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双 EMA ゴールデンクロス 取引戦略

作者: リン・ハーンチャオチャン開催日:2023年12月7日 15:08:57
タグ:

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/*backtest
start: 2023-11-29 00:00:00
end: 2023-12-06 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/


//Description:
//This strategy is a refactored version of an EMA cross strategy with a normalized ATR filter and ADX control. 
//It aims to provide traders with signals for long positions based on market conditions defined by various indicators.

//How it Works:
//1. EMA: Uses short (8 periods) and long (20 periods) EMAs to identify crossovers.
//2. ATR: Uses a 14-period ATR, normalized to its 20-period historical range, to filter out noise.
//3. ADX: Uses a 14-period RMA to identify strong trends.
//4. Volume: Filters trades based on a 14-period SMA of volume.
//5. Super Trend: Uses a Super Trend indicator to identify the market direction.

//How to Use:
//- Buy Signal: Generated when EMA short crosses above EMA long, and other conditions like ATR and market direction are met.
//- Sell Signal: Generated based on EMA crossunder and high ADX value.

//Originality and Usefulness:
//This script combines EMA, ATR, ADX, and Super Trend indicators to filter out false signals and identify more reliable trading opportunities. 
//USD Strength is not working, just simulated it as PSEUDO CODE: [close>EMA(50)]

//Strategy Results:
//- Account Size: $1000
//- Commission: Not considered
//- Slippage: Not considered
//- Risk: Less than 5% per trade
//- Dataset: Aim for more than 100 trades for sufficient sample size

//Note: This script should be used for educational purposes and should not be considered as financial advice.

//Chart:
//- The script's output is plotted as Buy and Sell signals on the chart.
//- No other scripts are included for clarity.
//- Have tested with 30mins period
//- You are encouraged to play with parameters, let me know if you 

//@version=5
strategy("Advanced EMA Cross with Normalized ATR Filter, Controlling ADX", shorttitle="ALP V5", overlay=true )

// Initialize variables
var bool hasBought = false
var int barCountSinceBuy = 0

// Define EMA periods
emaShort = ta.ema(close, 8)
emaLong = ta.ema(close, 20)

// Define ATR parameters
atrLength = 14
atrValue = ta.atr(atrLength)
maxHistoricalATR = ta.highest(atrValue, 20)
minHistoricalATR = ta.lowest(atrValue, 20)
normalizedATR = (atrValue - minHistoricalATR) / (maxHistoricalATR - minHistoricalATR)

// Define ADX parameters
adxValue = ta.rma(close, 14)
adxHighLevel = 30
isADXHigh = adxValue > adxHighLevel

// Initialize risk management variables
var float stopLossPercent = na
var float takeProfitPercent = na

// Calculate USD strength
// That's not working as usd strenght, since I couldn't manage to get usd strength 
//I've just simulated it as if the current close price is above 50 days average (it's likely a bullish trend), usd is strong (usd_strenth variable is positive)
usd_strength = close / ta.ema(close, 50) - 1

// Adjust risk parameters based on USD strength
if (usd_strength > 0)
    stopLossPercent := 3
    takeProfitPercent := 6
else
    stopLossPercent := 4
    takeProfitPercent := 8

// Initialize position variable
var float positionPrice = na

// Volume filter
minVolume = ta.sma(volume, 14) * 1.5
isVolumeHigh = volume > minVolume

// Market direction using Super Trend indicator
[supertrendValue, supertrendDirection] = ta.supertrend(4, 14)
bool isBullMarket = supertrendDirection < 0
bool isBearMarket = supertrendDirection > 0

// Buy conditions for Bull and Bear markets
buyConditionBull = isBullMarket and ta.crossover(emaShort, emaLong) and normalizedATR > 0.2
buyConditionBear = isBearMarket and ta.crossover(emaShort, emaLong) and normalizedATR > 0.5
buyCondition = buyConditionBull or buyConditionBear

// Sell conditions for Bull and Bear markets
sellConditionBull = isBullMarket and (ta.crossunder(emaShort, emaLong) or isADXHigh)
sellConditionBear = isBearMarket and (ta.crossunder(emaShort, emaLong) or isADXHigh)
sellCondition = sellConditionBull or sellConditionBear

// Final Buy and Sell conditions
if (buyCondition)
    strategy.entry("Buy", strategy.long)
    positionPrice := close
    hasBought := true
    barCountSinceBuy := 0

if (hasBought)
    barCountSinceBuy := barCountSinceBuy + 1

// Stop-loss and take-profit levels
longStopLoss = positionPrice * (1 - stopLossPercent / 100)
longTakeProfit = positionPrice * (1 + takeProfitPercent / 100)

// Final Sell condition
finalSellCondition = sellCondition and hasBought and barCountSinceBuy >= 3 and isVolumeHigh

if (finalSellCondition)
    strategy.close("Buy")
    positionPrice := na
    hasBought := false
    barCountSinceBuy := 0

// Implement stop-loss and take-profit
strategy.exit("Stop Loss", "Buy", stop=longStopLoss)
strategy.exit("Take Profit", "Buy", limit=longTakeProfit)

// Plot signals
plotshape(series=buyCondition, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="Buy")
plotshape(series=finalSellCondition, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="Sell")

---

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