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2. 72s: Adaptive Hull Moving Average+

72s: Adaptive Hull Moving Average+

Penulis:ChaoZhang, Tarikh: 2022-05-26 17:17:37
Tag:HMAATR

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/*backtest
start: 2022-04-25 00:00:00
end: 2022-05-24 23:59:00
period: 15m
basePeriod: 5m
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/
// 2020 © io72signals / Antorio Bergasdito

//@version=4
study("72s: Adaptive Hull Moving Average+", shorttitle="72s: Adaptive HMA+", overlay=true)

//Optional Inputs
charger     = input("Volatility", title="Choose which charger to adapt to:", options=["Volatility", "Volume"])
src         = input(close, title="Source:")
minLength   = input(172, title="Minimum period:")
maxLength   = input(233, title="Maximum period:")
adaptPct    = 0.03141 //input(3.141, minval = 0, maxval = 100, title="Adapting Percentage:") / 100.0

flat        = input(17, title="Consolidation area is when slope below:")

showMinor   = input(true, title="Show minor xHMA+", group="Minor Adaptive HMA+ Period")
minorMin    = input(89, title="Minimum:", group="Minor Adaptive HMA+ Period", inline="mHMA+")
minorMax    = input(121, title="Maximum:", group="Minor Adaptive HMA+ Period", inline="mHMA+")

showZone    = input(false, title="Show Adaptive HMA+ Distance Zone", group="DISTANCE ZONE")
mult        = input(2.7, title="Distance (Envelope) Multiplier", step=.1, group="DISTANCE ZONE") 

showSignals = input(true, title="Show Possible Signals", group="OTHER")
useBg       = input(true, title="Background color to differentiate movement", group="OTHER")

//Source to adapt to
highVolatility = atr(14) > atr(46)                  //Volatility Meter. Change it to match to your strat/pair/tf if needs.

rsivol  = rsi(volume,14)                            //RSI Volume Osc:
osc     = hma(rsivol,10)                            //Basically it's almost the same as: vol > ma(volume,20)
volBreak = osc > 49                                 //but smoothed using weight to filter noise or catch earlier signs.    

//Dynamics 
var float dynamicLength = avg(minLength,maxLength)
var float minorLength   = avg(minorMin,minorMax)
plugged = charger=="Volume"? volBreak : highVolatility
dynamicLength   := iff(plugged, max(minLength, dynamicLength * (1 - adaptPct)), min(maxLength, dynamicLength * (1 + adaptPct)))
minorLength     := iff(plugged, max(minorMin, minorLength * (1 - adaptPct)), min(minorMax, minorLength * (1 + adaptPct)))

//Slope calculation to determine whether market is in trend, or in consolidation or choppy, or might about to change current trend
slope_period = 34, range = 25, pi = atan(1) * 4
highestHigh = highest(slope_period), lowestLow = lowest(slope_period)
slope_range = range / (highestHigh - lowestLow) * lowestLow
calcslope(_ma)=>
    dt = (_ma[2] - _ma) / src * slope_range  
    c = sqrt(1 + dt * dt)
    xAngle = round(180 * acos(1 / c) / pi)
    maAngle = iff(dt > 0, -xAngle, xAngle)
    maAngle

//MA coloring to mark market dynamics 
dynColor(_ma,_col1a,_col1b, _col2a, _col2b, _col0) =>
    slope = calcslope(_ma)
    slope >= flat ? plugged? _col1a : _col1b :
     slope < flat and slope > -flat ? _col0 : 
     slope <= -flat ? plugged? _col2a : _col2b : _col0

//Adaptive HMA 
xhma(_src,_length) => _return = wma(2 * wma(_src, _length / 2) - wma(_src, _length), floor(sqrt(_length))) 

dynamicHMA  = xhma(src,int(dynamicLength))      //<--Batman - Our main xHMA+
minorHMA    = xhma(src,int(minorLength))        //<--Robin  - Faster minor xHMA+ (Optional). Can be use to assist for 
                                                //            faster entry, slower exit point, or pullbacks info too.

//Plot
plot(dynamicHMA, "Dynamic HMA+", dynColor(dynamicHMA, #6fbf73, #c0f5ae, #eb4d5c, #f2b1d4, color.yellow), 3)
plot(showMinor? minorHMA:na, "minor HMA+", dynColor(minorHMA, #6fbf73, #c0f5ae, #eb4d5c, #f2b1d4, color.yellow), 1)

//Backgroud coloring
notgreat = calcslope(dynamicHMA) < flat and calcslope(dynamicHMA) > -flat
bgcolor(useBg? plugged? na : notgreat? #757779: #afb4b9 : na)

// Comparative study
// staticHMA = hma(close, 200)
// plot(staticHMA,  "Static HMA")
// plotchar(dynamicLength, "dynamicLengthgth", "", location.top) //check output the calculated Dynamic Length in the Data Window.

//{ DISTANCE ZONE
// Envelope the main DynamicHMA with ATR band, just one way to approximate current price distance to MA. Other usages/methods may vary.
upperTL = dynamicHMA + mult * atr(40)        ,  lowerTL = dynamicHMA - mult * atr(40)           //<--Half distance zone
topTL = dynamicHMA + (mult*2) * atr(40)      ,  botTL = dynamicHMA - (mult*2) * atr(40)         //<--One distance zone
stopupperTL = dynamicHMA + (mult/2) * atr(40),  stoplowerTL = dynamicHMA - (mult/2) * atr(40)   //<--Half of the half. If need ie. tighter SL or trailing

// Plotting Distance Zone
plot(showZone?upperTL:na, color=color.green, transp=72)
plot(showZone?lowerTL:na, color=color.red,   transp=72)
plot(showZone?topTL:na, color=color.gray, transp=72)
plot(showZone?botTL:na, color=color.gray, transp=72)
sutl = plot(showZone?stopupperTL:na, color=color.white, transp=100)
sltl = plot(showZone?stoplowerTL:na, color=color.white, transp=100)
colZone = showZone? color.purple:color.new(color.white,100)
fill(sutl, sltl, color=colZone, transp=90)
//}

//{ SIGNALS
_slope = calcslope(dynamicHMA)

// Entry Base; When HMA+ turn to a darker color and market is out from low volatility. 
// Remember to also considering price distance to MA and strength (ie. RSI)
_upSig = _slope >=  flat and plugged
_dnSig = _slope <= -flat and plugged
buy  = _upSig and not _upSig[1] 
sell = _dnSig and not _dnSig[1] 

// Possible Exits. These only based on faster xHMA+
_upExit = _slope>=flat  and (not plugged) and close<minorHMA 
_dnExit = _slope<=-flat and (not plugged) and close>minorHMA 
fastExits  = (_upExit and not _upExit[1]) or (_dnExit and not _dnExit[1])

// Caution Sign. When Price crossed most outer distance zone. Could also be a good TP spot if your already in profit
_topWarn    = high>topTL
_botWarn    = low<botTL
warningSigns = (_topWarn and not _topWarn[1]) or (_botWarn and not _botWarn[1])

// Plot 'em up
atrPos = 0.72 * atr(5)
plotchar(showSignals and buy?  dynamicHMA-atrPos: na, color=color.green, location=location.absolute, char="⬆", size = size.tiny)
plotchar(showSignals and sell? dynamicHMA+atrPos: na, color=color.red,   location=location.absolute, char="⬇", size = size.tiny)
plotchar(showSignals and fastExits? _upExit? minorHMA+atrPos: _dnExit? minorHMA-atrPos: na: na, 
     color=_upExit?color.green:_dnExit?color.red: na, location=location.absolute, char="ⓧ", size=size.tiny)
plotchar(showSignals and warningSigns? _topWarn? high+atrPos: _botWarn? low-atrPos: na: na, 
     color=color.orange, location=location.absolute, char="⚠", size=size.tiny)
//} 

//{ ALERTS
// Previous alerts:
// alertcondition(highVolatility and not notgreat, "72s: Volatility Meter", "Market is on the move")
// alertcondition(volBreak[1] and volBreak and not notgreat, "72s: Volume Break", "Volume has just break above average")

// New Alert: 
// Delete what alert you don't need:
if buy 
    alert("Possible Buy Signal at" + tostring(close), alert.freq_once_per_bar_close)
if sell
    alert("Possible Sell Signal at" + tostring(close), alert.freq_once_per_bar_close)
    
if fastExits and _upExit
    alert("Price has just crossed down minor xHMA+ at" + tostring(close), alert.freq_once_per_bar_close)
if fastExits and _dnExit
    alert("Price has just crossed up minor xHMA+ at" + tostring(close), alert.freq_once_per_bar_close)
    
if warningSigns and _topWarn
    alert("Price has just crossed above top xHMA+ zone", alert.freq_once_per_bar_close)
if warningSigns and _botWarn
    alert("Price has just crossed below bottom xHMA+ zone", alert.freq_once_per_bar_close)
//}
    




if buy
    strategy.entry("Enter Long", strategy.long)
else if sell
    strategy.entry("Enter Short", strategy.short)

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