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Triple Supertrend dengan EMA dan ADX

Penulis:ChaoZhang, Tanggal: 2022-05-08 20:48:42
Tag:EMAADX

Menerbitkan strategi yang mencakup adx dan ema filter juga

Entry: ketiga Supertrend berubah positif. Jika filter dari ADX dan EMA diterapkan, juga memeriksa apakah ADX di atas level yang dipilih dan dekat di atas EMA Exit: ketika supertrend pertama berubah menjadi negatif

berlawanan untuk entri pendek

Filter diberikan untuk mengambil atau menghindari masuk kembali di sisi yang sama. Misalnya, Setelah keluar panjang, jika kondisi masuk terpenuhi lagi untuk waktu yang lama sebelum single pendek dipicu maka masuk kembali jika dipilih.

backtest

img

/*backtest
start: 2022-02-07 00:00:00
end: 2022-05-07 00:00:00
period: 2h
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/
// ©kunjandetroja


//@version=5
strategy('Triple Supertrend with EMA and ADX', overlay=true)

m1 = input.float(1,"ATR Multi",minval = 1,maxval= 6,step=0.5,group='ST 1')
m2 = input.float(2,"ATR Multi",minval = 1,maxval= 6,step=0.5,group='ST 2')
m3 = input.float(3,"ATR Multi",minval = 1,maxval= 6,step=0.5,group='ST 3')
p1 = input.int(10,"ATR Multi",minval = 5,maxval= 25,step=1,group='ST 1')
p2 = input.int(15,"ATR Multi",minval = 5,maxval= 25,step=1,group='ST 2')
p3 = input.int(20,"ATR Multi",minval = 5,maxval= 25,step=1,group='ST 3')
len_EMA = input.int(200,"EMA Len",minval = 5,maxval= 250,step=1)
len_ADX = input.int(14,"ADX Len",minval = 1,maxval= 25,step=1)
len_Di = input.int(14,"Di Len",minval = 1,maxval= 25,step=1)
adx_above = input.float(25,"adx filter",minval = 1,maxval= 50,step=0.5)
var bool long_position = false
adx_filter = input.bool(false, "Add Adx & EMA filter")
renetry = input.bool(true, "Allow Reentry")

f_getColor_Resistance(_dir, _color) =>
    _dir == 1 and _dir == _dir[1] ? _color : na
f_getColor_Support(_dir, _color) =>
    _dir == -1 and _dir == _dir[1] ? _color : na

[superTrend1, dir1] = ta.supertrend(m1, p1)
[superTrend2, dir2] = ta.supertrend(m2, p2)
[superTrend3, dir3] = ta.supertrend(m3, p3)
EMA = ta.ema(close, len_EMA)
[diplus,diminus,adx] = ta.dmi(len_Di,len_ADX)

// ADX Filter
adxup = adx > adx_above and close > EMA
adxdown = adx > adx_above and close < EMA

sum_dir = dir1 + dir2 + dir3

dir_long = if(adx_filter == false)
    sum_dir == -3
else
    sum_dir == -3 and adxup
dir_short = if(adx_filter == false)
    sum_dir == 3
else
    sum_dir == 3 and adxdown
Exit_long = dir1 == 1 and dir1 != dir1[1]
Exit_short = dir1 == -1 and dir1 != dir1[1]

// BuySignal = dir_long and dir_long != dir_long[1]
// SellSignal = dir_short and dir_short != dir_short[1]
// if BuySignal
//     label.new(bar_index, low, 'Long', style=label.style_label_up)
// if SellSignal
//     label.new(bar_index, high, 'Short', style=label.style_label_down)

longenter = if(renetry == false)
    dir_long and long_position == false
else
    dir_long
shortenter = if(renetry == false)
    dir_short and long_position == true
else
    dir_short
if longenter
    long_position := true
if shortenter
    long_position := false

strategy.entry('BUY', strategy.long, when=longenter)
strategy.entry('SELL', strategy.short, when=shortenter)   
strategy.close('BUY', Exit_long)
strategy.close('SELL', Exit_short)

//buy1 = ta.barssince(dir_long)
//sell1 = ta.barssince(dir_short)

//colR1 = f_getColor_Resistance(dir1, color.red)
//colS1 = f_getColor_Support(dir1, color.green)

//colR2 = f_getColor_Resistance(dir2, color.orange)
//colS2 = f_getColor_Support(dir2, color.yellow)

//colR3 = f_getColor_Resistance(dir3, color.blue)
//colS3 = f_getColor_Support(dir3, color.maroon)

//plot(superTrend1, 'R1', colR1, linewidth=2)
//plot(superTrend1, 'S1', colS1, linewidth=2)

//plot(superTrend2, 'R1', colR2, linewidth=2)
//plot(superTrend2, 'S1', colS2, linewidth=2)

//plot(superTrend3, 'R1', colR3, linewidth=2)
//plot(superTrend3, 'S1', colS3, linewidth=2)

// // Intraday only
// var int new_day = na
// var int new_month = na
// var int new_year = na
// var int close_trades_after_time_of_day = na

// if dayofmonth != dayofmonth[1]
//     new_day := dayofmonth
// if month != month[1]
//     new_month := month
// if year != year[1]
//     new_year := year
// close_trades_after_time_of_day := timestamp(new_year,new_month,new_day,15,15)

// strategy.close_all(time > close_trades_after_time_of_day)
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