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2. 移動平均方向逆転の取引戦略

移動平均方向逆転の取引戦略

作者: リン・ハーンチャオチャン開催日:2023年9月28日15時50分01秒
タグ:

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---

/*backtest
start: 2022-09-21 00:00:00
end: 2023-09-27 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy("Moving Average Consecutive Up/Down Strategy (by ChartArt)", overlay=true)

// ChartArt's Moving Average Consecutive Up/Down Strategy
//
// Version 1.0
// Idea by ChartArt on December 30, 2015.
//
// This strategy goes long (or short) if there are several
// consecutive increasing (or decreasing) moving average
// values in a row in the same direction.
//
// The bars can be colored using the raw moving average trend.
// And the background can be colored using the consecutive
// moving average trend setting. In addition a experimental
// line of the moving average change can be drawn.
//
// The strategy is based upon the "Consecutive Up/Down Strategy"
// created by Tradingview.


// Input
Switch1 = input(true, title="Enable Bar Color?")
Switch2 = input(true, title="Enable Background Color?")
Switch3 = input(false, title="Enable Moving Average Trend Line?")

ConsecutiveBars = input(4,title="Consecutive Trend in Bars",minval=1)

// MA Calculation
MAlen = input(1,title="Moving Average Length: (1 = off)",minval=1)
SelectMA = input(2, minval=1, maxval=4, title='Moving Average: (1 = SMA), (2 = EMA), (3 = WMA), (4 = Linear)')
Price = input(close, title="Price Source")
Current =
 SelectMA == 1 ? sma(Price, MAlen) :
 SelectMA == 2 ? ema(Price, MAlen) :
 SelectMA == 3 ? wma(Price, MAlen) :
 SelectMA == 4 ? linreg(Price, MAlen,0) :
 na
Last =
 SelectMA == 1 ? sma(Price[1], MAlen) :
 SelectMA == 2 ? ema(Price[1], MAlen) :
 SelectMA == 3 ? wma(Price[1], MAlen) :
 SelectMA == 4 ? linreg(Price[1], MAlen,0) :
 na

// Calculation
MovingAverageTrend = if Current > Last
    1
else
    0

ConsecutiveBarsUp = MovingAverageTrend > 0.5 ? nz(ConsecutiveBarsUp[1]) + 1 : 0
ConsecutiveBarsDown = MovingAverageTrend < 0.5 ? nz(ConsecutiveBarsDown[1]) + 1 : 0
BarColor = MovingAverageTrend > 0.5 ? green : MovingAverageTrend < 0.5 ? red : blue
BackgroundColor = ConsecutiveBarsUp >= ConsecutiveBars ? green : ConsecutiveBarsDown >= ConsecutiveBars ? red : gray
MovingAverageLine = change(MovingAverageTrend) != 0 ? close : na

// Strategy
if (ConsecutiveBarsUp >= ConsecutiveBars)
    strategy.entry("ConsUpLE", strategy.long, comment="Bullish")
    
if (ConsecutiveBarsDown >= ConsecutiveBars)
    strategy.entry("ConsDnSE", strategy.short, comment="Bearish")

// output
barcolor(Switch1?BarColor:na)
bgcolor(Switch2?BackgroundColor:na)
plot(Switch3?MovingAverageLine:na, color=change(MovingAverageTrend)<0?green:red, linewidth=4)
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)

---

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