1. Persegi
2. Range Breakthrough Dual Moving Average Filtering Strategy

Range Breakthrough Dual Moving Average Filtering Strategy

Penulis:ChaoZhang, Tanggal: 2023-11-27 17:03:08
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/*backtest
start: 2022-11-20 00:00:00
end: 2023-11-26 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy(title="Range Filter Buy and Sell Strategies", shorttitle="Range Filter Strategies", overlay=true,pyramiding = 5)

// Original Script > @DonovanWall
// Adapted Version > @guikroth
// 
// Updated PineScript to version 5
// Republished by > @tvenn
// Strategizing by > @RonLeigh
//////////////////////////////////////////////////////////////////////////
// Settings for 5min chart, BTCUSDC. For Other coin, change the parameters
//////////////////////////////////////////////////////////////////////////



SS = input.bool(false,"Percentage Take Profit Stop Loss")


longProfitPerc = input.float(title='LongProfit(%)', minval=0.0, step=0.1, defval=1.5) * 0.01

shortProfitPerc = input.float(title='ShortProfit(%)', minval=0.0, step=0.1, defval=1.5) * 0.01


longLossPerc = input.float(title='LongStop(%)', minval=0.0, step=0.1, defval=1.5) * 0.01

shortLossPerc = input.float(title='ShortStop(%)', minval=0.0, step=0.1, defval=1.5) * 0.01


// Color variables
upColor   = color.white
midColor  = #90bff9
downColor = color.blue

// Source
src = input(defval=close, title="Source")

// Sampling Period
// Settings for 5min chart, BTCUSDC. For Other coin, change the paremeters
per = input.int(defval=100, minval=1, title="Sampling Period")

// Range Multiplier
mult = input.float(defval=3.0, minval=0.1, title="Range Multiplier")

// Smooth Average Range
smoothrng(x, t, m) =>
    wper = t * 2 - 1
    avrng = ta.ema(math.abs(x - x[1]), t)
    smoothrng = ta.ema(avrng, wper) * m
    smoothrng
smrng = smoothrng(src, per, mult)

// Range Filter
rngfilt(x, r) =>
    rngfilt = x
    rngfilt := x > nz(rngfilt[1]) ? x - r < nz(rngfilt[1]) ? nz(rngfilt[1]) : x - r : 
       x + r > nz(rngfilt[1]) ? nz(rngfilt[1]) : x + r
    rngfilt
filt = rngfilt(src, smrng)

// Filter Direction
upward = 0.0
upward := filt > filt[1] ? nz(upward[1]) + 1 : filt < filt[1] ? 0 : nz(upward[1])
downward = 0.0
downward := filt < filt[1] ? nz(downward[1]) + 1 : filt > filt[1] ? 0 : nz(downward[1])

// Target Bands
hband = filt + smrng
lband = filt - smrng

// Colors
filtcolor = upward > 0 ? upColor : downward > 0 ? downColor : midColor
barcolor = src > filt and src > src[1] and upward > 0 ? upColor :
   src > filt and src < src[1] and upward > 0 ? upColor : 
   src < filt and src < src[1] and downward > 0 ? downColor : 
   src < filt and src > src[1] and downward > 0 ? downColor : midColor

filtplot = plot(filt, color=filtcolor, linewidth=2, title="Range Filter")

// Target
hbandplot = plot(hband, color=color.new(upColor, 70), title="High Target")
lbandplot = plot(lband, color=color.new(downColor, 70), title="Low Target")

// Fills
fill(hbandplot, filtplot, color=color.new(upColor, 90), title="High Target Range")
fill(lbandplot, filtplot, color=color.new(downColor, 90), title="Low Target Range")

// Bar Color
barcolor(barcolor)

// Break Outs
longCond = bool(na)
shortCond = bool(na)
longCond := src > filt and src > src[1] and upward > 0 or 
   src > filt and src < src[1] and upward > 0
shortCond := src < filt and src < src[1] and downward > 0 or 
   src < filt and src > src[1] and downward > 0

CondIni = 0
CondIni := longCond ? 1 : shortCond ? -1 : CondIni[1]
longCondition = longCond and CondIni[1] == -1
shortCondition = shortCond and CondIni[1] == 1



// alertcondition(longCondition, title="Buy alert on Range Filter", message="Buy alert on Range Filter")
// alertcondition(shortCondition, title="Sell alert on Range Filter", message="Sell alert on Range Filter")
// alertcondition(longCondition or shortCondition, title="Buy and Sell alert on Range Filter", message="Buy and Sell alert on Range Filter")


////////////// 副

sensitivity = input(150, title='Sensitivity')
fastLength = input(20, title='FastEMA Length')
slowLength = input(40, title='SlowEMA Length')
channelLength = input(20, title='BB Channel Length')
multt = input(2.0, title='BB Stdev Multiplier')

DEAD_ZONE = nz(ta.rma(ta.tr(true), 100)) * 3.7

calc_macd(source, fastLength, slowLength) =>
    fastMA = ta.ema(source, fastLength)
    slowMA = ta.ema(source, slowLength)
    fastMA - slowMA

calc_BBUpper(source, length, multt) =>
    basis = ta.sma(source, length)
    dev = multt * ta.stdev(source, length)
    basis + dev

calc_BBLower(source, length, multt) =>
    basis = ta.sma(source, length)
    dev = multt * ta.stdev(source, length)
    basis - dev

t1 = (calc_macd(close, fastLength, slowLength) - calc_macd(close[1], fastLength, slowLength)) * sensitivity

e1 = calc_BBUpper(close, channelLength, multt) - calc_BBLower(close, channelLength, multt)

trendUp = t1 >= 0 ? t1 : 0
trendDown = t1 < 0 ? -1 * t1 : 0

duoad = trendUp > 0 and trendUp > e1

kongad = trendDown > 0 and trendDown > e1



duo =  longCondition and duoad

kong = shortCondition and kongad


//Alerts
plotshape(longCondition  and trendUp > e1 and  trendUp > 0 , title="Buy Signal", text="Buy", textcolor=color.white, style=shape.labelup, size=size.small, location=location.belowbar, color=color.new(#aaaaaa, 20))
plotshape(shortCondition  and trendDown > e1 and  trendDown > 0 , title="Sell Signal", text="Sell", textcolor=color.white, style=shape.labeldown, size=size.small, location=location.abovebar, color=color.new(downColor, 20))




if  longCondition and trendUp > e1 and  trendUp > 0 
    strategy.entry('Long',strategy.long, comment = "buy" )

if  shortCondition and trendDown > e1 and  trendDown > 0 
    strategy.entry('Short',strategy.short, comment = "sell" )




longlimtPrice  = strategy.position_avg_price * (1 + longProfitPerc)
shortlimtPrice = strategy.position_avg_price * (1 - shortProfitPerc)
   
longStopPrice  = strategy.position_avg_price * (1 - longLossPerc)
shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)



if (strategy.position_size > 0)  and SS == true
    
    strategy.exit(id="Long",comment_profit = "Profit",comment_loss = "StopLoss", stop=longStopPrice,limit = longlimtPrice)
    

if (strategy.position_size < 0)  and SS == true
    
    strategy.exit(id="Short",comment_profit = "Profit",comment_loss = "StopLoss", stop=shortStopPrice,limit = shortlimtPrice)

---

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