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2. Estratégia de inversão de tendência baseada em médias móveis múltiplas

Estratégia de inversão de tendência baseada em médias móveis múltiplas

Autora:ChaoZhang, Data: 2023-11-21 14:53:48
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/*backtest
start: 2023-11-13 00:00:00
end: 2023-11-15 03:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © kruskakli
//
// Here is a collection of Trend Indicators as defined by M.H Pee and presented
// in various articles of the "STOCKS & COMMODITIES Magazine"
//
// The actual implementation of the indicators here are made by: everget
//
// I have gather them here so that they easily can be tested.
//
// My own test was made using 15 companies from the OMXS30 list
// during the time period of 2016-2018, and I only went LONG.
//
// The result was as follows:
//
//        Average    Std.Dev
//        profit
//  TDI    3.04%      5.97
//  TTF    1.22%.     5.73
//  TII    1.07%      6.2
//  TCF    0.32%      2.68
//
strategy("M.H Pee indicators", overlay=true)


use = input(defval="TDI", title="Use Indicator", type=input.string,
             options=["TDI","TCF","TTF","TII"])

src = close


//
// TDI
//
length = input(title="Length", type=input.integer, defval=20)
mom = change(close, length)
tdi = abs(sum(mom, length)) - sum(abs(mom), length * 2) + sum(abs(mom), length)
// Direction Indicator
tdiDirection = sum(mom, length)
tdiLong = crossover(tdiDirection, tdi)
tdiXLong = crossunder(tdiDirection, tdi)

//
// TCF
//
tcflength = input(title="Length", type=input.integer, defval=35)

plusChange(src) =>
    change_1 = change(src)
    change(src) > 0 ? change_1 : 0.0
minusChange(src) =>
    change_1 = change(src)
    change(src) > 0 ? 0.0 : -change_1

plusCF = 0.0
plusChange__1 = plusChange(src)
plusCF := plusChange(src) == 0 ? 0.0 : plusChange__1 + nz(plusCF[1])

minusCF = 0.0
minusChange__1 = minusChange(src)
minusCF := minusChange(src) == 0 ? 0.0 : minusChange__1 + nz(minusCF[1])

plusTCF = sum(plusChange(src) - minusCF, tcflength)
minusTCF = sum(minusChange(src) - plusCF, tcflength)

tcfLong = plusTCF > 0 
tcfXLong = plusTCF < 0

//
// TTF
//
ttflength = input(title="Lookback Length", type=input.integer, defval=15)

hh = highest(length)
ll = lowest(length)

buyPower = hh - nz(ll[length])
sellPower = nz(hh[length]) - ll

ttf = 200 * (buyPower - sellPower) / (buyPower + sellPower)

ttfLong = crossover(ttf, 100)
ttfXLong = crossunder(ttf, -100)

//
// TII
//
majorLength = input(title="Major Length", type=input.integer, defval=60)
minorLength = input(title="Minor Length", type=input.integer, defval=30)
upperLevel = input(title="Upper Level", type=input.integer, defval=80)
lowerLevel = input(title="Lower Level", type=input.integer, defval=20)

sma = sma(src, majorLength)

positiveSum = 0.0
negativeSum = 0.0

for i = 0 to minorLength - 1 by 1
    price = nz(src[i])
    avg = nz(sma[i])
    positiveSum := positiveSum + (price > avg ? price - avg : 0)
    negativeSum := negativeSum + (price > avg ? 0 : avg - price)
    negativeSum

tii = 100 * positiveSum / (positiveSum + negativeSum)

tiiLong = crossover(tii, 80)
tiiXLong = crossunder(tii,80)

//
// LOGIC 
//
enterLong = (use == "TDI" and tdiLong) or (use == "TCF" and tcfLong) or (use == "TTF" and ttfLong) or (use == "TII" and tiiLong)
exitLong = (use == "TDI" and tdiXLong) or (use == "TCF" and tcfXLong) or (use == "TTF" and ttfXLong) or (use == "TII" and tiiXLong)


// Time range for Back Testing
btStartYear  = input(title="Back Testing Start Year",  type=input.integer, defval=2016)
btStartMonth = input(title="Back Testing Start Month", type=input.integer, defval=1)
btStartDay   = input(title="Back Testing Start Day",   type=input.integer, defval=1)
startTime = timestamp(btStartYear, btStartMonth, btStartDay, 0, 0)

btStopYear  = input(title="Back Testing Stop Year",  type=input.integer, defval=2028)
btStopMonth = input(title="Back Testing Stop Month", type=input.integer, defval=12)
btStopDay   = input(title="Back Testing Stop Day",   type=input.integer, defval=31)
stopTime  = timestamp(btStopYear, btStopMonth, btStopDay, 0, 0)

window() => time >= startTime and time <= stopTime ? true : false


riskPerc     = input(title="Max Position  %", type=input.float, defval=20, step=0.5)
maxLossPerc  = input(title="Max Loss Risk %", type=input.float, defval=5, step=0.25)

// Average True Range (ATR) measures market volatility.
// We use it for calculating position sizes.
atrLen   = input(title="ATR Length", type=input.integer, defval=14)
stopOffset = input(title="Stop Offset", type=input.float, defval=1.5, step=0.25)
limitOffset = input(title="Limit Offset", type=input.float, defval=1.0, step=0.25)
atrValue = atr(atrLen)


// Calculate position size
maxPos = floor((strategy.equity * (riskPerc/100)) / src)
// The position sizing algorithm is based on two parts:
// a certain percentage of the strategy's equity and
// the ATR in currency value.
riskEquity  = (riskPerc / 100) * strategy.equity
// Translate the ATR into the instrument's currency value.
atrCurrency = (atrValue * syminfo.pointvalue)
posSize0    = min(floor(riskEquity / atrCurrency), maxPos)
posSize     = posSize0 < 1 ? 1 : posSize0

if (window())
    strategy.entry("Long", long=true, qty=posSize0, when=enterLong)
    strategy.close_all(when=exitLong)

---

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