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RedK Dual VADER với thanh năng lượng

Tác giả:ChaoZhang, Ngày: 2022-05-24 11:49:07
Tags:SMAEMAWMA

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---

/*backtest
start: 2022-04-23 00:00:00
end: 2022-05-22 23:59:00
period: 45m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © RedKTrader

//@version=5
indicator('RedK Dual VADER with Energy Bars [VADER-DEB]', 'RedK VADER-DEB v4.0', precision=0, timeframe='', timeframe_gaps=false)

// This version is the same as VADER v3.0 with enhanced visuals, using Energy Bars instead of the positive/energy lines 
// Sentiment plot changed from histogram to area and is exposed by default (hence Dual w/ Energy Bars -- DEB)
// No change in core calculations from VADER v3.0  -- and that's why i'll just call it VADER v4.0

// ***********************************************************************************************************
// Choose volume calculation method.. Relative vs full. 
// Relative magnifies effect of recent volume spikes (up or down) 
f_RelVol(_value, _length) =>
    min_value = ta.lowest(_value, _length)
    max_value = ta.highest(_value, _length)
    ta.stoch(_value, max_value, min_value, _length) / 100
// ***********************************************************************************************************

// ***********************************************************************************************************
// Choose MA type for the base DER calculation .. 
// WMA is my preference and is default .. SMA is really slow and lags a lot - but added for comparison
f_derma(_data, _len, MAOption) =>
    value = 
      MAOption == 'SMA' ? ta.sma(_data, _len) :
      MAOption == 'EMA' ? ta.ema(_data, _len) :
      ta.wma(_data, _len)
// ***********************************************************************************************************


// ===========================================================================================================
//      Inputs
// ===========================================================================================================

price   = close
length  = input.int(10, minval=1)
DER_avg = input.int(5, 'Average', minval=1, inline='DER', group='Directional Energy Ratio')
MA_Type = input.string('WMA', 'DER MA type', options=['WMA', 'EMA', 'SMA'], inline='DER', group='Directional Energy Ratio') 
smooth  = input.int(3, 'Smooth', minval=1,  inline='DER_1', group='Directional Energy Ratio')

show_senti = input.bool(true, 'Sentiment',  inline='DER_s', group='Directional Energy Ratio')
senti   = input.int(20, 'Length', minval=1, inline='DER_s', group='Directional Energy Ratio')


v_calc  = input.string('Relative', 'Calculation', options=['Relative', 'Full', 'None'], group='Volume Parameters')
vlookbk = input.int(20, 'Lookback (for Relative)', minval=1,                            group='Volume Parameters')

// ===========================================================================================================
//          Calculations
// ===========================================================================================================

// Volume Calculation Option  -- will revert to no volume acceleration for instruments with no volume data
vola    = 
  v_calc == 'None' or na(volume) ? 1 : 
  v_calc == 'Relative' ? f_RelVol(volume, vlookbk) : 
  volume

R       = (ta.highest(2) - ta.lowest(2)) / 2                    // R is the 2-bar average bar range - this method accomodates bar gaps
sr      = ta.change(price) / R                                  // calc ratio of change to R
rsr     = math.max(math.min(sr, 1), -1)                         // ensure ratio is restricted to +1/-1 in case of big moves
c       = fixnan(rsr * vola)                                    // add volume accel -- fixnan adresses cases where no price change between bars

c_plus  = math.max(c, 0)                                        // calc directional vol-accel energy
c_minus = -math.min(c, 0)

// plot(c_plus)
// plot(c_minus)


avg_vola    = f_derma(vola, length, MA_Type)
dem         = f_derma(c_plus, length, MA_Type)  / avg_vola          // directional energy ratio
sup         = f_derma(c_minus, length, MA_Type) / avg_vola

adp         = 100 * ta.wma(dem, DER_avg)                            // average DER
asp         = 100 * ta.wma(sup, DER_avg)
anp         = adp - asp                                             // net DER..
anp_s       = ta.wma(anp, smooth)

// Calculate Sentiment - a VADER for a longer period and can act as a baseline (compared to a static 0 value)
// note we're not re-calculating vol_avg, demand or supply energy for sentiment. this would've been a different approach
s_adp       = 100 * ta.wma(dem, senti)                            // average DER for sentiment length
s_asp       = 100 * ta.wma(sup, senti)
V_senti     = ta.wma(s_adp - s_asp, smooth)


// ===========================================================================================================
//      Colors & plots
// ===========================================================================================================
c_adp   = color.new(#11ff20, 30)
c_asp   = color.new(#ff1111, 30)
c_fd    = color.new(color.green, 80)
c_fs    = color.new(color.red, 80)
c_zero  = color.new(#ffee00, 70)

c_up    = color.new(#11ff20, 0)
c_dn    = color.new(#ff1111, 0)

up      = anp_s >= 0
s_up    = V_senti >=0 

hline(0, 'Zero Line', c_zero, hline.style_solid)

// =============================================================================
// v4.0 --- Sentiment will be represented as a 4-color area graph
c_grow_above = #1b5e2080 
c_grow_below = #dc4c4a80
c_fall_above = #66bb6a80  
c_fall_below = #ef8e9880     

sflag_up = math.abs(V_senti) >= math.abs(V_senti[1])

plot(show_senti ? V_senti : na, "Sentiment", style=plot.style_area, 
 color = s_up ? (sflag_up ? c_grow_above : c_fall_above) : 
 sflag_up ? c_grow_below : c_fall_below) 

// ===========================================================================================================
//      v4.0 Use Energy Bars instead of DER lines
// ===========================================================================================================

// Prep the Energy Bars
bo = asp
bc = adp
bh = math.max(bo, bc)
bl = math.min(bo, bc)

rising      = ta.change(bc) > 0

c_barup     = #11ff2088
c_bardn     = #ff111188
c_bardj     = #ffffff88

barcolor    = bc > bo and rising ? c_barup : bc < bo and not rising ? c_bardn : c_bardj
//plotcandle(bo, bh, bl, bc, 'Energy Bars', barcolor, barcolor, bordercolor = barcolor)

// ============================================================================================================

s = plot(asp, 'Supply Energy', c_asp, 2, display = display.none) 
d = plot(adp, 'Demand Energy', c_adp, 2, display = display.none) 

plot(anp, 'VADER', color.new(color.gray, 30), display=display.none)
plot(anp_s, 'Signal', up ? c_up : c_dn, 4)

// ===========================================================================================================
//      v2.0 adding alerts 
// ===========================================================================================================

Alert_up    = ta.crossover(anp_s,0)
Alert_dn    = ta.crossunder(anp_s,0)
Alert_swing = ta.cross(anp_s,0)

// "." in alert title for the alerts to show in the right order up/down/swing 
alertcondition(Alert_up,    ".   VADER Crossing 0 Up",      "VADER Up - Buying Energy Detected!")
alertcondition(Alert_dn,    "..  VADER Crossing 0 Down",    "VADER Down - Selling Energy Detected!")
alertcondition(Alert_swing, "... VADER Crossing 0",         "VADER Swing - Possible Reversal")

// ===========================================================================================================
//      v3.0 more alerts for VADER crossing Sentiment
// ===========================================================================================================

v_speedup = ta.crossover(anp_s, V_senti)
v_slowdn  = ta.crossunder(anp_s, V_senti)
alertcondition(v_speedup,   "*  VADER Speeding Up",      "VADER Speeding Up!")
alertcondition(v_slowdn,    "** VADER Slowing Down",    "VADER Slowing Down!")





if Alert_up
    strategy.entry("Enter Long", strategy.long)
else if Alert_dn
    strategy.entry("Enter Short", strategy.short)

---

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