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2. Стратегия торговли Golden Cross SMA

Стратегия торговли Golden Cross SMA

Автор:Чао Чжан, Дата: 2024-01-26 14:29:01
Тэги:

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/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-25 00:00:00
period: 1h
basePeriod: 15m
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/
// © MakeMoneyCoESTB2020


//*********************Notes for continued work***************

//************************************************************

//Hello my fellow investors
//I am creating a simple non-cluttered strategy that uses 3(+1) simple means to determine: viability, entry, and exit
//1) Has a consistent trend been maintained for several days/weeks
//2) SH SMA crossover LG SMA = Bullish entry/LG SMA crossover SH SMA = Bearish entry
//3) Use the Slope factor & Weeks in Trend (WiT) to dertermine how strong of an entry signal you are comfortable with
//4) Exit position based on next SMA cross and trend reversal or stop loss%
//3+1) For added confidence in trend detection: Apply MACD check - buy--> MACD line above signal line and corssover below histogram \\ sell --> MACD line below signal line and crossover above histogram.
//*)This code also allows you to determine your desired backtesting date compliments of alanaster


//This code is the product of many hours of hard work on the part of the greater tradingview community.  The credit goes to everyone in the community who has put code out there for the greater good.

//Happy Hunting!

// 1. Define strategy settings*************************************************************************************************************************************************************************

//Title
strategy("KISS Strategy: SMA + EMA", shorttitle="KISS Strat")

//define calculations price source
price = input(title="Price Source", defval=close)

// 2. Calculate strategy values*************************************************************************************************************************************************************************

//Calculate 13/30/200SMA 
SH_SMA_length= input(title="SH SMA Length", defval=13) //short SMA length
LG_SMA_length= input(title="LG SMA Length", defval=30) //long SMA length
GV_SMA_length= input(title="SH SMA Length", defval=200) //Gravitational SMA length

SH_SMA=sma(price, SH_SMA_length) //short SMA 
LG_SMA=sma(price, LG_SMA_length) //long SMA
GV_SMA=sma(price, GV_SMA_length) //gravitational SMA

//calculate MACD
//define variables for speed
fast = 12, slow = 26
//define parameters to calculate MACD
fastMA = ema(price, fast)
slowMA = ema(price, slow)
//define MACD line
macd = fastMA - slowMA
//define SIGNAL line
signal = sma(macd, 9)

//Determine what type of trend we are in
dcp = security(syminfo.tickerid, 'D', close)   //daily close price 
wcp = security(syminfo.tickerid, 'W', close)   //weekly close price 

WiT = input(title="Weeks In Trend", defval=1, maxval=5, minval=1)    //User input for how many weeks of price action to evaluate (Weeks in Trend = WiT)
BearTrend = false       //initialize trend variables as false
BullTrend = false       //initialize trend variables as false

// BullTrend := (wcp > SH_SMA) and (SH_SMA > LG_SMA)  //true if price is trending up based on weekly price close
// BearTrend := (wcp < SH_SMA) and (SH_SMA < LG_SMA)  //true if price is trending down based on weekly price close


// BullTrend := (price > SH_SMA) and (SH_SMA > LG_SMA)  //true if price is trending up
// BearTrend := (price < SH_SMA) and (SH_SMA < LG_SMA)  //true if price is trending down

//Determine if the market has been in a trend for 'n' weeks

n=WiT                           //create loop internal counting variable
for i=1 to WiT                  //create loop to determine if BearTrend=true to set number of weeks
    if (wcp[n] < price)         //evaluate if BearTrend=false comparing the current price to a paticular week close
        BearTrend := false      //set value to false if older price value is less than newer: trending up
        break                   //break out of for loop when trend first falters
    if (wcp[n] > price)         //evaluate if BearTrend=true comparing the current price to a paticular week close
        BearTrend := true       //set value to true if older price value is greater than newer: trending down
    n:=n-1                      //set internal counter one day closer to present

m=WiT                           //create loop internal counting variable
for j=1 to WiT                  //create loop to determine if BearTrend=true to set number of weeks
    if (wcp[m] > price)         //evaluate if BullTrend=false comparing the current price to a paticular week close
        BullTrend := false      //set value to false if older price value is greater than newer: trending down
        break                   //break out of for loop when trend first falters
    if (wcp[m] < price)         //evaluate if BullTrend=true comparing the current price to a paticular week close
        BullTrend := true       //set value to true if older price value is less than newer: trending up
    m:=m-1                      //set internal counter one day closer to present


//Determine if crossings occur
SH_LGcrossover = crossover(SH_SMA, LG_SMA)  //returns true if short crosses over long
SH_LGcrossunder = crossunder(SH_SMA, LG_SMA)    //returns true if short crosses under long

//Determine the slope of the SMAs when a cross over occurs
SlopeFactor= input(title="Slope Factor", defval=.01, minval=0, step = 0.001) //user input variable for what slope to evaluate against
XSlopeSH = abs(SH_SMA-SH_SMA[2]) //slope of short moving average (time cancels out)
XSlopeLG = abs(LG_SMA-LG_SMA[2]) //slope of long moving average (time cancels out)
StrongSlope = iff (abs(XSlopeSH-XSlopeLG)>SlopeFactor, true, false) //create a boolean variable to determine is slope intensity requirement is met

// ************************************ INPUT BACKTEST RANGE ******************************************=== coutesy of alanaster
fromMonth = input(defval = 4,    title = "From Month",      type = input.integer, minval = 1, maxval = 12)
fromDay   = input(defval = 1,    title = "From Day",        type = input.integer, minval = 1, maxval = 31)
fromYear  = input(defval = 2020, title = "From Year",       type = input.integer, minval = 1970)
thruMonth = input(defval = 1,    title = "Thru Month",      type = input.integer, minval = 1, maxval = 12)
thruDay   = input(defval = 1,    title = "Thru Day",        type = input.integer, minval = 1, maxval = 31)
thruYear  = input(defval = 2112, title = "Thru Year",       type = input.integer, minval = 1970)

// === INPUT SHOW PLOT ===
showDate  = input(defval = true, title = "Show Date Range", type = input.bool)

// === FUNCTION EXAMPLE ===
start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => true

bgcolor(color = showDate and window() ? color.gray : na, transp = 90) 
// === EXECUTION ===
//strategy.entry("L", strategy.long, when = window() and crossOv)    // enter long when "within window of time" AND crossover
//strategy.close("L", when = window() and crossUn)                   // exit long when "within window of time" AND crossunder

// 3. Output strategy data*************************************************************************************************************************************************************************

//Embolden line if a trend exists
trendcolorLG = BearTrend?color.red:color.black //highlights beartrend condition met graphically
trendcolorSH = BullTrend?color.green:color.black //highlights beartrend condition met graphically

//plot SMAs
plot(SH_SMA, title = "SH SMA", color = trendcolorSH)
plot(LG_SMA, title = "LG SMA", color = trendcolorLG)
plot(GV_SMA, title = "GV SMA", color = color.silver, linewidth = 4, transp = 70)

//Highlight crossovers
plotshape(series=SH_LGcrossover, style=shape.arrowup, location=location.belowbar,size=size.normal, color=color.green)
plotshape(series=SH_LGcrossunder, style=shape.arrowdown, location=location.abovebar,size=size.normal, color=color.red)

// 4. Determine Long & Short Entry Calculations*************************************************************************************************************************************************************************

//Define countback variable
countback=input(minval=0, maxval=5, title="Price CountBack", defval=0)
//User input for what evaluations to run: SMA or SMA + EMA
SMA_Y_N=input(defval = "Y", title="Run SMA", type=input.string, options=["Y", "N"])
MACD_Y_N=input(defval = "N", title="Run MACD", type=input.string, options=["Y", "N"])

//Calculate SMA Cross entry conditions
SMAbuy=false
SMAsell=false
SMAbuy := SH_LGcrossover and StrongSlope and BearTrend[WiT*7]   //enter long if short SMA crosses over long SMA & security has been in a BearTrend for 'n' days back
SMAsell := SH_LGcrossunder and StrongSlope and BullTrend[WiT*7] //enter short if short SMA crosses under long SMA & security has been in a BullTrend for 'n' days back

//Calculate MACD Cross entry conditions
MACDbuy = iff(MACD_Y_N=="Y", crossunder(signal[countback], macd[countback]), true) and iff(MACD_Y_N=="Y", macd[countback]<0, true) and StrongSlope and BearTrend     //enter long if fast MACD crosses over slow MACD & there is a strong slope & security has been in a BearTrend for 'n' days back
MACDsell = iff(MACD_Y_N=="Y", crossunder(macd[countback], signal[countback]), true) and iff(MACD_Y_N=="Y", signal[countback]>0, true) and StrongSlope and BullTrend  //enter short if fast MACD crosses under slow MACD & there is a strong slope & security has been in a BullTrend for 'n' days back

//long entry condition
dataHCLB=(iff(SMA_Y_N=="Y", SMAbuy, true) and iff(MACD_Y_N=="Y", MACDbuy, true))
plotshape(dataHCLB, title= "HC-LB", color=color.lime, style=shape.circle, text="HC-LB")
strategy.entry("HC-Long", strategy.long, comment="HC-Long", when = dataHCLB and window())

//short entry condition
dataHCSB=(iff(SMA_Y_N=="Y", SMAsell, true) and iff(MACD_Y_N=="Y", MACDsell, true))
plotshape(dataHCSB, title= "HC-SB", color=color.fuchsia, style=shape.circle, text="HC-SB")
strategy.entry("HC-Short", strategy.short, comment="HC-Short", when=dataHCSB and window())


// 5. Submit Profit and Loss Exit Calculations Orders*************************************************************************************************************************************************************************

// User Options to Change Inputs (%)
stopPer = input(12, title='Stop Loss %', type=input.float) / 100
takePer = input(25, title='Take Profit %', type=input.float) / 100

// Determine where you've entered and in what direction
longStop = strategy.position_avg_price * (1 - stopPer)
shortStop = strategy.position_avg_price * (1 + stopPer)
shortTake = strategy.position_avg_price * (1 - takePer)
longTake = strategy.position_avg_price * (1 + takePer)

//exit position conditions and orders
if strategy.position_size > 0//or crossunder(price[countback], upperBB)
    strategy.exit(id="Close Long", when = window(), stop=longStop, limit=longTake)
if strategy.position_size < 0 //or crossover(price[countback], lowerBB)
    strategy.exit(id="Close Short", when = window(), stop=shortStop, limit=shortTake)





//Evaluate/debug equation***************************************************************************************************************************************************************************
// plotshape((n==5? true : na), title='n=5', style=shape.labeldown, location=location.abovebar, text='5', color=color.white, textcolor=color.black, transp=0) //print n value if 5
// plotshape((n==4? true : na), title='n=4', style=shape.labeldown, location=location.abovebar, text='4', color=color.white, textcolor=color.black, transp=0) //print n value if 4 
// plotshape((n==3? true : na), title='n=3', style=shape.labeldown, location=location.abovebar, text='3', color=color.white, textcolor=color.black, transp=0) //print n value if 3
// plotshape((n==2? true : na), title='n=2', style=shape.labeldown, location=location.abovebar, text='2', color=color.white, textcolor=color.black, transp=0) //print n value if 2
// plotshape((n==1? true : na), title='n=1', style=shape.labeldown, location=location.abovebar, text='1', color=color.white, textcolor=color.black, transp=0) //print n value if 1
// lineValue = 11                                           //set random visible line value to check when equation is true
// colorP = (BearTrend==true) ? color.green : color.red
// plot (lineValue, title = "BearTrend", color = colorP)   //Plot when condition true=green, false=red
// plot (XSlopeLG+15, color=color.white) //used for code debugging
// plot (XSlopeSH+15, color=color.blue) //used for code debugging
// plot (abs(XSlopeSH-XSlopeLG)+20, color=color.fuchsia) //used for code debugging

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