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2. Стратегия охотников за тенденциями на многочасовые рамки

Стратегия охотников за тенденциями на многочасовые рамки

Автор:Чао Чжан, Дата: 2024-02-18 10:17:06
Тэги:

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/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © godzcopilot / blockybears

// Thanks to anthonyf50 for his MTF Ichimoku https://www.tradingview.com/script/Pw9cBFma/
// Thanks to KivancOzbilgic for his SuperTrend https://www.tradingview.com/script/r6dAP7yi/
// Thanks to ZenAndTheArtOfTrading / PineScriptMastery for their Higher Timeframe EMA https://www.tradingview.com/script/Vh3XG9sD-Higher-Timeframe-EMA/


//@version=5
strategy("TrendHunter [Blocky]", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=80, initial_capital=1000, pyramiding=0)

// ================
// Strategy Inputs
// ================

// Defines user inputs for configuring the strategy.

// Higher Time Frame Selection
HTF_TimeFrame = input.timeframe(title='Higher Time Frame', defval='60', group = '== Timeframe ==', tooltip = "Select Chart for standard functionality")

// Inputs for EMA
len     = input.int(title="EMA Length", defval=200, group ='== EMA ==')
col     = input.bool(title="Colour EMA", defval=true, group ='== EMA ==')

// SuperTrend
Periods = input(title='ATR Period', defval=10, group = '== Supertrend ==')
Multiplier = input.float(title='ATR Multiplier', step=0.1, defval=3.0, group = '== Supertrend ==')
Src = input.source(title='Source', defval=hl2, group = '== Supertrend ==')

// Ichimoku
conversionPeriods = input.int(9, minval=1, title='Conversion Line Periods', group = '== Ichimoku ==')
basePeriods = input.int(26, minval=1, title='Base Line Periods', group = '== Ichimoku ==')
laggingSpan2Periods = input.int(52, minval=1, title='Lagging Span 2 Periods', group = '== Ichimoku ==')
displacement = input.int(26, minval=1, title='Displacement', group = '== Ichimoku ==')

// Ichimoku Display Options
isActiveConversion = input(false, 'Conversion Line', group = '== Ichimoku ==', inline = 'lines1')
isActiveBase = input(false, 'Base Line', group = '== Ichimoku ==', inline = 'lines1')
isActiveLagging = input(false, 'Lagging Span', group = '== Ichimoku ==', inline = 'lines2')
isActiveCloud = input(true, 'Cloud', group = '== Ichimoku ==', inline = 'lines2')


// ================
// Strategy Options
// ================

bTable = input.bool(true, title='Trade Table', group='== Strategy Options ==', tooltip = "Show table that shows current selected options and trade trade entry parameters")

bLong = input.bool(true, title='Enter Longs', group='== Strategy Options ==', inline = 'LongShort')
bShort = input.bool(true, title='Enter Shorts', group='== Strategy Options ==', inline = 'LongShort', tooltip = "Filter long / short trade signals")

bPriceCloud = input.bool(true, title='Price outside cloud', group='== Strategy Options ==', inline='PriceCloud')
bPriceCloudBody = input.bool(false, title='Full Body', group='== Strategy Options ==', inline='PriceCloud', tooltip = 'Only trade when price action outside the cloud.\nLongs when price action above the cloud.\nShort when price action below the cloud')

bPriceEMA = input.bool(false, title='Price above/below EMA', group='== Strategy Options ==', inline='PriceEMA')
bPriceEMABody = input.bool(false, title='Full Body', group='== Strategy Options ==', inline='PriceEMA', tooltip = 'Longs when price action above the EMA.\nShort when price action below the EMA')

bSuper = input.bool(true, title='Supertrend transistions', group='== Strategy Options ==', tooltip = "Trade in direction of the supertrend transitions")
bLTF = input.bool(false, title='LTF/HTF Supertrend alignment', group='== Strategy Options ==', tooltip = "Utilise a dual supertrends, chart and defined higher time frame")

bEMACloud1 = input.bool(true, title='EMA Outside Cloud', group='== Strategy Options ==', tooltip = "EMA must be outside the ichimoku cloud")
bEMACloud2 = input.bool(false, title='EMA above/below Cloud', group='== Strategy Options ==', tooltip = "Longs when EMA above the cloud.\nShort when EMA below the cloud")

bExitHTFTrail = input.bool(true, title='Super Trend Exits:  HTF', group='== Strategy Options ==', inline = 'Exits')
bExitLTFTrail = input.bool(true, title='LTF', group='== Strategy Options ==', inline = 'Exits', tooltip = 'Exit trades when price crosses the supertrend line\nIf neither selected trade closes when opposite trade opens\nIf using LTF closes turn on HTF/LTF alignment')

// ===========================
// EMA Functions and Plotting
// ===========================

// Calculate EMA
ema = ta.ema(close, len)
emaSmooth = request.security(syminfo.tickerid, HTF_TimeFrame, ema[barstate.isrealtime ? 1 : 0], gaps=barmerge.gaps_on)[barstate.isrealtime ? 0 : 1]


// Draw EMA
plot(emaSmooth, color=col ? (close > emaSmooth ? color.rgb(76, 163, 175) : color.rgb(6, 23, 173)) : color.black, linewidth=2, title="HTF EMA")


// ==================================
// Supertrend Functions and Plotting
// ==================================

// Function to calculate SuperTrend
calcSuperTrend(src, atrPeriods, multiplier) =>
    atr = ta.atr(atrPeriods)
    up = src - multiplier * atr
    up1 = nz(up[1], up)
    up := close[1] > up1 ? math.max(up, up1) : up
    dn = src + multiplier * atr
    dn1 = nz(dn[1], dn)
    dn := close[1] < dn1 ? math.min(dn, dn1) : dn
    trend = 1
    trend := nz(trend[1], trend)
    trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend
    [up, dn, trend]

// Calculate SuperTrend for the current time frame
[up, dn, trend] = calcSuperTrend(Src, Periods, Multiplier)

// Plotting for the current time frame
plot(trend == 1 ? up : dn, title='LTF Supertrend', color=trend == 1 ?color.green : color.red, linewidth=1, style = plot.style_stepline)

// Fetching the higher time frame data
[HTF_up, HTF_dn, HTF_trend] = request.security(syminfo.tickerid, HTF_TimeFrame, calcSuperTrend(hl2, Periods, Multiplier), lookahead=barmerge.lookahead_on)

// Plotting for the higher time frame
plot(HTF_trend == 1 ? HTF_up : HTF_dn, title='HTF Up Trend', color= HTF_trend == 1 ? color.green : color.red, linewidth=4)


// ===============================
// Ichimoku Functions and Plotting
// ===============================

// Function to convert timeframe to hours
f_convertTimeframeToHours(tf) =>
    val = 0.0
    if tf == "1S" or tf == "S"
        val := 1.0 / 3600.0
    else if str.contains(tf, "S")
        val := str.tonumber(str.replace(tf, "S", "")) / 3600.0
    else if tf == "1D" or tf == "D"
        val := 24.0
    else if str.contains(tf, "D")
        val := str.tonumber(str.replace(tf, "D", "")) * 24.0
    else if tf == "1W" or tf == "W"
        val := 24.0 * 7.0
    else if str.contains(tf, "W")
        val := str.tonumber(str.replace(tf, "W", "")) * 24.0 * 7.0
    else if tf == "1M" or tf == "M"
        val := 24.0 * 30.0  // Approximation for a month
    else if str.contains(tf, "M")
        val := str.tonumber(str.replace(tf, "M", "")) * 24.0 * 30.0  // Approximation for months
    else
        // Default to minutes
        val := str.tonumber(tf) / 60.0
    val

// Time
timeOffset = time - time[1]


// Returns the displacement based on the chart / HTF resolution
f_getDisplacement(_res) =>
    _res == '' ? displacement : math.round(f_convertTimeframeToHours(_res) / f_convertTimeframeToHours(timeframe.period) * displacement)
    //f_avgDilationOf(_res) * displacement

// Returns average value between lowest and highest
f_avgLH(_len) =>
    math.avg(ta.lowest(_len), ta.highest(_len))

// Returns f_donchian data 
f_donchian(_tf, _src) =>
    request.security(syminfo.tickerid, _tf, _src, barmerge.gaps_off, barmerge.lookahead_on)

// Returns ichimoku data
f_ichimokuData(_tf) =>
    _isShow = _tf == '' or f_convertTimeframeToHours(_tf) >= f_convertTimeframeToHours(timeframe.period)
    _displacement = _isShow ? f_getDisplacement(_tf) : na
    _Conversion = _isShow ? f_donchian(_tf, f_avgLH(conversionPeriods)) : na
    _Base = _isShow ? f_donchian(_tf, f_avgLH(basePeriods)) : na
    _Lagging = _isShow ? f_donchian(_tf, close) : na
    _SSA = _isShow ? math.avg(_Conversion, _Base) : na
    _SSB = _isShow ? f_donchian(_tf, f_avgLH(laggingSpan2Periods)) : na
    _middleCloud = _isShow ? _SSA[0] > _SSB[0] ? _SSA[0] - math.abs(_SSA[0] - _SSB[0]) / 2 : _SSA[0] + math.abs(_SSA[0] - _SSB[0]) / 2 : na
    [_displacement, _Conversion, _Base, _Lagging, _SSA, _SSB, _middleCloud]

// Plotting ichimoku data

[Displacement, Conversion, Base, Lagging, SSA, SSB, fisrtMiddleCloud] = f_ichimokuData(HTF_TimeFrame)

// ————— Conversion
plot(isActiveConversion ? Conversion : na, color=color.new(color.blue, 0), title=' Conversion', linewidth=1)
// ————— Base
plot(isActiveBase ? Base : na, color=color.new(color.fuchsia, 0), title=' Base', linewidth=2)
// ————— Lagging
plot(isActiveLagging ? Lagging : na, offset=-Displacement, color=color.new(color.green, 0), title=' Lagging')

// ————— SSA + SSB
ssa = plot(isActiveCloud ? SSA : na, offset=Displacement, color=color.new(color.green, 0), title=' SSA', linewidth=1)
ssb = plot(isActiveCloud ? SSB : na, offset=Displacement, color=color.new(color.red, 0), title=' SSB', linewidth=1)
fill(ssa, ssb, color=color.new(SSA > SSB ? color.green : color.red , 80), title=' Cloud')


// ===============================
// Strategy Entries
// ===============================

// Checks whether price is inside the Ichimoku cloud
f_PriceCloud(dir) =>
    _enter = false
    if bPriceCloud
        if bLong and dir == 1
            if bPriceCloudBody
                _enter := close > math.max(SSA[Displacement], SSB[Displacement]) and open > math.max(SSA[Displacement], SSB[Displacement])
            else
                _enter := close > math.max(SSA[Displacement], SSB[Displacement])
        if bShort and dir == 2
            if bPriceCloudBody
                _enter := close < math.min(SSA[Displacement], SSB[Displacement]) and open < math.min(SSA[Displacement], SSB[Displacement])
            else
                _enter := close < math.min(SSA[Displacement], SSB[Displacement])
    else
        _enter := na
    _enter

// Checks whether price is above / below the ema
f_PriceEMA(dir) =>
    _enter = false
    if bPriceEMA
        if bLong and dir == 1
            if bPriceEMABody
                _enter := close > emaSmooth and open > emaSmooth
            else
                _enter := close > emaSmooth
        if bShort and dir == 2
            if bPriceEMABody
                _enter := close < emaSmooth and open < emaSmooth
            else
                _enter := close < emaSmooth
    else
        _enter := na
    _enter

// Checks HTF supertrend direction
f_Super(dir) =>
    _enter = false
    if bSuper
        if bLong and dir == 1
            _enter := HTF_trend == 1
        if bShort and dir == 2
            _enter := HTF_trend == -1
    else
        _enter := na

    _enter

// Checks LTF supertrend direction
f_LTF(dir) =>
    _enter = false
    if bLTF
        if bLong and dir == 1
            _enter := trend == 1 and HTF_trend == 1
        if bShort and dir == 2
            _enter := trend == -1 and HTF_trend == -1
    else
        _enter := na
    _enter

// Checks whether ema is inside the Ichimoku cloud
f_EMACloud1(dir) =>
    _enter = false
    if bEMACloud1
        if bLong and dir == 1
            _enter := (emaSmooth > math.max(SSA[Displacement], SSB[Displacement])) or (emaSmooth < math.min(SSA[Displacement], SSB[Displacement]))
        if bShort and dir == 2
            _enter := (emaSmooth > math.max(SSA[Displacement], SSB[Displacement])) or (emaSmooth < math.min(SSA[Displacement], SSB[Displacement]))
    else
        _enter := na
    _enter

// Checks whether ema is above/below Ichimoku cloud
f_EMACloud2(dir) =>
    _enter = false
    if bEMACloud2
        if bLong and dir == 1
            _enter := emaSmooth > math.max(SSA[Displacement], SSB[Displacement])
        if bShort and dir == 2
            _enter := emaSmooth < math.min(SSA[Displacement], SSB[Displacement])
    else
        _enter := na
    _enter

// Check if a value is 'na' or true.
f_NATrue(val) =>
    _enter = false
    if na(val)
        _enter := true
    if val
        _enter := true
    _enter   
    

// Consolidates entry conditions.
f_checkCondition(dir) =>
    _enter = false
    if na(f_PriceCloud(dir)) and na(f_PriceEMA(dir)) and na(f_Super(dir)) and na(f_LTF(dir)) and na(f_EMACloud1(dir)) and na(f_EMACloud2(dir))
        _enter := false
    else if f_NATrue(f_PriceCloud(dir)) and f_NATrue(f_PriceEMA(dir)) and f_NATrue(f_Super(dir)) and f_NATrue(f_LTF(dir)) and f_NATrue(f_EMACloud1(dir)) and f_NATrue(f_EMACloud2(dir))
        _enter := true
    _enter

        
// Execute long trade entries
longCondition = bLong and f_checkCondition(1)
if (longCondition)
    strategy.entry("Long", strategy.long)

// Execute short trade entries
shortCondition = bShort and f_checkCondition(2)
if (shortCondition)
    strategy.entry("Short", strategy.short)

// Excute trade exits
exitLong = (bExitHTFTrail and (close < HTF_up or HTF_trend == -1)) or (bExitLTFTrail and (close < up or trend == -1)) 
exitShort = (bExitHTFTrail and (close > HTF_dn or HTF_trend == 1)) or (bExitLTFTrail and (close > dn or trend == 1)) 

if exitLong
    strategy.close("Long")

if exitShort
    strategy.close("Short")

// Creates a table shoing all the user options and their current status for entering a trade
if bTable
    // Create a table
    tbl = table.new(position = position.bottom_right, columns = 4, rows = 9, bgcolor=color.new(color.white, 50), border_width = 1)

    table.cell(tbl, 1, 0, "Selected")
    table.cell(tbl, 2, 0, "Long", bgcolor=na(bLong) ? color.gray : bShort ? color.rgb(4, 112, 8) : color.rgb(100, 7, 7))
    table.cell(tbl, 3, 0, "Short", bgcolor=na(bShort) ? color.gray : bShort ? color.rgb(4, 112, 8) : color.rgb(100, 7, 7))

    table.cell(tbl, 0, 1, "Entry")
    table.cell(tbl, 2, 1, str.tostring(longCondition), bgcolor=longCondition ? color.green : color.red)
    table.cell(tbl, 3, 1, str.tostring(shortCondition), bgcolor=shortCondition ? color.green : color.red)


    table.cell(tbl, 0, 3, "Price Cloud")
    table.cell(tbl, 1, 3, str.tostring(bPriceCloud), bgcolor=na(bPriceCloud) ? color.gray : bPriceCloud ? color.green : color.red)
    table.cell(tbl, 2, 3, str.tostring(f_PriceCloud(1)), bgcolor=na(f_PriceCloud(1)) ? color.gray : f_PriceCloud(1) ? color.green : color.red)
    table.cell(tbl, 3, 3, str.tostring(f_PriceCloud(2)), bgcolor=na(f_PriceCloud(2)) ? color.gray : f_PriceCloud(2) ? color.green : color.red)

    table.cell(tbl, 0, 4, "Price EMA")
    table.cell(tbl, 1, 4, str.tostring(bPriceEMA), bgcolor=na(bPriceEMA) ? color.gray : bPriceEMA ? color.green : color.red)
    table.cell(tbl, 2, 4, str.tostring(f_PriceEMA(1)), bgcolor=na(f_PriceEMA(1)) ? color.gray : f_PriceEMA(1) ? color.green : color.red)
    table.cell(tbl, 3, 4, str.tostring(f_PriceEMA(2)), bgcolor=na(f_PriceEMA(2)) ? color.gray : f_PriceEMA(2) ? color.green : color.red)

    table.cell(tbl, 0, 5, "SuperTrend")
    table.cell(tbl, 1, 5, str.tostring(bSuper), bgcolor=na(bSuper) ? color.gray : bSuper ? color.green : color.red)
    table.cell(tbl, 2, 5, str.tostring(f_Super(1)), bgcolor=na(f_Super(1)) ? color.gray : f_Super(1) ? color.green : color.red)
    table.cell(tbl, 3, 5, str.tostring(f_Super(2)), bgcolor=na(f_Super(2)) ? color.gray : f_Super(2) ? color.green : color.red)

    table.cell(tbl, 0, 6, "HTF/LTF")
    table.cell(tbl, 1, 6, str.tostring(bLTF), bgcolor=na(bLTF) ? color.gray : bLTF ? color.green : color.red)
    table.cell(tbl, 2, 6, str.tostring(f_LTF(1)), bgcolor=na(f_LTF(1)) ? color.gray : f_LTF(1) ? color.green : color.red)
    table.cell(tbl, 3, 6, str.tostring(f_LTF(2)), bgcolor=na(f_LTF(2)) ? color.gray : f_LTF(2) ? color.green : color.red)

    table.cell(tbl, 0, 7, "EMA Outside Cloud")
    table.cell(tbl, 1, 7, str.tostring(bEMACloud1), bgcolor=na(bEMACloud1) ? color.gray : bEMACloud1 ? color.green : color.red)
    table.cell(tbl, 2, 7, str.tostring(f_EMACloud1(1)), bgcolor=na(f_EMACloud1(1)) ? color.gray : f_EMACloud1(1) ? color.green : color.red)
    table.cell(tbl, 3, 7, str.tostring(f_EMACloud1(2)), bgcolor=na(f_EMACloud1(2)) ? color.gray : f_EMACloud1(2) ? color.green : color.red)

    table.cell(tbl, 0, 8, "EMA Above/Below Cloud")
    table.cell(tbl, 1, 8, str.tostring(bEMACloud2), bgcolor=na(bEMACloud2) ? color.gray : bEMACloud2 ? color.green : color.red)
    table.cell(tbl, 2, 8, str.tostring(f_EMACloud2(1)), bgcolor=na(f_EMACloud2(1)) ? color.gray : f_EMACloud2(1) ? color.green : color.red)
    table.cell(tbl, 3, 8, str.tostring(f_EMACloud2(2)), bgcolor=na(f_EMACloud2(2)) ? color.gray : f_EMACloud2(2) ? color.green : color.red)

---

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