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2. ملٹی فیکٹر ماڈل پر مبنی لمحے کی واپسی کی حکمت عملی

ملٹی فیکٹر ماڈل پر مبنی لمحے کی واپسی کی حکمت عملی

مصنف:چاؤ ژانگ، تاریخ: 2023-12-21 16:26:10
ٹیگز:

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/*backtest
start: 2023-11-20 00:00:00
end: 2023-12-07 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 11/11/2019
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// This is modified version of Dale Legan's "Confluence" indicator written by Gary Fritz.
// ================================================================
// Here is Gary`s commentary:
// Since the Confluence indicator returned several "states" (bull, bear, grey, and zero), 
// he modified the return value a bit:
// -9 to -1 = Bearish
// -0.9 to 0.9 = "grey" (and zero)
// 1 to 9 = Bullish
// The "grey" range corresponds to the "grey" values plotted by Dale's indicator, but 
// they're divided by 10.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos

Confluence(Harmonic, BuyBand, SellBand) =>
    pos = 0.0
    Price = close
    STL = round((Harmonic * 2) - 1 - 0.5)
    ITL = round((STL * 2) - 1 - 0.5)
    LTL = round((ITL * 2) - 1 - 0.5)
    HOFF = round(Harmonic / 2 - 0.5)
    SOFF = round(STL / 2 - 0.5)
    IOFF = round(ITL / 2 - 0.5)
    xHavg = sma(Price, Harmonic)
    xSavg = sma(Price, STL)
    xIavg = sma(Price, ITL)
    xLavg = sma(Price, LTL)
    xvalue2 = xSavg - xHavg[HOFF]
    xvalue3 = xIavg - xSavg[SOFF]
    xvalue12 = xLavg - xIavg[IOFF]
    xmomsig = xvalue2 + xvalue3 + xvalue12
    xLavgOHLC = sma(ohlc4, LTL - 1)
    xH2 = sma(Price, Harmonic - 1)
    xS2 = sma(Price, STL - 1)
    xI2 = sma(Price, ITL - 1)
    xL2 = sma(Price, LTL - 1)
    DerivH = (xHavg * 2) - xHavg[1]
    DerivS = (xSavg * 2) - xSavg[1]
    DerivI = (xIavg * 2) - xIavg[1]
    DerivL = (xLavg * 2) - xLavg[1]
    SumDH = Harmonic * DerivH
    SumDS = STL * DerivS
    SumDI = ITL * DerivI
    SumDL = LTL * DerivL
    LengH = Harmonic - 1
    LengS = STL - 1
    LengI = ITL - 1
    LengL = LTL - 1
    N1H = xH2 * LengH
    N1S = xS2 * LengS
    N1I = xI2 * LengI
    N1L = xL2 * LengL
    DRH = SumDH - N1H
    DRS = SumDS - N1S
    DRI = SumDI - N1I
    DRL = SumDL - N1L
    SumH = xH2 * (Harmonic - 1)
    SumS = xS2 * (STL - 1)
    SumI = xI2 * (ITL - 1)
    SumL = xLavgOHLC * (LTL - 1)
    xvalue5 = (SumH + DRH) / Harmonic
    xvalue6 = (SumS + DRS) / STL
    xvalue7 = (SumI + DRI) / ITL
    xvalue13 = (SumL + DRL) / LTL
    value9 = xvalue6 - xvalue5[HOFF]
    value10 = xvalue7 - xvalue6[SOFF]
    value14 = xvalue13 - xvalue7[IOFF]
    xmom = value9 + value10 + value14
    HT = sin(xvalue5 * 2 * 3.14 / 360) + cos(xvalue5 * 2 * 3.14 / 360)
    HTA = sin(xHavg * 2 * 3.14 / 360) + cos(xHavg * 2 * 3.14 / 360)
    ST = sin(xvalue6 * 2 * 3.14 / 360) + cos(xvalue6 * 2 * 3.14 / 360)
    STA = sin(xSavg * 2 * 3.14 / 360) + cos(xSavg * 2 * 3.14 / 360)
    IT = sin(xvalue7 * 2 * 3.14 / 360) + cos(xvalue7 * 2 * 3.14 / 360)
    ITA = sin(xIavg * 2 * 3.14 / 360) + cos(xIavg * 2 * 3.14 / 360)
    xSum = HT + ST + IT
    xErr = HTA + STA + ITA
    Condition2 = (((xSum > xSum[SOFF]) and (xHavg < xHavg[SOFF])) or ((xSum < xSum[SOFF]) and (xHavg > xHavg[SOFF])))
    Phase = iff(Condition2 , -1 , 1)
    xErrSum = (xSum - xErr) * Phase
    xErrSig = sma(xErrSum, SOFF)
    xvalue70 = xvalue5 - xvalue13
    xvalue71 = sma(xvalue70, Harmonic)
    ErrNum = iff (xErrSum > 0 and xErrSum < xErrSum[1] and xErrSum < xErrSig, 1,
                  iff (xErrSum > 0 and xErrSum < xErrSum[1] and xErrSum > xErrSig, 2, 
                     iff (xErrSum > 0 and xErrSum > xErrSum[1] and xErrSum < xErrSig, 2,
                         iff (xErrSum > 0 and xErrSum > xErrSum[1] and xErrSum > xErrSig, 3,
                          iff (xErrSum < 0 and xErrSum > xErrSum[1] and xErrSum > xErrSig, -1,
                             iff (xErrSum < 0 and xErrSum < xErrSum[1] and xErrSum > xErrSig, -2,
                              iff (xErrSum < 0 and xErrSum > xErrSum[1] and xErrSum < xErrSig, -2,
                                 iff (xErrSum < 0 and xErrSum < xErrSum[1] and xErrSum < xErrSig, -3, 0))))))))

    momNum = iff (xmom > 0 and xmom < xmom[1] and xmom < xmomsig , 1,
              iff (xmom > 0 and xmom < xmom[1] and xmom > xmomsig, 2,
               iff (xmom > 0 and xmom > xmom[1] and xmom < xmomsig, 2,
                 iff (xmom > 0 and xmom > xmom[1] and xmom > xmomsig, 3,
                  iff (xmom < 0 and xmom > xmom[1] and xmom > xmomsig, -1,
                   iff (xmom < 0 and xmom < xmom[1] and xmom > xmomsig, -2,
                     iff (xmom < 0 and xmom > xmom[1] and xmom < xmomsig, -2,
                      iff (xmom < 0 and xmom < xmom[1] and xmom < xmomsig, -3, 0))))))))
    
    TCNum =  iff (xvalue70 > 0 and xvalue70 < xvalue70[1] and xvalue70 < xvalue71, 1,
              iff (xvalue70 > 0 and xvalue70 < xvalue70[1] and xvalue70 > xvalue71, 2,
               iff (xvalue70 > 0 and xvalue70 > xvalue70[1] and xvalue70 < xvalue71, 2,
                 iff (xvalue70 > 0 and xvalue70 > xvalue70[1] and xvalue70 > xvalue71, 3,
                  iff (xvalue70 < 0 and xvalue70 > xvalue70[1] and xvalue70 > xvalue71, -1,
                   iff (xvalue70 < 0 and xvalue70 < xvalue70[1] and xvalue70 > xvalue71, -2,
                     iff (xvalue70 < 0 and xvalue70 > xvalue70[1] and xvalue70 < xvalue71, -2,
                      iff (xvalue70 < 0 and xvalue70 < xvalue70[1] and xvalue70 < xvalue71, -3,0))))))))
    
    value42 = ErrNum + momNum + TCNum
    Confluence = iff (value42 > 0 and xvalue70 > 0, value42,
                  iff (value42 < 0 and xvalue70 < 0, value42,
                   iff ((value42 > 0 and xvalue70 < 0) or (value42 < 0 and xvalue70 > 0), value42 / 10, 0)))
    Res1 = iff (Confluence >= 1, Confluence, 0)
    Res2 = iff (Confluence <= -1, Confluence, 0)
    Res3 = iff (Confluence == 0, 0, iff (Confluence > -1 and Confluence < 1, 10 * Confluence, 0))
    pos := iff(Res2 >= SellBand and Res2 != 0, -1,
	         iff(Res1 <= BuyBand and Res1 != 0, 1, 
    	      iff(Res3 != 0, 2, nz(pos[1], 0))))
    pos

strategy(title="Combo Backtest 123 Reversal & Confluence", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
Harmonic = input(10, minval=1)
BuyBand = input(9)
SellBand = input(-9)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posConfluence = Confluence(Harmonic, BuyBand, SellBand)
pos = iff(posReversal123 == 1 and posConfluence == 1 , 1,
	   iff(posReversal123 == -1 and posConfluence == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )

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