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2. Стратегия торговли двойной скользящей средней по временным рамкам

Стратегия торговли двойной скользящей средней по временным рамкам

Автор:Чао Чжан, Дата: 2024-02-04 15:03:41
Тэги:

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---

/*backtest
start: 2023-01-28 00:00:00
end: 2024-02-03 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License https://creativecommons.org/licenses/by-sa/4.0/
// © dman103
// A moving averages SandBox strategy where you can experiment using two different moving averages (like KAMA, ALMA, HMA, JMA, VAMA and more) on different time frames to generate BUY and SELL signals, when they cross.
// Great sandbox for experimenting with different moving averages and different time frames.
//
// == How to use ==
// We select two types of moving averages on two different time frames:
//
// First is the FAST moving average that should be at the same time frame or higher.
// Second is the SLOW moving average that should be on the same time frame or higher.
// When FAST moving average cross over the SLOW moving average we have a BUY signal (for LONG)
// When FAST moving average cross under the SLOW moving average we have a SELL signal (for SHORT)


// WARNING: Using a lower time frame than your chart time frame will result in unrealistic results in your backtesting and bar replay.
// == NOTES ==
// You can select BOTH, LONG, SHORT or NONE in the strategy settings.
// You can also enable Stop Loss and Take Profit.
// More sandboxes to come, Follow to get notified.
// Can also act as indicator by settings 'What trades should be taken' to 'NONE'

//@version=4
strategy("Multi MA MTF SandBox Strategy","Multi MA SandBox",overlay=true)
tradeType = input("LONG", title="What trades should be taken:", options=["LONG", "SHORT", "BOTH", "NONE"])
fast_title = input(true,     title='---------------- Fast Moving Average (BLUE)----------------', type=input.bool)
ma_select1 = input(title="First Slow moving average", defval="EMA", options=["SMA", "EMA", "WMA", "HMA", "JMA", "KAMA", "TMA", "VAMA", "SMMA", "DEMA" , "VMA", "WWMA", "EMA_NO_LAG", "TSF","ALMA"])
resma_fast = input(title="First Time Frame", type=input.resolution, defval="")
lenma_fast = input(title="First MA Length", type=input.integer, defval=6)
slow_title = input(true,     title='---------------- Slow Moving Average (YELLOW)----------------', type=input.bool)
ma_select2 = input(title="Second Fast moving average", defval="JMA", options=["SMA", "EMA", "WMA", "HMA", "JMA", "KAMA", "TMA", "VAMA", "SMMA", "DEMA" , "VMA", "WWMA", "EMA_NO_LAG", "TSF","ALMA"])
resma_slow = input(title="Second time frame", type=input.resolution, defval="")
lenma_slow = input(title="Second MA length", type=input.integer, defval=14)

settings = input(true,     title='---------------- Other Settings ----------------', type=input.bool)
lineWidth = input(2,title="Line Width")
colorTransparency=input(50,title="Color Transparency",step=10,minval=0,maxval=100)
color_fast=input(color.blue,type=input.color)
color_slow=input(color.yellow,type=input.color)
fillColor = input(title="Fill Color", type=input.bool, defval=true)
IndicatorSettings = input(true,     title='---------------- Indicators Settings ----------------', type=input.bool)
offset=input(title="Alma Offset (only for ALMA)",defval=0.85, step=0.05)
volatility_lookback =input(title="Volatility lookback (only for VAMA)",defval=12)
i_fastAlpha = input(1.25,"KAMA's alpha (only for KAMA)", minval=1,step=0.25)
fastAlpha = 2.0 / (i_fastAlpha + 1)
slowAlpha = 2.0 / (31)
///////Moving Averages
MA_selector(src, length,ma_select) =>
    ma = 0.0
    if ma_select == "SMA"
        ma := sma(src, length)
        ma

    if ma_select == "EMA"
        ma := ema(src, length)
        ma

    if ma_select == "WMA"
        ma := wma(src, length)
        ma
    if ma_select == "HMA"
        ma := hma(src,length)
        ma
    if ma_select == "JMA"
        beta = 0.45*(length-1)/(0.45*(length-1)+2)
        alpha = beta
        tmp0 = 0.0, tmp1 = 0.0, tmp2 = 0.0, tmp3 = 0.0, tmp4 = 0.0
        tmp0 := (1-alpha)*src + alpha*nz(tmp0[1])
        tmp1 := (src - tmp0[0])*(1-beta) + beta*nz(tmp1[1])
        tmp2 := tmp0[0] + tmp1[0]
        tmp3 := (tmp2[0] - nz(tmp4[1]))*((1-alpha)*(1-alpha)) + (alpha*alpha)*nz(tmp3[1])
        tmp4 := nz(tmp4[1]) + tmp3[0]
        ma := tmp4
        ma
    if ma_select == "KAMA"
        momentum = abs(change(src, length))
        volatility = sum(abs(change(src)), length)
        efficiencyRatio = volatility != 0 ? momentum / volatility : 0
        smoothingConstant = pow((efficiencyRatio * (fastAlpha - slowAlpha)) + slowAlpha, 2)
        var kama = 0.0
        kama := nz(kama[1], src) + smoothingConstant * (src - nz(kama[1], src))
        ma:=kama
        ma
    if ma_select == "TMA"
        ma := sma(sma(src, ceil(length / 2)), floor(length / 2) + 1)
        ma

    if ma_select == "VMA"
        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])
        ma := VAR
        ma

    if ma_select == "WWMA"
        wwalpha = 1/ length
        WWMA = 0.0
        WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1])
        ma := WWMA
        ma

    if ma_select == "EMA_NO_LAG"
        EMA1= ema(src,length)
        EMA2= ema(EMA1,length)
        Difference= EMA1 - EMA2
        ma := EMA1 + Difference
        ma

    if ma_select == "TSF"
        lrc = linreg(src, length, 0)
        lrc1 = linreg(src,length,1)
        lrs = (lrc-lrc1)
        TSF = linreg(src, length, 0)+lrs
        ma := TSF
        ma
        
    if ma_select =="VAMA" // Volatility Adjusted from @fractured
        mid=ema(src,length)
        dev=src-mid
        vol_up=highest(dev,volatility_lookback)
        vol_down=lowest(dev,volatility_lookback)
        ma := mid+avg(vol_up,vol_down)
        ma
    if ma_select == "SMMA"
        smma = float (0.0)
        smaval=sma(src, length)
        smma := na(smma[1]) ? smaval : (smma[1] * (length - 1) + src) / length
        ma := smma
    
    if ma_select == "DEMA"
        e1 = ema(src, length)
        e2 = ema(e1, length)
        ma := 2 * e1 - e2
        ma
    if ma_select == "ALMA"
        ma := alma(src, length,offset, 6)
        ma
    ma

// Calculate EMA
ma_fast = MA_selector(close, lenma_fast,ma_select1)
ma_slow = MA_selector(close, lenma_slow,ma_select2)

maFastStep = security(syminfo.tickerid, resma_fast, ma_fast)
maSlowStep = security(syminfo.tickerid, resma_slow, ma_slow)

ma1_plot=plot(maFastStep, color=color_fast,linewidth=lineWidth,transp=colorTransparency)
ma2_plot=plot(maSlowStep, color=color_slow,linewidth=lineWidth,transp=colorTransparency)
colors=ma_fast>ma_slow ? color.green : color.red
fill(ma1_plot,ma2_plot, color=fillColor? colors: na,transp=colorTransparency+15)

closeStatus = strategy.openprofit > 0 ? "win" : "lose"
////////Long Rules
long = crossover(maFastStep,maSlowStep) and (tradeType == "LONG" or tradeType == "BOTH")
longClose =crossunder(maFastStep,maSlowStep)//and falling(maSlowStep,1) 
///////Short Rules
short =crossunder(maFastStep,maSlowStep) and (tradeType == "SHORT" or tradeType == "BOTH")
shortClose =  crossover(maFastStep,maSlowStep)


longShape= crossover(maFastStep,maSlowStep) and tradeType == "NONE"
shortShape = crossunder(maFastStep,maSlowStep) and tradeType == "NONE"
plotshape(longShape, style=shape.triangleup,location=location.belowbar, color=color.lime,size=size.small)
plotshape(shortShape,style=shape.triangledown,location=location.abovebar, color=color.red,size=size.small)
// === Stop LOSS ===
useStopLoss = input(false, title='----- Add Stop Loss / Take profit -----', type=input.bool)

sl_inp = input(2.5, title='Stop Loss %', type=input.float, step=0.1)/100
tp_inp = input(5, title='Take Profit %', type=input.float, step=0.1)/100
stop_level = strategy.position_avg_price * (1 - sl_inp)
take_level = strategy.position_avg_price * (1 + tp_inp)
stop_level_short = strategy.position_avg_price * (1 + sl_inp)
take_level_short = strategy.position_avg_price * (1 - tp_inp)
if (long)
    strategy.entry("long", strategy.long)
if (short)
    strategy.entry("short", strategy.short)
    
strategy.close ("long", when = longClose, comment=closeStatus) 
strategy.close ("short", when = shortClose, comment=closeStatus) 

if (useStopLoss)
    strategy.exit("Stop Loss/Profit Long","long", stop=stop_level, limit=take_level,comment =closeStatus )
    strategy.exit("Stop Loss/Profit Short","short", stop=stop_level_short, limit=take_level_short, comment = closeStatus)

---

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