チャンデ・モメント・オシレーター (MO)
波動性フィルターとしてのボリンジャー帯: 上部帯 = MA + (K * StdDev) 下帯 = MA - (K * StdDev)
入国条件:
複数の層の利益取りのメカニズムには以下のものがある.
この戦略は,VIDYA指標のダイナミックな適応性とボリンジャーバンドの変動性フィルタリングを組み合わせて,包括的なトレンドフォローシステムを作成する.多層次利益採取メカニズムと差別化されたロング/ショートハンドリングは強い利益の可能性とリスク管理を提供します.しかし,ユーザーは市場の環境の変化を監視し,それに合わせてパラメータを調整し,強力なマネーマネジメントシステムを確立する必要があります.さらなる戦略最適化はパラメータ適応,市場環境認識,リスク管理の強化に焦点を当てるべきです.
/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-10 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © PresentTrading
// This strategy, "VIDYA ProTrend Multi-Tier Profit," is a trend-following system that utilizes fast and slow VIDYA indicators
// to identify entry and exit points based on the direction and strength of the trend.
// It incorporates Bollinger Bands as a volatility filter and features a multi-step take profit mechanism,
// with adjustable ATR-based and percentage-based profit targets for both long and short positions.
// The strategy allows for more aggressive take profit settings for short trades, making it adaptable to varying market conditions.
//@version=5
strategy("VIDYA ProTrend Multi-Tier Profit", overlay=true, precision=3, commission_value= 0.1, commission_type=strategy.commission.percent, slippage= 1, currency=currency.USD, default_qty_type = strategy.percent_of_equity, default_qty_value = 10, initial_capital=10000)
// User-defined inputs
tradeDirection = input.string(title="Trading Direction", defval="Both", options=["Long", "Short", "Both"])
fastVidyaLength = input.int(10, title="Fast VIDYA Length", minval=1)
slowVidyaLength = input.int(30, title="Slow VIDYA Length", minval=1)
minSlopeThreshold = input.float(0.05, title="Minimum VIDYA Slope Threshold", step=0.01)
// Bollinger Bands Inputs
bbLength = input.int(20, title="Bollinger Bands Length", minval=1)
bbMultiplier = input.float(1.0, title="Bollinger Bands Multiplier", step=0.1)
// Multi-Step Take Profit Settings
group_tp = "Multi-Step Take Profit"
useMultiStepTP = input.bool(true, title="Enable Multi-Step Take Profit", group=group_tp)
tp_direction = input.string(title="Take Profit Direction", defval="Both", options=["Long", "Short", "Both"], group=group_tp)
atrLengthTP = input.int(14, title="ATR Length", group=group_tp)
// ATR-based Take Profit Steps
atrMultiplierTP1 = input.float(2.618, title="ATR Multiplier for TP 1", group=group_tp)
atrMultiplierTP2 = input.float(5.0, title="ATR Multiplier for TP 2", group=group_tp)
atrMultiplierTP3 = input.float(10.0, title="ATR Multiplier for TP 3", group=group_tp)
// Short Position Multiplier for Take Profit Percentages
shortTPPercentMultiplier = input.float(1.5, title="Short TP Percent Multiplier", group=group_tp)
// Percentage-based Take Profit Steps (Long)
tp_level_percent1 = input.float(title="Take Profit Level 1 (%)", defval=3.0, group=group_tp)
tp_level_percent2 = input.float(title="Take Profit Level 2 (%)", defval=8.0, group=group_tp)
tp_level_percent3 = input.float(title="Take Profit Level 3 (%)", defval=17.0, group=group_tp)
// Percentage-based Take Profit Allocation (Long)
tp_percent1 = input.float(title="Take Profit Percent 1 (%)", defval=12.0, group=group_tp)
tp_percent2 = input.float(title="Take Profit Percent 2 (%)", defval=8.0, group=group_tp)
tp_percent3 = input.float(title="Take Profit Percent 3 (%)", defval=10.0, group=group_tp)
// ATR-based Take Profit Percent Allocation (Long)
tp_percentATR1 = input.float(title="ATR TP Percent 1 (%)", defval=10.0, group=group_tp)
tp_percentATR2 = input.float(title="ATR TP Percent 2 (%)", defval=10.0, group=group_tp)
tp_percentATR3 = input.float(title="ATR TP Percent 3 (%)", defval=10.0, group=group_tp)
// Short position percentage allocations using the multiplier
tp_percent1_short = tp_percent1 * shortTPPercentMultiplier
tp_percent2_short = tp_percent2 * shortTPPercentMultiplier
tp_percent3_short = tp_percent3 * shortTPPercentMultiplier
tp_percentATR1_short = tp_percentATR1 * shortTPPercentMultiplier
tp_percentATR2_short = tp_percentATR2 * shortTPPercentMultiplier
tp_percentATR3_short = tp_percentATR3 * shortTPPercentMultiplier
// VIDYA Calculation Function
calcVIDYA(src, length) =>
alpha = 2 / (length + 1)
momm = ta.change(src)
m1 = momm >= 0.0 ? momm : 0.0
m2 = momm < 0.0 ? -momm : 0.0
sm1 = math.sum(m1, length)
sm2 = math.sum(m2, length)
chandeMO = nz(100 * (sm1 - sm2) / (sm1 + sm2))
k = math.abs(chandeMO) / 100
var float vidya = na
vidya := na(vidya[1]) ? src : (alpha * k * src + (1 - alpha * k) * vidya[1])
vidya
// Calculate VIDYAs
fastVIDYA = calcVIDYA(close, fastVidyaLength)
slowVIDYA = calcVIDYA(close, slowVidyaLength)
// Bollinger Bands Calculation
[bbUpper, bbBasis, bbLower] = ta.bb(close, bbLength, bbMultiplier)
// Manual Slope Calculation (price difference over time)
calcSlope(current, previous, length) =>
(current - previous) / length
// Slope of fast and slow VIDYA (comparing current value with value 'length' bars ago)
fastSlope = calcSlope(fastVIDYA, fastVIDYA[fastVidyaLength], fastVidyaLength)
slowSlope = calcSlope(slowVIDYA, slowVIDYA[slowVidyaLength], slowVidyaLength)
// Conditions for long entry with Bollinger Bands filter
longCondition = close > slowVIDYA and fastVIDYA > slowSlope and fastSlope > minSlopeThreshold and slowSlope > 1/2*minSlopeThreshold and close > bbUpper
// Conditions for short entry with Bollinger Bands filter
shortCondition = close < slowVIDYA and fastSlope < slowSlope and fastSlope < -minSlopeThreshold and slowSlope < -1/2*minSlopeThreshold and close < bbLower
// Exit conditions (opposite crossovers or flat slopes)
exitLongCondition = fastSlope < -minSlopeThreshold and slowSlope < -1/2*minSlopeThreshold or shortCondition
exitShortCondition = fastSlope > minSlopeThreshold and slowSlope > 1/2*minSlopeThreshold or longCondition
// Entry and Exit logic with trading direction
if (longCondition) and (strategy.position_size == 0) and (tradeDirection == "Long" or tradeDirection == "Both")
strategy.entry("Long", strategy.long)
if (exitLongCondition) and strategy.position_size > 0 and (tradeDirection == "Long" or tradeDirection == "Both")
strategy.close("Long")
if (shortCondition) and (strategy.position_size == 0) and (tradeDirection == "Short" or tradeDirection == "Both")
strategy.entry("Short", strategy.short)
if (exitShortCondition) and strategy.position_size < 0 and (tradeDirection == "Short" or tradeDirection == "Both")
strategy.close("Short")
if useMultiStepTP
if strategy.position_size > 0 and (tp_direction == "Long" or tp_direction == "Both")
// ATR-based Take Profit (Long)
tp_priceATR1_long = strategy.position_avg_price + atrMultiplierTP1 * ta.atr(atrLengthTP)
tp_priceATR2_long = strategy.position_avg_price + atrMultiplierTP2 * ta.atr(atrLengthTP)
tp_priceATR3_long = strategy.position_avg_price + atrMultiplierTP3 * ta.atr(atrLengthTP)
// Percentage-based Take Profit (Long)
tp_pricePercent1_long = strategy.position_avg_price * (1 + tp_level_percent1 / 100)
tp_pricePercent2_long = strategy.position_avg_price * (1 + tp_level_percent2 / 100)
tp_pricePercent3_long = strategy.position_avg_price * (1 + tp_level_percent3 / 100)
// Execute ATR-based exits for Long
strategy.exit("TP ATR 1 Long", from_entry="Long", qty_percent=tp_percentATR1, limit=tp_priceATR1_long)
strategy.exit("TP ATR 2 Long", from_entry="Long", qty_percent=tp_percentATR2, limit=tp_priceATR2_long)
strategy.exit("TP ATR 3 Long", from_entry="Long", qty_percent=tp_percentATR3, limit=tp_priceATR3_long)
// Execute Percentage-based exits for Long
strategy.exit("TP Percent 1 Long", from_entry="Long", qty_percent=tp_percent1, limit=tp_pricePercent1_long)
strategy.exit("TP Percent 2 Long", from_entry="Long", qty_percent=tp_percent2, limit=tp_pricePercent2_long)
strategy.exit("TP Percent 3 Long", from_entry="Long", qty_percent=tp_percent3, limit=tp_pricePercent3_long)
if strategy.position_size < 0 and (tp_direction == "Short" or tp_direction == "Both")
// ATR-based Take Profit (Short) - using the same ATR levels as long
tp_priceATR1_short = strategy.position_avg_price - atrMultiplierTP1 * ta.atr(atrLengthTP)
tp_priceATR2_short = strategy.position_avg_price - atrMultiplierTP2 * ta.atr(atrLengthTP)
tp_priceATR3_short = strategy.position_avg_price - atrMultiplierTP3 * ta.atr(atrLengthTP)
// Percentage-based Take Profit (Short) - using the same levels, but more aggressive percentages
tp_pricePercent1_short = strategy.position_avg_price * (1 - tp_level_percent1 / 100)
tp_pricePercent2_short = strategy.position_avg_price * (1 - tp_level_percent2 / 100)
tp_pricePercent3_short = strategy.position_avg_price * (1 - tp_level_percent3 / 100)
// Execute ATR-based exits for Short (using the percentage multiplier for short)
strategy.exit("TP ATR 1 Short", from_entry="Short", qty_percent=tp_percentATR1_short, limit=tp_priceATR1_short)
strategy.exit("TP ATR 2 Short", from_entry="Short", qty_percent=tp_percentATR2_short, limit=tp_priceATR2_short)
strategy.exit("TP ATR 3 Short", from_entry="Short", qty_percent=tp_percentATR3_short, limit=tp_priceATR3_short)
// Execute Percentage-based exits for Short
strategy.exit("TP Percent 1 Short", from_entry="Short", qty_percent=tp_percent1_short, limit=tp_pricePercent1_short)
strategy.exit("TP Percent 2 Short", from_entry="Short", qty_percent=tp_percent2_short, limit=tp_pricePercent2_short)
strategy.exit("TP Percent 3 Short", from_entry="Short", qty_percent=tp_percent3_short, limit=tp_pricePercent3_short)
// Plot VIDYAs
plot(fastVIDYA, color=color.green, title="Fast VIDYA")
plot(slowVIDYA, color=color.red, title="Slow VIDYA")