यह रणनीति तेज और धीमी प्रवृत्ति संकेतकों का चयन करके ट्रेडिंग संकेत उत्पन्न करती है और जब तेज प्रवृत्ति धीमी प्रवृत्ति को पार करती है तो लंबी जाती है, और जब तेज प्रवृत्ति धीमी प्रवृत्ति से नीचे जाती है तो छोटी जाती है। रणनीति में 20 से अधिक विभिन्न प्रवृत्ति गणनाएं शामिल हैं।
इस रणनीति का मुख्य उद्देश्य तेज और धीमे रुझान के संकेतकों का चयन और संयोजन करना हैः
FastTrend = User selected fast trend indicator
SlowTrend = User selected slow trend indicator
तेज प्रवृत्ति में एसएमए, ईएमए, केएएमए और 20+ प्रवृत्ति एल्गोरिदम शामिल हैं। धीमी प्रवृत्ति को भी स्वतंत्र रूप से चुना जा सकता है।
ट्रेडिंग सिग्नल तेज और धीमे रुझानों के बीच संबंध का आकलन करके उत्पन्न होते हैं:
if FastTrend > SlowTrend:
Go long
if FastTrend < SlowTrend:
Close position
जब तेज प्रवृत्ति धीमी प्रवृत्ति से पार हो जाती है तो लंबा संकेत ट्रिगर किया जाता है। जब तेज प्रवृत्ति धीमी प्रवृत्ति से नीचे पार हो जाती है तो छोटा संकेत ट्रिगर किया जाता है।
इस रणनीति में निम्नलिखित पहलुओं में सुधार किया जा सकता हैः
इष्टतम संयोजन खोजने के लिए तेज/धीमी रुझानों और मापदंडों को समायोजित करें।
बाज़ार में उतार-चढ़ाव के दौरान झूठे संकेतों से बचने के लिए वॉल्यूम जैसे फ़िल्टर जोड़ें।
एकल व्यापार हानि को नियंत्रित करने के लिए ट्रेलिंग स्टॉप लॉस जैसी स्टॉप लॉस रणनीतियों को शामिल करें।
स्थिरता में सुधार के लिए एमएसीडी, केडीजे जैसे अन्य संकेतकों के साथ संयोजन करें।
प्रवेश के समय को अनुकूलित करें, केवल ट्रेंड क्रॉसओवर पर भरोसा न करें।
मल्टी ट्रेंड क्रॉसओवर रणनीति तेजी से और धीमे रुझानों को मिलाकर समय सीमाओं में रुझान परिवर्तनों की पहचान करती है। लेकिन यह बाजार में उतार-चढ़ाव के प्रति संवेदनशील है और केवल स्पष्ट ट्रेंडिंग बाजारों में अच्छी तरह से काम करती है। हमें रणनीति स्थिरता और लाभप्रदता में सुधार के लिए पैरामीटर अनुकूलन और जोखिम प्रबंधन जैसे तरीकों की आवश्यकता है।
[/trans]
/*backtest
start: 2023-08-21 00:00:00
end: 2023-09-20 00:00:00
period: 3h
basePeriod: 15m
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/
// @version=5
// Author = TradeAutomation
strategy(title="Multi Trend Cross Strategy Template", shorttitle="Multi Trend Cross Strategy", process_orders_on_close=true, overlay=true, commission_type=strategy.commission.cash_per_contract, commission_value=0.0035, initial_capital = 1000000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
// Backtest Date Range Inputs //
StartTime = input(defval=timestamp('01 Jan 2000 05:00 +0000'), group="Date Range", title='Start Time')
EndTime = input(defval=timestamp('01 Jan 2099 00:00 +0000'), group="Date Range", title='End Time')
InDateRange = true
// Trend Selector //
TrendSelectorInput = input.string(title="Fast Trend Selector", defval="EMA", group="Core Settings", options=["ALMA", "DEMA", "DSMA", "EMA", "HMA", "JMA", "KAMA", "Linear Regression (LSMA)", "RMA", "SMA", "SMMA", "Price Source", "TEMA", "TMA", "VAMA", "VIDYA", "VMA", "VWMA", "WMA", "WWMA", "ZLEMA"], tooltip="Select your fast trend")
TrendSelectorInput2 = input.string(title="Slow Trend Selector", defval="EMA", group="Core Settings", options=["ALMA", "DEMA", "DSMA", "EMA", "HMA", "JMA", "KAMA", "Linear Regression (LSMA)", "RMA", "SMA", "SMMA", "Price Source", "TEMA", "TMA", "VAMA", "VIDYA", "VMA", "VWMA", "WMA", "WWMA", "ZLEMA"], tooltip="Select your slow trend")
src = input.source(close, "Price Source", group="Core Settings", tooltip="This is the price source being used for the trends to calculate based on")
length = input.int(10, "Fast Trend Length", group="Core Settings", step=5, tooltip="A long is entered when the selected fast trend crosses over the selected slow trend")
length2 = input.int(200, "Slow Trend Length", group="Core Settings", step=5, tooltip="A long is entered when the selected fast trend crosses over the selected slow trend")
LineWidth = input.int(1, "Line Width", group="Core Settings", tooltip="This is the width of the line plotted that represents the selected trend")
// Individual Moving Average / Regression Setting //
AlmaOffset = input.float(0.85, "ALMA Offset", group="Individual Trend Settings", tooltip="This only applies when ALMA is selected")
AlmaSigma = input.float(6, "ALMA Sigma", group="Individual Trend Settings", tooltip="This only applies when ALMA is selected")
ATRFactor = input.float(3, "ATR Multiplier For SuperTrend", group="Individual Trend Settings", tooltip="This only applies when SuperTrend is selected")
ATRLength = input.int(12, "ATR Length For SuperTrend", group="Individual Trend Settings", tooltip="This only applies when SuperTrend is selected")
ssfLength = input.int(20, "DSMA Super Smoother Filter Length", minval=1, tooltip="This only applies when EDSMA is selected", group="Individual Trend Settings")
ssfPoles = input.int(2, "DSMA Super Smoother Filter Poles", options=[2, 3], tooltip="This only applies when EDSMA is selected", group="Individual Trend Settings")
JMApower = input.int(2, "JMA Power Parameter", group="Individual Trend Settings", tooltip="This only applies when JMA is selected")
phase = input.int(-45, title="JMA Phase Parameter", step=10, minval=-110, maxval=110, group="Individual Trend Settings", tooltip="This only applies when JMA is selected")
KamaAlpha = input.float(3, "KAMA's Alpha", minval=1,step=0.5, group="Individual Trend Settings", tooltip="This only applies when KAMA is selected")
LinRegOffset = input.int(0, "Linear Regression Offset", group="Individual Trend Settings", tooltip="This only applies when Linear Regression is selected")
VAMALookback =input.int(12, "VAMA Volatility lookback", group="Individual Trend Settings", tooltip="This only applies when VAMA is selected")
// Trend Indicators With Library Functions //
ALMA = ta.alma(src, length, AlmaOffset, AlmaSigma)
EMA = ta.ema(src, length)
HMA = ta.hma(src, length)
LinReg = ta.linreg(src, length, LinRegOffset)
RMA = ta.rma(src, length)
SMA = ta.sma(src, length)
VWMA = ta.vwma(src, length)
WMA = ta.wma(src, length)
ALMA2 = ta.alma(src, length2, AlmaOffset, AlmaSigma)
EMA2 = ta.ema(src, length2)
HMA2 = ta.hma(src, length2)
LinReg2 = ta.linreg(src, length2, LinRegOffset)
RMA2 = ta.rma(src, length2)
SMA2 = ta.sma(src, length2)
VWMA2 = ta.vwma(src, length2)
WMA2 = ta.wma(src, length2)
// Additional Trend Indicators Built In And/Or Open Sourced //
//DEMA
de1 = ta.ema(src, length)
de2 = ta.ema(de1, length)
DEMA = 2 * de1 - de2
de3 = ta.ema(src, length2)
de4 = ta.ema(de3, length2)
DEMA2 = 2 * de3 - de4
// Ehlers Deviation-Scaled Moving Average - DSMA [Everget]
PI = 2 * math.asin(1)
get2PoleSSF(src, length) =>
arg = math.sqrt(2) * PI / length
a1 = math.exp(-arg)
b1 = 2 * a1 * math.cos(arg)
c2 = b1
c3 = -math.pow(a1, 2)
c1 = 1 - c2 - c3
var ssf = 0.0
ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])
get3PoleSSF(src, length) =>
arg = PI / length
a1 = math.exp(-arg)
b1 = 2 * a1 * math.cos(1.738 * arg)
c1 = math.pow(a1, 2)
coef2 = b1 + c1
coef3 = -(c1 + b1 * c1)
coef4 = math.pow(c1, 2)
coef1 = 1 - coef2 - coef3 - coef4
var ssf = 0.0
ssf := coef1 * src + coef2 * nz(ssf[1]) + coef3 * nz(ssf[2]) + coef4 * nz(ssf[3])
zeros = src - nz(src[2])
avgZeros = (zeros + zeros[1]) / 2
// Ehlers Super Smoother Filter
ssf = ssfPoles == 2
? get2PoleSSF(avgZeros, ssfLength)
: get3PoleSSF(avgZeros, ssfLength)
// Rescale filter in terms of Standard Deviations
stdev = ta.stdev(ssf, length)
scaledFilter = stdev != 0
? ssf / stdev
: 0
alpha1 = 5 * math.abs(scaledFilter) / length
EDSMA = 0.0
EDSMA := alpha1 * src + (1 - alpha1) * nz(EDSMA[1])
get2PoleSSF2(src, length2) =>
arg = math.sqrt(2) * PI / length2
a1 = math.exp(-arg)
b1 = 2 * a1 * math.cos(arg)
c2 = b1
c3 = -math.pow(a1, 2)
c1 = 1 - c2 - c3
var ssf2 = 0.0
ssf2 := c1 * src + c2 * nz(ssf2[1]) + c3 * nz(ssf2[2])
get3PoleSSF2(src, length2) =>
arg = PI / length2
a1 = math.exp(-arg)
b1 = 2 * a1 * math.cos(1.738 * arg)
c1 = math.pow(a1, 2)
coef2 = b1 + c1
coef3 = -(c1 + b1 * c1)
coef4 = math.pow(c1, 2)
coef1 = 1 - coef2 - coef3 - coef4
var ssf2 = 0.0
ssf2 := coef1 * src + coef2 * nz(ssf2[1]) + coef3 * nz(ssf2[2]) + coef4 * nz(ssf2[3])
// Ehlers Super Smoother Filter
ssf2 = ssfPoles == 2
? get2PoleSSF2(avgZeros, ssfLength)
: get3PoleSSF2(avgZeros, ssfLength)
// Rescale filter in terms of Standard Deviations
stdev2 = ta.stdev(ssf2, length2)
scaledFilter2 = stdev2 != 0
? ssf2 / stdev2
: 0
alpha12 = 5 * math.abs(scaledFilter2) / length2
EDSMA2 = 0.0
EDSMA2 := alpha12 * src + (1 - alpha12) * nz(EDSMA2[1])
//JMA [Everget]
phaseRatio = phase < -100 ? 0.5 : phase > 100 ? 2.5 : phase / 100 + 1.5
beta = 0.45 * (length - 1) / (0.45 * (length - 1) + 2)
alpha = math.pow(beta, JMApower)
var JMA = 0.0
var e0 = 0.0
e0 := (1 - alpha) * src + alpha * nz(e0[1])
var e1 = 0.0
e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
var e2 = 0.0
e2 := (e0 + phaseRatio * e1 - nz(JMA[1])) * math.pow(1 - alpha, 2) + math.pow(alpha, 2) * nz(e2[1])
JMA := e2 + nz(JMA[1])
beta2 = 0.45 * (length2 - 1) / (0.45 * (length2 - 1) + 2)
alpha2 = math.pow(beta2, JMApower)
var JMA2 = 0.0
var e02 = 0.0
e02 := (1 - alpha2) * src + alpha2 * nz(e02[1])
var e12 = 0.0
e12 := (src - e02) * (1 - beta2) + beta2 * nz(e12[1])
var e22 = 0.0
e22 := (e02 + phaseRatio * e12 - nz(JMA2[1])) * math.pow(1 - alpha2, 2) + math.pow(alpha2, 2) * nz(e22[1])
JMA2 := e22 + nz(JMA2[1])
//KAMA [Everget]
var KAMA = 0.0
fastAlpha = 2.0 / (KamaAlpha + 1)
slowAlpha = 2.0 / 31
momentum = math.abs(ta.change(src, length))
volatility = math.sum(math.abs(ta.change(src)), length)
efficiencyRatio = volatility != 0 ? momentum / volatility : 0
smoothingConstant = math.pow((efficiencyRatio * (fastAlpha - slowAlpha)) + slowAlpha, 2)
KAMA := nz(KAMA[1], src) + smoothingConstant * (src - nz(KAMA[1], src))
var KAMA2 = 0.0
momentum2 = math.abs(ta.change(src, length2))
volatility2 = math.sum(math.abs(ta.change(src)), length2)
efficiencyRatio2 = volatility2 != 0 ? momentum2 / volatility2 : 0
smoothingConstant2 = math.pow((efficiencyRatio2 * (fastAlpha - slowAlpha)) + slowAlpha, 2)
KAMA2 := nz(KAMA2[1], src) + smoothingConstant2 * (src - nz(KAMA2[1], src))
//SMMA
var SMMA = 0.0
SMMA := na(SMMA[1]) ? ta.sma(src, length) : (SMMA[1] * (length - 1) + src) / length
var SMMA2 = 0.0
SMMA2 := na(SMMA2[1]) ? ta.sma(src, length2) : (SMMA2[1] * (length2 - 1) + src) / length2
//TEMA
t1 = ta.ema(src, length)
t2 = ta.ema(t1, length)
t3 = ta.ema(t2, length)
TEMA = 3 * (t1 - t2) + t3
t12 = ta.ema(src, length2)
t22 = ta.ema(t12, length2)
t32 = ta.ema(t22, length2)
TEMA2 = 3 * (t12 - t22) + t32
//TMA
TMA = ta.sma(ta.sma(src, math.ceil(length / 2)), math.floor(length / 2) + 1)
TMA2 = ta.sma(ta.sma(src, math.ceil(length2 / 2)), math.floor(length2 / 2) + 1)
//VAMA [Duyck]
mid=ta.ema(src,length)
dev=src-mid
vol_up=ta.highest(dev,VAMALookback)
vol_down=ta.lowest(dev,VAMALookback)
VAMA = mid+math.avg(vol_up,vol_down)
mid2=ta.ema(src,length2)
dev2=src-mid2
vol_up2=ta.highest(dev2,VAMALookback)
vol_down2=ta.lowest(dev2,VAMALookback)
VAMA2 = mid2+math.avg(vol_up2,vol_down2)
//VIDYA [KivancOzbilgic]
var VIDYA=0.0
VMAalpha=2/(length+1)
ud1=src>src[1] ? src-src[1] : 0
dd1=src<src[1] ? src[1]-src : 0
UD=math.sum(ud1,9)
DD=math.sum(dd1,9)
CMO=nz((UD-DD)/(UD+DD))
VIDYA := na(VIDYA[1]) ? ta.sma(src, length) : nz(VMAalpha*math.abs(CMO)*src)+(1-VMAalpha*math.abs(CMO))*nz(VIDYA[1])
var VIDYA2=0.0
VMAalpha2=2/(length2+1)
ud12=src>src[1] ? src-src[1] : 0
dd12=src<src[1] ? src[1]-src : 0
UD2=math.sum(ud12,9)
DD2=math.sum(dd12,9)
CMO2=nz((UD2-DD2)/(UD2+DD2))
VIDYA2 := na(VIDYA2[1]) ? ta.sma(src, length2) : nz(VMAalpha2*math.abs(CMO2)*src)+(1-VMAalpha2*math.abs(CMO2))*nz(VIDYA2[1])
//VMA [LazyBear]
sc = 1/length
pdm = math.max((src - src[1]), 0)
mdm = math.max((src[1] - src), 0)
var pdmS = 0.0
var mdmS = 0.0
pdmS := ((1 - sc)*nz(pdmS[1]) + sc*pdm)
mdmS := ((1 - sc)*nz(mdmS[1]) + sc*mdm)
s = pdmS + mdmS
pdi = pdmS/s
mdi = mdmS/s
var pdiS = 0.0
var mdiS = 0.0
pdiS := ((1 - sc)*nz(pdiS[1]) + sc*pdi)
mdiS := ((1 - sc)*nz(mdiS[1]) + sc*mdi)
d = math.abs(pdiS - mdiS)
s1 = pdiS + mdiS
var iS = 0.0
iS := ((1 - sc)*nz(iS[1]) + sc*d/s1)
hhv = ta.highest(iS, length)
llv = ta.lowest(iS, length)
d1 = hhv - llv
vi = (iS - llv)/d1
var VMA=0.0
VMA := na(VMA[1]) ? ta.sma(src, length) : sc*vi*src + (1 - sc*vi)*nz(VMA[1])
sc2 = 1/length2
pdm2 = math.max((src - src[1]), 0)
mdm2 = math.max((src[1] - src), 0)
var pdmS2 = 0.0
var mdmS2 = 0.0
pdmS2 := ((1 - sc2)*nz(pdmS2[1]) + sc2*pdm2)
mdmS2 := ((1 - sc2)*nz(mdmS2[1]) + sc2*mdm2)
s2 = pdmS2 + mdmS2
pdi2 = pdmS2/s2
mdi2 = mdmS2/s2
var pdiS2 = 0.0
var mdiS2 = 0.0
pdiS2 := ((1 - sc2)*nz(pdiS2[1]) + sc2*pdi2)
mdiS2 := ((1 - sc2)*nz(mdiS2[1]) + sc2*mdi2)
d2 = math.abs(pdiS2 - mdiS2)
s12 = pdiS2 + mdiS2
var iS2 = 0.0
iS2 := ((1 - sc2)*nz(iS2[1]) + sc2*d2/s12)
hhv2 = ta.highest(iS2, length)
llv2 = ta.lowest(iS2, length)
d12 = hhv2 - llv2
vi2 = (iS2 - llv2)/d12
var VMA2=0.0
VMA2 := na(VMA2[1]) ? ta.sma(src, length2) : sc2*vi2*src + (1 - sc2*vi2)*nz(VMA2[1])
//WWMA
var WWMA=0.0
WWMA := (1/length)*src + (1-(1/length))*nz(WWMA[1])
var WWMA2=0.0
WWMA2 := (1/length2)*src + (1-(1/length2))*nz(WWMA2[1])
//Zero Lag EMA [KivancOzbilgic]
EMA1a = ta.ema(src,length)
EMA2a = ta.ema(EMA1a,length)
Diff = EMA1a - EMA2a
ZLEMA = EMA1a + Diff
EMA12 = ta.ema(src,length2)
EMA22 = ta.ema(EMA12,length2)
Diff2 = EMA12 - EMA22
ZLEMA2 = EMA12 + Diff2
// Trend Mapping and Plotting //
FastTrend = TrendSelectorInput == "ALMA" ? ALMA : TrendSelectorInput == "DEMA" ? DEMA : TrendSelectorInput == "DSMA" ? EDSMA : TrendSelectorInput == "EMA" ? EMA : TrendSelectorInput == "HMA" ? HMA : TrendSelectorInput == "JMA" ? JMA : TrendSelectorInput == "KAMA" ? KAMA : TrendSelectorInput == "Linear Regression (LSMA)" ? LinReg : TrendSelectorInput == "RMA" ? RMA : TrendSelectorInput == "SMA" ? SMA : TrendSelectorInput == "SMMA" ? SMMA : TrendSelectorInput == "Price Source" ? src : TrendSelectorInput == "TEMA" ? TEMA : TrendSelectorInput == "TMA" ? TMA : TrendSelectorInput == "VAMA" ? VAMA : TrendSelectorInput == "VIDYA" ? VIDYA : TrendSelectorInput == "VMA" ? VMA : TrendSelectorInput == "VWMA" ? VWMA : TrendSelectorInput == "WMA" ? WMA : TrendSelectorInput == "WWMA" ? WWMA : TrendSelectorInput == "ZLEMA" ? ZLEMA : SMA
SlowTrend = TrendSelectorInput2 == "ALMA" ? ALMA2 : TrendSelectorInput2 == "DEMA" ? DEMA2 : TrendSelectorInput2 == "DSMA" ? EDSMA2 : TrendSelectorInput2 == "EMA" ? EMA2 : TrendSelectorInput2 == "HMA" ? HMA2 : TrendSelectorInput2 == "JMA" ? JMA2 : TrendSelectorInput2 == "KAMA" ? KAMA2 : TrendSelectorInput2 == "Linear Regression (LSMA)" ? LinReg2 : TrendSelectorInput2 == "RMA" ? RMA2 : TrendSelectorInput2 == "SMA" ? SMA2 : TrendSelectorInput2 == "SMMA" ? SMMA2 : TrendSelectorInput2 == "Price Source" ? src : TrendSelectorInput2 == "TEMA" ? TEMA2 : TrendSelectorInput2 == "TMA" ? TMA2 : TrendSelectorInput2 == "VAMA" ? VAMA2 : TrendSelectorInput2 == "VIDYA" ? VIDYA2 : TrendSelectorInput2 == "VMA" ? VMA2 : TrendSelectorInput2 == "VWMA" ? VWMA2 : TrendSelectorInput2 == "WMA" ? WMA2 : TrendSelectorInput2 == "WWMA" ? WWMA2 : TrendSelectorInput2 == "ZLEMA" ? ZLEMA2 : SMA2
plot(FastTrend, color=color.green, linewidth=LineWidth)
plot(SlowTrend, color=color.red, linewidth=LineWidth)
//Short & Long Options
Long = input.bool(true, "Model Long Trades", group="Core Settings")
Short = input.bool(false, "Model Short Trades", group="Core Settings")
// Entry & Exit Functions //
if (InDateRange and Long==true and FastTrend>SlowTrend)
strategy.entry("Long", strategy.long, alert_message="Long")
if (InDateRange and Long==true and FastTrend<SlowTrend)
strategy.close("Long", alert_message="Close Long")
if (InDateRange and Short==true and FastTrend<SlowTrend)
strategy.entry("Short", strategy.short, alert_message="Short")
if (InDateRange and Short==true and FastTrend>SlowTrend)
strategy.close("Short", alert_message="Cover Short")
if (not InDateRange)
strategy.close_all(alert_message="End of Date Range")