Cette stratégie combine les indicateurs TSI, CCI et Hull Moving Average pour déterminer et négocier les tendances. TSI et CCI identifient les vagues de prix tandis que Hull MA confirme la direction de la tendance.
La courbe TSI et la ligne de signal sont calculées. Signal long lorsque la courbe traverse la ligne au-dessus, court sur le croisement à la baisse. CCI indique les niveaux de surachat/survente. Traverser le prix au-dessus de Hull MA suggère un marché haussier et en dessous pour un marché baissier. Les transactions longues/courtes sont effectuées lorsque les conditions de rupture TSI, CCI et Hull MA s'alignent. Les objectifs de profit sont définis pour quitter les positions lorsqu'ils sont atteints.
Les risques peuvent être réduits en ajustant les indicateurs, en optimisant les algorithmes de profit, etc.
Cette stratégie à indicateurs multiples avec ciblage des bénéfices montre de bons résultats de backtest.
/*backtest
start: 2023-08-18 00:00:00
end: 2023-09-17 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title="TSI CCI Hull", shorttitle="TSICCIHULL", default_qty_type=strategy.percent_of_equity, default_qty_value=100, calc_on_order_fills= false, calc_on_every_tick=true, pyramiding=0, commission_type=strategy.commission.percent, commission_value=0.018)
long = input(title="Long Length", type=input.integer, defval=50)
short = input(title="Short Length", type=input.integer, defval=50)
signal = input(title="Signal Length", type=input.integer, defval=25)
price=input(title="Source",type=input.source,defval=close)
Period=input(26, minval=1)
lineupper = input(title="Upper Line", type=input.integer, defval=100)
linelower = input(title="Lower Line", type=input.integer, defval=-100)
p=price
length= Period
double_smooth(src, long, short) =>
fist_smooth = ema(src, long)
ema(fist_smooth, short)
pc = change(price)
double_smoothed_pc = double_smooth(pc, long, short)
double_smoothed_abs_pc = double_smooth(abs(pc), long, short)
tsi_value = 100 * (double_smoothed_pc / double_smoothed_abs_pc)
keh = tsi_value*5 > linelower ? color.red : color.lime
teh = ema(tsi_value*5, signal*5) > lineupper ? color.red : color.lime
meh = ema(tsi_value*5, signal*5) > tsi_value*5 ? color.red : color.lime
i1=plot(tsi_value*5, title="TSI Value", color=color.black, linewidth=1,transp=100)
i2=plot(ema(tsi_value*5, signal*5), title="TSI Signal", color=color.black, linewidth=1,transp=100)
fill(i1,i2,color=meh,transp=85)
plot(cross(tsi_value*5, ema(tsi_value*5, signal*5)) ? tsi_value*5 : na, style=plot.style_circles, color=color.black, linewidth=10)
plot(cross(tsi_value*5, ema(tsi_value*5, signal*5)) ? tsi_value*5 : na, style=plot.style_circles, color=color.white, linewidth=8,transp=0)
plot(cross(tsi_value*5, ema(tsi_value*5, signal*5)) ? tsi_value*5 : na, style=plot.style_circles, color=meh, linewidth=5)
n2ma = 2 * wma(p, round(length / 2))
nma = wma(p, length)
diff = n2ma - nma
sqn = round(sqrt(length))
n1 = wma(diff, sqn)
cci = (p - n1) / (0.015 * dev(p, length))
c = cci > 0 ? color.lime : color.red
c1 = cci > 20 ? color.lime : color.silver
c2 = cci < -20 ? color.red : color.silver
cc=plot(cci, color=c, title="CCI Line", linewidth=2)
cc2=plot(cci[1], color=color.gray, linewidth=1,transp=100)
fill(cc,cc2,color=c,transp=85)
plot(cross(20, cci) ? 20 : na, style=plot.style_cross,title="CCI cross UP", color=c1, linewidth=2,transp=100,offset=-2)
plot(cross(-20, cci) ? -20 : na, style=plot.style_cross,title="CCI cross down", color=c2, linewidth=2,transp=100,offset=-2)
TSI1=ema(tsi_value*5, signal*5)
TSI2=ema(tsi_value*5, signal*5)[2]
hullma_smoothed = wma(2*wma(n1, Period/2)-wma(n1, Period), round(sqrt(Period)))
//plot(hullma_smoothed*200)
// Make input options that configure backtest date range
startDate = input(title="Start Date", type=input.integer,
defval=1, minval=1, maxval=31)
startMonth = input(title="Start Month", type=input.integer,
defval=1, minval=1, maxval=12)
startYear = input(title="Start Year", type=input.integer,
defval=2018, minval=1800, maxval=2100)
endDate = input(title="End Date", type=input.integer,
defval=1, minval=1, maxval=31)
endMonth = input(title="End Month", type=input.integer,
defval=7, minval=1, maxval=12)
endYear = input(title="End Year", type=input.integer,
defval=9999, minval=1800, maxval=2100)
// Look if the close time of the current bar
// falls inside the date range
inDateRange = (time >= timestamp(syminfo.timezone, startYear,
startMonth, startDate, 0, 0)) and
(time < timestamp(syminfo.timezone, endYear, endMonth, endDate, 0, 0))
LongProfitPercent=input(0.5)
ShortProfitPercent=input(0.5)
LP=(LongProfitPercent/100)+1
SP=(ShortProfitPercent/100)+1
LongProfitSource=input(title="profit long source",type=input.source,defval=close)
ShortProfitSource=input(title="profit short source",type=input.source,defval=close)
longCondition = TSI1>TSI2 and hullma_smoothed<price and cci>0
shortCondition = TSI1<TSI2 and hullma_smoothed>price and cci<0
if (longCondition and cci>cci[1] and cci > 0 and n1>n1[1] and inDateRange)
strategy.entry("buy", strategy.long)
strategy.close("buy", when = shortCondition and cci<cci[1] and cci < 0 and n1<n1[1] or LongProfitSource>strategy.position_avg_price*LP and inDateRange)
if (shortCondition and cci<cci[1] and cci < 0 and n1<n1[1] and inDateRange)
strategy.entry("sell", strategy.short)
strategy.close("sell", when = longCondition and cci>cci[1] and cci > 0 and n1>n1[1] or ShortProfitSource<strategy.position_avg_price/SP and inDateRange)