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2. 究極のバランスオシレーター取引戦略

究極のバランスオシレーター取引戦略

作者: リン・ハーンチャオチャン,日付: 2024-01-12 14:08:33
タグ:

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/*backtest
start: 2023-01-05 00:00:00
end: 2024-01-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// © Julien_Eche

//@version=5
strategy("Ultimate Balance Oscillator Strategy", overlay=true)

// Indicator Weights
weightROC = input.float(2, "Rate of Change (ROC) Weight", group="Weightings")
weightRSI = input.float(0.5, "Relative Strength Index (RSI) Weight", group="Weightings")
weightCCI = input.float(2, "Commodity Channel Index (CCI) Weight", group="Weightings")
weightWilliamsR = input.float(0.5, "Williams %R Weight", group="Weightings")
weightADX = input.float(0.5, "Average Directional Index (ADX) Weight", group="Weightings")

// ROC Settings
rocLength = input.int(20, "Length", minval=1, group="ROC")

// RSI Settings
rsiLength = input.int(14, "Length", minval=1, group="RSI")

// CCI Settings
cciLength = input.int(20, "Length", minval=1, group="CCI")

// Williams %R Settings
williamsRLength = input.int(14, "Length", minval=1, group="Williams %R")

// ADX Settings
adxLength = input.int(14, "ADX Length", minval=1, group="ADX")
adxDiLength = input.int(14, "DI Length", minval=1, group="ADX")

// Source
source_options = input.string("hlc3", "Source", options=["open", "high", "low", "close", "hl2", "hlc3", "ohlc4"])

price_open = request.security(syminfo.tickerid, "D", open)
price_high = request.security(syminfo.tickerid, "D", high)
price_low = request.security(syminfo.tickerid, "D", low)
price_close = request.security(syminfo.tickerid, "D", close)
price_hl2 = request.security(syminfo.tickerid, "D", hl2)
price_hlc3 = request.security(syminfo.tickerid, "D", hlc3)
price_ohlc4 = request.security(syminfo.tickerid, "D", ohlc4)

get_source(source_option) =>
    price = price_close
    if source_option == "open"
        price := price_open
    else if source_option == "high"
        price := price_high
    else if source_option == "low"
        price := price_low
    else if source_option == "close"
        price := price_close
    else if source_option == "hl2"
        price := price_hl2
    else if source_option == "hlc3"
        price := price_hlc3
    else
        price := price_ohlc4
    price

src = get_source(source_options)

// Overbought/Oversold Levels
obLevel = input.float(0.75, "Overbought Level")
osLevel = input.float(0.25, "Oversold Level")

// Calculating the indicators
rocValue = ta.change(close, rocLength)
rsiValue = ta.rsi(close, rsiLength)
cciValue = (src - ta.sma(src, cciLength)) / (0.015 * ta.dev(src, cciLength))
williamsRValue = -100 * (ta.highest(high, williamsRLength) - close) / (ta.highest(high, williamsRLength) - ta.lowest(low, williamsRLength))

dirmov(len) =>
    up = ta.change(high)
    down = -ta.change(low)
    plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
    minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
    truerange = ta.rma(ta.tr, len)
    plus = fixnan(100 * ta.rma(plusDM, len) / truerange)
    minus = fixnan(100 * ta.rma(minusDM, len) / truerange)
    [plus, minus]

adx(dilen, adxlen) =>
    [plus, minus] = dirmov(dilen)
    sum = plus + minus
    adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)

adxValue = adx(adxDiLength, adxLength)

// Normalizing the values
normalize(value, min, max) =>
    (value - min) / (max - min)

normalizedROC = normalize(rocValue, ta.lowest(rocValue, rocLength), ta.highest(rocValue, rocLength))
normalizedRSI = normalize(rsiValue, 0, 100)
normalizedCCI = normalize(cciValue, ta.lowest(cciValue, cciLength), ta.highest(cciValue, cciLength))
normalizedWilliamsR = normalize(williamsRValue, ta.lowest(williamsRValue, williamsRLength), ta.highest(williamsRValue, williamsRLength))
normalizedADX = normalize(adxValue, 0, 50)

// Calculating the combined oscillator line
oscillatorLine = (normalizedROC * weightROC + normalizedRSI * weightRSI + normalizedCCI * weightCCI + normalizedWilliamsR * weightWilliamsR + normalizedADX * weightADX) / (weightROC + weightRSI + weightCCI + weightWilliamsR + weightADX)

// Strategy conditions
enterLong = ta.crossover(oscillatorLine, obLevel)
exitLong = ta.crossunder(oscillatorLine, osLevel)

// Strategy orders
if (enterLong)
    strategy.entry("Buy", strategy.long)
if (exitLong)
    strategy.close("Buy")

// Alert conditions
if (enterLong)
    alert("Buy signal")
if (exitLong)
    alert("Exit signal")

---

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