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Trend Momentum Purata Multi-Moving Mengikut Strategi

Penulis:ChaoZhang, Tarikh: 2024-11-12 15:05:09
Tag:SMARSIMA

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/*backtest
start: 2019-12-23 08:00:00
end: 2024-11-11 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Micho's 150 (1D Time Frame Only)", overlay=true)

// Define the length for the SMAs and RSI
sma20Length = 20
sma50Length = 50
sma150Length = 150
sma200Length = 200
volumeMaLength = 20
rsiLength = 14
rsiSmaLength = 14
smaCheckLength = 40  // Check the last month of trading days (~20 days)
requiredRisingDays = 25  // Require SMA to rise in at least 16 of the past 20 days
sma150AboveSma200CheckDays = 1  // Require SMA150 > SMA200 for the last 10 days

// Calculate the SMAs for price
sma20 = ta.sma(close, sma20Length)
sma50 = ta.sma(close, sma50Length)
sma150 = ta.sma(close, sma150Length)
sma200 = ta.sma(close, sma200Length)

// Calculate the 20-period moving average of volume
volumeMA20 = ta.sma(volume, volumeMaLength)

// Calculate the 14-period RSI
rsi = ta.rsi(close, rsiLength)

// Calculate the 14-period SMA of RSI
rsiSMA = ta.sma(rsi, rsiSmaLength)

// Check if most of the last 5 days are buyer days (close > open)
buyerDays = 0
for i = 0 to 9
    if close[i] > open[i]
        buyerDays := buyerDays + 1

// Check if at least 1 day has volume higher than the 20-period volume MA
highVolumeDays = 0
for i = 0 to 9
    if close[i] > open[i] and volume[i] > volumeMA20
        highVolumeDays := highVolumeDays + 1

// Define the new RSI condition
rsiCondition = (rsi >= 55) or (rsiSMA > 50 and rsi > rsi[1])

// Check if the 50-day SMA has been rising on at least 16 of the last 20 trading days
risingDays = 0
for i = 1 to smaCheckLength
    if sma50[i] > sma50[i + 1]
        risingDays := risingDays + 1

// Check if the SMA has risen on at least 16 of the last 20 days
sma50Rising = risingDays >= requiredRisingDays

// Check if the price has been above the SMA150 for the last 20 trading days
priceAboveSma150 = true
for i = 1 to smaCheckLength
    if close[i] < sma150[i]
        priceAboveSma150 := false

// Check if the SMA150 has been above the SMA200 for the last 10 days
sma150AboveSma200 = true
for i = 1 to sma150AboveSma200CheckDays
    if sma150[i] < sma200[i]
        sma150AboveSma200 := false

// Define the conditions for the 150-day and 200-day SMAs being rising
sma150Rising = sma150 > sma150[1]
sma200Rising = sma200 > sma200[1]

// Check if most of the last 5 days are seller days (close < open)
sellerDays = 0
for i = 0 to 9
    if close[i] < open[i]
        sellerDays := sellerDays + 1

// Check if at least 1 day has seller volume higher than the 20-period volume MA
highSellerVolumeDays = 0
for i = 0 to 9
    if close[i] < open[i] and volume[i] > volumeMA20
        highSellerVolumeDays := highSellerVolumeDays + 1

// Check in the last N days the price below 150
priceBelowSma150 = true
for i = 0 to 0
    if close[i] > sma150[i]
        priceBelowSma150 := false

// Restrict the strategy to 1D time frame
if timeframe.isdaily
    // Buy condition:
    // - Most of the last 5 days are buyer days (buyerDays > 2)
    // - At least 1 of those days has high buyer volume (highVolumeDays >= 1)
    // - RSI SMA (14-period) between 45 and 50 with RSI >= 55, or RSI SMA > 50 and RSI rising
    // - 50-day SMA > 150-day SMA and 150-day SMA > 200-day SMA
    // - 50-day SMA has been rising on at least 16 of the last 20 trading days
    // - The price hasn't been below the 150-day SMA in the last 20 days
    // - 150-day SMA has been above the 200-day SMA for the last 10 days
    // - 150-day and 200-day SMAs are rising
    buyCondition = (close > sma150 and buyerDays > 4 and highVolumeDays >= 1 and rsiCondition  and sma50 > sma150 and sma50Rising and sma150Rising and sma200Rising and priceAboveSma150)

    // Sell condition:
    // - Price crossing below SMA 150
    // - Seller volume (current volume > volume MA 20)
    // - 150-day SMA crosses below 200-day SMA
    // - Most of the last 5 days are seller days (sellerDays > 2) and at least 1 day of higher seller volume (highSellerVolumeDays >= 1)
    sellCondition = (priceBelowSma150 and (sma50 < sma150 or (sellerDays >5 and highSellerVolumeDays >= 5)))

    // Execute buy when all conditions are met
    if (buyCondition)
        strategy.entry("Buy", strategy.long)

    // Execute sell when all conditions are met
    if (sellCondition)
        strategy.close("Buy")

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