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MACD 再充電戦略

作者: リン・ハーンチャオチャン, 日時: 2022-05-24 09:57:19
タグ:SMAエイママックドWWMA

ジェラルド・アペルの古典的な移動平均の収束差の異なるアプローチです

アペルは最初 MACD を指数的な移動平均値で設定しましたこのバージョンでは 11種類の異なる移動平均を適用できます. 滑らかで,また鋭さによって利益を得ることができます.

VARとしてデフォルトで設定されているが,ユーザーは11種類の異なる移動平均から選択することができます.

SMA: 単純な移動平均値 EMA: 指数関数移動平均値 WMA: 重度の移動平均値 DEMA: ダブル指数関数移動平均 TMA: 三角移動平均 VAR: 変数指数動的移動平均 (VIDA) WWMA: ウェルズ・ワイルダーの移動平均 ZLEMA:ゼロレイグ指数関数移動平均 TSF: 真の強さ HULL: Hull移動平均値 TILL: Tillson T3 移動平均

短時間で TILL,WWMA,VIDYA (VAR) が利用できることが示されています. 日々のチャート WMA,ボリューム重量MACD V2,MACDASとSMAのような長い時間枠では,バックテスト結果によりより正確です.

バックテスト

/*backtest
start: 2022-04-23 00:00:00
end: 2022-05-22 23:59:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © KivancOzbilgic


//developer: Gerald Appel
//author: @kivancozbilgic

strategy("MACD ReLoaded","MACDRe", overlay=true)
src = input(close, title="Source")
length=input(12, "Short Moving Average Length", minval=1)
length1=input(26, "Long Moving Average Length", minval=1)
length2=input(9, "Trigger Length", minval=1)
T3a1 = input(0.7, "TILLSON T3 Volume Factor", step=0.1)
barcoloring = input(title="Bar Coloring On/Off ?", type=input.bool, defval=true)

mav = input(title="Moving Average Type", defval="VAR", options=["SMA", "EMA", "WMA", "DEMA", "TMA", "VAR", "WWMA", "ZLEMA", "TSF", "HULL", "TILL"])
Var_Func(src,length)=>
    valpha=2/(length+1)
    vud1=src>src[1] ? src-src[1] : 0
    vdd1=src<src[1] ? src[1]-src : 0
    vUD=sum(vud1,9)
    vDD=sum(vdd1,9)
    vCMO=nz((vUD-vDD)/(vUD+vDD))
    VAR=0.0
    VAR:=nz(valpha*abs(vCMO)*src)+(1-valpha*abs(vCMO))*nz(VAR[1])
VAR=Var_Func(src,length)
DEMA = ( 2 * ema(src,length)) - (ema(ema(src,length),length) )
Wwma_Func(src,length)=>
    wwalpha = 1/ length
    WWMA = 0.0
    WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1])
WWMA=Wwma_Func(src,length)
Zlema_Func(src,length)=>
    zxLag = length/2==round(length/2) ? length/2 : (length - 1) / 2
    zxEMAData = (src + (src - src[zxLag]))
    ZLEMA = ema(zxEMAData, length)
ZLEMA=Zlema_Func(src,length)
Tsf_Func(src,length)=>
    lrc = linreg(src, length, 0)
    lrc1 = linreg(src,length,1)
    lrs = (lrc-lrc1)
    TSF = linreg(src, length, 0)+lrs
TSF=Tsf_Func(src,length)
HMA = wma(2 * wma(src, length / 2) - wma(src, length), round(sqrt(length)))
T3e1=ema(src, length)
T3e2=ema(T3e1,length)
T3e3=ema(T3e2,length)
T3e4=ema(T3e3,length)
T3e5=ema(T3e4,length)
T3e6=ema(T3e5,length)
T3c1=-T3a1*T3a1*T3a1
T3c2=3*T3a1*T3a1+3*T3a1*T3a1*T3a1
T3c3=-6*T3a1*T3a1-3*T3a1-3*T3a1*T3a1*T3a1
T3c4=1+3*T3a1+T3a1*T3a1*T3a1+3*T3a1*T3a1
T3=T3c1*T3e6+T3c2*T3e5+T3c3*T3e4+T3c4*T3e3


getMA(src, length) =>
    ma = 0.0
    if mav == "SMA"
        ma := sma(src, length)
        ma

    if mav == "EMA"
        ma := ema(src, length)
        ma

    if mav == "WMA"
        ma := wma(src, length)
        ma

    if mav == "DEMA"
        ma := DEMA
        ma

    if mav == "TMA"
        ma := sma(sma(src, ceil(length / 2)), floor(length / 2) + 1)
        ma

    if mav == "VAR"
        ma := VAR
        ma

    if mav == "WWMA"
        ma := WWMA
        ma

    if mav == "ZLEMA"
        ma := ZLEMA
        ma

    if mav == "TSF"
        ma := TSF
        ma

    if mav == "HULL"
        ma := HMA
        ma

    if mav == "TILL"
        ma := T3
        ma
    ma
    
MA12=getMA(src, length)


Var_Func1(src,length1)=>
    valpha1=2/(length1+1)
    vud11=src>src[1] ? src-src[1] : 0
    vdd11=src<src[1] ? src[1]-src : 0
    vUD1=sum(vud11,9)
    vDD1=sum(vdd11,9)
    vCMO1=nz((vUD1-vDD1)/(vUD1+vDD1))
    VAR1=0.0
    VAR1:=nz(valpha1*abs(vCMO1)*src)+(1-valpha1*abs(vCMO1))*nz(VAR1[1])
VAR1=Var_Func1(src,length1)
DEMA1 = ( 2 * ema(src,length1)) - (ema(ema(src,length1),length1) )
Wwma_Func1(src,length1)=>
    wwalpha1 = 1/ length1
    WWMA1 = 0.0
    WWMA1 := wwalpha1*src + (1-wwalpha1)*nz(WWMA1[1])
WWMA1=Wwma_Func1(src,length1)
Zlema_Func1(src,length1)=>
    zxLag1 = length1/2==round(length1/2) ? length1/2 : (length1 - 1) / 2
    zxEMAData1 = (src + (src - src[zxLag1]))
    ZLEMA1 = ema(zxEMAData1, length1)
ZLEMA1=Zlema_Func1(src,length1)
Tsf_Func1(src,length1)=>
    lrc1 = linreg(src, length1, 0)
    lrc11 = linreg(src,length1,1)
    lrs1 = (lrc1-lrc11)
    TSF1 = linreg(src, length1, 0)+lrs1
TSF1=Tsf_Func1(src,length1)
HMA1 = wma(2 * wma(src, length1 / 2) - wma(src, length1), round(sqrt(length1)))
T3e11=ema(src, length1)
T3e21=ema(T3e11,length1)
T3e31=ema(T3e21,length1)
T3e41=ema(T3e31,length1)
T3e51=ema(T3e41,length1)
T3e61=ema(T3e51,length1)
T3c11=-T3a1*T3a1*T3a1
T3c21=3*T3a1*T3a1+3*T3a1*T3a1*T3a1
T3c31=-6*T3a1*T3a1-3*T3a1-3*T3a1*T3a1*T3a1
T3c41=1+3*T3a1+T3a1*T3a1*T3a1+3*T3a1*T3a1
T31=T3c11*T3e61+T3c21*T3e51+T3c31*T3e41+T3c41*T3e31


getMA1(src, length1) =>
    ma1 = 0.0
    if mav == "SMA"
        ma1 := sma(src, length1)
        ma1

    if mav == "EMA"
        ma1 := ema(src, length1)
        ma1

    if mav == "WMA"
        ma1 := wma(src, length1)
        ma1

    if mav == "DEMA"
        ma1 := DEMA1
        ma1

    if mav == "TMA"
        ma1 := sma(sma(src, ceil(length1 / 2)), floor(length1 / 2) + 1)
        ma1

    if mav == "VAR"
        ma1 := VAR1
        ma1

    if mav == "WWMA"
        ma1:= WWMA1
        ma1

    if mav == "ZLEMA"
        ma1 := ZLEMA1
        ma1

    if mav == "TSF"
        ma1 := TSF1
        ma1

    if mav == "HULL"
        ma1 := HMA1
        ma1

    if mav == "TILL"
        ma1 := T31
        ma1
    ma1
    
MA26=getMA1(src, length1)


src2=MA12-MA26

Var_Func2(src2,length2)=>
    valpha2=2/(length2+1)
    vud12=src2>src2[1] ? src2-src2[1] : 0
    vdd12=src2<src2[1] ? src2[1]-src2 : 0
    vUD2=sum(vud12,9)
    vDD2=sum(vdd12,9)
    vCMO2=nz((vUD2-vDD2)/(vUD2+vDD2))
    VAR2=0.0
    VAR2:=nz(valpha2*abs(vCMO2)*src2)+(1-valpha2*abs(vCMO2))*nz(VAR2[1])
VAR2=Var_Func2(src2,length2)
DEMA2 = ( 2 * ema(src2,length2)) - (ema(ema(src2,length2),length2) )
Wwma_Func2(src2,length2)=>
    wwalpha2 = 1/ length2
    WWMA2 = 0.0
    WWMA2 := wwalpha2*src2 + (1-wwalpha2)*nz(WWMA2[1])
WWMA2=Wwma_Func2(src2,length2)
Zlema_Func2(src2,length2)=>
    zxLag2 = length2/2==round(length2/2) ? length2/2 : (length2 - 1) / 2
    zxEMAData2 = (src2 + (src2 - src2[zxLag2]))
    ZLEMA2 = ema(zxEMAData2, length2)
ZLEMA2=Zlema_Func2(src2,length2)
Tsf_Func2(src2,length2)=>
    lrc2 = linreg(src2, length2, 0)
    lrc12 = linreg(src2,length2,1)
    lrs2 = (lrc2-lrc12)
    TSF2 = linreg(src2, length2, 0)+lrs2
TSF2=Tsf_Func2(src2,length2)
HMA2 = wma(2 * wma(src2, length2 / 2) - wma(src2, length2), round(sqrt(length2)))
T3e12=ema(src2, length2)
T3e22=ema(T3e12,length2)
T3e32=ema(T3e22,length2)
T3e42=ema(T3e32,length2)
T3e52=ema(T3e42,length2)
T3e62=ema(T3e52,length2)
T3c12=-T3a1*T3a1*T3a1
T3c22=3*T3a1*T3a1+3*T3a1*T3a1*T3a1
T3c32=-6*T3a1*T3a1-3*T3a1-3*T3a1*T3a1*T3a1
T3c42=1+3*T3a1+T3a1*T3a1*T3a1+3*T3a1*T3a1
T32=T3c12*T3e62+T3c22*T3e52+T3c32*T3e42+T3c42*T3e32


getMA2(src2, length2) =>
    ma2 = 0.0
    if mav == "SMA"
        ma2 := sma(src2, length2)
        ma2

    if mav == "EMA"
        ma2 := ema(src2, length2)
        ma2

    if mav == "WMA"
        ma2 := wma(src2, length2)
        ma2

    if mav == "DEMA"
        ma2 := DEMA2
        ma2

    if mav == "TMA"
        ma2 := sma(sma(src2, ceil(length2 / 2)), floor(length2 / 2) + 1)
        ma2

    if mav == "VAR"
        ma2 := VAR2
        ma2

    if mav == "WWMA"
        ma2 := WWMA2
        ma2

    if mav == "ZLEMA"
        ma2 := ZLEMA2
        ma2

    if mav == "TSF"
        ma2 := TSF2
        ma2

    if mav == "HULL"
        ma2 := HMA2
        ma2

    if mav == "TILL"
        ma2 := T32
        ma2
    ma2


MATR=getMA2(MA12-MA26, length2)
hist = src2 - MATR

FromMonth = input(defval = 9, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2018, title = "From Year", minval = 999)
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 = 999)
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)       
window()  => true
buySignal = crossover(hist, 0)
if (crossover(hist, 0))
	strategy.entry("MacdLong", strategy.long, comment="MacdLong")
sellSignal = crossunder(hist, 0)
if (crossunder(hist, 0))
	strategy.entry("MacdShort", strategy.short, comment="MacdShort")
buy1= barssince(buySignal)
sell1 = barssince(sellSignal)
color1 = buy1[1] < sell1[1] ? color.green : buy1[1] > sell1[1] ? color.red : na
barcolor(barcoloring ? color1 : na)

関連性

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2019 FMZ - すべての権利は保護されています.