この戦略は,異なる期間の2つの指数関数移動平均 (MAEMA) の移動平均が交差するときに購入・売却信号を生成する. 短期期線は市場傾向と短期逆転信号を決定するために使用され,長期期線は主要なトレンド方向を決定するために使用されます.
この戦略は,MAEMAの二重移動平均クロスオーバーを使用して市場傾向の変化を判断する.基本原則はシンプルで明確である.MAEMA自身の勢いと予測能力と組み合わせると,逆転信号を識別するのに効果的です.パラメータ最適化とフィルターの強化に注意を払う必要があります.
/*backtest start: 2023-12-12 00:00:00 end: 2024-01-11 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // © informanerd //@version=4 strategy("MultiType Shifting Predictive MAs Crossover", shorttitle = "MTSPMAC + MBHB Strategy", overlay = true) //inputs predict = input(true, "Show MA Prediction Tails") trendFill = input(true, "Fill Between MAs Based on Trend") signal = input(true, "Show Cross Direction Signals") showMA1 = input(true, "[ Show Fast Moving Average ]══════════") type1 = input("MAEMA (Momentum Adjusted Exponential)", "Fast MA Type", options = ["MAEMA (Momentum Adjusted Exponential)", "DEMA (Double Exponential)", "EMA (Exponential)", "HMA (Hull)", "LSMA (Least Squares)", "RMA (Adjusted Exponential)", "SMA (Simple)", "SWMA (Symmetrically Weighted)", "TEMA (Triple Exponential)", "TMA (Triangular)", "VMA / VIDYA (Variable Index Dynamic Average)", "VWMA (Volume Weighted)", "WMA (Weighted)"]) src1 = input(high, "Fast MA Source") len1 = input(80, "Fast MA Length", minval = 2) shift1 = input(0, "Fast MA Shift") maThickness1 = input(2, "Fast MA Thickness", minval = 1) trendColor1 = input(false, "Color Fast MA Based on Detected Trend") showBand1 = input(false, "Show Fast MA Range Band") atrPer1 = input(20, "Fast Band ATR Lookback Period") atrMult1 = input(3, "Fast Band ATR Multiplier") showMA2 = input(true, "[ Show Slow Moving Average ]══════════") type2 = input("MAEMA (Momentum Adjusted Exponential)", "Slow MA Type", options = ["MAEMA (Momentum Adjusted Exponential)", "DEMA (Double Exponential)", "EMA (Exponential)", "HMA (Hull)", "LSMA (Least Squares)", "RMA (Adjusted Exponential)", "SMA (Simple)", "SWMA (Symmetrically Weighted)", "TEMA (Triple Exponential)", "TMA (Triangular)", "VMA / VIDYA (Variable Index Dynamic Average)", "VWMA (Volume Weighted)", "WMA (Weighted)"]) src2 = input(close, "Slow MA Source") len2 = input(144, "Slow MA Length", minval = 2) shift2 = input(0, "Slow MA Shift") maThickness2 = input(2, "Slow MA Thickness", minval = 1) trendColor2 = input(false, "Color Slow MA Based on Detected Trend") showBand2 = input(false, "Show Slow MA Range Band") atrPer2 = input(20, "Slow Band ATR Lookback Period") atrMult2 = input(3, "Slow Band ATR Multiplier") //ma calculations ma(type, src, len) => if type == "MAEMA (Momentum Adjusted Exponential)" goldenRatio = (1 + sqrt(5)) / 2 momentumLen = round(len / goldenRatio), momentum = change(src, momentumLen), probabilityLen = len / goldenRatio / goldenRatio ema(src + (momentum + change(momentum, momentumLen) * 0.5) * sum(change(src) > 0 ? 1 : 0, round(probabilityLen)) / probabilityLen, len) else if type == "DEMA (Double Exponential)" 2 * ema(src, len) - ema(ema(src, len), len) else if type == "EMA (Exponential)" ema(src, len) else if type == "HMA (Hull)" wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len))) else if type == "LSMA (Least Squares)" 3 * wma(src, len) - 2 * sma(src, len) else if type == "RMA (Adjusted Exponential)" rma(src, len) else if type == "SMA (Simple)" sma(src, len) else if type == "SWMA (Symmetrically Weighted)" swma(src) else if type == "TEMA (Triple Exponential)" 3 * ema(src, len) - 3 * ema(ema(src, len), len) + ema(ema(ema(src, len), len), len) else if type == "TMA (Triangular)" swma(wma(src, len)) else if type == "VMA / VIDYA (Variable Index Dynamic Average)" smoothing = 2 / len, volIndex = abs(cmo(src, len) / 100) vma = 0., vma := (smoothing * volIndex * src) + (1 - smoothing * volIndex) * nz(vma[1]) else if type == "VWMA (Volume Weighted)" vwma(src, len) else if type == "WMA (Weighted)" wma(src, len) ma1 = ma(type1, src1, len1) ma2 = ma(type2, src2, len2) //ma predictions pma11 = len1 > 2 ? (ma(type1, src1, len1 - 1) * (len1 - 1) + src1 * 1) / len1 : na pma12 = len1 > 3 ? (ma(type1, src1, len1 - 2) * (len1 - 2) + src1 * 2) / len1 : na pma13 = len1 > 4 ? (ma(type1, src1, len1 - 3) * (len1 - 3) + src1 * 3) / len1 : na pma21 = len2 > 2 ? (ma(type2, src2, len2 - 1) * (len2 - 1) + src2 * 1) / len2 : na pma22 = len2 > 3 ? (ma(type2, src2, len2 - 2) * (len2 - 2) + src2 * 2) / len2 : na pma23 = len2 > 4 ? (ma(type2, src2, len2 - 3) * (len2 - 3) + src2 * 3) / len2 : na //ma range bands r1 = atr(atrPer1) * atrMult1 hBand1 = ma1 + r1 lBand1 = ma1 - r1 r2 = atr(atrPer2) * atrMult2 hBand2 = ma2 + r2 lBand2 = ma2 - r2 //drawings ma1Plot = plot(showMA1 ? ma1 : na, "Fast MA", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, maThickness1, offset = shift1) ma2Plot = plot(showMA2 ? ma2 : na, "Slow MA", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, maThickness2, offset = shift2) fill(ma1Plot, ma2Plot, trendFill and ma1 > ma2 ? color.lime : trendFill and ma1 < ma2 ? color.maroon : na, 90) plot(showMA1 and predict ? pma11 : na, "PossibleMA1-1", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, style = plot.style_circles, offset = shift1 + 1, show_last = 1) plot(showMA1 and predict ? pma12 : na, "PossibleMA1-2", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, style = plot.style_circles, offset = shift1 + 2, show_last = 1) plot(showMA1 and predict ? pma13 : na, "PossibleMA1-3", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, style = plot.style_circles, offset = shift1 + 3, show_last = 1) plot(showMA2 and predict ? pma21 : na, "PossibleMA2-1", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, style = plot.style_circles, offset = shift2 + 1, show_last = 1) plot(showMA2 and predict ? pma22 : na, "PossibleMA2-2", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, style = plot.style_circles, offset = shift2 + 2, show_last = 1) plot(showMA2 and predict ? pma23 : na, "PossibleMA2-3", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, style = plot.style_circles, offset = shift2 + 3, show_last = 1) plot(showBand1 ? hBand1 : na, "Fast Higher Band", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, offset = shift1) plot(showBand1 ? lBand1 : na, "Fast Lower Band", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, offset = shift1) plot(showBand2 ? hBand2 : na, "Slow Higher Band", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, offset = shift2) plot(showBand2 ? lBand2 : na, "Slow Lower Band", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, offset = shift2) //crosses & alerts up = crossover(ma1, ma2) down = crossover(ma2, ma1) plotshape(signal ? up : na, "Buy", shape.triangleup, location.belowbar, color.green, offset = shift1, size = size.small) plotshape(signal ? down : na, "Sell", shape.triangledown, location.abovebar, color.red, offset = shift1, size = size.small) alertcondition(up, "Buy", "Buy") alertcondition(down, "Sell", "Sell") // @version=1 // Title: "Multi Bollinger Heat Bands - EMA/Breakout options". // Author: JayRogers // // * Description * // Short: It's your Basic Bollinger Bands, but 3 of them, and some pointy things. // // Long: Three stacked sma based Bollinger Bands designed just to give you a quick visual on the "heat" of movement. // Set inner band as you would expect, then set your preferred additional multiplier increments for the outer 2 bands. // Option to use EMA as alternative basis, rather than SMA. // Breakout indication shapes, which have their own multiplier seperate from the BB's; but still tied to same length/period. // strategy(shorttitle="[JR]MBHB_EBO", title="[JR] Multi Bollinger Heat Bands - EMA/Breakout options", overlay=true) // Bollinger Bands Inputs bb_use_ema = input(false, title="Use EMA Basis?") bb_length = input(80, minval=1, title="Bollinger Length") bb_source = input(close, title="Bollinger Source") bb_mult = input(1.0, title="Base Multiplier", minval=0.001, maxval=50) bb_mult_inc = input(1, title="Multiplier Increment", minval=0.001, maxval=2) // Breakout Indicator Inputs break_mult = input(3, title="Breakout Multiplier", minval=0.001, maxval=50) breakhigh_source = input(high, title="High Break Source") breaklow_source = input(low, title="Low Break Source") bb_basis = bb_use_ema ? ema(bb_source, bb_length) : sma(bb_source, bb_length) // Deviation // * I'm sure there's a way I could write some of this cleaner, but meh. dev = stdev(bb_source, bb_length) bb_dev_inner = bb_mult * dev bb_dev_mid = (bb_mult + bb_mult_inc) * dev bb_dev_outer = (bb_mult + (bb_mult_inc * 2)) * dev break_dev = break_mult * dev // Upper bands inner_high = bb_basis + bb_dev_inner mid_high = bb_basis + bb_dev_mid outer_high = bb_basis + bb_dev_outer // Lower Bands inner_low = bb_basis - bb_dev_inner mid_low = bb_basis - bb_dev_mid outer_low = bb_basis - bb_dev_outer // Breakout Deviation break_high = bb_basis + break_dev break_low = bb_basis - break_dev // plot basis plot(bb_basis, title="Basis Line", color=color.yellow, transp=50) // plot and fill upper bands ubi = plot(inner_high, title="Upper Band Inner", color=color.red, transp=90) ubm = plot(mid_high, title="Upper Band Middle", color=color.red, transp=85) ubo = plot(outer_high, title="Upper Band Outer", color=color.red, transp=80) fill(ubi, ubm, title="Upper Bands Inner Fill", color=color.red, transp=90) fill(ubm, ubo, title="Upper Bands Outer Fill",color=color.red, transp=80) // plot and fill lower bands lbi = plot(inner_low, title="Lower Band Inner", color=color.green, transp=90) lbm = plot(mid_low, title="Lower Band Middle", color=color.green, transp=85) lbo = plot(outer_low, title="Lower Band Outer", color=color.green, transp=80) fill(lbi, lbm, title="Lower Bands Inner Fill", color=color.green, transp=90) fill(lbm, lbo, title="Lower Bands Outer Fill", color=color.green, transp=80) // center channel fill fill(ubi, lbi, title="Center Channel Fill", color=color.silver, transp=100) // plot breakouts plotshape(breakhigh_source >= break_high, title="High Breakout", style=shape.triangledown, location=location.abovebar, size=size.tiny, color=color.white, transp=0) plotshape(breaklow_source <= break_low, title="Low Breakout", style=shape.triangleup, location=location.belowbar, size=size.tiny, color=color.white, transp=0) High_Break = breakhigh_source >= break_high Low_Break = breaklow_source <= break_low // Conditions Stop_Momentum = low < ma1 //Strategy Tester strategy.entry("long", strategy.long, when=(up and (hlc3 < inner_high))) strategy.close("long", when=down) strategy.entry("longwickdown", strategy.long, when=Low_Break) strategy.close("longwickdown", when=(high > ma1)) //true signals test //var winCount = 0, var loseCount = 0, testBarIndex = 1 //if (up[testBarIndex] and close > close[testBarIndex]) or (down[testBarIndex] and close < close[testBarIndex]) // label.new(bar_index, 0, "W", yloc = yloc.abovebar, color = color.green) // winCount := winCount + 1 //else if (up[testBarIndex] and close < close[testBarIndex]) or (down[testBarIndex] and close > close[testBarIndex]) // label.new(bar_index, 0, "L", yloc = yloc.abovebar, color = color.red) // loseCount := loseCount + 1 //winRate = label.new(time + (time - time[1]) * 2, ohlc4, tostring(round(winCount / (winCount + loseCount) * 100)) + "%", xloc = xloc.bar_time, color = color.orange, style = label.style_label_left) //if not na(winRate[1]) // label.delete(winRate[1])