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Strategi perdagangan kuantitatif multi-indikator

Penulis:ChaoZhang, Tanggal: 2023-12-05 10:29:20
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/*backtest
start: 2023-11-04 00:00:00
end: 2023-12-04 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/
// © fikira
//@version=4
strategy("Strategy Tester EMA-SMA-RSI-MACD", shorttitle="Strat-test", overlay=true, max_bars_back=5000, 
 default_qty_type= strategy.percent_of_equity, calc_on_order_fills=false, calc_on_every_tick=false, 
 pyramiding=0, default_qty_value=100, initial_capital=100)

Tiny     = "Tiny"
Small    = "Small"
Normal   = "Normal"
Large    = "Large"

cl      = "close" , op  = "open" , hi  = "high" , lo  = "low"
c4      = "ohlc4" , c3  = "hlc3" , hl  = "hl2"

co      = "(E)MA 1 > (E)MA 2" 
cu      = "(E)MA 3 < (E)MA 4"

co_HTF  = "(E)MA 1 (HTF) > (E)MA 2 (HTF)" 
cu_HTF  = "(E)MA 3 (HTF) < (E)MA 4 (HTF)"

L_S     = "Long & Short"                , _L_  = "Long Only"                , _S_ = "Short Only"

cla     = "Close above (E)MA 1"         
clu     = "Close under (E)MA 3"

cla_HTF = "Close above (E)MA 1 (HTF)"
clu_HTF = "Close under (E)MA 3 (HTF)"

rsi     = "RSI strategy"

none    = "NONE"
mch     = "macd > signal"               , mcl     = "macd < signal"
mch0    = "macd > 0"                    , mcl0    = "macd < 0"
sgh0    = "signal > 0"                  , sgl0    = "signal < 0"

mch_HTF = "macd (HTF) > signal (HTF)"   , mcl_HTF = "macd (HTF) < signal (HTF)"
mch0HTF = "macd (HTF) > 0"              , mcl0HTF = "macd (HTF) < 0"
sgh0HTF = "signal (HTF) > 0"            , sgl0HTF = "signal (HTF) < 0"

EMA     = "EMA"                         , SMA = "SMA"       

s       = input(cl,   "Source" , options=[cl, op, hi, lo, c4, c3, hl])

src     =
 s  == cl ? close :
 s  == op ? open  :
 s  == hi ? high  :
 s  == lo ? low   :
 s  == c4 ? ohlc4 :
 s  == c3 ? hlc3  : 
 s  == hl ? hl2   :
 close

__1_    = input(false, ">=< >=< [STRATEGIES] >=< >=<")

Type    = input(_L_,  "Type Strategy", options=[L_S, _L_, _S_])

_1a_    = input(false, ">=< >=< [BUY/LONG] >=< >=<")

ENT     = input(co,   "Pick your poison:", options=[co, cla, rsi, mch, mch0, sgh0])
EH      = input(0,    " if RSI >")
EL      = input(100,  " if RSI <")
EH_HTF  = input(0,    " if RSI (HTF) >")
EL_HTF  = input(100,  " if RSI (HTF) <")

EX      = input(none, " Extra argument", options=[none, mch, mch0, sgh0])
EX2     = input(none, " Second argument", options=[none, mch_HTF, mch0HTF, sgh0HTF, co_HTF, cla_HTF])

_1b_    = input(false, ">=< [(E)MA settings (Buy/Long)] >=<")

ma1     = input(SMA,  "  (E)MA 1", options=[EMA, SMA])
len1    = input(50,   "     Length"  )
ma2     = input(SMA,  "  (E)MA 2", options=[EMA, SMA])
len2    = input(100,  "     Length"  )
ma1HTF  = input(SMA,  "  (E)MA 1 - HTF", options=[EMA, SMA])
len1HTF = input(50,   "     Length"  )
ma2HTF  = input(SMA,  "  (E)MA 2 - HTF", options=[EMA, SMA])
len2HTF = input(100,  "     Length"  )

_2a_    = input(false, ">=< >=< [SELL/SHORT] >=< >=<")

CLO     = input(cu,   "Pick your poison:", options=[cu, clu, rsi, mcl, mcl0, sgl0])
CH      = input(0,    " if RSI >")
CL      = input(100,  " if RSI <")
CH_HTF  = input(0,    " if RSI (HTF) >")
CL_HTF  = input(100,  " if RSI (HTF) <")

CX      = input(none, " Extra argument", options=[none, mcl, mcl0, sgl0])
CX2     = input(none, " Second argument", options=[none, mcl_HTF, mcl0HTF, sgl0HTF, cu_HTF, clu_HTF])

_2b_    = input(false, ">=< [(E)MA settings (Sell/Short)] >=<")

ma3     = input(SMA,  "  (E)MA 3", options=[EMA, SMA])
len3    = input(50,   "     Length"  )
ma4     = input(SMA,  "  (E)MA 4", options=[EMA, SMA])
len4    = input(100,  "     Length"  )
ma3HTF  = input(SMA,  "  (E)MA 3 - HTF", options=[EMA, SMA])
len3HTF = input(50,   "     Length"  )
ma4HTF  = input(SMA,  "  (E)MA 4 - HTF", options=[EMA, SMA])
len4HTF = input(100,  "     Length"  )

__3_    = input(false, ">=< >=< [RSI]  >=< >=< >=<")

ler     = input(20 , "  RSI Length")

__4_    = input(false, ">=< >=< [MACD] >=< >=< >=<")

fst     = input(12, "  Fast Length")
slw     = input(26, "  Slow Length")
sgn     = input(9 , "  Signal Smoothing")
sma_source = input(false, "Simple MA(Oscillator)")
sma_signal = input(false, "Simple MA(Signal Line)")

__5_    = input(false, ">=< >=< [HTF settings] >=< >=<")

MA_HTF  = input("D", "  (E)MA HTF", type = input.resolution)
RSI_HTF = input("D", "  RSI HTF"  , type = input.resolution)
MACD_HTF= input("D", "  MACD HTF" , type = input.resolution)

__6_    = input(false, ">=< >=< [SL/TP] >=< >=< >=<")

sl      = input(false, "Stop Loss?")
SL      = input(10.0, title="  Stop Loss %"  ) / 100
tp      = input(false, "Take Profit?")
TP      = input(20.0, title="  Take Profit %") / 100
 
SL_     = strategy.position_avg_price * (1 - SL)
TP_     = strategy.position_avg_price * (1 + TP)

// Limitation in time
// (= inspired from a script of "Che_Trader")

xox     = input(false, ">=< >=< [TIME] >=< >=< >=<")

ystr1   = input(2010, "  Since Year" )
ystp1   = input(2099, "  Till Year"  )
mstr1   = input(1   , "  Since Month")
mstp1   = input(12  , "  Till Month" )
dstr1   = input(1   , "  Since Day"  )
dstp1   = input(31  , "  Till Day"   )
 
_Str1   = timestamp(ystr1, mstr1, dstr1,  1,  1)
Stp1_   = timestamp(ystp1, mstp1, dstp1, 23, 59)

TIME    = time >= _Str1 and time <= Stp1_ ? true : false

////////////////////////////////////////////////////////////////////////////////////////////

_1      = 
 ma1 == SMA ? sma(src, len1) : 
 ma1 == EMA ? ema(src, len1) : 
 na
_2      = 
 ma2 == SMA ? sma(src, len2) :
 ma2 == EMA ? ema(src, len2) :
 na
_3      = 
 ma3 == SMA ? sma(src, len3) :
 ma3 == EMA ? ema(src, len3) :
 na
_4      = 
 ma4 == SMA ? sma(src, len4) :
 ma4 == EMA ? ema(src, len4) :
 na

_1b  = 
 ma1HTF == SMA ? sma(src, len1HTF) :
 ma1HTF == EMA ? ema(src, len1HTF) :
 na
_2b  = 
 ma2HTF == SMA ? sma(src, len2HTF) :
 ma2HTF == EMA ? ema(src, len2HTF) :
 na
_3b  = 
 ma3HTF == SMA ? sma(src, len3HTF) :
 ma3HTF == EMA ? ema(src, len3HTF) :
 na
_4b  = 
 ma4HTF == SMA ? sma(src, len4HTF) :
 ma4HTF == EMA ? ema(src, len4HTF) :
 na

_1_HTF = security(syminfo.tickerid, MA_HTF,  _1b)
_2_HTF = security(syminfo.tickerid, MA_HTF,  _2b)
_3_HTF = security(syminfo.tickerid, MA_HTF,  _3b)
_4_HTF = security(syminfo.tickerid, MA_HTF,  _4b)
cl_HTF = security(syminfo.tickerid, MA_HTF,  close)

////////////////////////////////////////////////////////////////////////////////////////////

plot(ENT == co or ENT == cla ? _1 : na            , title="(E)MA 1", color=color.lime                           )
plot(ENT == co               ? _2 : na            , title="(E)MA 2", color=color.red                            )
plot(CLO == cu or CLO == clu ? _3 : na            , title="(E)MA 3", color= _3 == _1 ? color.lime : color.yellow)
plot(CLO == cu               ? _4 : na            , title="(E)MA 4", color= _4 == _2 ? color.red  : color.blue  )
plot(EX2 == co_HTF or EX2 == cla_HTF ? _1_HTF : na, title="(E)MA 1 HTF", color=color.lime, linewidth=2, transp=50)
plot(EX2 == co_HTF                   ? _2_HTF : na, title="(E)MA 2 HTF", color=color.red , linewidth=2, transp=50)
plot(CX2 == cu_HTF or CX2 == clu_HTF ? _3_HTF : na, title="(E)MA 3 HTF", color= _3_HTF == _1_HTF ? color.lime : color.yellow, linewidth=2, transp=50)
plot(CX2 == cu_HTF                   ? _4_HTF : na, title="(E)MA 4 HTF", color= _4_HTF == _2_HTF ? color.red  : color.blue  , linewidth=2, transp=50)

////////////////////////////////////////////////////////////////////////////////////////////

// RSI

rsi_       = rsi(src, ler)
rsi_HTF    = security(syminfo.tickerid, RSI_HTF,  rsi_)

////////////////////////////////////////////////////////////////////////////////////////////

// MACD

fast_ma    = sma_source ? sma(src, fst) : ema(src, fst)
slow_ma    = sma_source ? sma(src, slw) : ema(src, slw)
macd       = fast_ma - slow_ma
signal     = sma_signal ? sma(macd, sgn) : ema(macd, sgn)
hist       = macd - signal

macd_HTF   = security(syminfo.tickerid, MACD_HTF, macd  )
signal_HTF = security(syminfo.tickerid, MACD_HTF, signal)

////////////////////////////////////////////////////////////////////////////////////////////

extra = 
 EX  == none    ? true                   :
 EX  == mch     ? macd >  signal         :
 EX  == mch0    ? macd >  0              :
 EX  == sgh0    ? signal >  0            :
 false

cxtra = 
 CX  == none    ? true                   :
 CX  == mcl     ? macd <= signal         :
 CX  == mcl0    ? macd <= 0              :
 CX  == sgl0    ? signal <= 0            :
 false

EXTRA = 
 EX2 == none    ? true                   :
 EX2 == mch_HTF ? macd_HTF >  signal_HTF :
 EX2 == mch0HTF ? macd_HTF >  0          :
 EX2 == sgh0HTF ? signal_HTF >  0        :
 EX2 == co_HTF  ? _1_HTF >  _2_HTF       :
 EX2 == cla_HTF ? cl_HTF >  _1_HTF       : 
 false
 
CXTRA =
 CX2 == none    ? true                   :
 CX2 == mcl_HTF ? macd_HTF <= signal_HTF :
 CX2 == mcl0HTF ? macd_HTF <= 0          :
 CX2 == sgl0HTF ? signal_HTF <= 0        :
 CX2 == cu_HTF  ? _3_HTF <= _4_HTF       :
 CX2 == clu_HTF ? cl_HTF <= _3_HTF       : 
 false

RSI = rsi_ > EH and rsi_ <= EL and rsi_HTF > EH_HTF and rsi_HTF <= EL_HTF

/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

BUY = 
 ENT == co    and TIME and extra and EXTRA and RSI ? _1 > _2        : 
 ENT == cla   and TIME and extra and EXTRA and RSI ? src > _1       : 
 ENT == rsi   and TIME and extra and EXTRA         ? RSI            : 
 ENT == mch   and TIME and extra and EXTRA and RSI ? macd > signal  : 
 ENT == mch0  and TIME and extra and EXTRA and RSI ? macd > 0       : 
 ENT == sgh0  and TIME and extra and EXTRA and RSI ? signal > 0     : 
 na

SELL = 
 CLO == cu    and TIME and cxtra and CXTRA and RSI ? _3 <= _4       : 
 CLO == clu   and TIME and cxtra and CXTRA and RSI ? src <= _3      : 
 CLO == rsi   and TIME and cxtra and CXTRA         ? RSI            :
 CLO == mcl   and TIME and cxtra and CXTRA and RSI ? macd <= signal : 
 CLO == mcl0  and TIME and cxtra and CXTRA and RSI ? macd <= 0      : 
 CLO == sgl0  and TIME and cxtra and CXTRA and RSI ? signal <= 0    : 
 na

if BUY
    if (Type == _S_)
        strategy.close("[S]")
    else
        strategy.entry("[B]", strategy.long)

if SELL
    if (Type == _L_)
        strategy.close("[B]")
    else
        strategy.entry("[S]", strategy.short)

strategy.exit("[SL/TP]", "[B]", stop= sl ? SL_ : na, limit= tp ? TP_ : na)

---

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