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2. モメント・リバーサル・トレーディング・戦略

モメント・リバーサル・トレーディング・戦略

作者: リン・ハーンチャオチャン,日付: 2023年11月15日15時36分39秒
タグ:

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/*backtest
start: 2023-10-15 00:00:00
end: 2023-11-14 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 14/04/2020
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// This indicator gauges the magnitude of price and volume movement. 
// The indicator returns both positive and negative values where a 
// positive value means the market has moved up from yesterday's value 
// and a negative value means the market has moved down. A large positive 
// or large negative value indicates a large move in price and/or lighter 
// volume. A small positive or small negative value indicates a small move 
// in price and/or heavier volume.
// A positive or negative numeric value. A positive value means the market 
// has moved up from yesterday's value, whereas, a negative value means the 
// market has moved down. 
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos

EOM(BuyZone, SellZone) =>
    pos = 0
    xHigh = high
    xLow = low
    xVolume = volume
    xHalfRange = (xHigh - xLow) * 0.5
    xMidpointMove = mom(xHalfRange, 1)
    xBoxRatio = iff((xHigh - xLow) != 0, xVolume / (xHigh - xLow), 0)
    nRes = iff(xBoxRatio != 0, 1000000 * ((xMidpointMove - xMidpointMove[1]) / xBoxRatio), 0)
    pos := iff(nRes > BuyZone, 1,
             iff(nRes < SellZone, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal & Ease of Movement (EOM)", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
BuyZone = input(4000, minval=1)
SellZone = input(-4000)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posEOM = EOM(BuyZone, SellZone)
pos = iff(posReversal123 == 1 and posEOM == 1 , 1,
	   iff(posReversal123 == -1 and posEOM == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )

---

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