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Rasio energi arah berakselerasi volume RedK

Penulis:ChaoZhang, Tanggal: 2022-05-18 15:21:57
Tag:EMASMAWMA

Volume-Accelerated Directional Energy Ratio (VADER) menggunakan pergerakan harga (pergeseran) dan volume yang terkait (upaya) untuk memperkirakan energi positif (pembelian) dan negatif (penjualan) di balik layar, memungkinkan pedagang untuk membaca tindakan pasar dengan lebih rinci dan menyesuaikan keputusan perdagangan mereka sesuai.

Bagaimana VADER bekerja?

Saya selalu menyukai konsep analisis teknis yang sederhana, dan yang mengintegrasikan aksi harga dan volume bersama-sama - Konsep di balik VADER benar-benar sederhana.

Mari kita berjalan melalui itu karena kita menghindari menjadi terlalu teknis: Gerakan harga yang besar yang terkait dengan volume besar berarti pembeli (jika gerakannya naik) atau penjual (ketika gerakannya turun) serius dan mengontrol tindakan Di sisi lain, ketika pergerakan harga kecil tetapi dengan volume besar, itu berarti ada pertarungan, atau lebih dari keseimbangan energi, antara membeli dan menjual. Juga ketika pergerakan harga besar dikaitkan dengan volume yang relatif terbatas, ada kurangnya energi dari pembeli atau penjual - dan pergerakan seperti ini biasanya berumur pendek.

Analogi dengan VADER, adalah bahwa kita melihat pergerakan harga (perubahan dekat antara 2 bar) sebagai pergeseran (atau hasil tindakan) dan volume terkait sebagai upaya di balik tindakan ini Menggabungkan dua nilai ini bersama-sama, pergeseran dan upaya, memberi kita representasi atau proxy dari energi yang mendasari (dalam arah tertentu). ketika kedua nilai (pergeseran dan usaha) tinggi, maka energi yang dihasilkan tinggi - dan jika salah satu dari nilai-nilai ini rendah, energi yang dihasilkan rendah.

kita kemudian mengambil rata-rata energi relatif dalam setiap arah (positif = membeli dan negatif = menjual) dan menghitung energi bersih.

Perhatikan bahwa kita mendekati analogi di sini dari perspektif perdagangan dan bukan dari perspektif fisika :) kita bisa dimaafkan jika perhitungan energi dalam fisika berbeda...

backtest

/*backtest
start: 2022-04-17 00:00:00
end: 2022-05-16 23:59:00
period: 1h
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/
// © RedKTrader

//@version=5
indicator('RedK Volume-Accelerated Directional Energy Ratio', 'RedK VADER v3.0', precision=0, timeframe='', timeframe_gaps=false)

// ***********************************************************************************************************
// Choose volume calculation method.. Relative vs full. 
// Relative magnifies effect of recent volume spikes (up or down) 
f_RelVol(_value, _length) =>
    min_value = ta.lowest(_value, _length)
    max_value = ta.highest(_value, _length)
    ta.stoch(_value, max_value, min_value, _length) / 100
// ***********************************************************************************************************

// ***********************************************************************************************************
// Choose MA type for the base DER calculation .. 
// WMA is my preference and is default .. SMA is really slow and lags a lot - but added for comparison
f_derma(_data, _len, MAOption) =>
    value = 
      MAOption == 'SMA' ? ta.sma(_data, _len) :
      MAOption == 'EMA' ? ta.ema(_data, _len) :
      ta.wma(_data, _len)
// ***********************************************************************************************************


// ===========================================================================================================
//      Inputs
// ===========================================================================================================

price   = close
length  = input.int(9, minval=1)
DER_avg = input.int(5, 'Average', minval=1, inline='DER', group='Directional Energy Ratio')
MA_Type = input.string('WMA', 'DER MA type', options=['WMA', 'EMA', 'SMA'], inline='DER', group='Directional Energy Ratio') 
smooth  = input.int(3, 'Smooth', minval=1,  inline='DER_1', group='Directional Energy Ratio')

show_senti = input.bool(false, 'Sentiment',  inline='DER_s', group='Directional Energy Ratio')
senti   = input.int(20, 'Length', minval=1, inline='DER_s', group='Directional Energy Ratio')


v_calc  = input.string('Relative', 'Calculation', options=['Relative', 'Full', 'None'], group='Volume Parameters')
vlookbk = input.int(10, 'Lookback (for Relative)', minval=1,                            group='Volume Parameters')

// ===========================================================================================================
//          Calculations
// ===========================================================================================================

// Volume Calculation Option  -- will revert to no volume acceleration for instruments with no volume data
vola    = 
  v_calc == 'None' or na(volume) ? 1 : 
  v_calc == 'Relative' ? f_RelVol(volume, vlookbk) : 
  volume

R       = (ta.highest(2) - ta.lowest(2)) / 2                    // R is the 2-bar average bar range - this method accomodates bar gaps
sr      = ta.change(price) / R                                  // calc ratio of change to R
rsr     = math.max(math.min(sr, 1), -1)                         // ensure ratio is restricted to +1/-1 in case of big moves
c       = fixnan(rsr * vola)                                    // add volume accel -- fixnan adresses cases where no price change between bars

c_plus  = math.max(c, 0)                                        // calc directional vol-accel energy
c_minus = -math.min(c, 0)

// plot(c_plus)
// plot(c_minus)


avg_vola    = f_derma(vola, length, MA_Type)
dem         = f_derma(c_plus, length, MA_Type)  / avg_vola          // directional energy ratio
sup         = f_derma(c_minus, length, MA_Type) / avg_vola

adp         = 100 * ta.wma(dem, DER_avg)                            // average DER
asp         = 100 * ta.wma(sup, DER_avg)
anp         = adp - asp                                             // net DER..
anp_s       = ta.wma(anp, smooth)

// Calculate Sentiment - a VADER for a longer period and can act as a baseline (compared to a static 0 value)
// note we're not re-calculating vol_avg, demand or supply energy for sentiment. this would've been a different approach
s_adp       = 100 * ta.wma(dem, senti)                            // average DER for sentiment length
s_asp       = 100 * ta.wma(sup, senti)
V_senti     = ta.wma(s_adp - s_asp, smooth)


// ===========================================================================================================
//      Colors & plots
// ===========================================================================================================
c_adp   = color.new(color.aqua, 30)
c_asp   = color.new(color.orange, 30)
c_fd    = color.new(color.green, 80)
c_fs    = color.new(color.red, 80)
c_zero  = color.new(#ffee00, 70)

c_up    = color.new(#359bfc, 0)
c_dn    = color.new(#f57f17, 0)

c_sup   = color.new(#33ff00, 80)
c_sdn   = color.new(#ff1111, 80)
up      = anp_s >= 0
s_up    = V_senti >=0 

hline(0, 'Zero Line', c_zero, hline.style_solid)

// =============================================================================
// v3.0 --- Sentiment will be represented as a 4-color histogram
c_grow_above = #1b5e2080 
c_grow_below = #dc4c4a80
c_fall_above = #66bb6a80  
c_fall_below = #ef8e9880     

sflag_up = math.abs(V_senti) >= math.abs(V_senti[1])

plot(show_senti ? V_senti : na, "Sentiment", style=plot.style_columns, 
 color = s_up ? (sflag_up ? c_grow_above : c_fall_above) : 
 sflag_up ? c_grow_below : c_fall_below) 
// =============================================================================

s = plot(asp, 'Supply Energy', c_asp, 2, style=plot.style_circles,  join=true)
d = plot(adp, 'Demand Energy', c_adp, 2, style=plot.style_cross,    join=true)
fill(d, s, adp > asp ? c_fd : c_fs)

plot(anp, 'VADER', color.new(color.gray, 30), display=display.none)
plot(anp_s, 'Signal', up ? c_up : c_dn, 3)

// ===========================================================================================================
//      v2.0 adding alerts 
// ===========================================================================================================

Alert_up    = ta.crossover(anp_s,0)
Alert_dn    = ta.crossunder(anp_s,0)
Alert_swing = ta.cross(anp_s,0)

// "." in alert title for the alerts to show in the right order up/down/swing 
alertcondition(Alert_up,    ".   VADER Crossing 0 Up",      "VADER Up - Buying Energy Detected!")
alertcondition(Alert_dn,    "..  VADER Crossing 0 Down",    "VADER Down - Selling Energy Detected!")
alertcondition(Alert_swing, "... VADER Crossing 0",         "VADER Swing - Possible Reversal")

// ===========================================================================================================
//      v3.0 more alerts for VADER crossing Sentiment
// ===========================================================================================================

v_speedup = ta.crossover(anp_s, V_senti)
v_slowdn  = ta.crossunder(anp_s, V_senti)
alertcondition(v_speedup,   "*  VADER Speeding Up",      "VADER Speeding Up!")
alertcondition(v_slowdn,    "** VADER Slowing Down",    "VADER Slowing Down!")




if Alert_up
    strategy.entry("Enter Long", strategy.long)
else if Alert_dn
    strategy.entry("Enter Short", strategy.short)

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