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2. ゼロ・ラグ EMA トレンド フォローする戦略

ゼロ・ラグ EMA トレンド フォローする戦略

作者: リン・ハーンチャオチャン, 日付: 2023-09-20 14:30:03
タグ:

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//@version=3
// Learn more about Autoview and how you can automate strategies like this one here: https://autoview.with.pink/
strategy("MP ZeroLag EMA", "MP 0 Strat", overlay=true, pyramiding=0, initial_capital=100000, currency=currency.USD, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type=strategy.commission.percent, commission_value=0.1)
 
//bgcolor ( color=black, transp=40, title='Blackground', editable=true)
 
///////////////////////////////////////////////
//* Backtesting Period Selector | Component *//
///////////////////////////////////////////////
 
testStartYear = input(2018, "Backtest Start Year")
testStartMonth = input(3, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,00,00)
 
testStopYear = input(77777777, "Backtest Stop Year")
testStopMonth = input(11, "Backtest Stop Month")
testStopDay = input(15, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
 
testPeriod() => true
 
/////////////////////////////////////
//* Put your strategy logic below *//
/////////////////////////////////////
 
// === INPUTS ===
zlmaSource      = input(defval = close, title = "ZeroLag EMA Source")
zlmaFastLength  = input(defval = 8, title = "ZeroLag EMA Fast Length")
zlmaSlowLength  = input(defval = 21, title = "ZeroLag EMA Slow Length")

// === /INPUTS ===
 
// === SERIES SETUP ===
// Fast ZeroLag EMA
zema1=ema(zlmaSource, zlmaFastLength)
zema2=ema(zema1, zlmaFastLength)
c1=zema1-zema2
zlemaFast=zema1+c1
 
// Slow ZeroLag EMA
zema3=ema(zlmaSource, zlmaSlowLength)
zema4=ema(zema3, zlmaSlowLength)
c2=zema3-zema4
zlemaSlow=zema3+c2
 
// Plots and Conditions
plot(zlemaFast, title='Fast ZeroLag EMA', color = yellow, linewidth=4)
plot(zlemaSlow, title='Slow ZeroLag EMA', color = fuchsia, linewidth=4)

 
// Long/Short Logic
longLogic = crossover(zlemaFast,zlemaSlow) ? 1 : 0
shortLogic = crossunder(zlemaFast,zlemaSlow) ? 1 : 0
 
//////////////////////////
//* Strategy Component *//
//////////////////////////
 
isLong = input(false, "Longs Only")
isShort = input(false, "Shorts Only")
isFlip = input(false, "Flip the Opens")
 
long = longLogic
short = shortLogic
 
if isFlip
    long := shortLogic
    short := longLogic
else
    long := longLogic
    short := shortLogic
 
if isLong
    long := long
    short := na
 
if isShort
    long := na
    short := short
   
////////////////////////////////
//======[ Signal Count ]======//
////////////////////////////////
 
sectionLongs = 0
sectionLongs := nz(sectionLongs[1])
sectionShorts = 0
sectionShorts := nz(sectionShorts[1])
 
if long
    sectionLongs := sectionLongs + 1
    sectionShorts := 0
 
if short
    sectionLongs := 0
    sectionShorts := sectionShorts + 1
 
//////////////////////////////
//======[ Pyramiding ]======//
//////////////////////////////
 
pyrl = input(1, "Pyramiding less than") // If your count is less than this number
pyre = input(0, "Pyramiding equal to") // If your count is equal to this number
pyrg = input(1000000, "Pyramiding greater than") // If your count is greater than this number
 
longCondition = long and sectionLongs <= pyrl or long and sectionLongs >= pyrg or long and sectionLongs == pyre ? 1 : 0
shortCondition = short and sectionShorts <= pyrl or short and sectionShorts >= pyrg or short and sectionShorts == pyre ? 1 : 0
 
////////////////////////////////
//======[ Entry Prices ]======//
////////////////////////////////
 
last_open_longCondition = na
last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])
 
////////////////////////////////////
//======[ Open Order Count ]======//
////////////////////////////////////
 
sectionLongConditions = 0
sectionLongConditions := nz(sectionLongConditions[1])
sectionShortConditions = 0
sectionShortConditions := nz(sectionShortConditions[1])
 
if longCondition
    sectionLongConditions := sectionLongConditions + 1
    sectionShortConditions := 0
 
if shortCondition
    sectionLongConditions := 0
    sectionShortConditions := sectionShortConditions + 1
   
///////////////////////////////////////////////
//======[ Position Check (long/short) ]======//
///////////////////////////////////////////////
 
last_longCondition = na
last_shortCondition = na
last_longCondition := longCondition ? time : nz(last_longCondition[1])
last_shortCondition := shortCondition ? time : nz(last_shortCondition[1])
 
in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition
 
/////////////////////////////////////
//======[ Position Averages ]======//
/////////////////////////////////////
 
totalLongs = 0.0
totalLongs := nz(totalLongs[1])
totalShorts = 0.0
totalShorts := nz(totalShorts[1])
averageLongs = 0.0
averageLongs := nz(averageLongs[1])
averageShorts = 0.0
averageShorts := nz(averageShorts[1])
 
if longCondition
    totalLongs := totalLongs + last_open_longCondition
    totalShorts := 0.0
 
if shortCondition
    totalLongs := 0.0
    totalShorts := totalShorts + last_open_shortCondition
 
averageLongs := totalLongs / sectionLongConditions
averageShorts := totalShorts / sectionShortConditions
 
/////////////////////////////////
//======[ Trailing Stop ]======//
/////////////////////////////////
 
isTS = input(false, "Trailing Stop")
tsi = input(1300, "Activate Trailing Stop Price (%). Divided by 100 (1 = 0.01%)") / 100
ts = input(400, "Trailing Stop (%). Divided by 100 (1 = 0.01%)") / 100
 
last_high = na
last_low = na
last_high_short = na
last_low_short = na
last_high := not in_longCondition ? na : in_longCondition and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_high_short := not in_shortCondition ? na : in_shortCondition and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low := not in_shortCondition ? na : in_shortCondition and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
last_low_short := not in_longCondition ? na : in_longCondition and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
 
long_ts = isTS and not na(last_high) and low <= last_high - last_high / 100 * ts and longCondition == 0 and last_high >= averageLongs + averageLongs / 100 * tsi
short_ts = isTS and not na(last_low) and high >= last_low + last_low / 100 * ts and shortCondition == 0 and last_low <= averageShorts - averageShorts/ 100 * tsi
 
///////////////////////////////
//======[ Take Profit ]======//
///////////////////////////////
 
isTP = input(true, "Take Profit")
tp = input(300, "Take Profit (%). Divided by 100 (1 = 0.01%)") / 100
long_tp = isTP and close > averageLongs + averageLongs / 100 * tp and not longCondition
short_tp = isTP and close < averageShorts - averageShorts / 100 * tp and not shortCondition
 
/////////////////////////////
//======[ Stop Loss ]======//
/////////////////////////////
 
isSL = input(false, "Stop Loss")
sl = input(750, "Stop Loss (%). Divided by 100 (1 = 0.01%)") / 100
long_sl = isSL and close < averageLongs - averageLongs / 100 * sl and longCondition == 0
short_sl = isSL and close > averageShorts + averageShorts / 100 * sl and shortCondition == 0
 
/////////////////////////////////
//======[ Close Signals ]======//
/////////////////////////////////
 
longClose = long_tp or long_sl or long_ts  ? 1 : 0
shortClose = short_tp or short_sl or short_ts ? 1: 0
 
///////////////////////////////
//======[ Plot Colors ]======//
///////////////////////////////
 
longCloseCol = na
shortCloseCol = na
longCloseCol := long_tp ? purple : long_sl ? maroon : long_ts ? blue : longCloseCol[1]
shortCloseCol := short_tp ? purple : short_sl ? maroon : short_ts ? blue : shortCloseCol[1]
tpColor = isTP and in_longCondition ? purple : isTP and in_shortCondition ? purple : white
slColor = isSL and in_longCondition ? red : isSL and in_shortCondition ? red : white
 
//////////////////////////////////
//======[ Strategy Plots ]======//
//////////////////////////////////
 
plot(isTS and in_longCondition ? averageLongs + averageLongs / 100 * tsi : na, "Long Trailing Activate", blue, style=3, linewidth=2)
plot(isTS and in_longCondition and last_high >= averageLongs +  averageLongs / 100 * tsi ? last_high - last_high / 100 * ts : na, "Long Trailing", fuchsia, style=2, linewidth=3)
plot(isTS and in_shortCondition ? averageShorts - averageShorts/ 100 * tsi : na, "Short Trailing Activate", blue, style=3, linewidth=2)
plot(isTS and in_shortCondition and last_low <= averageShorts - averageShorts/ 100 * tsi ? last_low + last_low / 100 * ts : na, "Short Trailing", fuchsia, style=2, linewidth=3)
plot(isTP and in_longCondition and last_high < averageLongs + averageLongs / 100 * tp ? averageLongs + averageLongs / 100 * tp : na, "Long TP", tpColor, style=3, linewidth=2)
plot(isTP and in_shortCondition and last_low > averageShorts - averageShorts / 100 * tp ? averageShorts - averageShorts / 100 * tp : na, "Short TP", tpColor, style=3, linewidth=2)
plot(isSL and in_longCondition and last_low_short > averageLongs - averageLongs / 100 * sl ? averageLongs - averageLongs / 100 * sl : na, "Long SL", slColor, style=3, linewidth=2)
plot(isSL and in_shortCondition and last_high_short < averageShorts + averageShorts / 100 * sl ? averageShorts + averageShorts / 100 * sl : na, "Short SL", slColor, style=3, linewidth=2)
 
///////////////////////////////
//======[ Alert Plots ]======//
///////////////////////////////
 
// Old Signal Plots
//plot(longCondition, "Long", green)
//plot(shortCondition, "Short", red)
//plot(longClose, "Long Close", longCloseCol)
//plot(shortClose, "Short Close", shortCloseCol)
 
 
// New Signal Plots
//plotshape(series=longCondition, title="Long", style=shape.triangleup, location=location.belowbar, color=green, size=size.tiny)
//plotshape(series=shortCondition, title="Short", style=shape.triangledown, location=location.abovebar, color=red, size=size.tiny)
//plotshape(series=longClose, title="Long Close", style=shape.triangleup, location=location.belowbar, color=blue, size=size.tiny)
//plotshape(series=shortClose, title="Short Close", style=shape.triangledown, location=location.abovebar, color=purple, size=size.tiny)
 
//alertcondition(condition=longCondition, title="Long", message="")
//alertcondition(condition=shortCondition, title="Short", message="")
//alertcondition(condition=longClose, title="Long Close", message="")
//alertcondition(condition=shortClose, title="Short Close", message="")
 
///////////////////////////////////
//======[ Reset Variables ]======//
///////////////////////////////////
 
if longClose or not in_longCondition
    averageLongs := 0
    totalLongs := 0.0
    sectionLongs := 0
    sectionLongConditions := 0
 
if shortClose or not in_shortCondition
    averageShorts := 0
    totalShorts := 0.0
    sectionShorts := 0
    sectionShortConditions := 0
 
////////////////////////////////////////////
//======[ Strategy Entry and Exits ]======//
////////////////////////////////////////////
 
if testPeriod()
    strategy.entry("Long", 1, when=longCondition)
    strategy.entry("Short", 0,  when=shortCondition)
    strategy.close("Long", when=longClose)
    strategy.close("Short", when=shortClose)
    
    
//////NEW STUFF

//temainput  = input(24, minval=1, title="Fast TEMA")
//hullinput = input(39, minval=1, title="Slow hullMA")
//rmainput = input(48, minval=1, title="RMA (BB Signal)")
//bblength = input(20, minval=1, title="BB Length")
//mult = input(1.5, minval=0.001, maxval=50, title="BB stdev Mult")
//src = input(defval=close, type=source, title="Source")

//Moving Average Params

//hullMA
//hullma = wma(2*wma(close, hullinput/2)-wma(close, hullinput), round(sqrt(hullinput)))

//TEMA
//ema = ema(close, temainput)
//ema1 = ema(ema, temainput)
//ema2 = ema(ema1, temainput)
//tema = 3 * (ema - ema1) + ema2

//RMA
//rma = ema(close, 96)

//BB
//basis = sma(tema, bblength)
//dev = mult * stdev(tema, bblength)
//upper = basis + dev
//lower = basis - dev

//Color Swaps
//ribbon = tema>=hullma ? #c0fff4 : #ffbcc8
//bandcolor = rma>=basis ? #ffbcc8 : #c0fff4


//Plots
//plot(basis, title="Bollinger Band Basis", color=red, transp=0)
//upband = plot(upper, color=#ffbcc8, transp=100, editable=false)
//downband = plot(lower, color=#ffbcc8, transp=100, editable=false)

//Fills
//temap = plot(tema, title="TEMA", color=white, transp=100, editable=false)
//emap = plot(hullma, title="EMA", color=white, transp=100, editable=false)
//fill (temap, emap, color=ribbon, title="MA Ribbon", transp=50)
//fill(upband, downband, title="Bollinger Band Background", color=bandcolor)

///////END NEW

///--------New, DW Art----------

//Period
per = input(defval=34, title="Lookback Period")

//Current Resolution
res = input(defval=30, title="Resolution")

//Deviations
ndev = input(defval=7, minval=0, maxval=7, title="Number of Fibonacci Volatility Deviations")

//----------------------------------------------------------------------------------------------------------------------------------------------------------------
//Definitions
//----------------------------------------------------------------------------------------------------------------------------------------------------------------

//Source
src  = close
dsrc = high - low

//Periods Per Annum
ppa = (1440/res)*365

//Periodic Volatility
Si = log(close/close[1])
Sm = avg(Si, per)
pv = (sqrt((sum(pow((Si - Sm), 2), per))/(per*ppa)))

//Price Geometric Moving Averages
lmean = log(src)
smean = sum(lmean,per)
gma   = exp(smean/per)
lmeand = log(dsrc)
smeand = sum(lmeand,per)
gmad   = exp(smeand/per)

//Deviations
dev  = gmad*pv
ud1  = gma + dev
dd1  = gma - dev
ud2  = gma + dev*2
dd2  = gma - dev*2
ud3  = gma + dev*3
dd3  = gma - dev*3
ud5  = gma + dev*5
dd5  = gma - dev*5
ud8  = gma + dev*8
dd8  = gma - dev*8
ud13 = gma + dev*13
dd13 = gma - dev*13
ud21 = gma + dev*21
dd21 = gma - dev*21
u1  = (ndev==1) or (ndev==2) or (ndev==3) or (ndev==4) or (ndev==5) or (ndev==6) or (ndev==7) ? ud1 : na
d1  = (ndev==1) or (ndev==2) or (ndev==3) or (ndev==4) or (ndev==5) or (ndev==6) or (ndev==7) ? dd1 : na
u2  = (ndev==2) or (ndev==3) or (ndev==4) or (ndev==5) or (ndev==6) or (ndev==7) ? ud2 : na
d2  = (ndev==2) or (ndev==3) or (ndev==4) or (ndev==5) or (ndev==6) or (ndev==7) ? dd2 : na
u3  = (ndev==3) or (ndev==4) or (ndev==5) or (ndev==6) or (ndev==7) ? ud3 : na
d3  = (ndev==3) or (ndev==4) or (ndev==5) or (ndev==6) or (ndev==7) ? dd3 : na
u5  = (ndev==4) or (ndev==5) or (ndev==6) or (ndev==7) ? ud5 : na
d5  = (ndev==4) or (ndev==5) or (ndev==6) or (ndev==7) ? dd5 : na
u8  = (ndev==5) or (ndev==6) or (ndev==7) ? ud8 : na
d8  = (ndev==5) or (ndev==6) or (ndev==7) ? dd8 : na
u13 = (ndev==6) or (ndev==7) ? ud13 : na
d13 = (ndev==6) or (ndev==7) ? dd13 : na
u21 = (ndev==7) ? ud21 : na
d21 = (ndev==7) ? dd21 : na

//----------------------------------------------------------------------------------------------------------------------------------------------------------------
//Plots
//----------------------------------------------------------------------------------------------------------------------------------------------------------------

//GMA
gp = plot(gma, color=black, title="GMA")

//Deviations
u21p = plot(u21, color=lime, title="Upper Deviation x 21", transp=100)
u13p = plot(u13, color=lime, title="Upper Deviation x 13", transp=100)
u8p  = plot(u8,  color=lime, title="Upper Deviation x 8",  transp=100)
u5p  = plot(u5,  color=lime, title="Upper Deviation x 5",  transp=100)
u3p  = plot(u3,  color=lime, title="Upper Deviation x 3",  transp=100)
u2p  = plot(u2,  color=lime, title="Upper Deviation x 2",  transp=100)
u1p  = plot(u1,  color=lime, title="Uper Deviation",       transp=100)
d1p  = plot(d1,  color=red,  title="Lower Deviation",      transp=100)
d2p  = plot(d2,  color=red,  title="Lower Deviation x 2",  transp=100)
d3p  = plot(d3,  color=red,  title="Lower Deviation x 3",  transp=100)
d5p  = plot(d5,  color=red,  title="Lower Deviation x 5",  transp=100)
d8p  = plot(d8,  color=red,  title="Lower Deviation x 8",  transp=100)
d13p = plot(d13, color=red,  title="Lower Deviation x 13", transp=100)
d21p = plot(d21, color=red,  title="Lower Deviation x 21", transp=100)

//Fills
fill(u21p, gp, color=silver, transp=90)
fill(u13p, gp, color=silver, transp=90)
fill(u8p, gp,  color=silver, transp=90)
fill(u5p, gp,  color=silver, transp=90)
fill(u3p, gp,  color=silver, transp=90)
fill(u2p, gp,  color=silver, transp=90)
fill(u1p, gp,  color=silver, transp=90)
fill(d1p, gp,  color=silver,  transp=90)
fill(d2p, gp,  color=silver,  transp=90)
fill(d3p, gp,  color=silver,  transp=90)
fill(d5p, gp,  color=silver,  transp=90)
fill(d8p, gp,  color=silver,  transp=90)
fill(d13p, gp, color=silver,  transp=90)
fill(d21p, gp, color=silver,  transp=90)
    

---

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