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最良の飲み込み+脱出戦略

作者: リン・ハーンチャオチャン, 日時: 2022-05-25 14:40:18
タグ:RMAエイマWMA

こんにちは,トレーダー

これは2つの関係のない指標の収束を追跡する Tradingview戦略のための単純なアルゴリズムです.

収束は私の取引問題の解決です 無限の可能性と 簡単な組み合わせのパズルです

これは気に入った

  • 飲み込むパターン
  • 突破を検出するための価格対移動平均

定義

ノートブックとコーヒーを出して (集中力にはいい)

2本のキャンドルの逆転パターンです 2番目のろうそくは,尾の影の長さに関係なく,最初のろうそくの本当の体に完全に浸透します.

上向きのエングルフィングパターンはダウントレンドで現れ,より大きな緑色のキャンドルが続く赤いキャンドルの組み合わせです. ダウントレンドに現れる下落型エングルフィングパターンは,緑色のキャンドルと大きな赤色のキャンドルの組み合わせです.

例として:https://imgur.com/a/krDDUz4

退屈だ 退屈だ 退屈だ 退屈だ

(TradingViewの観客全員が立ち上がり 喝采) 価格対移動平均フィルターを追加することで,インパクトの逆転を追跡できます (聴衆の半分は,これはあまりにもすごいので崩壊しました)

わかった 興味を引いた

バックテストのフィルターも追加しました

  • 日付範囲のフィルタリング
  • 柔軟な収益 (USD) 値 (青で表示)
  • 柔軟なストップ損失 (USD) 値 (赤で図示)

頑張って デイブ

バックテスト

img

/*backtest
start: 2022-04-24 00:00:00
end: 2022-05-23 23:59:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//@author=Daveatt

StrategyName = "BEST Engulfing + MA"
ShortStrategyName = "BEST Engulfing + MA"

strategy(title=StrategyName, shorttitle=ShortStrategyName, overlay=true, 
 pyramiding=2, default_qty_value=500, precision=7, currency=currency.USD,
 commission_value=0.2,commission_type=strategy.commission.percent, initial_capital=10000)

includeEngulfing = true

includeMA = true
source_ma = input(title="Source Price vs MA", type=input.source, defval=close)
typeofMA = input(title="Type of MA", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "VWMA", "SMMA", "KMA", "TMA", "HullMA", "DEMA", "TEMA"])
length_ma = input(32, title = "MA Length", type=input.integer)

// ---------- Candle components and states
GreenCandle = close > open
RedCandle = close < open
NoBody = close==open
Body = abs(close-open)


// bullish conditions
isBullishEngulfing1 = max(close[1],open[1]) < max(close,open) and min(close[1],open[1]) > min(close,open) and Body > Body[1] and GreenCandle and RedCandle[1]
isBullishEngulfing2 = max(close[1],open[1]) < max(close,open) and min(close[1],open[1]) <= min(close,open) and Body > Body[1] and GreenCandle and RedCandle[1]

// bearish conditions
isBearishEngulfing1 = max(close[1],open[1]) < max(close,open) and min(close[1],open[1]) > min(close,open) and Body > Body[1] and RedCandle and GreenCandle[1]
isBearishEngulfing2 = max(close[1],open[1]) >= max(close,open) and min(close[1],open[1]) > min(close,open) and Body > Body[1] and RedCandle and GreenCandle[1]

// consolidation of conditions
isBullishEngulfing = isBullishEngulfing1 or isBullishEngulfing2
isBearishEngulfing = isBearishEngulfing1 or isBearishEngulfing2

//isBullishEngulfing = max(close[1],open[1]) < max(close,open) and min(close[1],open[1]) > min(close,open) and Body > Body[1] and GreenCandle and RedCandle[1]
//isBearishEngulfing = max(close[1],open[1]) < max(close,open) and min(close[1],open[1]) > min(close,open) and Body > Body[1] and RedCandle and GreenCandle[1]

Engulf_curr = 0 - barssince(isBearishEngulfing) + barssince(isBullishEngulfing)
Engulf_Buy = Engulf_curr < 0 ? 1 : 0
Engulf_Sell = Engulf_curr > 0 ? 1 : 0


// Price vs MM


smma(src, len) =>
    smma = 0.0
    smma := na(smma[1]) ? sma(src, len) : (smma[1] * (len - 1) + src) / len
    smma

ma(smoothing, src, length) => 
    if smoothing == "RMA"
        rma(src, length)
    else
        if smoothing == "SMA"
            sma(src, length)
        else 
            if smoothing == "EMA"
                ema(src, length)
            else 
                if smoothing == "WMA"
                    wma(src, length)
				else
					if smoothing == "VWMA"
						vwma(src, length)
					else
						if smoothing == "SMMA"
						    smma(src, length)
						else
							if smoothing == "HullMA"
								wma(2 * wma(src, length / 2) - wma(src, length), round(sqrt(length)))
							else
								if smoothing == "LSMA"
									src
								else
								    if smoothing == "KMA"
								        xPrice = src
                                        xvnoise = abs(xPrice - xPrice[1])
                                        nfastend = 0.666
                                        nslowend = 0.0645
                                        nsignal = abs(xPrice - xPrice[length])
                                        nnoise = sum(xvnoise, length)
                                        nefratio = iff(nnoise != 0, nsignal / nnoise, 0)
                                        nsmooth = pow(nefratio * (nfastend - nslowend) + nslowend, 2) 
                                        nAMA = 0.0
                                        nAMA := nz(nAMA[1]) + nsmooth * (xPrice - nz(nAMA[1]))
                                        nAMA
								    else
								        if smoothing == "TMA"
									        sma(sma(close, length), length)
						                else
							                if smoothing == "DEMA"
							                    2 * src - ema(src, length)
							                else
							                    if smoothing == "TEMA"
							                        3 * (src - ema(src, length)) + ema(ema(src, length), length) 
							                    else
		    							            src
		    							                

MA = ma(typeofMA, source_ma, length_ma)

plot(MA, color=#006400FF, title="MA breakout", linewidth=3)

macrossover  = crossover (source_ma, MA)
macrossunder = crossunder(source_ma, MA)

since_ma_buy = barssince(macrossover)
since_ma_sell = barssince(macrossunder)
macross_curr = 0 - since_ma_sell + since_ma_buy
bullish_MA_cond = macross_curr < 0 ?  1 : 0
bearish_MA_cond = macross_curr > 0 ? 1  : 0

posUp = (Engulf_Buy ? 1 : 0) + (bullish_MA_cond ? 1 : 0) 
posDn = (Engulf_Sell ? 1 : 0) + (bearish_MA_cond ? 1 : 0) 

conditionUP = posUp == 2 and posUp[1] < 2
conditionDN = posDn == 2 and posDn[1] < 2


sinceUP = barssince(conditionUP)
sinceDN = barssince(conditionDN)

// primary-first signal of the trend
nUP = crossunder(sinceUP,sinceDN)
nDN = crossover(sinceUP,sinceDN)


// and the following secondary signals

// save of the primary signal
sinceNUP = barssince(nUP)
sinceNDN = barssince(nDN)

buy_trend   = sinceNDN > sinceNUP
sell_trend  = sinceNDN < sinceNUP

// engulfing by
barcolor(nUP ? color.orange : na, title="Bullish condition")
barcolor(nDN ? color.yellow : na, title="Bearish condition")

isLong  = nUP
isShort = nDN

long_entry_price    = valuewhen(nUP, close, 0)
short_entry_price   = valuewhen(nDN, close, 0)

longClose   = close[1] < MA
shortClose  = close[1] > MA

///////////////////////////////////////////////
//* Backtesting Period Selector | Component *//
///////////////////////////////////////////////


StartYear = input(2017, "Backtest Start Year",minval=1980)
StartMonth = input(1, "Backtest Start Month",minval=1,maxval=12)
StartDay = input(1, "Backtest Start Day",minval=1,maxval=31)
testPeriodStart = timestamp(StartYear,StartMonth,StartDay,0,0)

StopYear = input(2020, "Backtest Stop Year",minval=1980)
StopMonth = input(12, "Backtest Stop Month",minval=1,maxval=12)
StopDay = input(31, "Backtest Stop Day",minval=1,maxval=31)
testPeriodStop = timestamp(StopYear,StopMonth,StopDay,0,0)

testPeriod() => true


//////////////////////////
//* Profit Component *//
//////////////////////////

input_tp_pips = input(2000, "Backtest Profit Goal (in USD)",minval=0)
input_sl_pips = input(200, "Backtest STOP Goal (in USD)",minval=0)


tp = buy_trend? long_entry_price + input_tp_pips : short_entry_price - input_tp_pips
sl = buy_trend? long_entry_price - input_sl_pips : short_entry_price + input_sl_pips


long_TP_exit  = buy_trend and high >= tp
short_TP_exit = sell_trend and low <= tp

plot(tp, title="TP", style=plot.style_circles, linewidth=3, color=color.blue)
plot(sl, title="SL", style=plot.style_circles, linewidth=3, color=color.red)

if testPeriod()
    strategy.entry("Long", 1, when=isLong)
    strategy.close("Long", when=longClose )
    strategy.exit("XL","Long", limit=tp,  when=buy_trend, stop=sl)


if testPeriod()
    strategy.entry("Short", 0,  when=isShort)
    strategy.close("Short", when=shortClose )
    strategy.exit("XS","Short", when=sell_trend, limit=tp, stop=sl)
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