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انتہائی زیادہ فٹ ٹرینڈ بریک آؤٹ حکمت عملی

مصنف:چاؤ ژانگ، تاریخ: 2023-09-28 15:54:32
ٹیگز:

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/*backtest
start: 2022-09-21 00:00:00
end: 2023-09-27 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Extremely Overfit", overlay=true, commission_type=strategy.commission.percent, commission_value=.16, default_qty_type=strategy.percent_of_equity, default_qty_value=100, pyramiding = 1)
price = close

goLong = input(title="go long?", type=input.bool, defval=true)
goShort = input(title="go short?", type=input.bool, defval=true)
//trendRestrict = input(title="basic trend restriction?", type=input.bool, defval=false)
dynamicRestrict = true //input(title="dynamic trend restriction?", type=input.bool, defval=true)
longtrendimpt = true //input(title="additional weight on long-term trends?", type=input.bool, defval=true)
volRestrict = true //input(title="volume restriction?", type=input.bool, defval=true)
conservativeClose = false //input(title="conservative order closing?", type=input.bool, defval=false)

Restrictiveness = input ( -40,step=10,title ="Restrictiveness (higher = make fewer trades)")
volatilityImportance = 3.2 //input( 3.2, step = 0.1, minval = 0)
fastChannelLength = input( 6 )
fastChannelMargin = input ( 3.2, step = 0.1, minval = 0)
slowChannelLength = input ( 6, step = 1, minval = 0)
slowChannelMargin = input ( 1.5, step = 0.1, minval = 0)
fastHMAlength = input (4, step = 1, minval = 0)
stopLoss = input( 3, step = 0.1, minval = 0)
//altClosePeriod = input( 27, step = 1, minval = 1)
//altCloseFactor = input( 4.9, step = 0.1)
stopLossFlexibility = 50 //input(50, step=10, title="effect of volatility on SL?")
volumeMAlength = 14 //input ( 14, step = 1, minval = 1)
volumeVolatilityCutoff = 3.8 // ( 3.8, step = 1, minval = 0)
trendSensitivity = 3.8 //input ( 3.8, step = 0.1)
obvLookback = 10 //input(10, step = 10, minval = 10)
obvCorrThreshold = 0.89 //input(0.89, step = 0.01)
ROClength = 80 //input( 80, step = 10)
ROCcutoff = 5.6 //input( 5.6, step=0.1)

trendRestrict = false
//trendLookback = input ( 360, step = 10, minval = 10)
//longTrendLookback = input(720, step = 10, minval = 10)
//longTrendImportance = input(1.5, step = 0.05)
trendLookback = 360
longTrendLookback = 720
longTrendImportance = 1.5

//conservativeness = input( 2.4, step = 0.1)
conservativeness = 0
//trendPower = input( 0, step=1)
trendPower = 0
//conservativenessLookback = input( 650, step = 10, minval = 0)
conservativenessLookback = 10
//consAffectFactor = input( 0.85,step=0.01)
consAffectFactor = 0.85
//volatilityLookback = input(50, step=1, minval=2)
volatilityLookback = int(50)
recentVol = stdev(price,volatilityLookback)/sqrt(volatilityLookback)

//price channel

fastChannel = ema(price, fastChannelLength)
fastChannelUB = fastChannel * (1 + (float(fastChannelMargin) / 1000)) + (recentVol * (float(volatilityImportance) * (1 + (Restrictiveness/100))))
fastChannelLB = fastChannel * (1 - (float(fastChannelMargin) / 1000)) - (recentVol * (float(volatilityImportance) * (1 + (Restrictiveness/100))))
fchU = ((fastChannelUB < open) and (fastChannelUB < close))
fchL = ((fastChannelLB > open) and (fastChannelLB > close))
//plot(fastChannelUB)
//plot(fastChannelLB)

//slow channel
//slowChannelLBmargin = input ( 2, step = 0.1, minval = 0 )
slowChannel = ema(ema(price,slowChannelLength),slowChannelLength)
slowChannelUB = slowChannel * (1 + (float(slowChannelMargin) / 2000)) + (recentVol * (float(volatilityImportance) * (1 + (Restrictiveness/100))))
slowChannelLB = slowChannel * (1 - (float(slowChannelMargin) / 2000)) - (recentVol * (float(volatilityImportance) * (1 + (Restrictiveness/100))))
schU = ((slowChannelUB < close))
schL = ((slowChannelLB > close))
cschU = (((slowChannelUB * (1 + conservativeness)) < close))
cschL = (((slowChannelUB * (1 - conservativeness)) > close))
//plot(slowChannel,color = #00FF00)
//plot(slowChannelUB,color = #00FF00)
//plot(slowChannelLB,color = #00FF00)


fastHMA = hma(price,fastHMAlength)
fastAboveUB = (fastHMA > slowChannelUB)
fastBelowLB = (fastHMA < slowChannelLB)
//plot(fastHMA, color = 	#FF0000, linewidth = 2)

//consecutive candles
//consecutiveCandlesReq = input(1, step = 1, minval = 1, maxval = 4)
consecutiveCandlesReq = 1
consecutiveBullReq = float(consecutiveCandlesReq)
consecutiveBearReq = float(consecutiveCandlesReq)
cbull = ((close[0] > close[1]) and (consecutiveBullReq == 1)) or (((close[0] > close[1]) and (close[1] > close[2])) and consecutiveBullReq == 2) or (((close[0] > close[1]) and (close[1] > close[2]) and (close[2] > close[3])) and consecutiveBullReq == 3) or (((close[0] > close[1]) and (close[1] > close[2]) and (close[2] > close[3]) and (close[3] > close[4])) and consecutiveBullReq == 4)
cbear = ((close[0] < close[1]) and (consecutiveBearReq == 1)) or (((close[0] < close[1]) and (close[1] < close[2])) and consecutiveBearReq == 2) or (((close[0] < close[1]) and (close[1] < close[2]) and (close[2] < close[3])) and consecutiveBearReq == 3) or (((close[0] < close[1]) and (close[1] < close[2]) and (close[2] < close[3]) and (close[3] < close[4])) and consecutiveBearReq == 4)

//trend detection
//trendCutoff = input(0, step = 0.1)
trendCutoff = 0
trendDetectionPct = float(trendCutoff/100)
trendVal = float((close[0] - close[trendLookback])/close[0])
trendUp = (trendVal > (0 + trendDetectionPct))
trendDown = (trendVal < (0 - trendDetectionPct))
//plot(trendVal+36.5,linewidth=2)

// peak indicators
peakHigh = ((fastHMA > fastChannelUB) and (fastChannelLB > slowChannelUB))
peakLow = ((fastHMA < fastChannelLB) and (fastChannelUB < slowChannelLB))
TpeakHigh = (fastHMA > fastChannelUB) and (fastChannelUB > slowChannelUB)
TpeakLow = (fastHMA < fastChannelUB) and (fastChannelLB < slowChannelLB)
//TpeakHigh = (fastHMA > fastChannelUB) and (fastChannelLB > avg(slowChannelUB,slowChannelLB))
//TpeakLow = (fastHMA < fastChannelUB) and (fastChannelUB < avg(slowChannelLB,slowChannelUB))
//TpeakHigh = ((crossover(fastHMA,fastChannelUB)) and (fastChannelLB > slowChannelUB))
//TpeakLow = ((crossover(fastChannelLB,fastHMA)) and (fastChannelUB < slowChannelLB))
//TpeakHigh = (fastHMA > (fastChannelUB * (1 + (trendPower/800)))) and (fastChannelUB > (slowChannelUB * (1 + (trendPower/800))))
//TpeakLow = (fastHMA < (fastChannelUB * (1 - (trendPower/800)))) and (fastChannelLB < (slowChannelLB * (1 - (trendPower/800))))
//TpeakHigh = (fastHMA > (fastChannelUB * (1 + (trendPower/800)))) and (avg(fastChannelUB,fastChannelLB) > (slowChannelUB * (1 + (trendPower/800))))
//TpeakLow = (fastHMA < (fastChannelUB * (1 - (trendPower/800)))) and (avg(fastChannelLB,fastChannelUB) < (slowChannelLB * (1 - (trendPower/800))))
//plot(fastChannelUB * (1 + (trendPower/700)), color=#FF69B4)

// and for closing...
closeLong = (crossover(fastHMA,fastChannelUB) and (fastChannelLB > slowChannelUB))
closeShort = (crossover(fastChannelLB,fastHMA) and (fastChannelUB < slowChannelLB))
//closeLong = (crossover(fastHMA,fastChannelUB) and (fastChannelLB > slowChannelUB)) or (roc(price,altClosePeriod) > altCloseFactor)
//closeShort = (crossover(fastChannelLB,fastHMA) and (fastChannelUB < slowChannelLB))  or (roc(price,altClosePeriod) < (altCloseFactor) * -1)
//closeLong = (crossover(fastHMA,fastChannelUB) and (fastChannelLB > slowChannelUB)) or (((price - fastChannelUB) > (altCloseFactor * abs(((fastChannelUB - fastChannelLB)/2) - ((slowChannelUB - slowChannelLB)/2)))) and (fastChannelLB > slowChannelUB))
//closeShort = (crossover(fastChannelLB,fastHMA) and (fastChannelUB < slowChannelLB)) or (((fastChannelLB - price) > (altCloseFactor * abs(((fastChannelUB - fastChannelLB)/2) - ((slowChannelUB - slowChannelLB)/2)))) and (fastChannelUB < slowChannelLB))
//closeLong = crossover(fastHMA,fastChannelUB) and ((fastChannelLB[0] - fastChannelLB[1]) < (slowChannelUB[0] - slowChannelUB[1]))
//closeShort = crossover(fastChannelLB,fastHMA) and ((fastChannelUB[0] - fastChannelUB[1]) > (slowChannelLB[0] - slowChannelLB[1]))


//stop-loss
priceDev = stdev(price,trendLookback) * (1 + stopLossFlexibility/5)
stopLossMod = stopLoss * (1 + (priceDev/price))
//longStopPrice  = strategy.position_avg_price * (1 - (stopLoss/100))
//shortStopPrice = strategy.position_avg_price * (1 + (stopLoss/100))
longStopPrice  = strategy.position_avg_price * (1 - (stopLossMod/100))
shortStopPrice = strategy.position_avg_price * (1 + (stopLossMod/100))


// volume
volumeMA = ema(volume,volumeMAlength)
volumeDecrease = ((not volRestrict ) or (volumeMA[0] < ema(volumeMA[1] * (1 - (volumeVolatilityCutoff/100)),5)))
volumeCutoff = ema(volumeMA[1] * (1 - (volumeVolatilityCutoff/100)),5)
//plot(volumeMA)
//plot(volumeCutoff)

// detect volatility
//trendinessLookback = input ( 600, step = 10, minval = 0)
trendinessLookback = trendLookback
trendiness = (stdev(price,trendinessLookback)/price) * (1 - (Restrictiveness/100))
longtermTrend = ((price - price[longTrendLookback])/price)
//dynamicTrendDetected = (dynamicRestrict and (abs(trendiness * 100) < trendSensitivity))
dynamicTrendDetected = (longtrendimpt and (dynamicRestrict and (abs(trendiness * 100) < (trendSensitivity+(longtermTrend * longTrendImportance))))) or (not longtrendimpt and ((dynamicRestrict and (abs(trendiness * 100) < trendSensitivity))))

// adapt conservativeness to volatility

//consVal = sma(((stdev(price,conservativenessLookback))/price)*100,25)
consVal = sma(((stdev(price,conservativenessLookback))/price)*100,25)
cVnorm = sma(avg(consVal,3),60)
cVal = consVal - cVnorm

//conservativenessMod = conservativeness * (cVal * consAffectFactor)
conservativenessMod = conservativeness * (consVal * consAffectFactor)
//plot(consVal,linewidth=4)
//plot(cVnorm,color = #00FF00)
//plot(cVal,linewidth=2)

// ROC cutoff (for CLOSING)
//rocCloseLong = (ema(roc(price,ROClength),10) > ROCcutoff)
//rocCloseShort = (ema(roc(price,ROClength),10) < (ROCcutoff * -1))
ROCval = roc(price,ROClength)
ROCema = ema(ROCval,30)
ROCabs = abs(ROCema)
ROCallow = ROCabs < ROCcutoff
ROCallowLong = (ROCabs < ROCcutoff)  or ((ROCabs >= ROCcutoff) and ((fastChannelLB < slowChannelLB) and (fastHMA < fastChannelLB)))
ROCallowShort = (ROCabs < ROCcutoff) or ((ROCabs >= ROCcutoff) and ((fastChannelUB > slowChannelUB) and (fastHMA > fastChannelUB)))
//plot(ROCallow)

// obv
evidence_obv = (correlation(price,obv[0],obvLookback))
obvAllow = evidence_obv > obvCorrThreshold


//if (not na(vrsi))
if trendRestrict or dynamicTrendDetected
    //if (strategy.position_size == 0)
    if not (strategy.position_size < 0)
        if trendUp
        	//if cbear and schL and fchL and trendUp and goLong
        	if cbear and TpeakLow and volumeDecrease and ROCallow and goLong and obvAllow
        	//if cbear and peakLow and rocHigh and volumeDecrease and goLong
        		strategy.entry("Long", strategy.long, comment="Long")
    if not (strategy.position_size > 0)
        if trendDown
        	//if cbull and schU and fchU and trendDown and goShort
        	if cbull and TpeakHigh and volumeDecrease and ROCallow and goShort and obvAllow
        	//if cbull and peakHigh and rocLow and volumeDecrease and goShort
        		strategy.entry("Short", strategy.short, comment="Short")
else
    //if (strategy.position_size == 0)
    if not (strategy.position_size < 0)
        //if cbear and peakLow and goLong
    	//if cbear and peakLow and volumeDecrease and ROCallow and goLong
    	if TpeakLow and goLong and obvAllow
    		strategy.entry("Long", strategy.long, comment="Long")
    if not (strategy.position_size > 0)
        //if cbull and peakHigh and goShort
    	//if cbull and peakHigh and volumeDecrease and ROCallow and goShort
    	if TpeakHigh and goShort and obvAllow
    		strategy.entry("Short", strategy.short, comment="Short")

if conservativeClose
    //pkHigh = ((fastHMA > fastChannelUB) and (fastChannelUB > (slowChannelUB * (1 + conservativeness/1000))))
    //pkLow = ((fastHMA < fastChannelLB) and (fastChannelLB < (slowChannelLB * (1 - conservativeness/1000))))
    //pkHigh = ((fastHMA > fastChannelUB) and (fastChannelUB > (slowChannelUB * (1 + conservativenessMod/1000))))
    //pkLow = ((fastHMA < fastChannelLB) and (fastChannelLB < (slowChannelLB * (1 - conservativenessMod/1000))))
    pkHigh = ((fastHMA > fastChannelUB) and (fastChannelUB > (slowChannelUB * (1 + ((conservativenessMod/1000) * (1 - Restrictiveness/100))))))
    pkLow = ((fastHMA < fastChannelLB) and (fastChannelLB < (slowChannelLB * (1 - ((conservativenessMod/1000) * (1 - Restrictiveness/100))))))
    
    if (strategy.position_size > 0)
        //if fastAboveUB
        //if pkHigh and closeLong
        if closeLong
    		strategy.close("Long", comment="closeLong")
    if (strategy.position_size < 0)
        //if fastBelowLB
        //if pkLow and closeShort
        if closeShort
    		strategy.close("Short", comment="closeShort")
else
    if (strategy.position_size > 0)
        //if fastAboveUB
        if peakHigh
    		strategy.close("Long", comment="closeLong")
    if (strategy.position_size < 0)
        //if fastBelowLB
        if peakLow
    		strategy.close("Short", comment="closeShort")

if (strategy.position_size > 0)
    strategy.exit(id="Long", stop=longStopPrice, comment="stopLong")

if (strategy.position_size < 0)
    strategy.exit(id="Short", stop=shortStopPrice, comment="stopShort")
//plot(strategy.equity, title="equity", color=color.red, linewidth=2, style=plot.style_areabr)

---

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