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Stratégie de négociation quantitative avec filtre dynamique

Auteur:ChaoZhang est là., Date: 2023-12-25 11:10:09 Je vous en prie.
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/*backtest
start: 2022-12-18 00:00:00
end: 2023-12-24 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy(title='5cel Scalp Strategy BTCUSDT Long & Short 30 Min', shorttitle='BTCUSDT Long & Short Scalp 30m', precision=1, overlay=true)

//Swing Call - Based on RSI Overbought & Oversold
//#### Starts Here #####
ema_value = input(5)
sma_value = input(50)
ema1 = ta.ema(close, ema_value)
sma2 = ta.sma(close, sma_value)
rs = ta.rsi(close, 14)

iff_1 = high < sma2 ? color.red : color.yellow
iff_2 = low > sma2 ? color.lime : iff_1
mycolor = rs >= 85 or rs <= 15 ? color.yellow : iff_2

//For Main Strategy
bool swingCallGreen = false
bool swingCallRed = false
bool swingCallYellow = false

if rs >= 85 or rs <= 15
    //color.yellow
    swingCallGreen := false
    swingCallRed := false
    swingCallYellow := true
    swingCallYellow
else
    if low > sma2
        //color.lime
        swingCallGreen := true
        swingCallRed := false
        swingCallYellow := false
        swingCallYellow
        //color.red
    else if high < sma2
        swingCallGreen := false
        swingCallRed := true
        swingCallYellow := false
        swingCallYellow
    else
        //color.yellow
        swingCallGreen := false
        swingCallRed := false
        swingCallYellow := true
        swingCallYellow

hlong = input.int(80, title='Overbought limit of RSI', step=1)
ll = input.int(20, title='Oversold limit of RSI', step=1)

buyexit = ta.crossunder(rs, hlong)
sellexit = ta.crossover(rs, ll)

sellcall = ta.crossover(sma2, ema1) and open > close
buycall = ta.crossunder(sma2, ema1) and high > sma2
//#### Ends Here #####


//Parabolic SAR -  Trend Circles
//#### Starts Here #####
start = input.int(2, minval=0, maxval=10, title='Start - Default = 2 - Multiplied by .01')
increment = input.int(2, minval=0, maxval=10, title='Step Setting (Sensitivity) - Default = 2 - Multiplied by .01')
maximum = input.int(2, minval=1, maxval=10, title='Maximum Step (Sensitivity) - Default = 2 - Multiplied by .10')
sus = input(true, 'Show Up Trending Parabolic Sar')
sds = input(true, 'Show Down Trending Parabolic Sar')
disc = input(false, title='Start and Step settings are *.01 so 2 = .02 etc, Maximum Step is *.10 so 2 = .2')

startCalc = start * .01
incrementCalc = increment * .01
maximumCalc = maximum * .10

sarUp = ta.sar(startCalc, incrementCalc, maximumCalc)
sarDown = ta.sar(startCalc, incrementCalc, maximumCalc)

colUp = close >= sarDown ? color.lime : na
colDown = close <= sarUp ? color.red : na

parabolicSARGreen = ta.sar(startCalc, incrementCalc, maximumCalc)
parabolicSARRed = ta.sar(startCalc, incrementCalc, maximumCalc)
//#### Ends Here #####


//EMA Line
//#### Starts Here #####
ema100 = ta.ema(close, 100)
//#### Ends Here #####


// Ichimoku Cloud
//#### Starts Here #####
sCloud = input(false, 'Show Ichimoku lines')

// Colors
colorGreen = #00ff00
colorRed = #ff0000
colorTenkanViolet = #9400D3
colorKijun = #fdd8a0
colorLime = #006400
colorMaroon = #8b0000

//Periods are set to standard
tenkanPeriods = input.int(9, minval=1, title='Tenkan')
kijunPeriods = input.int(26, minval=1, title='Kijun')
chikouPeriods = input.int(52, minval=1, title='Chikou')
displacement = input.int(26, minval=1, title='Offset')

donchian(len) =>
    math.avg(ta.lowest(len), ta.highest(len))

tenkan = donchian(tenkanPeriods)
kijun = donchian(kijunPeriods)
senkouA = math.avg(tenkan, kijun)
senkouB = donchian(chikouPeriods)
displacedSenkouA = senkouA[displacement]
displacedSenkouB = senkouB[displacement]

bullishSignal = ta.crossover(tenkan, kijun)
bearishSignal = ta.crossunder(tenkan, kijun)

bullishSignalValues = bullishSignal ? tenkan : na
bearishSignalValues = bearishSignal ? tenkan : na


strongBullishSignal = bullishSignalValues > displacedSenkouA and bullishSignalValues > displacedSenkouB
neutralBullishSignal = bullishSignalValues > displacedSenkouA and bullishSignalValues < displacedSenkouB or bullishSignalValues < displacedSenkouA and bullishSignalValues > displacedSenkouB
weakBullishSignal = bullishSignalValues < displacedSenkouA and bullishSignalValues < displacedSenkouB

strongBearishSignal = bearishSignalValues < displacedSenkouA and bearishSignalValues < displacedSenkouB
neutralBearishSignal = bearishSignalValues > displacedSenkouA and bearishSignalValues < displacedSenkouB or bearishSignalValues < displacedSenkouA and bearishSignalValues > displacedSenkouB
weakBearishSignal = bearishSignalValues > displacedSenkouA and bearishSignalValues > displacedSenkouB
//#### Ends Here #####


//Higher High Lower Low Strategy
//#### Starts Here #####
lb = input.int(5, title='Left Bars', minval=1)
rb = input.int(5, title='Right Bars', minval=1)
showsupres = input.bool(true, title='Support/Resistance', inline='srcol')
supcol = input.color(color.lime, title='', inline='srcol')
rescol = input.color(color.red, title='', inline='srcol')
// srlinestyle = input.string(line.style_dotted, title='Line Style/Width', options=[line.style_solid, line.style_dashed, line.style_dotted], inline='style')
srlinewidth = input.int(3, title='', minval=1, maxval=5, inline='style')
changebarcol = input.bool(true, title='Change Bar Color', inline='bcol')
bcolup = input.color(color.blue, title='', inline='bcol')
bcoldn = input.color(color.black, title='', inline='bcol')

ph = ta.pivothigh(lb, rb)
pl = ta.pivotlow(lb, rb)

iff_3 = pl ? -1 : na  // Trend direction
hl = ph ? 1 : iff_3
iff_4 = pl ? pl : na  // similar to zigzag but may have multiple highs/lows
zz = ph ? ph : iff_4
valuewhen_1 = ta.valuewhen(hl, hl, 1)
valuewhen_2 = ta.valuewhen(zz, zz, 1)
zz := pl and hl == -1 and valuewhen_1 == -1 and pl > valuewhen_2 ? na : zz
valuewhen_3 = ta.valuewhen(hl, hl, 1)
valuewhen_4 = ta.valuewhen(zz, zz, 1)
zz := ph and hl == 1 and valuewhen_3 == 1 and ph < valuewhen_4 ? na : zz

valuewhen_5 = ta.valuewhen(hl, hl, 1)
valuewhen_6 = ta.valuewhen(zz, zz, 1)
hl := hl == -1 and valuewhen_5 == 1 and zz > valuewhen_6 ? na : hl
valuewhen_7 = ta.valuewhen(hl, hl, 1)
valuewhen_8 = ta.valuewhen(zz, zz, 1)
hl := hl == 1 and valuewhen_7 == -1 and zz < valuewhen_8 ? na : hl
zz := na(hl) ? na : zz

findprevious() =>  // finds previous three points (b, c, d, e)
    ehl = hl == 1 ? -1 : 1
    loc1 = 0.0
    loc2 = 0.0
    loc3 = 0.0
    loc4 = 0.0
    xx = 0
    for x = 1 to 1000 by 1
        if hl[x] == ehl and not na(zz[x])
            loc1 := zz[x]
            xx := x + 1
            break
    ehl := hl
    for x = xx to 1000 by 1
        if hl[x] == ehl and not na(zz[x])
            loc2 := zz[x]
            xx := x + 1
            break
    ehl := hl == 1 ? -1 : 1
    for x = xx to 1000 by 1
        if hl[x] == ehl and not na(zz[x])
            loc3 := zz[x]
            xx := x + 1
            break
    ehl := hl
    for x = xx to 1000 by 1
        if hl[x] == ehl and not na(zz[x])
            loc4 := zz[x]
            break
    [loc1, loc2, loc3, loc4]

float a = na
float b = na
float c = na
float d = na
float e = na
if not na(hl)
    [loc1, loc2, loc3, loc4] = findprevious()
    a := zz
    b := loc1
    c := loc2
    d := loc3
    e := loc4

_hh = zz and a > b and a > c and c > b and c > d
_ll = zz and a < b and a < c and c < b and c < d
_hl = zz and (a >= c and b > c and b > d and d > c and d > e or a < b and a > c and b < d)
_lh = zz and (a <= c and b < c and b < d and d < c and d < e or a > b and a < c and b > d)

plotshape(_hl, text='HL', title='Higher Low', style=shape.labelup, color=color.new(color.lime, 0), textcolor=color.new(color.black, 0), location=location.belowbar, offset=-rb)
plotshape(_hh, text='HH', title='Higher High', style=shape.labeldown, color=color.new(color.lime, 0), textcolor=color.new(color.black, 0), location=location.abovebar, offset=-rb)
plotshape(_ll, text='LL', title='Lower Low', style=shape.labelup, color=color.new(color.red, 0), textcolor=color.new(color.white, 0), location=location.belowbar, offset=-rb)
plotshape(_lh, text='LH', title='Lower High', style=shape.labeldown, color=color.new(color.red, 0), textcolor=color.new(color.white, 0), location=location.abovebar, offset=-rb)

float res = na
float sup = na
res := _lh ? zz : res[1]
sup := _hl ? zz : sup[1]

int trend = na
iff_5 = close < sup ? -1 : nz(trend[1])
trend := close > res ? 1 : iff_5

res := trend == 1 and _hh or trend == -1 and _lh ? zz : res
sup := trend == 1 and _hl or trend == -1 and _ll ? zz : sup
rechange = res != res[1]
suchange = sup != sup[1]

var line resline = na
var line supline = na
//#### Ends Here #####



//Range Filter 5Min
//#### Starts Here #####

src = input(defval=close, title='Source')
per = input.int(defval=100, minval=1, title='Sampling Period')

// Range Multiplier
mult = input.float(defval=3.0, minval=0.1, title='Range Multiplier')

// Smooth Average Range
smoothrng(x, t, m) =>
    wper = t * 2 - 1
    avrng = ta.ema(math.abs(x - x[1]), t)
    smoothrng = ta.ema(avrng, wper) * m
    smoothrng
smrng = smoothrng(src, per, mult)

// Range Filter
rngfilt(x, r) =>
    rngfilt = x
    rngfilt := x > nz(rngfilt[1]) ? x - r < nz(rngfilt[1]) ? nz(rngfilt[1]) : x - r : x + r > nz(rngfilt[1]) ? nz(rngfilt[1]) : x + r
    rngfilt
filt = rngfilt(src, smrng)

// Filter Direction
upward = 0.0
upward := filt > filt[1] ? nz(upward[1]) + 1 : filt < filt[1] ? 0 : nz(upward[1])
downward = 0.0
downward := filt < filt[1] ? nz(downward[1]) + 1 : filt > filt[1] ? 0 : nz(downward[1])

// Target Bands
hband = filt + smrng
lband = filt - smrng

// Colors
filtcolor = upward > 0 ? color.lime : downward > 0 ? color.red : color.orange
barcolor = src > filt and src > src[1] and upward > 0 ? color.lime : src > filt and src < src[1] and upward > 0 ? color.green : src < filt and src < src[1] and downward > 0 ? color.red : src < filt and src > src[1] and downward > 0 ? color.maroon : color.orange

// Break Outs
longCond = bool(na)
shortCond = bool(na)
longCond := src > filt and src > src[1] and upward > 0 or src > filt and src < src[1] and upward > 0
shortCond := src < filt and src < src[1] and downward > 0 or src < filt and src > src[1] and downward > 0

CondIni = 0
CondIni := longCond ? 1 : shortCond ? -1 : CondIni[1]
longCondition = longCond and CondIni[1] == -1
shortCondition = shortCond and CondIni[1] == 1
//#### Ends Here #####


//#### Starts Here #####
source = close
useCurrentRes = input(true, title='Use Current Chart Resolution?')
resCustom = input.timeframe(title='Use Different Timeframe? Uncheck Box Above', defval='60')
smd = input(true, title='Show MacD & Signal Line? Also Turn Off Dots Below')
sd = input(true, title='Show Dots When MacD Crosses Signal Line?')
sh = input(true, title='Show Histogram?')
macd_colorChange = input(true, title='Change MacD Line Color-Signal Line Cross?')
hist_colorChange = input(true, title='MacD Histogram 4 Colors?')

res1 = useCurrentRes ? timeframe.period : resCustom

fastLength = input.int(12, minval=1)
slowLength = input.int(26, minval=1)
signalLength = input.int(9, minval=1)

fastMA = ta.ema(source, fastLength)
slowMA = ta.ema(source, slowLength)

macd = fastMA - slowMA
signal = ta.sma(macd, signalLength)
hist = macd - signal

outMacD = request.security(syminfo.tickerid, res1, macd)
outSignal = request.security(syminfo.tickerid, res1, signal)
outHist = request.security(syminfo.tickerid, res1, hist)

histA_IsUp = outHist > outHist[1] and outHist > 0
histA_IsDown = outHist < outHist[1] and outHist > 0
histB_IsDown = outHist < outHist[1] and outHist <= 0
histB_IsUp = outHist > outHist[1] and outHist <= 0

//MacD Color Definitions
macd_IsAbove = outMacD >= outSignal
macd_IsBelow = outMacD < outSignal

plot_color = hist_colorChange ? histA_IsUp ? color.aqua : histA_IsDown ? color.blue : histB_IsDown ? color.red : histB_IsUp ? color.maroon : color.yellow : color.gray
macd_color = macd_colorChange ? macd_IsAbove ? color.lime : color.red : color.red
signal_color = macd_colorChange ? macd_IsAbove ? color.yellow : color.yellow : color.lime

circleYPosition = outSignal
//#### Ends Here #####


//////////////////
// Main Strategy
/////////////////
//#### Starts Here #####
var bottomText = 'Something is not ok'

bool rangeBuy = false
if longCondition
    rangeBuy := true
else
    rangeBuy := false

bool rangeSell = false
if shortCondition
    rangeSell := true
else
    rangeSell := false

bool ema100Bullish = false
bool ema100Bearish = false
bool ichimokuBearish = false
bool ichimokuBullish = false
string statusChance = 'Who knows what will happen'
string futureIchimokuTrend = 'Anything can happen'

if close > ema100
    ema100Bullish := true
    ema100Bearish := false
else
    ema100Bullish := false
    ema100Bearish := true

if displacedSenkouA > displacedSenkouB
    ichimokuBearish := false
    futureIchimokuTrend := 'Green - chance to go up'
    ichimokuBullish := true
else
    ichimokuBearish := true
    futureIchimokuTrend := 'Red - chance to go down'
    ichimokuBullish := false
    ichimokuBullish

if ema100Bullish and parabolicSARGreen
    if ichimokuBullish
        statusChance := '100%'
    else
        statusChance := '95%'
else
    if ema100Bullish and parabolicSARRed
        statusChance := '75%'
    else if ema100Bearish and parabolicSARGreen
        statusChance := '65%'
    else
        statusChance := '55%'

bool longTradePosition = false
bool shortTradePosition = false
string longTradeText = 'Now cannot say anything'

if (swingCallGreen or swingCallYellow) and ichimokuBullish and longCondition and ema100Bullish and parabolicSARGreen
    longTradePosition := true
    longTradeText := 'Bullish'

bottomText := longTradeText + ' Chance: ' + statusChance + '\n Future Trend: ' + futureIchimokuTrend
// Bottom Text

var tLog = table.new(position=position.bottom_right, rows=1, columns=2, bgcolor=color.blue, border_width=1)
table.cell(tLog, row=0, column=0, text=bottomText, text_color=color.white)
table.cell_set_text(tLog, row=0, column=0, text=bottomText)
//#### Ends Here #####

bool entryLongPosition = false
bool exitLongPosition = false

bool entryShortPosition = false
bool exitShortPosition = false

bool longPositionCount = false
bool shortPositionCount = false


if (strategy.position_size > 0)
    longPositionCount := true

if (strategy.position_size < 0)
    shortPositionCount := true
    
// Entry LONG
if (longCondition) and (not longPositionCount)
    entryLongPosition := true

// Exit LONG
if (shortCondition) and (longPositionCount)
    exitLongPosition := true
    
// Entry SHORT
if (shortCondition) and (not shortPositionCount)
    entryShortPosition := true

// Exit SHORT
if (longCondition) and (shortPositionCount)
    exitShortPosition := true

// LONG Entry & Exit
plotshape(entryLongPosition, style=shape.labeldown, location=location.abovebar, color=color.new(color.green, 0), size=size.tiny, title='buy label', text='5cel\nLONG Entry', textcolor=color.new(color.white, 0))
plotshape(exitLongPosition, style=shape.labelup, location=location.belowbar, color=color.new(color.blue, 0), size=size.tiny, title='sell label', text='5cel\nExit LONG', textcolor=color.new(color.white, 0))

//SHORT Entry & Exit
plotshape(entryShortPosition, style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), size=size.tiny, title='buy label', text='5cel\nSHORT Entry', textcolor=color.new(color.white, 0))
plotshape(exitShortPosition, style=shape.labelup, location=location.belowbar, color=color.new(color.blue, 0), size=size.tiny, title='sell label', text='5cel\nExit SHORT', textcolor=color.new(color.white, 0))

//Get the Current Value
heikinashi_close = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close)

if entryLongPosition
    longLabel = label.new(bar_index, high, text=str.tostring(heikinashi_close, '0.00'), color=color.orange, style=label.style_label_down, yloc=yloc.abovebar)

if entryShortPosition
    shortLabel = label.new(bar_index, high, text=str.tostring(heikinashi_close, '0.00'), color=color.orange, style=label.style_label_down, yloc=yloc.abovebar)

/// SHORT Exit
strategy.close("short", when=exitShortPosition, comment="close_short_position")

/// LONG Exit
strategy.close("long", when=exitLongPosition, comment = "close_long_position")

/// LONG Enter
strategy.entry("long", strategy.long, when=entryLongPosition, comment="open_long_position")

/// SHORT Enter
strategy.entry("short", strategy.short, when = entryShortPosition, comment="open_short_position")

---

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