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SSL lai

Tác giả:ChaoZhang, Ngày: 2022-05-17 17:18:32
Tags:EMARMASMAATR
Kịch bản này được thiết kế cho Phương pháp NNFX, vì vậy nó chỉ được khuyến cáo cho biểu đồ hàng ngày. Cố gắng thực hiện một vài quy tắc VP NNFX Kịch bản này có SSL / Baseline (bạn có thể chọn giữa SSL hoặc MA), SSL thứ cấp cho các giao dịch tiếp tục và SSL thứ ba cho các giao dịch thoát. Thêm cảnh báo cho các mục nhập cơ bản, SSL2 tiếp tục, Exits. Điểm cơ sở có cài đặt kênh Keltner cho trong vùng nến màu xám Thêm Candle Size > 1 ATR Kim cương từ kịch bản cũ của tôi với các tiêu chí nằm trong phạm vi ATR cơ bản.
backtest
/*backtest
start: 2022-04-16 00:00:00
end: 2022-05-15 23:59:00
period: 45m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//By Mihkel00
// This script is designed for the NNFX Method, so it is recommended for Daily charts only. 
// Tried to implement a few VP NNFX Rules
// This script has a SSL / Baseline (you can choose between the SSL or MA), a secondary SSL for continiuation trades and a third SSL for exit trades.
// Alerts added for Baseline entries, SSL2 continuations, Exits.
// Baseline has a Keltner Channel setting for "in zone" Gray Candles
// Added "Candle Size > 1 ATR" Diamonds from my old script with the criteria of being within Baseline ATR range.
// Credits
// Strategy causecelebre https://www.tradingview.com/u/causecelebre/
// SSL Channel ErwinBeckers https://www.tradingview.com/u/ErwinBeckers/
// Moving Averages jiehonglim https://www.tradingview.com/u/jiehonglim/
// Moving Averages  everget https://www.tradingview.com/u/everget/
// "Many Moving Averages" script  Fractured https://www.tradingview.com/u/Fractured/
study("SSL Hybrid", overlay=true)
show_Baseline = input(title="Show Baseline", type=input.bool, defval=true)
show_SSL1 = input(title="Show SSL1", type=input.bool, defval=false)
show_atr = input(title="Show ATR bands", type=input.bool, defval=true)
//ATR
atrlen = input(14, "ATR Period")
mult = input(1, "ATR Multi", step=0.1)
smoothing = input(title="ATR Smoothing", defval="SMA", options=["RMA", "SMA", "EMA", "WMA"])

ma_function(source, atrlen) => 
    if smoothing == "RMA"
        rma(source, atrlen)
    else
        if smoothing == "SMA"
            sma(source, atrlen)
        else
            if smoothing == "EMA"
                ema(source, atrlen)
            else
                wma(source, atrlen)
atr_slen = ma_function(tr(true), atrlen)
////ATR Up/Low Bands
upper_band = atr_slen * mult + close
lower_band = close - atr_slen * mult

////BASELINE / SSL1 / SSL2 / EXIT MOVING AVERAGE VALUES
maType = input(title="SSL1 / Baseline Type", type=input.string, defval="HMA", options=["SMA","EMA","DEMA","TEMA","LSMA","WMA","MF","VAMA","TMA","HMA", "JMA", "Kijun v2", "EDSMA","McGinley"])
len = input(title="SSL1 / Baseline Length", defval=60)

SSL2Type = input(title="SSL2 / Continuation Type", type=input.string, defval="JMA", options=["SMA","EMA","DEMA","TEMA","WMA","MF","VAMA","TMA","HMA", "JMA","McGinley"])
len2 = input(title="SSL 2 Length", defval=5)
//
SSL3Type = input(title="EXIT Type", type=input.string, defval="HMA", options=["DEMA","TEMA","LSMA","VAMA","TMA","HMA","JMA", "Kijun v2", "McGinley", "MF"])
len3 = input(title="EXIT Length", defval=15)
src = input(title="Source", type=input.source, defval=close)

//
tema(src, len) =>
    ema1 = ema(src, len)
    ema2 = ema(ema1, len)
    ema3 = ema(ema2, len)
    (3 * ema1) - (3 * ema2) + ema3
kidiv = input(defval=1,maxval=4,  title="Kijun MOD Divider")

jurik_phase = input(title="* Jurik (JMA) Only - Phase", type=input.integer, defval=3)
jurik_power = input(title="* Jurik (JMA) Only - Power", type=input.integer, defval=1)
volatility_lookback = input(10, title="* Volatility Adjusted (VAMA) Only - Volatility lookback length")
//MF
beta = input(0.8,minval=0,maxval=1,step=0.1,  title="Modular Filter, General Filter Only - Beta")
feedback = input(false, title="Modular Filter Only - Feedback")
z = input(0.5,title="Modular Filter Only - Feedback Weighting",step=0.1, minval=0, maxval=1)
//EDSMA
ssfLength = input(title="EDSMA - Super Smoother Filter Length", type=input.integer, minval=1, defval=20)
ssfPoles = input(title="EDSMA - Super Smoother Filter Poles", type=input.integer, defval=2, options=[2, 3])

//----

//EDSMA
get2PoleSSF(src, length) =>
    PI = 2 * asin(1)
    arg = sqrt(2) * PI / length
    a1 = exp(-arg)
    b1 = 2 * a1 * cos(arg)
    c2 = b1
    c3 = -pow(a1, 2)
    c1 = 1 - c2 - c3
    
    ssf = 0.0
    ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])

get3PoleSSF(src, length) =>
    PI = 2 * asin(1)

    arg = PI / length
    a1 = exp(-arg)
    b1 = 2 * a1 * cos(1.738 * arg)
    c1 = pow(a1, 2)

    coef2 = b1 + c1
    coef3 = -(c1 + b1 * c1)
    coef4 = pow(c1, 2)
    coef1 = 1 - coef2 - coef3 - coef4

    ssf = 0.0
    ssf := coef1 * src + coef2 * nz(ssf[1]) + coef3 * nz(ssf[2]) + coef4 * nz(ssf[3])

ma(type, src, len) =>
    float result = 0
    if type=="TMA"
        result := sma(sma(src, ceil(len / 2)), floor(len / 2) + 1)
    if type=="MF"
        ts=0.,b=0.,c=0.,os=0.
        //----
        alpha = 2/(len+1)
        a = feedback ? z*src + (1-z)*nz(ts[1],src) : src
        //----
        b := a > alpha*a+(1-alpha)*nz(b[1],a) ? a : alpha*a+(1-alpha)*nz(b[1],a)
        c := a < alpha*a+(1-alpha)*nz(c[1],a) ? a : alpha*a+(1-alpha)*nz(c[1],a)
        os := a == b ? 1 : a == c ? 0 : os[1]
        //----
        upper = beta*b+(1-beta)*c
        lower = beta*c+(1-beta)*b 
        ts := os*upper+(1-os)*lower
        result := ts
    if type=="LSMA"
        result := linreg(src, len, 0)
    if type=="SMA" // Simple
        result := sma(src, len)
    if type=="EMA" // Exponential
        result := ema(src, len)
    if type=="DEMA" // Double Exponential
        e = ema(src, len)
        result := 2 * e - ema(e, len)
    if type=="TEMA" // Triple Exponential
        e = ema(src, len)
        result := 3 * (e - ema(e, len)) + ema(ema(e, len), len)
    if type=="WMA" // Weighted
        result := wma(src, len)
    if type=="VAMA" // Volatility Adjusted
        /// Copyright © 2019 to present, Joris Duyck (JD)
        mid=ema(src,len)
        dev=src-mid
        vol_up=highest(dev,volatility_lookback)
        vol_down=lowest(dev,volatility_lookback)
        result := mid+avg(vol_up,vol_down)
    if type=="HMA" // Hull
        result := wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len)))
    if type=="JMA" // Jurik
        /// Copyright © 2018 Alex Orekhov (everget)
        /// Copyright © 2017 Jurik Research and Consulting.
        phaseRatio = jurik_phase < -100 ? 0.5 : jurik_phase > 100 ? 2.5 : jurik_phase / 100 + 1.5
        beta = 0.45 * (len - 1) / (0.45 * (len - 1) + 2)
        alpha = pow(beta, jurik_power)
        jma = 0.0
        e0 = 0.0
        e0 := (1 - alpha) * src + alpha * nz(e0[1])
        e1 = 0.0
        e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
        e2 = 0.0
        e2 := (e0 + phaseRatio * e1 - nz(jma[1])) * pow(1 - alpha, 2) + pow(alpha, 2) * nz(e2[1])
        jma := e2 + nz(jma[1])
        result := jma
    if type=="Kijun v2"
        kijun = avg(lowest(len), highest(len))//, (open + close)/2)
        conversionLine = avg(lowest(len/kidiv), highest(len/kidiv))
        delta = (kijun + conversionLine)/2
        result :=delta
    if type=="McGinley"
        mg = 0.0
        mg := na(mg[1]) ? ema(src, len) : mg[1] + (src - mg[1]) / (len * pow(src/mg[1], 4))
        result :=mg
    if type=="EDSMA"
    
        zeros = src - nz(src[2])
        avgZeros = (zeros + zeros[1]) / 2
        
        // Ehlers Super Smoother Filter 
        ssf = ssfPoles == 2
             ? get2PoleSSF(avgZeros, ssfLength)
             : get3PoleSSF(avgZeros, ssfLength)
        
        // Rescale filter in terms of Standard Deviations
        stdev = stdev(ssf, len)
        scaledFilter = stdev != 0
             ? ssf / stdev
             : 0
        
        alpha = 5 * abs(scaledFilter) / len
        
        edsma = 0.0
        edsma := alpha * src + (1 - alpha) * nz(edsma[1])
        result :=  edsma
    result
    
///SSL 1 and SSL2
emaHigh = ma(maType, high, len)
emaLow = ma(maType, low, len)

maHigh = ma(SSL2Type, high, len2)
maLow = ma(SSL2Type, low, len2)

///EXIT
ExitHigh = ma(SSL3Type, high, len3)
ExitLow = ma(SSL3Type, low, len3)

///Keltner Baseline Channel
BBMC = ma(maType, close, len)
useTrueRange = input(true)
multy = input(0.2, step=0.05, title="Base Channel Multiplier")
Keltma = ma(maType, src, len)
range = useTrueRange ? tr : high - low
rangema = ema(range, len)
upperk =Keltma + rangema * multy
lowerk = Keltma - rangema * multy

//Baseline Violation Candle
open_pos =  open*1
close_pos = close*1
difference = abs(close_pos-open_pos)
atr_violation = difference > atr_slen
InRange = upper_band > BBMC and lower_band < BBMC
candlesize_violation = atr_violation and InRange
plotshape(candlesize_violation, color=color.white, size=size.tiny,style=shape.diamond, location=location.top, transp=0,title="Candle Size > 1xATR")


//SSL1 VALUES
Hlv = int(na)
Hlv := close > emaHigh ? 1 : close < emaLow ? -1 : Hlv[1]
sslDown = Hlv < 0 ? emaHigh : emaLow

//SSL2 VALUES
Hlv2 = int(na)
Hlv2 := close > maHigh ? 1 : close < maLow ? -1 : Hlv2[1]
sslDown2 = Hlv2 < 0 ? maHigh : maLow

//EXIT VALUES
Hlv3 = int(na)
Hlv3 := close > ExitHigh ? 1 : close < ExitLow ? -1 : Hlv3[1]
sslExit = Hlv3 < 0 ? ExitHigh : ExitLow
base_cross_Long = crossover(close, sslExit)
base_cross_Short = crossover(sslExit, close)
codiff = base_cross_Long ? 1 : base_cross_Short ? -1 : na 

//COLORS
show_color_bar = input(title="Color Bars", type=input.bool, defval=true)
color_bar = close > upperk ? #00c3ff : close < lowerk ? #ff0062 : color.gray
color_ssl1 = close > sslDown ? #00c3ff : close < sslDown ? #ff0062 : na

//PLOTS
//plotarrow(codiff, colorup=#00c3ff, colordown=#ff0062,title="Exit Arrows", transp=20, maxheight=20, offset=0)
p1 = plot(show_Baseline ? BBMC : na, color=color_bar, linewidth=4,transp=0, title='MA Baseline')
DownPlot = plot( show_SSL1 ? sslDown : na, title="SSL1", linewidth=3, color=color_ssl1, transp=10)
//barcolor(show_color_bar ? color_bar : na)
up_channel = plot(show_Baseline ? upperk : na, color=color_bar, title="Baseline Upper Channel")
low_channel = plot(show_Baseline ? lowerk : na, color=color_bar, title="Basiline Lower Channel")
fill(up_channel, low_channel, color=color_bar, transp=90)

////SSL2 Continiuation from ATR
atr_crit = input(0.9, step=0.1, title="Continuation ATR Criteria")
upper_half = atr_slen * atr_crit + close
lower_half = close - atr_slen * atr_crit
buy_inatr =  lower_half < sslDown2
sell_inatr = upper_half > sslDown2
sell_cont = close < BBMC and close < sslDown2
buy_cont = close > BBMC and close > sslDown2
sell_atr = sell_inatr and sell_cont
buy_atr = buy_inatr and buy_cont
atr_fill = buy_atr ? color.green : sell_atr ? color.purple : color.white
LongPlot = plot(sslDown2, title="SSL2", linewidth=2, color=atr_fill, style=plot.style_circles, transp=0)
u = plot(show_atr ? upper_band : na, "+ATR", color=color.white, transp=80)
l = plot(show_atr ? lower_band : na, "-ATR", color=color.white, transp=80)

//ALERTS
alertcondition(crossover(close, sslDown), title='SSL Cross Alert', message='SSL1 has crossed.')
alertcondition(crossover(close, sslDown2), title='SSL2 Cross Alert', message='SSL2 has crossed.')
alertcondition(sell_atr, title='Sell Continuation', message='Sell Continuation.')
alertcondition(buy_atr, title='Buy Continuation', message='Buy Continuation.')
alertcondition(crossover(close, sslExit), title='Exit Sell', message='Exit Sell Alert.')
alertcondition(crossover(sslExit, close), title='Exit Buy', message='Exit Buy Alert.')
alertcondition(crossover(close, upperk ), title='Baseline Buy Entry', message='Base Buy Alert.')
alertcondition(crossover(lowerk, close ), title='Baseline Sell Entry', message='Base Sell Alert.')

if buy_atr
    strategy.entry("Enter Long", strategy.long)
else if sell_atr
    strategy.entry("Enter Short", strategy.short)
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