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2. 서프 라이더 전략

서프 라이더 전략

저자:차오장, 날짜: 2023-10-17 15:30:18
태그:

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/*backtest
start: 2023-09-16 00:00:00
end: 2023-10-16 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 16/04/2020
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// We call this one the ECO for short, but it will be listed on the indicator list 
// at W. Blau’s Ergodic Candlestick Oscillator. The ECO is a momentum indicator. 
// It is based on candlestick bars, and takes into account the size and direction 
// of the candlestick "body". We have found it to be a very good momentum indicator, 
// and especially smooth, because it is unaffected by gaps in price, unlike many other 
// momentum indicators.
// We like to use this indicator as an additional trend confirmation tool, or as an 
// alternate trend definition tool, in place of a weekly indicator. The simplest way 
// of using the indicator is simply to define the trend based on which side of the "0" 
// line the indicator is located on. If the indicator is above "0", then the trend is up. 
// If the indicator is below "0" then the trend is down. You can add an additional 
// qualifier by noting the "slope" of the indicator, and the crossing points of the slow 
// and fast lines. Some like to use the slope alone to define trend direction. If the 
// lines are sloping upward, the trend is up. Alternately, if the lines are sloping 
// downward, the trend is down. In this view, the point where the lines "cross" is the 
// point where the trend changes.
// When the ECO is below the "0" line, the trend is down, and we are qualified only to 
// sell on new short signals from the Hi-Lo Activator. In other words, when the ECO is 
// above 0, we are not allowed to take short signals, and when the ECO is below 0, we 
// are not allowed to take long signals. 
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos

ECO(r,s) =>
    pos = 0
    xCO = close - open
    xHL = high - low
    xEMA = ema(ema(xCO, r), s)
    xvEMA = ema(ema(xHL, r), s)
    nRes = 100 * (xEMA / xvEMA)
    pos := iff(nRes > 0, 1,
	         iff(nRes <= 0, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal & ECO Strategy", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
r = input(32, minval=1)
s = input(12, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posECO = ECO(r,s)
pos = iff(posReversal123 == 1 and posECO == 1 , 1,
	   iff(posReversal123 == -1 and posECO == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )

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