Strategi RePaNoCHa mengintegrasikan pelbagai penunjuk dan teknik pengurusan risiko untuk perdagangan kuantitatif. Ia menghasilkan isyarat beli dan jual terutamanya dengan mengenal pasti arah trend dan titik pembalikan yang berpotensi. Strategi ini juga menggabungkan stop loss, stop loss tetap dan mengambil keuntungan untuk mengunci keuntungan dan mengawal risiko.
Strategi ini mengintegrasikan penunjuk berikut:
T3 Moving Average: Untuk mengukur trend harga.
Penapis Julat Purata: Untuk mengenal pasti zon turun naik harga.
ADX: Untuk menentukan kekuatan trend.
SAR: Untuk menandakan titik pembalikan yang berpotensi.
RSI: Untuk mengenal pasti tahap overbought/oversold.
MACD: Untuk menunjukkan momentum harga.
Apabila penunjuk memberi isyarat sejajar, strategi menentukan trend telah bermula dan menghasilkan isyarat kemasukan. Selepas memasuki, ia menggunakan stop loss yang mengikuti peratusan harga tertinggi / terendah, secara beransur-ansur bergerak ke atas apabila keuntungan meningkat untuk mengunci keuntungan.
Secara khusus, apabila harga di atas jalur atas julat, T3 meningkat, ADX menaik, SAR menaik, RSI di atas titik pertengahan, MACD positif, isyarat panjang dihasilkan. Keadaan yang bertentangan menghasilkan isyarat pendek. Ambil keuntungan dan hentikan kerugian ditetapkan pada 1% dan 3% daripada harga kemasukan. Jarak hentian menyusul ditetapkan secara linear berdasarkan keuntungan semasa berbanding dengan harga kemasukan.
Pelbagai penunjuk meningkatkan ketepatan Menggabungkan trend, momentum, penunjuk pembalikan mengelakkan perangkap penunjuk tunggal.
Penguncian hentian yang fleksibel dalam keuntungan
Tahap hentian menyesuaikan dengan perubahan keuntungan untuk mengikuti fluktuasi harga dengan lebih baik dan mendapatkan keuntungan.
Kawalan berhenti tetap kehilangan maksimum Peratusan stop loss tetap mengehadkan kerugian maksimum setiap perdagangan dan menghalang pengembangan kerugian.
Parameter yang boleh disesuaikan Parameter penunjuk boleh disesuaikan secara bebas untuk mengoptimumkan produk perdagangan yang berbeza.
Kerumitan keputusan yang meningkat dengan lebih banyak penunjuk Terlalu banyak penunjuk boleh menyebabkan kontradiksi dan peningkatan kesukaran dalam membuat keputusan.
Whipsaw dan pemicu stop loss semasa turun naik yang tinggi Pergerakan volatil tajam boleh menyebabkan whipsaw dan sering memicu stop loss, menjadikan mengambil keuntungan tidak berguna.
Peningkatan kos dagangan daripada kekerapan yang lebih tinggi Lebih banyak isyarat jangka pendek meningkatkan kekerapan perdagangan dan kos seluncur, yang memberi kesan kepada keuntungan sebenar.
Pengoptimuman yang sukar dengan pelbagai parameter Ujian pelbagai kombinasi parameter penunjuk menjadikan pengoptimuman mencabar dan memerlukan sejarah yang mencukupi.
Menilai kesan penunjuk sebenar untuk mengelakkan redundansi Bandingkan hasil ujian untuk memeriksa faedah tambahan sebenar setiap penunjuk dan membuang yang berlebihan.
Mengoptimumkan algoritma hentian
Uji algoritma hentian yang berbeza untuk mencari cara yang lebih baik untuk hentikan keuntungan.
Perakaunan untuk kebocoran sebenar dan komisen Menggabungkan kos dagangan sebenar ke dalam backtest untuk membantu membuat keputusan kemasukan.
Pengoptimuman parameter berasingan mengikut volatiliti Mengoptimumkan parameter secara berasingan untuk sesi volatiliti tinggi / rendah untuk meningkatkan ketahanan.
Strategi RePaNoCHa merealisasikan keputusan perdagangan automatik yang agak stabil dan pengurusan keuntungan melalui penggabungan beberapa penunjuk dan mekanisme berhenti. Tetapi kekerapan perdagangan yang tinggi dan proses pengoptimuman yang kompleks memerlukan penambahbaikan lanjut. Lebih banyak faktor dunia nyata harus diperkenalkan ke dalam backtest, dan teknik seperti pengujian penanda aras harus diadopsi untuk mempermudah model dan mengurangkan risiko overfit, untuk mencapai pulangan jangka panjang yang konsisten dari pendekatan perdagangan yang agak aktif.
/*backtest start: 2022-09-18 00:00:00 end: 2023-09-24 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 strategy(title = "RePaNoCHa V4 [Backtest]", overlay = true, initial_capital = 1000, pyramiding = 100, calc_on_order_fills = false, calc_on_every_tick = false, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_value = 0.075) //study(title="RePaNoCHa V4 [Alerts]", overlay=true) // // Copyright by XaviZ v1.0 26/07/2019 // // Script for automatic trading with Alerts (Use Backtest to customize your own settings) // // LG --> Long (green:not confirmed) (lime: confirmed) // ST --> Short (maroon: not confirmed) (red: confirmed) // TS --> Trailing Stop // xL --> Close Long Position // xS --> Close Short Position // SL --> Stop Loss // // The trailing stop closes the trade if the price changes direction by a specified percentage or offset. // There is no ideal distance because markets and price are always changing and we know that is impossible to exit on the top or bottom. // This script interpolate the trailing Stop Offset with profit, higher profit --> higher Trailing Stop Offset. Despite this, it's difficult to catch the price but not impossible. // It has a TS delay too. It take a snapshot every X seconds, if the TS is activated the alert is triggered, otherwise the price keeps fluctuating until a new snapshot. // // Thanks... // // BTC: 3LEUP3WjQctdbFjBavcmRGUVRBje8bptCd // ETH: 0x518AAD4746912ae506c82B747488306186c4d546 // // INITIAL SETTINGS // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ Position = input("BOTH", "POSITIONS", options = ["BOTH","LONG","SHORT"]) src = input(hlc3, "SOURCE", type = input.source) // T3 // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ T3_len = input(3, "T3 LENGTH", minval = 2) a1 = input(0.4, "T3 VOLUME FACTOR", step = 0.1, minval = 0.1) T3(_src,_T3_len,_a1)=> e1=ema(_src, _T3_len) e2=ema(e1,_T3_len) e3=ema(e2,_T3_len) e4=ema(e3,_T3_len) e5=ema(e4,_T3_len) e6=ema(e5,_T3_len) c1=-_a1*_a1*_a1 c2=3*_a1*_a1+3*_a1*_a1*_a1 c3=-6*_a1*_a1-3*_a1-3*_a1*_a1*_a1 c4=1+3*_a1+_a1*_a1*_a1+3*_a1*_a1 _T3=c1*e6+c2*e5+c3*e4+c4*e3 _T3 T3_Rising = T3(src,T3_len,a1) > T3(src,T3_len,a1)[1] T3_Falling = T3(src,T3_len,a1) < T3(src,T3_len,a1)[1] T3_color = T3_Rising ? color.green : T3_Falling ? color.red : color.yellow plot(T3(src,T3_len,a1), color=T3_color, linewidth = 3, title= "T3") // RANGE FILTER // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ per = input(defval=23, title="SAMPLING PERIOD", minval=1) mult = input(defval=1.5, title="RANGE MULTIPLIER", minval=0.1, step = 0.1) Range_filter(_src, _per, _mult)=> var float _upward = 0.0 var float _downward = 0.0 wper = (_per*2) - 1 avrng = ema(abs(_src - _src[1]), _per) _smoothrng = ema(avrng, wper)*_mult _filt = _src _filt := _src > nz(_filt[1]) ? ((_src-_smoothrng) < nz(_filt[1]) ? nz(_filt[1]) : (_src-_smoothrng)) : ((_src+_smoothrng) > nz(_filt[1]) ? nz(_filt[1]) : (_src+_smoothrng)) _upward := _filt > _filt[1] ? nz(_upward[1]) + 1 : _filt < _filt[1] ? 0 : nz(_upward[1]) _downward := _filt < _filt[1] ? nz(_downward[1]) + 1 : _filt > _filt[1] ? 0 : nz(_downward[1]) [_smoothrng,_filt,_upward,_downward] [smoothrng, filt, upward, downward] = Range_filter(src, per, mult) hband = filt + smoothrng lband = filt - smoothrng filtcolor = upward > 0 ? color.lime : downward > 0 ? color.red : color.orange filtplot = plot(filt, color = filtcolor, linewidth = 3, title="Range Filter", editable = false) hbandplot = plot(hband, color = color.aqua, transp = 60, title = "High Target", editable = false) lbandplot = plot(lband, color = color.aqua, transp = 60, title = "Low Target", editable = false) fill(hbandplot, filtplot, color = color.aqua, title = "High Target Range", editable = false) fill(lbandplot, filtplot, color = color.aqua, title = "Low Target Range", editable = false) // ADX MasaNakamura version // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ ADX_len = input(12, title="ADX LENGTH", type=input.integer, minval = 1) th = input(8, title="ADX THRESHOLD", type=input.integer, minval = 0) calcADX(_ADX_len)=> var float SmoothedTrueRange = 0.0 var float SmoothedDirectionalMovementPlus = 0.0 var float SmoothedDirectionalMovementMinus = 0.0 TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1]))) DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0 DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0 SmoothedTrueRange := nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/_ADX_len) + TrueRange SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/_ADX_len) + DirectionalMovementPlus SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/_ADX_len) + DirectionalMovementMinus _DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100 _DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100 DX = abs(_DIPlus-_DIMinus) / (_DIPlus+_DIMinus)*100 _ADX = sma(DX, _ADX_len) [_DIPlus,_DIMinus,_ADX] [DIPlus, DIMinus, ADX] = calcADX(ADX_len) macol = DIPlus > DIMinus and ADX > th ? color.lime : DIPlus < DIMinus and ADX > th ? color.red : color.orange barcolor(color = macol, title = "ADX") // SAR // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ Sst = input (0.07, "SAR STAR", step=0.01, minval = 0.01) Sinc = input (0.05, "SAR INC", step=0.01, minval = 0.01) Smax = input (0.15, "SAR MAX", step=0.05, minval = 0.01) CalcSARwithoutSAR(_Sst, _Sinc, _Smax)=> P = 1 EP = max(high, high[1]) _SAR = min(low, low[1]) AF = _Sst EPnew = 0.0 AFnew = _Sst if nz(P[1]) == 0 P := 1 else if (P[1] == 1) EPnew := max(high, EP[1]) else EPnew := min(low, EP[1]) if EPnew != EP[1] AFnew := min(_Smax, AF[1] + _Sinc) else AFnew := AF[1] if nz(P[1]) == 0 P := 1 else if P[1] == 1 and _SAR[1] + AF[1] * (EPnew - _SAR[1]) <= low P := 1 _SAR := _SAR[1] + AFnew * (EPnew - _SAR[1]) EP := EPnew AF := AFnew else if P[1] == 1 and _SAR[1] + AF[1] * (EPnew - _SAR[1]) > low if low >= _SAR[1] P := 1 _SAR := low EP := EPnew AF := AFnew else P := -1 _SAR := max(high, EP[1]) EP := min(low, low[1]) AF := _Sst else if P[1] == -1 and _SAR[1] - AF[1] * (_SAR[1] - EPnew) >= high P := -1 _SAR := _SAR[1] - AFnew * (_SAR[1] - EPnew) EP := EPnew AF := AFnew else if P[1] == -1 and _SAR[1] - AF[1] * (_SAR[1] - EPnew) < high if high <= _SAR[1] P := -1 _SAR := high EP := EPnew AF := AFnew else P := 1 _SAR := min(low, EP[1]) EP := max(high, high[1]) AF := _Sst _SAR SAR = CalcSARwithoutSAR(Sst, Sinc, Smax) plot(SAR, color = macol, style = plot.style_cross, title = "SAR") // RSI // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ RSI_len = input(14, "RSI LENGHT", minval = 1) RSI_obos = input(52,title="RSI CENTER LINE", type=input.integer, minval = 1) RSI(len)=> up_rsi = rma(max(change(close), 0), len) down_rsi = rma(-min(change(close), 0), len) rsi = down_rsi == 0 ? 100 : up_rsi == 0 ? 0 : 100 - (100 / (1 + up_rsi / down_rsi)) rsi // MACD // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ fast_length = input(title="MACD FAST LENGTH", type=input.integer, minval = 1, defval=10) slow_length = input(title="MACD SLOW LENGTH", type=input.integer, minval = 1, defval=19) signal_length = input(title="MACD SIGNAL SMOOTHING", type=input.integer, minval = 1, maxval = 50, defval = 9) sma_source = input(title="MACD SIMPLE MA(Oscillator)", type=input.bool, defval=false) MACD(_src,_fast_length,_slow_length)=> fast_ma = sma_source ? sma(_src, _fast_length) : ema(_src, _fast_length) slow_ma = sma_source ? sma(_src, _slow_length) : ema(_src, _slow_length) macd = fast_ma - slow_ma signal = sma_source ? sma(macd, signal_length) : ema(macd, signal_length) _hist = macd - signal _hist hist = MACD(src,fast_length,slow_length) // STRATEGY // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ var bool longCond = na var bool shortCond = na longCond := (high > hband and upward > 0) and not (DIPlus < DIMinus and ADX > th) and (SAR < close) and (T3_Rising) and (RSI(RSI_len) > RSI_obos) and (hist > 0) and (timenow > time + 10000) shortCond := (low < lband and downward > 0) and not (DIPlus > DIMinus and ADX > th) and (SAR > close) and (T3_Falling) and (RSI(RSI_len) < RSI_obos) and (hist < 0) and (timenow > time + 10000) var bool XlongCond = na var bool XshortCond = na XlongCond := (low < hband and downward > 0) and (DIPlus > DIMinus and ADX > th) and (SAR > close) and (T3_Falling) and (timenow > time + 10000) XshortCond := (high > lband and upward > 0) and (DIPlus < DIMinus and ADX > th) and (SAR < close) and (T3_Rising) and (timenow > time + 10000) var int CondIni_long = 0 CondIni_long := longCond ? 1 : shortCond ? -1 : CondIni_long[1] var int CondIni_short = 0 CondIni_short := longCond ? 1 : shortCond ? -1 : CondIni_short[1] longCondition = (longCond and CondIni_long[1] == -1) shortCondition = (shortCond and CondIni_short[1] == 1) var int CondIniX = 0 CondIniX := XlongCond ? 1 : XshortCond ? -1 : CondIniX[1] XlongCondition = XlongCond and CondIniX[1] == -1 XshortCondition = XshortCond and CondIniX[1] == 1 // Get the price of the last opened long or short var float last_open_longCondition = na var float last_open_shortCondition = na last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1]) last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1]) // Check if your last postion was a long or a short var int last_longCondition = na var int last_shortCondition = na last_longCondition := longCondition ? time : nz(last_longCondition[1]) last_shortCondition := shortCondition ? time : nz(last_shortCondition[1]) in_longCondition = last_longCondition > last_shortCondition in_shortCondition = last_shortCondition > last_longCondition var int last_XlongCondition = na var int last_XshortCondition = na last_XlongCondition := XlongCondition ? time : nz(last_XlongCondition[1]) last_XshortCondition := XshortCondition ? time : nz(last_XshortCondition[1]) in_longConditionX = last_longCondition > last_XlongCondition in_shortConditionX = last_shortCondition > last_XshortCondition // TRAILING STOP // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ isTSl = Position == "SHORT" ? na : true isTSs = Position == "LONG" ? na : true tsi = input(0.5, "TRAILING STOP ACTIVATION %", type = input.float, step = 0.1) ts_low_profit = input(0.25, "TRAILING STOP OFFSET % --> WHEN PROFIT=0.5% (MINIMUM)", type = input.float, step = 0.05, minval = 0.01) ts_high_profit = input(1.0, "TRAILING STOP OFFSET % --> WHEN PROFIT=10% (LINEAR_EXTRAPOLATION)", type = input.float, step = 0.1, minval = 0.1) delay = input(120, "TRAILING STOP DELAY (SECONDS BETWEEN SNAPSHOTS)", type = input.integer, minval = 30, maxval = 300, step = 30)*1000 // Dynamic Trailing Stop linear extrapolation / interpolation according with profit ts_dynamic(x)=> ts_dynamic = 0.0 ts_dynamic := max(((((ts_high_profit-ts_low_profit)/9.5)*(x-0.5)) + ts_low_profit), ts_low_profit) long_profit = abs(((high-last_open_longCondition)/last_open_longCondition)*100) short_profit = abs(((low-last_open_shortCondition)/last_open_shortCondition)*100) var float ts = 0.0 ts := in_longCondition ? ts_dynamic(long_profit) : ts_dynamic(short_profit) // Time between snapshots round = (floor(timenow/(delay)))*(delay) var bool ts_delay = 0 if timenow < (time + (timeframe.multiplier*60000) - 60000) ts_delay := (timenow >= round + (delay)-7500) ? 1 : 0 else if timenow > (time + (timeframe.multiplier*60000) - 60000) or ((in_longCondition and high > ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))) and (close < (last_open_longCondition*(1+(tsi/100))))) or ((in_shortCondition and low < (last_open_shortCondition*(1-(tsi/100)))) and (close > (last_open_shortCondition*(1-(tsi/100))))) ts_delay := 1 // TS Conditions var bool long_ts = na var bool short_ts = na if high > ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100))) long_ts := isTSl and high >= (close*(1+(ts/100))) and high >= (last_open_longCondition*(1+(tsi/100))) and (high >= hband*(1+(ts/100))) and in_longCondition and in_longConditionX and not longCondition else if high <= ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100))) long_ts := isTSl and high >= (close*(1+(ts/100))) and high >= (last_open_longCondition*(1+(tsi/100))) and close >= (last_open_longCondition*(1+(tsi/100))) and (high >= hband*(1+(ts/100))) and in_longCondition and in_longConditionX and not longCondition if (timenow > (time + (timeframe.multiplier*60000) - 60000)) and high < (close*(1+(ts/100))) and (high > ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))) and (high >= hband*(1+(ts/100))) long_ts := isTSl and in_longCondition and in_longConditionX and not longCondition if low < ((last_open_shortCondition*(1-(tsi/100)))*(1-(ts/100))) short_ts := isTSs and low <= (close*(1-(ts/100))) and low <= (last_open_shortCondition*(1-(tsi/100))) and (low <= lband*(1-(ts/100))) and in_shortCondition and in_shortConditionX and not shortCondition else if low >= ((last_open_shortCondition*(1-(tsi/100)))*(1-(ts/100))) short_ts := isTSs and low <= (close*(1-(ts/100))) and low <= (last_open_shortCondition*(1-(tsi/100))) and close <= (last_open_shortCondition*(1-(tsi/100))) and (low <= lband*(1-(ts/100))) and in_shortCondition and in_shortConditionX and not shortCondition if (timenow > (time + (timeframe.multiplier*60000) - 60000)) and low > (close*(1-(ts/100))) and (low < ((last_open_shortCondition*(1-(tsi/100)))*(1-(ts/100)))) and (low <= lband*(1-(ts/100))) short_ts := isTSs and in_shortCondition and in_shortConditionX and not shortCondition // Ts Antiliquidation. For pumps on same candle of entry. last_open_long = max(SAR[1],hband) last_open_short = min(SAR[1],lband) ts_antiliq_long_profit = abs(((high-last_open_long)/last_open_long)*100) ts_antiliq_short_profit = abs(((low-last_open_short)/last_open_short)*100) ts_antiliq = in_longCondition ? ts_dynamic(ts_antiliq_long_profit) : ts_dynamic(ts_antiliq_short_profit) var bool long_ts_antiliq = na var bool short_ts_antiliq = na Act_ts_antiliq = input(2.0, "TRAILING STOP ANTI-LIQUIDATION ACTIVATION % ", type = input.float, step = 0.1) long_ts_antiliq := isTSl and longCondition and high > ((last_open_long*(1+(Act_ts_antiliq/100)))*(1+(ts_antiliq/100))) and high > last_open_long*(1+(Act_ts_antiliq/100)) and (DIPlus > DIMinus and ADX > th) and high >= (close*(1+(ts_antiliq/100))) and in_longCondition and in_longConditionX short_ts_antiliq := isTSs and shortCondition and low < ((last_open_short*(1-(Act_ts_antiliq/100)))*(1-(ts_antiliq/100))) and low < last_open_short*(1-(Act_ts_antiliq/100)) and (DIPlus < DIMinus and ADX > th) and low <= (close*(1-(ts_antiliq/100))) and in_shortCondition and in_shortConditionX // Get the time of the last ts close var int last_long_ts = na var int last_short_ts = na last_long_ts := long_ts ? time : nz(last_long_ts[1]) last_short_ts := short_ts ? time : nz(last_short_ts[1]) Final_Long_ts = (long_ts and last_longCondition > nz(last_long_ts[1])) Final_Short_ts = (short_ts and last_shortCondition > nz(last_short_ts[1])) var int last_long_ts_antiliq = na var int last_short_ts_antiliq = na last_long_ts_antiliq := long_ts_antiliq ? time : nz(last_long_ts_antiliq[1]) last_short_ts_antiliq := short_ts_antiliq ? time : nz(last_short_ts_antiliq[1]) Final_Long_ts_antiliq = (long_ts_antiliq and last_longCondition > nz(last_long_ts_antiliq[1])) Final_Short_ts_antiliq = (short_ts_antiliq and last_shortCondition > nz(last_short_ts_antiliq[1])) // STOP LOSS // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ Act_sl = input(false, "STOP LOSS") isSLl = Position == "SHORT" ? na : true isSLs = Position == "LONG" ? na : true sl = input(3.0, "STOP LOSS %", type = input.float, step = 0.1) long_sl = Act_sl and isSLl and low <= ((1-(sl/100))*last_open_longCondition) and not (open < ((1-(sl/100))*last_open_longCondition)) and in_longCondition and not longCondition short_sl = Act_sl and isSLs and high >= ((1+(sl/100))*last_open_shortCondition) and not (open > ((1+(sl/100))*last_open_shortCondition)) and in_shortCondition and not shortCondition // Get the time of the last sl close var int last_long_sl = na var int last_short_sl = na last_long_sl := long_sl ? time : nz(last_long_sl[1]) last_short_sl := short_sl ? time : nz(last_short_sl[1]) // Sl counter var int CondIni_long_sl = 0 CondIni_long_sl := long_sl or Final_Long_ts ? 1 : longCondition ? -1 : CondIni_long_sl[1] var int CondIni_short_sl = 0 CondIni_short_sl := short_sl or Final_Short_ts ? 1 : shortCondition ? -1 : CondIni_short_sl[1] Final_Long_sl = long_sl and CondIni_long_sl[1] == -1 and in_longConditionX and not XlongCondition and not Final_Long_ts Final_Short_sl = short_sl and CondIni_short_sl[1] == -1 and in_shortConditionX and not XshortCondition and not Final_Short_ts // Final Long & Short Counter if Final_Long_ts or Final_Long_sl or XlongCondition CondIni_long := -1 if Final_Short_ts or Final_Short_sl or XshortCondition CondIni_short := 1 // SIGNALS // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // long & short Final_longCondition_notconfirmed = Position == "SHORT" ? na : longCondition and (DIPlus > DIMinus and ADX > th) Final_shortCondition_notconfirmed = Position == "LONG" ? na : shortCondition and (DIPlus < DIMinus and ADX > th) //plotshape(Final_longCondition_notconfirmed, title = "Long Signal", text = "LG", style=shape.triangleup, location=location.belowbar, color = #2E8B57, transp = 0, size=size.tiny) //plotshape(Final_shortCondition_notconfirmed, title = "Short Signal", text = "ST", style=shape.triangledown, location=location.abovebar, color = #B22222, transp = 0, size=size.tiny) Final_longCondition = Position == "SHORT" ? na : longCondition[1] and not (shortCondition and (DIPlus < DIMinus and ADX > th)) Final_shortCondition = Position == "LONG" ? na : shortCondition[1] and not (longCondition and (DIPlus > DIMinus and ADX > th)) //plotshape(Final_longCondition, title = "Long Signal", text = "LG", style=shape.triangleup, location=location.belowbar, color = color.lime, transp = 0, size=size.tiny) //plotshape(Final_shortCondition, title = "Short Signal", text = "ST", style=shape.triangledown, location=location.abovebar, color = color.red, transp = 0, size=size.tiny) // Xlong & Xshort var int CondIni_Xlong = 0 CondIni_Xlong := Final_Long_ts or XlongCondition or Final_shortCondition ? 1 : Final_longCondition ? -1 : CondIni_Xlong[1] var int CondIni_Xshort = 0 CondIni_Xshort := Final_Short_ts or XshortCondition or Final_longCondition ? 1 : Final_shortCondition ? -1 : CondIni_Xshort[1] var bool Final_XlongCondition = na var bool Final_XshortCondition = na Final_XlongCondition := Position == "SHORT" ? na : ((shortCondition and last_longCondition > last_shortCondition[1]) or (XlongCondition and last_longCondition > last_XlongCondition[1])) and CondIni_Xlong[1] == -1 and not Final_shortCondition_notconfirmed and not Final_shortCondition Final_XshortCondition := Position == "LONG" ? na : ((longCondition and last_shortCondition > last_longCondition[1]) or (XshortCondition and last_shortCondition > last_XshortCondition[1])) and CondIni_Xshort[1] == -1 and not Final_longCondition_notconfirmed and not Final_longCondition F_XLONG = Final_XlongCondition[1] and not Final_shortCondition and not Final_shortCondition_notconfirmed and not Final_longCondition_notconfirmed F_XSHORT = Final_XshortCondition[1] and not Final_longCondition and not Final_longCondition_notconfirmed and not Final_shortCondition_notconfirmed //plotshape(F_XLONG, title = "xL Signal", text = "xL", style=shape.triangledown, location=location.abovebar, color = color.orange, transp = 0, size=size.tiny) //plotshape(F_XSHORT, title = "xS Signal", text = "xS", style=shape.triangleup, location=location.belowbar, color = color.aqua, transp = 0, size=size.tiny) // Ts //plotshape(Final_Long_ts, text ="TS", title="Trailing Stop Long", style=shape.triangledown, location=location.abovebar, color = color.red, editable = false, transp = 0) //plotshape(Final_Short_ts, text ="TS", title="Trailing Stop Short", style=shape.triangleup, location=location.belowbar, color = color.lime, editable = false, transp = 0) //lts = iff(Final_Long_ts, high*(1-(ts/100)), na), plot(lts, style = plot.style_cross, linewidth=3, color = color.white, editable = false) //sts = iff(Final_Short_ts, low*(1+(ts/100)), na), plot(sts, style = plot.style_cross, linewidth=3, color = color.white, editable = false) // Ts anti-liquidation //plotshape(Final_Long_ts_antiliq, text ="TSA", title="Trailing Stop Long Antiliq", style=shape.triangledown, location=location.abovebar, color = color.red, editable = false, transp = 0) //plotshape(Final_Short_ts_antiliq, text ="TSA", title="Trailing Stop Short Antiliq", style=shape.triangleup, location=location.belowbar, color = color.lime, editable = false, transp = 0) //lts_antiliq = iff(Final_Long_ts_antiliq, high*(1-(ts_antiliq/100)), na), plot(lts_antiliq, style = plot.style_cross, linewidth=3, color = color.white, editable = false) //sts_antiliq = iff(Final_Short_ts_antiliq, low*(1+(ts_antiliq/100)), na), plot(sts_antiliq, style = plot.style_cross, linewidth=3, color = color.white, editable = false) // Sl //plotshape(Final_Long_sl, text ="SL", title="Stop Loss Long", style=shape.triangledown, location=location.abovebar, color = color.fuchsia, editable = false, transp = 0) //plotshape(Final_Short_sl, text ="SL", title="Stop Loss Short", style=shape.triangleup, location=location.belowbar, color = color.fuchsia, editable = false, transp = 0) //lsl = iff(Final_Long_sl, (1-(sl/100))*last_open_longCondition, na), plot(lsl, style = plot.style_cross, linewidth=2, color = color.white, editable = false) //ssl = iff(Final_Short_sl, (1+(sl/100))*last_open_shortCondition, na), plot(ssl, style = plot.style_cross, linewidth=2, color = color.white, editable = false) // Levels plot(isTSl and in_longCondition == 1 ? (last_open_longCondition*(1+(tsi/100))) : na, "Long Trailing", color = color.white, style=3, linewidth=1, editable = false) plot(isTSs and in_shortCondition == 1 ? (last_open_shortCondition*(1-(tsi/100))) : na, "Short Trailing", color = color.white, style=3, linewidth=1, editable = false) //plot(isTSl and longCondition and high > last_open_long*(1+(Act_ts_antiliq/100)) and (DIPlus > DIMinus and ADX > th) ? // last_open_long*(1+(Act_ts_antiliq/100)) : na, "Long TSA", color = color.lime, style=3, linewidth=2, editable = false) //plot(isTSs and shortCondition and low < last_open_short*(1-(Act_ts_antiliq/100)) and (DIPlus < DIMinus and ADX > th) ? // last_open_short*(1-(Act_ts_antiliq/100)) : na, "Short TSA", color = color.red, style=3, linewidth=2, editable = false) // Weekend Weekend = input(true, "SHOW WEEKEND") W_color = Weekend and (dayofweek == dayofweek.sunday or dayofweek == dayofweek.saturday) ? color.teal : na bgcolor(W_color, title = "WEEKEND") // ALERTS // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // or Final_longCondition_notconfirmed (green signals) //alertcondition( // Final_longCondition, // title="Long Alert", // message = "LONG" // ) // or Final_shortCondition_notconfirmed (maroon signals) //alertcondition( // Final_shortCondition, // title="Short Alert", // message = "SHORT" // ) //alertcondition( // (Final_Long_ts and ts_delay) // or F_XLONG // or Final_Long_sl // or (Final_Long_ts_antiliq and close >= (last_open_long*(1+(Act_ts_antiliq/100)))), // title="XLong TS/XL/SL Alert", // message = "XLONG TS/XL/SL" // ) //alertcondition( // (Final_Short_ts and ts_delay) // or F_XSHORT // or Final_Short_sl // or (Final_Short_ts_antiliq and close <= (last_open_short*(1-(Act_ts_antiliq/100)))), // title="XShort TS/XL/SL Alert", // message = "XSHORT TS/XL/SL" // ) // BOT SYNTAX (DERIBIT EXAMPLE) // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ // message = "LONG | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=1 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=short t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL b=long q=50% t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=long sl=-3.1% p=-3%" // message = "SHORT | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=1 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=long t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL b=short q=50% t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=short sl=3% p=3.1%" // message = "XSHORT/TS/SL | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=short t=market" // message = "XLONG/TS/SL | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=long t=market" // // Using t=limit on entries --> comission_value = 0.025 // BACKTESTING // ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░ BT_Final_longCondition = Position == "SHORT" ? na : longCondition BT_Final_shortCondition = Position == "LONG" ? na : shortCondition testStartYear = input(2019, "BACKTEST START YEAR", minval = 1, maxval = 2222) testStartMonth = input(01, "BACKTEST START MONTH", minval = 1, maxval = 12) testStartDay = input(01, "BACKTEST START DAY", minval = 1, maxval = 31) testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0) if (BT_Final_longCondition) strategy.entry("long", strategy.long, when = time >= testPeriodStart) if (BT_Final_shortCondition) strategy.entry("short", strategy.short, when = time >= testPeriodStart) pips_corection = input(2, "(TICKS/PIPS CORRECTION)") strategy.exit("Tsl", "long", trail_points = (abs((last_open_longCondition*(1+(tsi/100)))-last_open_longCondition)*pips_corection), trail_offset = (high*(ts/100))*pips_corection, loss = Act_sl ? (abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)*pips_corection) : na) strategy.exit("Tss", "short", trail_points = (abs((last_open_shortCondition*(1-(tsi/100)))-last_open_shortCondition)*pips_corection), trail_offset = (low*(ts/100))*pips_corection, loss = Act_sl ? (abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)*pips_corection) : na) strategy.close_all(when = Final_XlongCondition or Final_XshortCondition or Final_Long_sl or Final_Short_sl)