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2. 2倍移動平均振動取引戦略

2倍移動平均振動取引戦略

作者: リン・ハーンチャオチャン, 日付: 2023-12-04 15:28:12
タグ:

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---

/*backtest
start: 2023-11-03 00:00:00
end: 2023-12-03 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 02/03/2022
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This indicator plots 2/20 exponential moving average. For the Mov 
// Avg X 2/20 Indicator, the EMA bar will be painted when the Alert criteria is met.
//
// Second strategy
// The adaptive price zone (APZ) is a volatility-based technical indicator that helps investors 
// identify possible market turning points, which can be especially useful in a sideways-moving 
// market. It was created by technical analyst Lee Leibfarth in the article “Identify the 
// Turning Point: Trading With An Adaptive Price Zone,” which appeared in the September 2006 issue 
// of the journal Technical Analysis of Stocks and Commodities.
// This indicator attempts to signal significant price movements by using a set of bands based on 
// short-term, double-smoothed exponential moving averages that lag only slightly behind price changes. 
// It can help short-term investors and day traders profit in volatile markets by signaling price 
// reversal points, which can indicate potentially lucrative times to buy or sell. The APZ can be 
// implemented as part of an automated trading system and can be applied to the charts of all tradeable assets.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
EMA20(Length) =>
    pos = 0.0
    xPrice = close
    xXA = ta.ema(xPrice, Length)
    nHH = math.max(high, high[1])
    nLL = math.min(low, low[1])
    nXS = nLL > xXA or nHH < xXA ? nLL : nHH
    iff_1 = nXS < close[1] ? 1 : nz(pos[1], 0)
    pos := nXS > close[1] ? -1 : iff_1
    pos

APZ(nPeriods,nBandPct) =>
    pos = 0.0
    xHL = high - low
    nP = math.ceil(math.sqrt(nPeriods))
    xVal1 = ta.ema(ta.ema(close,nP), nP)
    xVal2 = ta.ema(ta.ema(xHL,nP), nP)
    UpBand = nBandPct * xVal2 + xVal1
    DnBand = xVal1 - nBandPct * xVal2
    pos := low < DnBand ? 1 : high > UpBand ? -1 : pos[1] 
    pos

strategy(title='Combo 2/20 EMA & Adaptive Price Zone', shorttitle='Combo', overlay=true)
var I1 = '●═════ 2/20 EMA ═════●'
Length = input.int(14, minval=1, group=I1)
var I2 = '●═════ Adaptive Price Zone  ═════●'
nPeriods = input(20)
nBandPct = input(2)
var misc = '●═════ MISC ═════●'
reverse = input.bool(false, title='Trade reverse', group=misc)
var timePeriodHeader = '●═════ Time Start ═════●'
d = input.int(1, title='From Day', minval=1, maxval=31, group=timePeriodHeader)
m = input.int(1, title='From Month', minval=1, maxval=12, group=timePeriodHeader)
y = input.int(2005, title='From Year', minval=0, group=timePeriodHeader)

StartTrade = time > timestamp(y, m, d, 00, 00) ? true : false
posEMA20 = EMA20(Length)
prePosAPZ = APZ(nPeriods,nBandPct)
iff_1 = posEMA20 == -1 and prePosAPZ == -1 and StartTrade ? -1 : 0
pos = posEMA20 == 1 and prePosAPZ == 1 and StartTrade ? 1 : iff_1
iff_2 = reverse and pos == -1 ? 1 : pos
possig = reverse and pos == 1 ? -1 : iff_2
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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