1. スクエア
2. 範囲突破モメント追跡戦略

範囲突破モメント追跡戦略

作者: リン・ハーンチャオチャン, 日付: 2023-09-14 15:10:46
タグ:

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/*backtest
start: 2023-01-01 00:00:00
end: 2023-04-30 00:00:00
period: 4h
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/
// © flygalaxies

// Strategy based on the Follow Line Indicator by Dreadblitz, Hull Suite by InSilico and Range Filter Buy and Sell 5 min by guikroth
// Designed for the purpose of back testing
// Strategy:
//  - When the Range Filter Color Changes, And the HULL Suite is in that direction, Enter In that direction
//  - e.g Range Filter Changes color from red to green, and Hull Suite is in Green. Enter Long
//  - e.g Range Filter Changes color from green to red, and Hull Suite is in red. Enter Short
//
// Credits:
// Hull Suite by InSilico  https://www.tradingview.com/u/InSilico/
// Range Filter Buy and Sell 5 min https://www.tradingview.com/u/guikroth/
// Follow Line Indicator by Dreadblitz https://www.tradingview.com/u/Dreadblitz/
// Follow line not used at this moment

//@version=5
strategy("Follow The Ranging Hull", overlay=true, initial_capital = 50000)




////////////////////
// COLOR INPUTS ///
//////////////////
rngFilterColorUp = input.color(title="Range Filter Color Up", defval = color.green, group="Color")
rngFilterColorDown = input.color(title="Range Filter Color Up", defval = color.red, group="Color")
hullColorUp = input.color(title="Hull Color Up", defval = color.green, group="Color")
hullColorDown = input.color(title="Hull Color Up", defval = color.red, group="Color")
fliColorUp = input.color(title="Follow Line Color Up", defval = color.green, group="Color")
fliColorDown = input.color(title="Follow Line Color Up", defval = color.red, group="Color")
    

///////////////////////////
// Range Filter INPUTS ///
/////////////////////////
src = input(defval=ohlc4, title="Source", group="Range Filter")
per = input.int(defval=33, minval=1, title="Sampling Period", group="Range Filter")
mult = input.float(defval=2.1, minval=0.1, title="Range Multiplier", group="Range Filter", step=0.1)

/////////////////////////
// Hull Suite INPUTS ///
///////////////////////
srcHull = input(close, title="Source", group="Hull Suite")
modeSwitch = input("Ehma", title="Hull Variation", options=["Hma", "Thma", "Ehma"], group="Hull Suite")
length = input(55, title="Length(180-200 for floating S/R , 55 for swing entry)")
switchColor = input(true, "Color Hull according to trend?", group="Hull Suite")
visualSwitch  = input(true, title="Show as a Band?", group="Hull Suite")
thicknesSwitch = input(1, title="Line Thickness", group="Hull Suite")
transpSwitch = input.int(40, title="Band Transparency",step=5, group="Hull Suite")

//////////////////////////
// FOLLOW LINE INPUTS ///
////////////////////////
BBperiod      = input.int(defval = 21, title = "BB Period", minval = 1)
BBdeviations  = input.float(defval = 1.00, title = "BB Deviations", minval = 0.1, step=0.05)
UseATRfilter  = input.bool(defval = true, title = "ATR Filter")
ATRperiod     = input.int(defval = 5, title = "ATR Period", minval = 1)
hl            = input.bool(defval = false, title = "Hide Labels")

//////////////////////////
// Range Filter Logic ///
////////////////////////

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)

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)

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])

filtcolor = upward > 0 ? rngFilterColorUp : downward > 0 ? rngFilterColorDown : color.orange

filtplot = plot(filt, color=filtcolor, linewidth=3, title="Range Filter")

////////////////////////
// Hull Suite Logic ///
//////////////////////


HMA(_srcHull, _length) =>  ta.wma(2 * ta.wma(_srcHull, _length / 2) - ta.wma(_srcHull, _length), math.round(math.sqrt(_length)))
EHMA(_srcHull, _length) =>  ta.ema(2 * ta.ema(_srcHull, _length / 2) - ta.ema(_srcHull, _length), math.round(math.sqrt(_length)))
THMA(_srcHull, _length) =>  ta.wma(ta.wma(_srcHull,_length / 3) * 3 - ta.wma(_srcHull, _length / 2) - ta.wma(_srcHull, _length), _length)

Mode(modeSwitch, src, len) =>
      modeSwitch == "Hma"  ? HMA(src, len) :
      modeSwitch == "Ehma" ? EHMA(src, len) : 
      modeSwitch == "Thma" ? THMA(src, len/2) : na

_hull = Mode(modeSwitch, src, int(length))
HULL =  _hull
MHULL = HULL[0]
SHULL = HULL[2]

hullColor = switchColor ? (HULL > HULL[2] ? hullColorUp : hullColorDown) : #ff9800
Fi1 = plot(MHULL, title="MHULL", color=hullColor, linewidth=thicknesSwitch, transp=50)
Fi2 = plot(visualSwitch ? SHULL : na, title="SHULL", color=hullColor, linewidth=thicknesSwitch, transp=50)

fill(Fi1, Fi2, title="Band Filler", color=hullColor, transp=transpSwitch)


/////////////////////////
// Follow Line Logic ///
///////////////////////
BBUpper=ta.sma (close,BBperiod)+ta.stdev(close, BBperiod)*BBdeviations
BBLower=ta.sma (close,BBperiod)-ta.stdev(close, BBperiod)*BBdeviations

TrendLine = 0.0
iTrend = 0.0
buy = 0.0
sell = 0.0

BBSignal = close>BBUpper? 1 : close<BBLower? -1 : 0

if BBSignal == 1 and UseATRfilter == 1
    TrendLine:=low-ta.atr(ATRperiod)
    if TrendLine<TrendLine[1] 
        TrendLine:=TrendLine[1]
if BBSignal == -1 and UseATRfilter == 1
    TrendLine:=high+ta.atr(ATRperiod)
    if TrendLine>TrendLine[1]
        TrendLine:=TrendLine[1]
if BBSignal == 0 and UseATRfilter == 1
    TrendLine:=TrendLine[1]
//
if BBSignal == 1 and UseATRfilter == 0
    TrendLine:=low
    if TrendLine<TrendLine[1] 
        TrendLine:=TrendLine[1]
if BBSignal == -1 and UseATRfilter == 0
    TrendLine:=high
    if TrendLine>TrendLine[1]
        TrendLine:=TrendLine[1]
if BBSignal == 0 and UseATRfilter == 0
    TrendLine:=TrendLine[1]
//
iTrend:=iTrend[1]
if TrendLine>TrendLine[1] 
    iTrend:=1
if TrendLine<TrendLine[1] 
    iTrend:=-1
//
buy:=iTrend[1]==-1 and iTrend==1 ? 1 : na
sell:=iTrend[1]==1 and iTrend==-1? 1 : na
//
plot(TrendLine, color=iTrend > 0? fliColorUp : fliColorDown ,style=plot.style_line,linewidth=2,transp=0,title="Trend Line") 
plotshape(buy == 1 and hl == false? TrendLine-ta.atr(8) :na, text='💣', style= shape.labelup, location=location.absolute, color=color.blue, textcolor=color.white, offset=0, transp=0,size=size.auto)
plotshape(sell == 1 and hl == false ?TrendLine+ta.atr(8):na, text='🔨', style=shape.labeldown, location=location.absolute, color=color.red, textcolor=color.white, offset=0, transp=0,size=size.auto)



if(true)
    // RANGE FILTER ENTRY LONG WITH HULL
    // if(filtcolor[1] == rngFilterColorDown and filtcolor == rngFilterColorUp)
    strategy.entry("rngFiltLong", strategy.long, when = buy == 1 and hl == false)
    // RANGE FILTER ENTRY SHORT WITH HULL
    // if(filtcolor[1] == rngFilterColorUp and filtcolor == rngFilterColorDown)
    strategy.entry("rngFiltShort", strategy.short, when = sell == 1 and hl == false)
        
    
    // strategy.close("rngFiltLong", when = HULL < HULL[2] )
    // strategy.close("rngFiltShort", when = HULL > HULL[2] )
    
    
    

---

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