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Dinamis Trend Pelacakan Optimalisasi Strategi

Penulis:ChaoZhang, Tanggal: 2024-01-12 11:20:04
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/*backtest
start: 2024-01-04 00:00:00
end: 2024-01-11 00:00:00
period: 45m
basePeriod: 5m
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/
// © melihtuna

//@version=4
strategy("Optimized Trend Tracker - Strategy Version", shorttitle="OTT-Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=10000, currency=currency.USD, commission_value=0.1, commission_type=strategy.commission.percent)

src = input(close, title="Source")
pds=input(1, "OTT Period", minval=1)
percent=input(0.1, "OTT Percent", type=input.float, step=0.1, minval=0)
condition = input(title="Condition", defval="Support Line Crossing Signals", options=["Price/OTT Crossing Signals", "Support Line Crossing Signals"])
showsupport = input(title="Show Support Line?", type=input.bool, defval=true)
highlight = input(title="Show OTT Color Changes?", type=input.bool, defval=true)
highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true)
barcoloing = input(title="Barcolor On/Off ?", type=input.bool, defval=true)
showlabels = input(title="Show OTT BUY/SELl Labels?", type=input.bool, defval=false)

// === INPUT BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2020, title = "From Year", minval = 2017)
ToMonth   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear    = input(defval = 9999, title = "To Year", minval = 2017)

// === FUNCTION EXAMPLE ===
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
window()  => time >= start and time <= finish ? true : false // create function "within window of time"

alpha=2/(pds+1)
ud1=src>src[1] ? src-src[1] : src
dd1=src<src[1] ? src[1]-src : src
UD=sum(ud1,9)
DD=sum(dd1,9)
CMO=(UD-DD)/(UD+DD)
k= abs(CMO)
Var=0.0
Var:=(alpha*k*src)+(1-alpha*k)*nz(Var[1])
fark=Var*percent*0.01
longStop = Var - fark
longStopPrev = nz(longStop[1], longStop)
longStop := Var > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop =  Var + fark
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := Var < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and Var > shortStopPrev ? 1 : dir == 1 and Var < longStopPrev ? -1 : dir
MT = dir==1 ? longStop: shortStop
OTT=Var>MT ? MT*(200+percent)/200 : MT*(200-percent)/200 
plot(showsupport ? Var : na, color=#0585E1, linewidth=2, title="Support Line")
OTTC = highlight ? OTT[2] > OTT[3] ? color.green : color.red : #B800D9 
pALL=plot(nz(OTT[2]), color=OTTC, linewidth=2, title="OTT", transp=0)

buySignalk = window() and crossover(Var, OTT[2])
sellSignallk = window() and crossunder(Var, OTT[2])
buySignalc = window() and crossover(src, OTT[2])
sellSignallc = window() and crossunder(src, OTT[2])

plotshape(condition == "Support Line Crossing Signals" ? showlabels and buySignalk ? OTT*0.995 : na : showlabels and buySignalc ? OTT*0.995 : na, title="BUY", text="BUY", location=location.belowbar, style=shape.labelup, size=size.tiny, color=#0F18BF, textcolor=color.white, transp=0)
plotshape(condition == "Support Line Crossing Signals" ? showlabels and sellSignallk ? OTT*1.005 : na : showlabels and sellSignallc ? OTT*1.005 : na, title="SELL", text="SELL", location=location.abovebar, style=shape.labeldown, size=size.tiny, color=#0F18BF, textcolor=color.white, transp=0)
  
ottBuyColor=#77DD77
ottSellColor=#FF0000
vColor = strategy.position_size > 0 ? ottBuyColor : ottSellColor

if condition == "Support Line Crossing Signals"
    strategy.entry("BUY", true, 1, when = buySignalk)
    strategy.entry("SELL", false, 1, when = sellSignallk)
else
    strategy.entry("BUY", true, 1, when = buySignalc)
    strategy.entry("SELL", false, 1, when = sellSignallc)

mPlot = plot(close, title="", style=plot.style_circles, linewidth=0,display=display.none)

longFillColor = highlighting ? (Var>OTT ? color.green : na) : na
shortFillColor = highlighting ? (Var<OTT ? color.red : na) : na
fill(mPlot, pALL, title="UpTrend Highligter", color=longFillColor)
fill(mPlot, pALL, title="DownTrend Highligter", color=shortFillColor)

barcolor(barcoloing ? vColor : na)

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