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Автор:Чао Чжан, Дата: 2022-05-17 16:59:06
Тэги:РСИ

RSI OTT - это последняя производная версия Anıl Özekşi Optimized Trend Tracker на RSI Oscillator. Он может решить ложные сигналы RSI Oscillator, используя OTT на индикаторе. Те, кто не знает OTT, могут искать в индикаторах.

обратная проверка

/*backtest
start: 2022-05-09 00:00:00
end: 2022-05-15 23:59:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//created by    : @Anil_Ozeksi
//developer     : @Anil_Ozeksi
//author        : @mr. fofenks

study("RISOTTO",overlay=false, precision=2)


src               = close

//RSI
x1                = input(defval = 100      , title = "VAR RSI Period"          , type = input.integer, minval = 1  ,step = 1       , group = "VAR RSI")

//OTT
x2                = input(defval = 50       , title = "RISOTTO Period"          , type = input.integer, minval = 1  ,step = 1       , group = "RISOTTO")
x3                = input(defval = 0.2      , title = "RISOTTO Percent"         , type = input.float  , minval = 0  ,step = 0.05    , group = "RISOTTO")

//Signals
showsignalsc      = input( defval=false     , title = "Show RSI/OTT Crossing Signals?", type=input.bool)

OTT_Func(src,length, percent)=>
    valpha        = 2/(length+1)
    vud1          = src>src[1] ? src-src[1] : 0
    vdd1          = src<src[1] ? src[1]-src : 0
    vUD           = sum(vud1,9)
    vDD           = sum(vdd1,9)
    vCMO          = nz((vUD-vDD)/(vUD+vDD))
    VAR           = 0.0
    VAR          := nz(valpha*abs(vCMO)*src)+(1-valpha*abs(vCMO))*nz(VAR[1])
    fark          = VAR*percent*0.01//multi*atr //
    longStop      = VAR - fark
    longStopPrev  = nz(longStop[1], longStop)
    longStop     := VAR > longStopPrev ? max(longStop, longStopPrev) : longStop
    shortStop     = VAR + fark
    shortStopPrev = nz(shortStop[1], shortStop)
    shortStop    := VAR < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
    dir           = 1
    dir          := nz(dir[1], dir)
    dir          := dir == -1 and VAR > shortStopPrev ? 1 : dir == 1 and VAR < longStopPrev ? -1 : dir
    MT            = dir==1 ? longStop: shortStop
    OTT           = VAR>MT ? MT*(200+percent)/200 : MT*(200-percent)/200
    [VAR,OTT]

rsi               = rsi(src,x1)

[VRSI,_]          = OTT_Func(rsi, x2, 1)
[_,RISOTTO]       = OTT_Func(VRSI+1000, 2, x3)

buySignalc        = crossover(VRSI+1000, RISOTTO[2])
sellSignallc      = crossunder(VRSI+1000, RISOTTO[2])

plot(VRSI+1000         , color=#0585E1     , linewidth=2, title="VAR RSI" , display = display.all)
plot(nz(RISOTTO[2])    , color=#B800D9     , linewidth=2, title="RISOTTO" , display = display.all)


plotshape(buySignalc    and showsignalsc ? RISOTTO*0.995 : na, title="Buy"  , text="Buy"    , location=location.absolute, style=shape.labelup   , size=size.tiny, color=color.green , textcolor=color.white)
plotshape(sellSignallc  and showsignalsc ? RISOTTO*1.005 : na, title="Sell" , text="Sell"   , location=location.absolute, style=shape.labeldown , size=size.tiny, color=color.red   , textcolor=color.white)

//alertcondition(cross(src, OTT[2]), title="Price Cross Alert", message="OTT - Price Crossing!")
//alertcondition(crossover(src, OTT[2]), title="Price Crossover Alarm", message="PRICE OVER OTT - BUY SIGNAL!")
//alertcondition(crossunder(src, OTT[2]), title="Price Crossunder Alarm", message="PRICE UNDER OTT - SELL SIGNAL!")

  
  

if buySignalc
    strategy.entry("Enter Long", strategy.long)
else if sellSignallc
    strategy.entry("Enter Short", strategy.short)

Связанные

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