minval=1)
buyLine = input (45, title="Buy Line (UO crossing up oversold at ) ") //crossover
exitLine = input (70, title="Exit Line (UO crsossing down overbought at) ") //crossunder
riskCapital = input(title="Risk % of capital", defval=10, minval=1)
stopLoss=input(3,title="Stop Loss",minval=1)
takeProfit=input(false, title="Take Profit")
profitExitLine = input (75, title="Take Profit at RSIofUO crossing below this value ") //crossunder
showSignalLine=input(true, "show Signal Line")
//showUO=input(false, "show Ultimate Oscialltor")
average(bp, tr_, length) => sum(bp, length) / sum(tr_, length)
high_ = max(high, close[1])
low_ = min(low, close[1])
bp = close - low_
tr_ = high_ - low_
avg7 = average(bp, tr_, length1)
avg14 = average(bp, tr_, length2)
avg28 = average(bp, tr_, length3)
ultOscVal = 100 * (4*avg7 + 2*avg14 + avg28)/7
//Ultimate Oscillator
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//Willimas Alligator copied from TradingView built in Indicator
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smma(src, length) =>
smma = 0.0
smma := na(smma[1]) ? sma(src, length) : (smma[1] * (length - 1) + src) / length
smma
//moving averages logic copied from Willimas Alligator -- builtin indicator in TradingView
sma1=smma(hl2,5)
sma2=smma(hl2,20)
sma3=smma(hl2,50)
//Willimas Alligator
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myVwap= vwap(hlc3)
//drawings
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hline(profitExitLine, title="Middle Line 60 [Profit Exit Here]", color=color.purple , linestyle=hline.style_dashed)
obLevelPlot = hline(exitLine, title="Overbought", color=color.red , linestyle=hline.style_dashed)
osLevelPlot = hline(buyLine, title="Oversold", color=color.blue, linestyle=hline.style_dashed)
//fill(obLevelPlot, osLevelPlot, title="Background", color=color.blue, transp=90)
//rsiUO = rsi(ultOscVal,rsiUOLength)
rsiUO=ultOscVal
//emaUO = ema(rsiUO, 9)
//signal line
emaUO = ema(ultOscVal , 5) // ema(ultOscVal / rsiUO, 9)
//ultPlot=plot(showUO==true? ultOscVal : na, color=color.green, title="Oscillator")
plot(rsiUO, title = "rsiUO" , color=color.purple)
plot(showSignalLine ? emaUO : na , title = "emaUO [signal line]" , color=color.blue) //emaUO
//drawings
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//Strategy Logic
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longCond= crossover(rsiUO, buyLine) or crossover(rsiUO, 30)
//longCond= ( ema10>ema20 and crossover(rsiUO, buyLine) ) or ( ema10 < ema20 and crossover(rsiUO, 75) )
//Entry--
//Echeck how many units can be purchased based on risk manage ment and stop loss
qty1 = (strategy.equity * riskCapital / 100 ) / (close*stopLoss/100)
//check if cash is sufficient to buy qty1 , if capital not available use the available capital only
qty1:= (qty1 * close >= strategy.equity ) ? (strategy.equity / close) : qty1
//strategy.entry(id="LERSIofUO", long=true, qty=qty1, when = close > open and barssince(longCond)<=3 and strategy.position_size<1 ) //and sma1 > sma3) // and close>open and rsiUO >= 25 ) //and
strategy.entry(id="LEUO", long=true, qty=qty1, when = close > open and barssince(longCond)<=3 and strategy.position_size<1 and sma2 > sma3) // and close>open and rsiUO >= 25 ) //and
//Add
//strategy.entry(id="LEUO", comment="Add" , qty=qty1/2 , long=true, when = strategy.position_size>=1 and close < strategy.position_avg_price and crossover(rsiUO, 60) ) //and sma1 > sma3) // and close>open and rsiUO >= 25 ) //and
//strategy.entry(id="LEUO", long=true, qty=qty1, when = close > open and barssince(longCond)<=10 and valuewhen(longCond , close , 1) > close and rsiUO>=30) // and close>open and rsiUO >= 25 ) //and
//for Later versions
//also check for divergence ... later version
//also check if close above vwap session
//strategy.entry(id="LEUO", long=false, when = sma1< sma2 and crossunder(rsiUO,60) )
//change the bar color to yellow , indicating startegy will trigger BUY
barcolor( close > open and barssince(longCond)<=3 and strategy.position_size<1 and sma2 > sma3 ? color.orange : na)
//barcolor(abs(strategy.position_size)>=1 ? color.blue : na )
bgcolor(abs(strategy.position_size)>=1 ? color.blue : na , transp=70)
//signal for addition to existing position
barcolor( strategy.position_size>=1 and close < strategy.position_avg_price and crossover(rsiUO, 60) ? color.yellow : na)
//bgcolor( strategy.position_size>=1 and close < strategy.position_avg_price and crossover(rsiUO, 60) ? color.yellow : na, transp=30)
//partial exit
strategy.close(id="LEUO", comment="PExit", qty=strategy.position_size/3, when= takeProfit and abs(strategy.position_size)>=1 and close > strategy.position_avg_price and crossunder(rsiUO,profitExitLine) )
//close the Long order
strategy.close(id="LEUO", comment="Profit is "+tostring(close - strategy.position_avg_price, "###.##"), when=abs(strategy.position_size)>=1 and crossunder(rsiUO,exitLine) ) //and close > strategy.position_avg_price )
//strategy.close(id="LEUO", comment="CloseAll", when=abs(strategy.position_size)>=1 and crossunder(rsiUO2,40) ) //and close > strategy.position_avg_price )
// stop loss exit
stopLossVal = strategy.position_size>=1 ? strategy.position_avg_price * ( 1 - (stopLoss/100) ) : 0.00
strategy.close(id="LEUO", comment="SL exit Loss is "+tostring(close - strategy.position_avg_price, "###.##") , when=abs(strategy.position_size)>=1 and close < stopLossVal and rsiUO < exitLine)
//reason to rsiUO <30 is if price is going down , indicator should reflect it ... but indicator is above 30 means it showing divergence... so hold on it until it crossdown 30 ...that way even Stop Loss less than predefined ...
//Strategy Logic
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