1. スクエア
2. 移動平均のクロス EMA SMA戦略

移動平均のクロス EMA SMA戦略

作者: リン・ハーンチャオチャン, 日時: 2023-09-26 11:27:47
タグ:

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/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-12 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy(title="Moving Average Cross EMA SMA", overlay=true, initial_capital=10000, currency='USD',default_qty_type=strategy.percent_of_equity,default_qty_value=100)
// Based on strategy by lsills @ https://www.tradingview.com/script/oI8loEZ8-Moving-Average-Cross-Strategy/
// Strategy has several logic alternatives - comment out the undesired logic sections below, only 1 logic section can be active


// === GENERAL INPUTS ===
// short Ema
maFastSource   = input(defval = close, title = "Fast EMA Source")
maFastLength   = input(defval = 13, title = "Fast EMA Period", minval = 1)
// long Sma
maSlowSource   = input(defval = close, title = "Slow SMA Source")
maSlowLength   = input(defval = 30, title = "Slow SMA Period", minval = 1)
// longer Sma
maSlowerSource   = input(defval = close, title = "Slower SMA Source")
maSlowerLength   = input(defval = 30, title = "Slower SMA Period", minval = 1)



// === SERIES SETUP ===
/// a couple of ma's..
maFast = ema(maFastSource, maFastLength)
maSlow = sma(maSlowSource, maSlowLength)
maSlower = vwma(maSlowerSource, maSlowerLength)
rsi = rsi(maSlowerSource, maSlowerLength)

// === PLOTTING ===
fast = plot(maFast, title = "Fast MA", color = red, linewidth = 2, style = line, transp = 30)
slow = plot(maSlow, title = "Slow MA", color = green, linewidth = 2, style = line, transp = 30)
slower = plot(maSlower, title = "Slower MA", color = teal, linewidth = 2, style = line, transp = 30)


// === LOGIC === Basic - simply switches from long to short and vice-versa with each fast-slow MA cross
enterLong = maFast> maSlow
exitLong = maSlow> maFast


// === LOGIC === Complex 1 - switches from long to short and vice-versa with each fast-slow MA cross but additional conditions must be met
//enterLong = variance(maFast,maSlowLength) < 0.6 and close[0] > maFast and crossover(maFast, maSlow) and 1.1* maSlow > maSlower and rsi>rsi[2]
//exitLong = variance(maFast,maSlowLength) < 0.6 and close[0] < maSlow and crossover(maSlow, maFast) and maSlow/1.1 < maSlower and rsi<rsi[2]

// === LOGIC === Complex 2- switches from long to short and vice-versa with each fast-slow MA cross but additional conditions must be met
//enterLong = maFast> maSlow and 1.1* maSlow > maSlower and rsi>rsi[1] and close > close[3] //and close > close[2]
//exitLong = maSlow> maFast and maSlow/1.1 < maSlower and rsi<rsi[1] and close < close[3] // and close < close[2]


// Entry //
strategy.entry(id="Long Entry", long=true, when=enterLong)
strategy.entry(id="Short Entry", long=false, when=exitLong)

// === FILL ====

fill(fast, slow, color = maFast > maSlow ? green : red)

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