Strategi ini mengimplementasikan perdagangan tren berdasarkan Indeks Gerakan Arah (DMI). DMI terdiri dari tiga garis: ADX, +DI dan -DI. ADX menunjukkan kekuatan tren, nilai di atas ambang batas menunjukkan tren; +DI dan -DI menunjukkan kekuatan tren naik dan turun.
Menghitung garis ADX, +DI dan -DI. Tetapkan ambang batas yang wajar untuk ADX untuk menentukan apakah ada tren, seperti 25. Ketika ADX berada di atas tingkat ini, jika +DI lebih besar dari -DI, tren naik diidentifikasi, pergi panjang. Jika -DI lebih besar dari +DI, tren menurun diidentifikasi, pergi pendek. Tahan posisi sampai sinyal terbalik muncul.
Mengurangi dengan memperpendek periode penyimpanan atau menambahkan indikator lain untuk menentukan pembalikan tren.
Strategi DMI secara akurat menentukan arah tren dengan penarikan yang terkontrol. Peningkatan lebih lanjut mungkin melalui optimasi parameter.
/*backtest
start: 2023-09-10 00:00:00
end: 2023-09-17 00:00:00
period: 30m
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/
// ©wojak_bogdanoff
// @version=5
// Directional Movement Index (DMI)
strategy(title="Directional Movement Index", shorttitle="DMI︎", overlay=true, pyramiding=1, calc_on_every_tick=false, calc_on_order_fills=false, initial_capital=100.0, default_qty_type=strategy.percent_of_equity, default_qty_value=100.0, commission_type=strategy.commission.percent, commission_value=0.1, slippage=1)
trade_type = 'Long' // input.string(defval = "Long", title="Position Type", options=["Both", "Long", "Short"], group='Trading Settings')
strategy_type = 'DMI' // input.string(defval="ECS︎", title="Strategy Type", options='[ECS︎'], group='Trading Settings')
start_date = input(title='Testing Start Date', defval=timestamp("2017-01-01T00:00:00"), group='Trading Settings')
finish_date = input(title='Testing End Date', defval=timestamp("2025-01-01T00:00:00"), group='Trading Settings')
_testperiod = true
_check = _testperiod
// --- (Start) Directional Movement Index (DMI) ----------------------------- //
dmi_adxSmoothing = input.int(14, title="ADX Smoothing", minval=1, maxval=50)
dmi_len = input.int(7, minval=1, title="DI Length")
dmi_up = ta.change(high)
dmi_down = -ta.change(low)
dmi_plusDM = na(dmi_up) ? na : (dmi_up > dmi_down and dmi_up > 0 ? dmi_up : 0)
dmi_minusDM = na(dmi_down) ? na : (dmi_down > dmi_up and dmi_down > 0 ? dmi_down : 0)
dmi_rma = ta.rma(ta.tr, dmi_len)
dmi_plus = fixnan(100 * ta.rma(dmi_plusDM, dmi_len) / dmi_rma)
dmi_minus = fixnan(100 * ta.rma(dmi_minusDM, dmi_len) / dmi_rma)
dmi_sum = dmi_plus + dmi_minus
dmi_adx = 100 * ta.rma(math.abs(dmi_plus - dmi_minus) / (dmi_sum == 0 ? 1 : dmi_sum), dmi_adxSmoothing)
plot(dmi_adx, color=#F50057, title="ADX")
plot(dmi_plus, color=#2962FF, title="+DI")
plot(dmi_minus, color=#FF6D00, title="-DI")
dmi_consld_limit=input.int(defval=25, title='Consolidation ADX')
dmi_consld=dmi_adx<=dmi_consld_limit
dmi_strong_up=dmi_adx>dmi_consld_limit and dmi_plus>dmi_minus
dmi_strong_down=dmi_adx>dmi_consld_limit and dmi_plus<dmi_minus
barcolor(dmi_consld ? color.new(color.black,0) : na, title='Consolidation region', display=display.none)
barcolor(dmi_strong_up ? color.new(color.green,0) : na, title='Uptrend Region')
barcolor(dmi_strong_down ? color.new(color.red,0) : na, title='Downtrend Region')
dmi_long_e = (not dmi_strong_up[1]) and dmi_strong_up[0]
dmi_long_x = dmi_strong_up[1] and (not dmi_strong_up[0])
dmi_short_e = dmi_strong_up[1] and (not dmi_strong_up[0])
dmi_short_x = (not dmi_strong_up[1]) and dmi_strong_up[0]
// --- (End) Directional Movement Index (DMI) ------------------------------- //
// --- Trade Conditions ----------------------------------------------------- //
var is_long_open=false, var is_short_open=false
long_e = strategy_type == "DMI" ? dmi_long_e : na
long_x = strategy_type == "DMI" ? dmi_long_x : na
short_e = strategy_type == "DMI" ? dmi_short_e : na
short_x = strategy_type == "DMI" ? dmi_short_x : na
long_e_color = input.color(defval=color.new(color.teal,0), title='Long Entry', group='Signals Style - Setting')
long_x_color = input.color(defval=color.new(color.purple,0), title='Long Exit', group='Signals Style - Setting')
is_trade_bar = (long_e and not is_long_open) or (long_x and is_long_open)
barcolor(color=is_trade_bar ? na : (close>open ? color.new(color.green,90) : color.new(color.red,90)), title='Trade Bars')
barcolor(color=(trade_type == 'Long' or trade_type == 'Both') ? long_e and not is_long_open ? long_e_color : na : na, title="Long - Entry Bar", editable=false)
barcolor(color=(trade_type == 'Long' or trade_type == 'Both') ? long_x and is_long_open ? long_x_color : na : na, title="Long - Exit Bar", editable=false)
plotshape((trade_type == 'Long' or trade_type == 'Both') ? long_e and not is_long_open : na, text="B", textcolor=color.white, style=shape.labelup, color=long_e_color, size=size.tiny, location=location.belowbar, title="Long - Entry Labels")
plotshape((trade_type == 'Long' or trade_type == 'Both') ? long_x and is_long_open : na, text="S", textcolor=color.white, style=shape.labeldown, color=long_x_color, size=size.tiny, location=location.abovebar, title="Long - Exit Labels")
plotshape((trade_type == 'Short' or trade_type == 'Both') ? short_e and not is_short_open : na, text="E", textcolor=color.black, style=shape.labeldown, color=color.new(color.yellow,30), size=size.tiny, location=location.abovebar, title="Short - Entry Labels", editable=false)
plotshape((trade_type == 'Short' or trade_type == 'Both') ? short_x and is_short_open : na, text="X", textcolor=color.black, style=shape.labeldown, color=color.new(color.orange,30), size=size.tiny, location=location.abovebar, title="Short - Exit Labels", editable=false)
if long_e and not is_long_open
is_long_open:=true
if long_x and is_long_open
is_long_open:=false
if short_e and not is_short_open
is_short_open:=true
if short_x and is_short_open
is_short_open:=false
// --- Trade Executions ----------------------------------------------------- //
if trade_type == "Both" and _check
strategy.entry("Long", strategy.long, comment="Long", when=long_e and _testperiod)
strategy.close("Long", comment="Exit Long", when=long_x and _testperiod)
strategy.entry("Short", strategy.short, comment="Short", when=short_e and _testperiod)
strategy.close("Short", comment="Exit Short", when=short_x and _testperiod)
if trade_type == "Long" and _check
strategy.entry("Long", strategy.long, comment=" ", when=long_e and _testperiod)
strategy.close("Long", comment=" ", when=long_x and _testperiod)
if trade_type == "Short" and _check
strategy.entry("Short", strategy.short, comment="Short", when=short_e and _testperiod)
strategy.close("Short", comment="Exit Short", when=short_x and _testperiod)