이 전략은 평균 진정한 범위 (ATR) 와 상품 채널 지수 (CCI) 를 결합하여 가격 추세를 식별하고, 과도한 구매/ 과도한 판매 수준을 입점 및 출구 신호로 사용합니다. ATR은 상부 및 하부 대역을 계산하고, CCI는 트렌드 방향을 결정합니다. CCI가 과도한 구매 수준을 넘어서면 짧고, CCI가 과도한 판매 수준을 넘어서면 길어집니다. 따라서 추세를 따르고 있습니다.
이 전략은 트렌드 식별과 채널 브레이크오웃을 결합하여 트렌드를 효과적으로 추적합니다.
전체적으로 이것은 간단하고 실용적인 트렌드 다음 전략이다. 그것의 장점은 트렌드를 빠르게 활용하기 위한 명확한 논리와 구현의 편리함이다. 그러나 스톱 로스 범위와 같은 매개 변수는 시장 조건에 따라 최적화를 필요로 한다. 다른 지표와 결합하면 전략을 더욱 향상시킬 수 있다. 트렌드 다음 전략 초보자로서, 그것은 학습하고 참조할 가치가 있다.
/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("Trend Trader Karan",overlay=true)
res = input(title="Resolution", type=input.resolution, defval="60",confirm = true)
ProfitPerc = input(title=" Take Profit (%)",type=input.float, minval=0.0, step=0.1, defval=1.4) * 0.01
stoploss = input(title=" Stop Loss (%)",type=input.float, minval=0.0, step=0.1, defval=0.7) * 0.01
CCI = input(10,title = "CCI")
ATR = input(2,title = "ATR")
Multiplier= 1
original = false
thisCCI = cci(close, CCI)
lastCCI = nz(thisCCI[1])
calcx()=>
bufferDn= high + Multiplier * wma(tr,ATR)
bufferUp= low - Multiplier * wma(tr,ATR)
if (thisCCI >= 0 and lastCCI < 0)
bufferUp := bufferDn[1]
if (thisCCI <= 0 and lastCCI > 0)
bufferDn := bufferUp[1]
if (thisCCI >= 0)
if (bufferUp < bufferUp[1])
bufferUp := bufferUp[1]
else
if (thisCCI <= 0)
if (bufferDn > bufferDn[1])
bufferDn := bufferDn[1]
x = 0.0
x := thisCCI >= 0 ?bufferUp:thisCCI <= 0 ?bufferDn:x[1]
x
tempx = calcx()
calcswap() =>
swap = 0.0
swap := tempx>tempx[1]?1:tempx<tempx[1]?-1:swap[1]
swap
tempswap = calcswap()
swap2=tempswap==1?color.green:color.red
swap3=thisCCI >=0 ?color.green :color.red
swap4=original?swap3:swap2
//display current timeframe's Trend
plot(tempx,color=swap4 == color.green ? color.green : swap4,transp=0,linewidth=4)
htfx = security(syminfo.tickerid,res,tempx[1],lookahead = barmerge.lookahead_on)
htfswap4 = security(syminfo.tickerid,res,swap4[1],lookahead = barmerge.lookahead_on)
plot(htfx,color=htfswap4,transp=0,linewidth=3)
//plotarrow( ? 1 : swap4[1] == color.yellow and swap4 == color.blue ? -1 :0 , title="Up Entry Arrow", colorup=color.green,colordown = color.blue, maxheight=10, minheight=10, transp=0)
plotshape( swap4[1] == color.red and swap4 == color.green ? 1 : na , style = shape.triangleup , color = color.blue , location = location.belowbar , size = size.tiny )
plotshape( swap4[1] == color.green and swap4 == color.red ? 1 : na , style = shape.triangledown , color = color.red , location = location.abovebar , size = size.tiny)
buy = swap4[1] == color.red and swap4 == color.green and htfswap4 == color.green
sell = swap4[1] == color.green and swap4 == color.red and htfswap4 == color.red
if(buy)
strategy.entry("buy",true)
if(sell)
strategy.entry("sell",false)
if(swap4[1] == color.red and swap4 == color.green)
strategy.close("sell")
if(swap4[1] == color.green and swap4 == color.red )
strategy.close("buy")
longExitPrice = strategy.position_avg_price * (1 + ProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - ProfitPerc)
stop_buy = strategy.position_avg_price * (1 - stoploss)
stop_sell = strategy.position_avg_price * (1 + stoploss)
if (strategy.position_size > 0)
strategy.exit(id="Target", limit=longExitPrice , stop = stop_buy)
if (strategy.position_size < 0)
strategy.exit(id="Target", limit=shortExitPrice , stop = stop_sell)
///////////////study("EMA ", overlay=true)
plot(ema(close, 200), color=#FF7000, linewidth=2, title='200 Day EMA')
plot(ema(close, 20), color=#0088FA, linewidth=2, title='20 Day EMA')
plot(ema(close, 50), color=#FA00D0, linewidth=2, title='50 Day EMA')
//////////////////study("Trend Lines+++", overlay=true)
//
src = input(low)
len0 = input(100)
calcSlope(src, len0) =>
if not barstate.islast
[float(na), float(na), float(na)]
else
sumX = 0.0
sumY = 0.0
sumXSqr = 0.0
sumXY = 0.0
for i = 0 to len0 - 1
val = src[i]
per = i + 1.0
sumX := sumX + per
sumY := sumY + val
sumXSqr := sumXSqr + per * per
sumXY := sumXY + val * per
slope = (len0 * sumXY - sumX * sumY) / (len0 * sumXSqr - sumX * sumX)
average = sumY / len0
intercept = average - slope * sumX / len0 + slope
[slope, average, intercept]
[s, a, i] = calcSlope(src, len0)
startPrice = i + s * (len0 - 1)
endPrice = i
// var line baseLine = na
// if na(baseLine)
// baseLine := line.new(bar_index - len0 + 1, startPrice, bar_index, endPrice, width=4, extend=extend.right)
// else
// line.set_xy1(baseLine, bar_index - len0 + 1, startPrice)
// line.set_xy2(baseLine, bar_index, endPrice)
// na
//
mx = input(100, "Range", minval=1)
mn = max(2, round(mx / 10) + 1)
LN(B, CLR) =>
s1 = B == 1 ? highest(src, mx) : lowest(src, mx)
s2 = B == 1 ? highest(src, mn) : lowest(src, mn)
c1 = s1 == src
c2 = s2 == src
b1 = barssince(c1)
b2 = barssince(c2)
v1 = valuewhen(c1, s1, 0)
v2 = valuewhen(c2, s2, 0)
// line.new(bar_index - b1, v1, bar_index - b2, v2, extend=extend.both, color=CLR, width=2)
// L1 = LN(1, #ff0088), line.delete(L1[1])
// L2 = LN(0, #00ff88), line.delete(L2[1])
//
// Input variables
len=input(30,title="loockback length pivots")
wicks=input(true,title="Draw lines from wicks (checked) or real bodies (unchecked)?")
disp_select=input(true,title="Display only falling 'high' and rising 'low' trendlines?")
do_mono=input(false,title="checked = monochrome lines, unchecked = direction colored lines?")
limit_extension=input(0,title="Limit extensions of the lines? 0 = infinite, other values x 100 bars",minval=0)
do_alerts=input(true,title="show trendline breaks")
trendline_nr=input(5,title="number of past trendlines to check for breaks (max = 10)",minval=0,maxval=10)
select_breaks=input(true,title="only display 'long' breaks on trendlines connecting 'highs' and 'short' for 'lows'")
log_chart=input(false,title="USING A LOG CHART? MAKE SURE TO CHECK THIS BOX!!")
// Calculating the 'time value' of one bar
bar_time=time-time[1]
// Initialising color scheme
var color color_rising=do_mono?color.teal:color.lime
var color color_falling=do_mono?color.teal:color.fuchsia
/////// Function declarations ///////
// Declaration of trendline function
f_trendline(_input_function,_delay,_only_up,_extend) =>
// Calculate line coordinates (Ax,Ay) - (Bx,By)
var int Ax = 0
var int Bx = 0
var float By = 0.0
var float slope = 0.0
Ay = fixnan(_input_function)
if change(Ay)!=0
Ax := time[_delay]
By:= Ay[1]
Bx := Ax[1]
slope:=log_chart?((log(Ay)-log(By))/(Ax-Bx)):((Ay-By)/(Ax-Bx))
else
Ax := Ax[1]
Bx := Bx[1]
By := By[1]
// Draw trendlines
var line trendline=na
var int Axbis=0
var float Aybis=0.0
var bool _xtend=true
extension_time = limit_extension*bar_time*100
Axbis := Ax + extension_time
Aybis := log_chart?(Ay*exp(extension_time*slope)):(Ay + extension_time*slope)
if limit_extension!=0
_xtend:=false
if change(Ay)!=0
line_color = slope*time<0?(_only_up?(disp_select?na:color_rising):color_rising):(_only_up?color_falling:(disp_select?na:color_falling))
if not na(line_color)
trendline = line.new(Bx,By,Axbis, Aybis, xloc.bar_time, extend=_xtend?extend.right:extend.none, color=line_color, style=line.style_dotted, width=1)
[Bx,By,Axbis,Aybis,slope]
// Function to get trendline price for X bars ago ("0" = current value)
line_get_price(_start_time,_start_price,_slope,_lookback_period,_log_chart) =>
var float current_price=0.0
elapsed_time = (time-_start_time)
current_price := _log_chart?(_start_price*exp((elapsed_time-(_lookback_period*bar_time))*_slope)):(_start_price + (elapsed_time-(_lookback_period*bar_time))*_slope)
// Function to check for trendline crosses
line_cross(_check_value,_start_time,_start_price,_slope,_log_chart) =>
var float current_value=0.0
var float previous_value=0.0
// Get current and previous price for the trendline
current_value := line_get_price(_start_time,_start_price,_slope,0,_log_chart)
previous_value := line_get_price(_start_time,_start_price,_slope,1,_log_chart)
// Return 1 for crossover, -1 for crossunder and 0 for no cross detected
cross =
_check_value[1]<previous_value and _check_value>current_value?1:
_check_value[1]>previous_value and _check_value<current_value?-1:0
/////// Start of main script ///////
// Calculate pivot points
high_point=pivothigh(wicks?high:(close>open?close:open),len,len/2)
low_point=pivotlow(wicks?low:(close>open?open:close),len,len/2)
// Call trendline function for high and low pivot points
[phx1,phy1,phx2,phy2,slope_high]=f_trendline(high_point,len/2,false,true)
[plx1,ply1,plx2,ply2,slope_low]=f_trendline(low_point,len/2,true,true)
// Initialition of pseudo array to keep track of last 10 high and 10 low trendline values
var int high_x0=0, var float high_y0=0.0, var float high_sl0=0.0
var int high_x1=0, var float high_y1=0.0, var float high_sl1=0.0
var int high_x2=0, var float high_y2=0.0, var float high_sl2=0.0
var int high_x3=0, var float high_y3=0.0, var float high_sl3=0.0
var int high_x4=0, var float high_y4=0.0, var float high_sl4=0.0
var int high_x5=0, var float high_y5=0.0, var float high_sl5=0.0
var int high_x6=0, var float high_y6=0.0, var float high_sl6=0.0
var int high_x7=0, var float high_y7=0.0, var float high_sl7=0.0
var int high_x8=0, var float high_y8=0.0, var float high_sl8=0.0
var int high_x9=0, var float high_y9=0.0, var float high_sl9=0.0
var int low_x0=0, var float low_y0=0.0, var float low_sl0=0.0
var int low_x1=0, var float low_y1=0.0, var float low_sl1=0.0
var int low_x2=0, var float low_y2=0.0, var float low_sl2=0.0
var int low_x3=0, var float low_y3=0.0, var float low_sl3=0.0
var int low_x4=0, var float low_y4=0.0, var float low_sl4=0.0
var int low_x5=0, var float low_y5=0.0, var float low_sl5=0.0
var int low_x6=0, var float low_y6=0.0, var float low_sl6=0.0
var int low_x7=0, var float low_y7=0.0, var float low_sl7=0.0
var int low_x8=0, var float low_y8=0.0, var float low_sl8=0.0
var int low_x9=0, var float low_y9=0.0, var float low_sl9=0.0
// If a new trendline is formed, shift all values in the array one place up and forget the last values
if change(fixnan(high_point))!=0
high_x9:=high_x8, high_y9:=high_y8, high_sl9:=high_sl8
high_x8:=high_x7, high_y8:=high_y7, high_sl8:=high_sl7
high_x7:=high_x6, high_y7:=high_y6, high_sl7:=high_sl6
high_x6:=high_x5, high_y6:=high_y5, high_sl6:=high_sl5
high_x5:=high_x4, high_y5:=high_y4, high_sl5:=high_sl4
high_x4:=high_x3, high_y4:=high_y3, high_sl4:=high_sl3
high_x3:=high_x2, high_y3:=high_y2, high_sl3:=high_sl2
high_x2:=high_x1, high_y2:=high_y1, high_sl2:=high_sl1
high_x1:=high_x0, high_y1:=high_y0, high_sl1:=high_sl0
high_x0:=phx1, high_y0:=phy1, high_sl0:=slope_high
if change(fixnan(low_point))!=0
low_x9:=low_x8, low_y9:=low_y8, low_sl9:=low_sl8
low_x8:=low_x7, low_y8:=low_y7, low_sl8:=low_sl7
low_x7:=low_x6, low_y7:=low_y6, low_sl7:=low_sl6
low_x6:=low_x5, low_y6:=low_y5, low_sl6:=low_sl5
low_x5:=low_x4, low_y5:=low_y4, low_sl5:=low_sl4
low_x4:=low_x3, low_y4:=low_y3, low_sl4:=low_sl3
low_x3:=low_x2, low_y3:=low_y2, low_sl3:=low_sl2
low_x2:=low_x1, low_y2:=low_y1, low_sl2:=low_sl1
low_x1:=low_x0, low_y1:=low_y0, low_sl1:=low_sl0
low_x0:=plx1, low_y0:=ply1, low_sl0:=slope_low
// Check Trendline crosses for last X nr. of trendlines
cross_high0=
disp_select and high_sl0*time>0?0:
line_cross(close,high_x0,high_y0,high_sl0,log_chart)
cross_low0=
disp_select and low_sl0*time<0?0:
line_cross(close,low_x0,low_y0,low_sl0,log_chart)
cross_high1=
disp_select and high_sl1*time>0?0:
line_cross(close,high_x1,high_y1,high_sl1,log_chart)
cross_low1=
disp_select and low_sl1*time<0?0:
line_cross(close,low_x1,low_y1,low_sl1,log_chart)
cross_high2=
disp_select and high_sl2*time>0?0:
line_cross(close,high_x2,high_y2,high_sl2,log_chart)
cross_low2=
disp_select and low_sl2*time<0?0:
line_cross(close,low_x2,low_y2,low_sl2,log_chart)
cross_high3=
disp_select and high_sl3*time>0?0:
line_cross(close,high_x3,high_y3,high_sl3,log_chart)
cross_low3=
disp_select and low_sl3*time<0?0:
line_cross(close,low_x3,low_y3,low_sl3,log_chart)
cross_high4=
disp_select and high_sl4*time>0?0:
line_cross(close,high_x4,high_y4,high_sl4,log_chart)
cross_low4=
disp_select and low_sl4*time<0?0:
line_cross(close,low_x4,low_y4,low_sl4,log_chart)
cross_high5=
disp_select and high_sl5*time>0?0:
line_cross(close,high_x5,high_y5,high_sl5,log_chart)
cross_low5=
disp_select and low_sl5*time<0?0:
line_cross(close,low_x5,low_y5,low_sl5,log_chart)
cross_high6=
disp_select and high_sl6*time>0?0:
line_cross(close,high_x6,high_y6,high_sl6,log_chart)
cross_low6=
disp_select and low_sl6*time<0?0:
line_cross(close,low_x6,low_y6,low_sl6,log_chart)
cross_high7=
disp_select and high_sl7*time>0?0:
line_cross(close,high_x7,high_y7,high_sl7,log_chart)
cross_low7=
disp_select and low_sl7*time<0?0:
line_cross(close,low_x7,low_y7,low_sl7,log_chart)
cross_high8=
disp_select and high_sl8*time>0?0:
line_cross(close,high_x8,high_y8,high_sl8,log_chart)
cross_low8=
disp_select and low_sl8*time<0?0:
line_cross(close,low_x8,low_y8,low_sl8,log_chart)
cross_high9=
disp_select and high_sl9*time>0?0:
line_cross(close,high_x9,high_y9,high_sl9,log_chart)
cross_low9=
disp_select and low_sl9*time<0?0:
line_cross(close,low_x9,low_y9,low_sl9,log_chart)
long_break=
(trendline_nr>9?cross_high9==1 or (select_breaks?false:cross_low9==1):false) or
(trendline_nr>8?cross_high8==1 or (select_breaks?false:cross_low8==1):false) or
(trendline_nr>7?cross_high7==1 or (select_breaks?false:cross_low7==1):false) or
(trendline_nr>6?cross_high6==1 or (select_breaks?false:cross_low6==1):false) or
(trendline_nr>5?cross_high5==1 or (select_breaks?false:cross_low5==1):false) or
(trendline_nr>4?cross_high4==1 or (select_breaks?false:cross_low4==1):false) or
(trendline_nr>3?cross_high3==1 or (select_breaks?false:cross_low3==1):false) or
(trendline_nr>2?cross_high2==1 or (select_breaks?false:cross_low2==1):false) or
(trendline_nr>1?cross_high1==1 or (select_breaks?false:cross_low1==1):false) or
cross_high0==1 or (select_breaks?false:cross_low0==1)
short_break=
(trendline_nr>9?(select_breaks?false:cross_high9==-1) or cross_low9==-1:false) or
(trendline_nr>8?(select_breaks?false:cross_high8==-1) or cross_low8==-1:false) or
(trendline_nr>7?(select_breaks?false:cross_high7==-1) or cross_low7==-1:false) or
(trendline_nr>6?(select_breaks?false:cross_high6==-1) or cross_low6==-1:false) or
(trendline_nr>5?(select_breaks?false:cross_high5==-1) or cross_low5==-1:false) or
(trendline_nr>4?(select_breaks?false:cross_high4==-1) or cross_low4==-1:false) or
(trendline_nr>3?(select_breaks?false:cross_high3==-1) or cross_low3==-1:false) or
(trendline_nr>2?(select_breaks?false:cross_high2==-1) or cross_low2==-1:false) or
(trendline_nr>1?(select_breaks?false:cross_high1==-1) or cross_low1==-1:false) or
(select_breaks?false:cross_high0==-1) or cross_low0==-1
// Plot and connect pivot points
color_high=slope_high*time<0?color_rising:(disp_select?na:color_falling)
color_low=slope_low*time>0?color_falling:(disp_select?na:color_rising)
plot(high_point,color=color_high,offset=-len/2)
plot(low_point,color=color_low,offset=-len/2)
//
// Function outputs 1 when it's the first bar of the D/W/M/Y
is_newbar(res) =>
ch = 0
if(res == 'Y')
t = year(time('D'))
ch := change(t) != 0 ? 1 : 0
else
t = time(res)
ch := change(t) != 0 ? 1 : 0
ch
////////////
// INPUTS //
////////////
pp_period = input(title = "Period", type=input.string, defval="Day", options = ['Day', 'Week', 'Month', 'Year'])
pp_res = pp_period == 'Day' ? 'D' : pp_period == 'Week' ? 'W' : pp_period == 'Month' ? 'M' : 'Y'
/////////////////////
// Get HLC from HT //
// Calc High
high_cur = 0.0
high_cur := is_newbar(pp_res) ? high : max(high_cur[1], high)
phigh = 0.0
phigh := is_newbar(pp_res) ? high_cur[1] : phigh[1]
// Calc Low
low_cur = 0.0
low_cur := is_newbar(pp_res) ? low : min(low_cur[1], low)
plow = 0.0
plow := is_newbar(pp_res) ? low_cur[1] : plow[1]
// Calc Close
pclose = 0.0
pclose := is_newbar(pp_res) ? close[1] : pclose[1]