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2. Estratégia de Dispositivo Aberto

Estratégia de Dispositivo Aberto

Autora:ChaoZhang, Data: 2023-10-23 15:13:49
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/*backtest
start: 2023-10-15 00:00:00
end: 2023-10-22 00:00:00
period: 10m
basePeriod: 1m
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/
// © Marcns_

//@version=5
// a script that highlights open drives around cash market opens throughout the day
// this indicator identifies the following cash open, open drives 0700 - 0715 / 0800 - 0815 / 1300 - 1315 / 1430 - 1445 
// an open drive is when a cash market opens and price runs either up or down away from the opening price, often this will be the high or the low the remainer of the session or day
// and often identify a trend session
strategy("Open Drive", commission_type =  strategy.commission.cash_per_contract, commission_value = 3.8 )

// open drive filter times - all times GMT
eu_sev = time(timeframe.period, "0700-0715", "GB")
eu_eig = time(timeframe.period, "0800-0815", "GB")
us_one = time(timeframe.period, "1300-1315", "GB")
us_two = time(timeframe.period, "1430-1445", "GB")


// identify bar that opens at low and closes at high + vice versa 
// bar needs to open at one extreme and close at another 
TrndExThreshold_Open = 0.15
TrndExThreshold_Close = 0.15

// add a bar range expansion filter - range of bar correlates to volume, high volume = wider range. This script will be able to filter for a break of a 5 bar range +100% or -100%

fbhi = ta.highest(5)
fblo = ta.lowest(5)

fbr = (fbhi - fblo)

RangeEx_up = 0.0

if high >= (fbhi[1] + fbr[1])
    RangeEx_up := 1.0
else
    na

// range ex down

RangeEx_do = 0.0

if low <= (fblo[1] - fbr[1]) 
    RangeEx_do := 1.0
else
    na


//#1 open within 5% of low

OpenAtLow = 0.0 

if (close > open) and (open-low) / (high-low) < TrndExThreshold_Open
    OpenAtLow := 1.0
else 
    na 

//#2 close within 5% of high
    
CloseAtHigh = 0.0

if (close > open) and (high-close) / (high-low) < TrndExThreshold_Close
    CloseAtHigh := 1.0
else
    na 

OD_Up = 0.0

if (OpenAtLow + CloseAtHigh + RangeEx_up == 3.0) and ( eu_sev or eu_eig or us_one or us_two)
    OD_Up := 1
else
    na

plot(OD_Up, title = "OD_up")



OpenAtHigh = 0.0 

if (close < open) and (high-open) / (high-low) < TrndExThreshold_Open
    OpenAtHigh := 1.0
else 
    na 

//#2 close within 5% of high
    
CloseAtLow = 0.0

if (close < open) and (close-low) / (high-low) < TrndExThreshold_Close
    CloseAtLow := 1.0
else
    na 

OD_Down = 0.0

if (OpenAtHigh + CloseAtLow + RangeEx_do == 3.0) and ( eu_sev or eu_eig or us_one or us_two)
    OD_Down := -1
else
    na

plot(OD_Down, title = "OD_down", color = color.red)


//3sma

ma = ta.sma(close,3)

// one time framing - highlight bars the make a series of lower highs or higher lows to identify trend 
// one time frame up 
otf_u = 0.0

if close > ma and close[1] > ma[1]
    otf_u := 1
else
    na
// one time frame down 
otf_d = 0.0

if close < ma and close[1] < ma[1]
    otf_d := 1
else
    na


//bgcolor(otf_u ? color.rgb(76, 175, 79, 70) : na)
//bgcolor(otf_d ? color.rgb(255, 82, 82, 66) : na)

// record high and low of entry bar into variable for absolute stop
// buy stop
bs = 0.0

if OD_Up
    bs := low[1]
else
    na

// sell stop
ss = 0.0

if OD_Down
    ss := high[1]
else
    na




// strategy entry and exits 
// long
if OD_Up
    strategy.entry("el", strategy.long, 2)
if ta.barssince(OD_Up)> 3 
    strategy.exit(id = "ex" , from_entry = "el", limit = close)

// short 
if OD_Down
    strategy.entry("es", strategy.short, 2)
if ta.barssince(OD_Down)> 3
    strategy.exit(id = "ex" , from_entry = "es", limit = close)

---

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