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2. एस एंड पी 500 हाइब्रिड सीजनल ट्रेडिंग रणनीति

एस एंड पी 500 हाइब्रिड सीजनल ट्रेडिंग रणनीति

लेखक:चाओझांग, दिनांकः 2024-01-22 11:59:58
टैगः

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---

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//  TASC Issue: April 2022 - Vol. 40, Issue 4
//     Article: Sell In May? Stock Market Seasonality                    
//  Article By: Markos Katsanos
//    Language: TradingView's Pine Script v5
// Provided By: PineCoders, for tradingview.com

//@version=5
strategy(title             = "TASC 2022.04 S&P500 Hybrid Seasonal System", 
         shorttitle        = "HSS v2.0",
         overlay           = true, 
         default_qty_type  = strategy.percent_of_equity, 
         default_qty_value = 10, 
         initial_capital   = 100000,
         currency          = currency.USD,
         commission_type   = strategy.commission.percent,
         commission_value  = 0.01
         )

// Helper Functions:

// @function Returns the ratio to max/min of a sample period
// @param src float, data source.
// @param length int, period of the sample.
// @returns [float, float] tuple.
volatility (float src, int length) =>
    [(src / ta.highest(src, length)[1] - 1.0) * 100.0,
     (src / ta.lowest (src, length)[1] - 1.0) * 100.0]

// @function Volume Flow Indicator.
// @param Period int, period of the data sample.
// @param VCoef float, Volume Volatility Coefficient.
// @param Coef float, Cutoff Coefficient.
// @returns float.
// ref: https://mkatsanos.com/volume-flow-vfi-indicator/
vfi (int Period = 130, float VCoef = 2.5, float Coef = 0.2) =>
    lastHLC3 = nz(hlc3[1], hlc3)
	MF     = hlc3  - lastHLC3
    Vinter = ta.stdev(math.log(hlc3) - math.log(lastHLC3), 30)
    Vave   = ta.sma(volume, Period)[1]
    Cutoff = Coef * close * Vinter
    VC     = math.min(volume, Vave * VCoef)
    VCP    = MF >  Cutoff ?  VC :
		     MF < -Cutoff ? -VC : 0.0
    VFI1 = nz(math.sum(VCP, Period) / Vave)
    VFI = ta.ema(VFI1, 3)


// inputs:
// optional strategy obserservation window parameters:
string ig_ow      = 'Observation Window:'
bool i_Sdate      = input(  title   = 'Start date:', 
                                 defval  = timestamp('2021-01-01'), 
                                 inline  = 'Sdate', 
                                 group   = ig_ow
                                 ) < time //
bool i_useSdate   = input.bool(  title   = '', 
                                 defval  = false, 
                                 group   = ig_ow, 
                                 inline  = 'Sdate', 
                                 tooltip = 'Optional start date to clamp strategy observation window.'
                                 ) //
bool i_Edate      = input(  title   = 'End date:', 
                                 defval  = timestamp('2022-01-01'), 
                                 inline  = 'Edate', 
                                 group   = ig_ow
                                 ) > time //
bool i_useEdate   = input.bool(  title   = '', 
                                 defval  = false, 
                                 group   = ig_ow, 
                                 inline  = 'Edate', 
                                 tooltip = 'Optional end date to clamp strategy observation window.'
                                 ) //
//
string ig_ro      = 'Lookback Options:'
int  i_lback      = input.int(   title   = 'Lookback Shift:', 
                                 defval  = 0, minval = 0,
                                 group   = ig_ro,
                                 tooltip = 'Optional, inspect previous signal values.'
                                 ) //
//
string ig_so      = 'Signal Options:'
bool i_onlyL      = input.bool(      title   = 'Long Only:', 
                                     defval  = true,
                                     group   = ig_so, 
                                     tooltip = 'If switched off, short entries are initiated by sell signals.'
                                     ) //
int  i_sMonth     = input.int(       title   = 'Sell Month:', 
                                     defval  = 8, minval = 1, maxval = 12, step = 1,
                                     group   = ig_so, 
                                     tooltip = 'The worst performing month, originally clamped between months 5 and 8.'
                                     ) //
int  i_maxVI      = input.int(       title   = 'Max VIX up:', 
                                     defval  = 60, minval = 50, maxval = 60, step = 5,
                                     group   = ig_so, 
                                     tooltip = 'Volatility maximum threshold.'
                                     ) //
int  i_critVFI    = input.int(       title   = 'Critical VFI Sell:', 
                                     defval  = -20, minval = -20, maxval = -15, step = 5, 
                                     group   = ig_so, 
                                     tooltip = 'Critical money float (VFI) threshold for sell signal.'
                                     ) //
float i_K         = input.float(     title   = 'ATR/VIX Ratio:', 
                                     defval  = 1.5, minval = 1.3, maxval = 1.7, step = 0.2, 
                                     group   = ig_so, 
                                     tooltip = 'ATR to VIX ratio for sell signal.'
                                     ) //
// 
string i_VIticker = input(    title   = 'Volatility Index:',
                                     defval  = 'VIX', 
                                     group   = ig_so,
                                     tooltip = 'Volatility Index Ticker.'
                                     ) //
string i_VItf     = input.timeframe( title   = '',
                                     defval  = 'D', 
                                     group   = ig_so,
                                     tooltip = 'Volatility Index Timeframe.'
                                     ) //
int i_VIiperiod   = input.int(       title   = 'Implied Volatility period:', 
                                     defval  = 25, 
                                     group   = ig_so
                                     ) //
int i_VIhperiod   = input.int(       title   = 'Historical Volatility period:', 
                                     defval  = 15, 
                                     group   = ig_so
                                     ) //
//
int i_VFIperiod   = input.int(   title   = 'VFI period:', 
                                 defval  = 130, 
                                 group   = ig_so, inline = 'VFI1'
                                 ) //
int i_VFIMperiod  = input.int(   title   = 'MA:', 
                                 defval  = 10, 
                                 group   = ig_so, inline = 'VFI1',
                                 tooltip = 'VFI and Moving Average sampling period.'
                                 ) //
float i_VFIcoef   = input.float( title   = 'VFI Coef Cuttoff:', 
                                 defval  = 0.2, 
                                 group   = ig_so, inline = 'VFI2'
                                 ) //
float i_VFIvcoef  = input.float( title   = 'Volat.:',
                                 defval  = 2.5, 
                                 group   = ig_so, inline = 'VFI2',
                                 tooltip = 'VFI Cutoff and Volatility coefficient.'
                                 ) //
int i_ATRperiod   = input.int(   title   = 'ATR length:',
                                 defval  = 15, 
                                 group = ig_so, inline = 'ATR',
                                 tooltip = 'ATR length.'
                                 ) // 
//
string ig_to = 'Table Options:'
bool i_showT =      input.bool(  title   = 'Show Table:',
                                 defval  = false, 
                                 group   = ig_to, 
                                 tooltip = 'Optional toggle.'
                                 ) //
string i_Tpos =     input.string(title   = 'Position:',
                                 defval  = position.middle_right, 
                                 options = [    position.top_left,     position.top_center,    position.top_right, 
                                             position.middle_left,  position.middle_center, position.middle_right,
                                             position.bottom_left,  position.bottom_center, position.bottom_right   ],
                                 group   = ig_to) //
int i_Ttransp  =      input.int( title   = 'Transparency:',
                                 defval  = 0, minval = 1, maxval = 99, 
                                 group   = ig_to
                                 ) //
//
color i_Tcframe =   input.color( title   = 'Table Colors:', 
                                 defval  = #000000, 
                                 group   = ig_to, inline = 'table color'
                                 ) //
color i_Tcrowe =    input.color( title   = '', 
                                 defval  = #d6dae3, 
                                 group   = ig_to, inline = 'table color'
                                 ) //
color i_Tcrowo =    input.color( title   = '', 
                                 defval  = #cccccc, 
                                 group   = ig_to, inline = 'table color', 
                                 tooltip = 'Table background colors, in order: frame, even row, odd row.'
                                 ) //
string i_Ttsize =   input.string(title   = 'Table Text:', 
                                 defval  = size.small,
                                 options = [size.auto, size.huge, size.large, size.normal, size.small, size.tiny],
                                 group   = ig_to, inline = 'table text'
                                 ) //
color i_Tcdeft =    input.color( title   = 'Text Colors:', 
                                 defval  = #000000, 
                                 group   = ig_to, inline = 'table text'
                                 ) //
color i_Tcsigt =    input.color( title   = '', 
                                 defval  = color.red, 
                                 group   = ig_to, inline = 'table text'
                                 ) //
color i_Tctitt =    input.color( title   = '', 
                                 defval  = color.navy, 
                                 group   = ig_to, inline = 'table text', 
                                 tooltip = 'Table text size and colors, in order: default, short signal, title.'
                                 ) //

// Comparison Index
float VIX      = request.security(i_VIticker, i_VItf, close)
[VIdn, VIup]   = volatility(VIX, i_VIiperiod)                   // Implied
[ATRdn, ATRup] = volatility(ta.atr(i_VIhperiod), i_VIiperiod)   // Historical

float VFI   = vfi(i_VFIperiod, i_VFIvcoef, i_VFIcoef)
float VFI10 = ta.sma(VFI, i_VFIMperiod)


//
bool VFIatCrit = VFI > i_critVFI
bool lowVolat  = (VIup < i_maxVI) or (ATRup < (i_K * i_maxVI))
bool VolatC    = VFIatCrit ? lowVolat : false
bool Long      = ((month >= 10) or (month < i_sMonth)) and VolatC[1]
bool Sseasonal = month == i_sMonth                                   // SEASONAL EXIT/SHORT
bool Svol      = VIup > (2.0 * i_maxVI)                              // VOLATILITY EXIT/SHORT
bool Scrit     = ta.cross(i_critVFI, VFI) and (VFI10 < VFI10[1])     // VFI EXIT/SHORT
bool Short     = Sseasonal or Svol[1] or Scrit[1]

bool withinObsWindow = true
//
if withinObsWindow and strategy.equity > 0
    _L = strategy.long
    _S = strategy.short
    strategy.entry('L'               , direction = _L,      when = Long      )
    if i_onlyL
        strategy.close('L', comment = 'EXIT SEASONAL'  ,    when = Sseasonal )
        strategy.close('L', comment = 'EXIT VOLATILITY',    when = Svol[1]   )
        strategy.close('L', comment = 'EXIT MF'        ,    when = Scrit[1]  )
    else
        strategy.entry('S Seasonal'  , direction = _S,      when = Sseasonal )
        strategy.entry('S Volatility', direction = _S,      when = Svol[1]   )
        strategy.entry('S MF Crit.'  , direction = _S,      when = Scrit[1]  )
else
    strategy.close_all()

string SIGNAL = switch
    (Long)                      => 'Long Seasonal'
    (Sseasonal and i_onlyL)     => 'Exit Seasonal'
    (Svol[1]   and i_onlyL)     => 'Exit Volatility'
    (Scrit[1]  and i_onlyL)     => 'Exit Money Flow'
    (Sseasonal and not i_onlyL) => 'Short Seasonal'
    (Svol[1]   and not i_onlyL) => 'Short Volatility'
    (Scrit[1]  and not i_onlyL) => 'Short Money Flow Bearish'
    =>                             'none'

string date = str.format(
  '{0,number,0000}-{1,number,00}-{2,number,00}', 
  year, month, dayofmonth
  )

var table dTable = table.new(position    = i_Tpos, 
                             columns     = 2, 
                             rows        = 17, 
                             frame_color = color.new(#000000, i_Ttransp), 
                             frame_width = 4
                             ) //


// @function Helper to populate the table rows.
tRow(tableId, idx, left, right, tcol=0) =>
    color _bg = color.new(idx % 2 ? i_Tcrowo : i_Tcrowe, i_Ttransp)
    color _tx = switch (tcol)
        (1)  => color.new(i_Tcsigt, i_Ttransp)
        (2)  => color.new(i_Tctitt, i_Ttransp)
        =>      color.new(i_Tcdeft, i_Ttransp)
    // table.cell(  table_id=tableId, 
    //              column=0, row=idx, 
    //              text=left, text_color=_tx, text_halign=text.align_right, text_size=i_Ttsize, 
    //              bgcolor=_bg) //
    // table.cell(  table_id=tableId, 
    //              column=1, row=idx, 
    //              text=str.tostring(right), text_color=_tx, text_halign=text.align_left, text_size=i_Ttsize, 
    //              bgcolor=_bg) //


if i_showT
    float _atr10 = ta.atr(10)[i_lback]
    string _nf = '0.00'
    string _aru = '🔼 ', string _ard = '🔽 '
    //      id | idx |                   left label  |                      right label  |               conditional color |
    tRow(dTable,   00, 'S&P500 Hybrid Seasonal '     , ''                                , 2                               )
    tRow(dTable,   01, 'Created By: Markos Katsanos' , ''                                , 2                               )
    tRow(dTable,   02, 'Date:'                       , date[i_lback]                                                       )
    tRow(dTable,   03, 'Signal:'                     , SIGNAL[i_lback]                                                     )
    tRow(dTable,   04, 'Price:'                      , open[i_lback]                                                       )
    tRow(dTable,   05, 'VIX:'                        , str.tostring(  VIX[i_lback], _nf)                                   )
    tRow(dTable,   06, 'VFI:'                        , str.tostring(  VFI[i_lback], _nf) , VFIatCrit ? 1 : 0               )
    tRow(dTable,   07, 'ATR:'                        , str.tostring(        _atr10, _nf)                                   )
    tRow(dTable,   08, 'VIup%:'                      , str.tostring( VIup[i_lback], _nf) , VIup > i_maxVI ? 1 : 0          )
    tRow(dTable,   09, 'ATRup%:'                     , str.tostring(ATRup[i_lback], _nf) , ATRup > i_K * i_maxVI ? 1 : 0   )
    tRow(dTable,   10, 'VIdn%:'                      , str.tostring( VIdn[i_lback], _nf)                                   )
    tRow(dTable,   11, 'ATRdn%:'                     , str.tostring(ATRdn[i_lback], _nf)                                   )
    tRow(dTable,   12, _aru + 'Long Seasonal:'       , Long[i_lback]                                                       )
    tmp = 12
    if not i_onlyL
        tmp := 13
        tRow(dTable, 13, _ard + 'Short:'             , Short[i_lback]                    , Short[i_lback] ? 1 : 0          )
    tRow(dTable,  tmp+1, _ard + 'Seasonal:'          , Sseasonal[i_lback]                , Sseasonal[i_lback] ? 1 : 0      )
    tRow(dTable,  tmp+2, _ard + 'Volatility:'        , Svol[1+i_lback]                   , Svol[1 + i_lback] ? 1 : 0       )
    tRow(dTable,  tmp+3, _ard + 'Money Flow:'        , Scrit[i_lback]                    , Scrit[i_lback] ? 1 : 0          )

---

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