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Поисковик блоков заказов

Автор:Чао Чжан, Дата: 2022-05-23 13:54:22
Тэги:МТС

После того, как я обнаружил огромное количество использования с помощью сценария wugamlo Order Block Finder (Экспериментальный), я решил сделать некоторые столь необходимые обновления! Добавил поддержку для составления последнего X числа блоков заказов и в настоящее время работаю над версией с несколькими временными рамками.

Если вы хотите внести свой вклад в раздел анализа MTF, это принесет пользу многим другим сценариям и откроет возможность для использования большего количества индикаторов стиля MTF Panel.

Пожалуйста, посетите страницу оригинального сценария (ссылка вверху), чтобы просмотреть, как индикатор используется в торговле.

обратная проверка

/*backtest
start: 2022-04-22 00:00:00
end: 2022-05-21 23:59:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
study("Order Block Finder", overlay = true)       
tip1 = "Indicator to help identify instituational Order Blocks (OB). OBs often signal the beginning of a strong move. There is a high probability that OB price levels will be revisited in the future and are interesting levels to place limit orders. Bullish Order block is the last down candle before a sequence of up candles. Bearish Order Block is the last up candle before a sequence of down candles."
tip2 = "!Experimental!\nFind Order Blocks from different timeframes. Channels prices are accurate, but arrow position is not. Most useful when selecting a timeframe higher than the chart."
tip3 = "Required number of subsequent candles in the same direction to identify Order Block"
tip4 = "Measured from from potential OB close to close of first candle in sequence"
dummy = input(true,"Hover over ( ! ) for documentation", tooltip = tip1)
colors    = input("LIGHT","Color Scheme", options=["DARK", "LIGHT"])
//res = input("","Order Block Timeframe",input.resolution,tooltip=tip2)
periods   = input(7,     "Relevant Periods to identify OB",tooltip=tip3)    // Required number of subsequent candles in the same direction to identify Order Block
threshold = input(0.0,   "Min. Percent move for valid OB", step = 0.1, tooltip=tip4)      // Required minimum % move (from potential OB close to last subsequent candle to identify Order Block)
bull_channels =  input(2, "Number of Bullish Channels to show")             // Num of channels
bear_channels = input(2, "Number of Bearish Channels to show")              // Num of channels


//Data Curation
res = ""
[copen,chigh,clow,cclose] = security(syminfo.tickerid,res,[open,high,low,close],barmerge.gaps_on, barmerge.lookahead_off)


ob_period = periods + 1                                                     // Identify location of relevant Order Block candle
absmove   = ((abs(cclose[ob_period] - cclose[1]))/cclose[ob_period]) * 100     // Calculate absolute percent move from potential OB to last candle of subsequent candles
relmove   = absmove >= threshold                                            // Identify "Relevant move" by comparing the absolute move to the threshold

// Color Scheme
bullcolor = colors == "DARK"? color.white : color.green
bearcolor = colors == "DARK"? color.blue : color.red

// Bullish Order Block Identification
bullishOB = cclose[ob_period] < copen[ob_period]                              // Determine potential Bullish OB candle (red candle)

int upcandles  = 0
for i = 1 to periods
    upcandles := upcandles + (cclose[i] > copen[i]? 1 : 0)                    // Determine color of subsequent candles (must all be green to identify a valid Bearish OB)

OB_bull      = bullishOB and (upcandles == (periods)) and relmove           // Identification logic (red OB candle & subsequent green candles)
OB_bull_chigh = OB_bull? chigh[ob_period] : na                                // Determine OB upper limit (Open or High depending on input)
OB_bull_clow  = OB_bull? clow[ob_period]  : na                                // Determine OB clower limit (Low)
OB_bull_avg  = (OB_bull_chigh + OB_bull_clow)/2                               // Determine OB middle line


// Bearish Order Block Identification
bearishOB = cclose[ob_period] > copen[ob_period]                              // Determine potential Bearish OB candle (green candle)

int downcandles  = 0
for i = 1 to periods
    downcandles := downcandles + (cclose[i] < copen[i]? 1 : 0)                // Determine color of subsequent candles (must all be red to identify a valid Bearish OB)

OB_bear      = bearishOB and (downcandles == (periods)) and relmove         // Identification logic (green OB candle & subsequent green candles)
OB_bear_chigh = OB_bear? chigh[ob_period] : na                                // Determine OB upper limit (High)
OB_bear_clow  = OB_bear? clow[ob_period] : na                                 // Determine OB clower limit (Open or Low depending on input)
OB_bear_avg  = (OB_bear_clow + OB_bear_chigh)/2                               // Determine OB middle line


// Plotting
plotshape(OB_bull, title="Bullish OB", style = shape.triangleup,   color = bullcolor, textcolor = bullcolor, size = size.tiny, location = location.belowbar, offset = -ob_period, text = "Bull")     // Bullish OB Indicator
bull1 = plot(OB_bull_chigh, title="Bullish OB High", style = plot.style_linebr, color = bullcolor, offset = -ob_period, linewidth = 2)                                               // Bullish OB Upper Limit
bull2 = plot(OB_bull_clow,  title="Bullish OB Low",  style = plot.style_linebr, color = bullcolor, offset = -ob_period, linewidth = 2)                                               // Bullish OB Lower Limit
fill(bull1, bull2, color=bullcolor, transp = 50, title = "Bullish OB fill")                                                                                                          // Fill Bullish OB
plotshape(OB_bull_avg, title="Bullish OB Average", style = shape.cross,   color = bullcolor, size = size.small, location = location.absolute, offset = -ob_period)                 // Bullish OB Average


plotshape(OB_bear, title="Bearish OB", style = shape.triangledown, color = bearcolor, textcolor = bearcolor,  size = size.tiny, location = location.abovebar, offset = -ob_period, text = "Bear")     // Bearish OB Indicator
bear1 = plot(OB_bear_clow,  title="Bearish OB Low",  style = plot.style_linebr, color = bearcolor, offset = -ob_period, linewidth = 2)                                                // Bearish OB Lower Limit
bear2 = plot(OB_bear_chigh, title="Bearish OB High", style = plot.style_linebr, color = bearcolor, offset = -ob_period, linewidth = 2)                                                // Bearish OB Upper Limit
fill(bear1, bear2, color=bearcolor, transp = 50, title = "Bearish OB fill")                                                                                                           // Fill Bearish OB
plotshape(OB_bear_avg, title="Bearish OB Average", style = shape.cross,   color = bearcolor, size = size.small, location = location.absolute, offset = -ob_period)                  // Bullish OB Average



// Alerts for Order Blocks Detection
alertcondition(OB_bull, title='New Bullish OB detected', message='New Bullish OB detected - This is NOT a BUY signal!')
alertcondition(OB_bear, title='New Bearish OB detected', message='New Bearish OB detected - This is NOT a SELL signal!')
if OB_bull
    strategy.entry("Enter Long", strategy.long)
else if OB_bear
    strategy.entry("Enter Short", strategy.short)

Связанные

Стратегия торговли скользящей средней за несколько временных рамок и трендом RSI

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