ChaoZhang
A different approach to Gerald Appel’s classical Moving Average Convergence Divergence.
Appel originaly set MACD with exponential moving averages. In this version users can apply 11 different types of moving averages which they can benefit from their smoothness and vice versa sharpnesses…
Built in Moving Average type defaultly set as VAR but users can choose from 11 different Moving Average types like:
SMA : Simple Moving Average EMA : Exponential Moving Average WMA : Weighted Moving Average DEMA : Double Exponential Moving Average TMA : Triangular Moving Average VAR : Variable Index Dynamic Moving Average a.k.a. VIDYA WWMA : Welles Wilder’s Moving Average ZLEMA : Zero Lag Exponential Moving Average TSF : True Strength Force HULL : Hull Moving Average TILL : Tillson T3 Moving Average
In shorter time frames backtest results shows us TILL, WWMA, VIDYA (VAR) could be used to overcome whipsaws because they have less numbers of signals. In longer time frames like daily charts WMA , Volume Weighted MACD V2, and MACDAS and SMA are more accurate according to backtest results.
backtest
策略源码
/*backtest
start: 2022-04-23 00:00:00
end: 2022-05-22 23:59:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © KivancOzbilgic
//developer: Gerald Appel
//author: @kivancozbilgic
strategy("MACD ReLoaded","MACDRe", overlay=true)
src = input(close, title="Source")
length=input(12, "Short Moving Average Length", minval=1)
length1=input(26, "Long Moving Average Length", minval=1)
length2=input(9, "Trigger Length", minval=1)
T3a1 = input(0.7, "TILLSON T3 Volume Factor", step=0.1)
barcoloring = input(title="Bar Coloring On/Off ?", type=input.bool, defval=true)
mav = input(title="Moving Average Type", defval="VAR", options=["SMA", "EMA", "WMA", "DEMA", "TMA", "VAR", "WWMA", "ZLEMA", "TSF", "HULL", "TILL"])
Var_Func(src,length)=>
valpha=2/(length+1)
vud1=src>src[1] ? src-src[1] : 0
vdd1=src<src[1] ? src[1]-src : 0
vUD=sum(vud1,9)
vDD=sum(vdd1,9)
vCMO=nz((vUD-vDD)/(vUD+vDD))
VAR=0.0
VAR:=nz(valpha*abs(vCMO)*src)+(1-valpha*abs(vCMO))*nz(VAR[1])
VAR=Var_Func(src,length)
DEMA = ( 2 * ema(src,length)) - (ema(ema(src,length),length) )
Wwma_Func(src,length)=>
wwalpha = 1/ length
WWMA = 0.0
WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1])
WWMA=Wwma_Func(src,length)
Zlema_Func(src,length)=>
zxLag = length/2==round(length/2) ? length/2 : (length - 1) / 2
zxEMAData = (src + (src - src[zxLag]))
ZLEMA = ema(zxEMAData, length)
ZLEMA=Zlema_Func(src,length)
Tsf_Func(src,length)=>
lrc = linreg(src, length, 0)
lrc1 = linreg(src,length,1)
lrs = (lrc-lrc1)
TSF = linreg(src, length, 0)+lrs
TSF=Tsf_Func(src,length)
HMA = wma(2 * wma(src, length / 2) - wma(src, length), round(sqrt(length)))
T3e1=ema(src, length)
T3e2=ema(T3e1,length)
T3e3=ema(T3e2,length)
T3e4=ema(T3e3,length)
T3e5=ema(T3e4,length)
T3e6=ema(T3e5,length)
T3c1=-T3a1*T3a1*T3a1
T3c2=3*T3a1*T3a1+3*T3a1*T3a1*T3a1
T3c3=-6*T3a1*T3a1-3*T3a1-3*T3a1*T3a1*T3a1
T3c4=1+3*T3a1+T3a1*T3a1*T3a1+3*T3a1*T3a1
T3=T3c1*T3e6+T3c2*T3e5+T3c3*T3e4+T3c4*T3e3
getMA(src, length) =>
ma = 0.0
if mav == "SMA"
ma := sma(src, length)
ma
if mav == "EMA"
ma := ema(src, length)
ma
if mav == "WMA"
ma := wma(src, length)
ma
if mav == "DEMA"
ma := DEMA
ma
if mav == "TMA"
ma := sma(sma(src, ceil(length / 2)), floor(length / 2) + 1)
ma
if mav == "VAR"
ma := VAR
ma
if mav == "WWMA"
ma := WWMA
ma
if mav == "ZLEMA"
ma := ZLEMA
ma
if mav == "TSF"
ma := TSF
ma
if mav == "HULL"
ma := HMA
ma
if mav == "TILL"
ma := T3
ma
ma
MA12=getMA(src, length)
Var_Func1(src,length1)=>
valpha1=2/(length1+1)
vud11=src>src[1] ? src-src[1] : 0
vdd11=src<src[1] ? src[1]-src : 0
vUD1=sum(vud11,9)
vDD1=sum(vdd11,9)
vCMO1=nz((vUD1-vDD1)/(vUD1+vDD1))
VAR1=0.0
VAR1:=nz(valpha1*abs(vCMO1)*src)+(1-valpha1*abs(vCMO1))*nz(VAR1[1])
VAR1=Var_Func1(src,length1)
DEMA1 = ( 2 * ema(src,length1)) - (ema(ema(src,length1),length1) )
Wwma_Func1(src,length1)=>
wwalpha1 = 1/ length1
WWMA1 = 0.0
WWMA1 := wwalpha1*src + (1-wwalpha1)*nz(WWMA1[1])
WWMA1=Wwma_Func1(src,length1)
Zlema_Func1(src,length1)=>
zxLag1 = length1/2==round(length1/2) ? length1/2 : (length1 - 1) / 2
zxEMAData1 = (src + (src - src[zxLag1]))
ZLEMA1 = ema(zxEMAData1, length1)
ZLEMA1=Zlema_Func1(src,length1)
Tsf_Func1(src,length1)=>
lrc1 = linreg(src, length1, 0)
lrc11 = linreg(src,length1,1)
lrs1 = (lrc1-lrc11)
TSF1 = linreg(src, length1, 0)+lrs1
TSF1=Tsf_Func1(src,length1)
HMA1 = wma(2 * wma(src, length1 / 2) - wma(src, length1), round(sqrt(length1)))
T3e11=ema(src, length1)
T3e21=ema(T3e11,length1)
T3e31=ema(T3e21,length1)
T3e41=ema(T3e31,length1)
T3e51=ema(T3e41,length1)
T3e61=ema(T3e51,length1)
T3c11=-T3a1*T3a1*T3a1
T3c21=3*T3a1*T3a1+3*T3a1*T3a1*T3a1
T3c31=-6*T3a1*T3a1-3*T3a1-3*T3a1*T3a1*T3a1
T3c41=1+3*T3a1+T3a1*T3a1*T3a1+3*T3a1*T3a1
T31=T3c11*T3e61+T3c21*T3e51+T3c31*T3e41+T3c41*T3e31
getMA1(src, length1) =>
ma1 = 0.0
if mav == "SMA"
ma1 := sma(src, length1)
ma1
if mav == "EMA"
ma1 := ema(src, length1)
ma1
if mav == "WMA"
ma1 := wma(src, length1)
ma1
if mav == "DEMA"
ma1 := DEMA1
ma1
if mav == "TMA"
ma1 := sma(sma(src, ceil(length1 / 2)), floor(length1 / 2) + 1)
ma1
if mav == "VAR"
ma1 := VAR1
ma1
if mav == "WWMA"
ma1:= WWMA1
ma1
if mav == "ZLEMA"
ma1 := ZLEMA1
ma1
if mav == "TSF"
ma1 := TSF1
ma1
if mav == "HULL"
ma1 := HMA1
ma1
if mav == "TILL"
ma1 := T31
ma1
ma1
MA26=getMA1(src, length1)
src2=MA12-MA26
Var_Func2(src2,length2)=>
valpha2=2/(length2+1)
vud12=src2>src2[1] ? src2-src2[1] : 0
vdd12=src2<src2[1] ? src2[1]-src2 : 0
vUD2=sum(vud12,9)
vDD2=sum(vdd12,9)
vCMO2=nz((vUD2-vDD2)/(vUD2+vDD2))
VAR2=0.0
VAR2:=nz(valpha2*abs(vCMO2)*src2)+(1-valpha2*abs(vCMO2))*nz(VAR2[1])
VAR2=Var_Func2(src2,length2)
DEMA2 = ( 2 * ema(src2,length2)) - (ema(ema(src2,length2),length2) )
Wwma_Func2(src2,length2)=>
wwalpha2 = 1/ length2
WWMA2 = 0.0
WWMA2 := wwalpha2*src2 + (1-wwalpha2)*nz(WWMA2[1])
WWMA2=Wwma_Func2(src2,length2)
Zlema_Func2(src2,length2)=>
zxLag2 = length2/2==round(length2/2) ? length2/2 : (length2 - 1) / 2
zxEMAData2 = (src2 + (src2 - src2[zxLag2]))
ZLEMA2 = ema(zxEMAData2, length2)
ZLEMA2=Zlema_Func2(src2,length2)
Tsf_Func2(src2,length2)=>
lrc2 = linreg(src2, length2, 0)
lrc12 = linreg(src2,length2,1)
lrs2 = (lrc2-lrc12)
TSF2 = linreg(src2, length2, 0)+lrs2
TSF2=Tsf_Func2(src2,length2)
HMA2 = wma(2 * wma(src2, length2 / 2) - wma(src2, length2), round(sqrt(length2)))
T3e12=ema(src2, length2)
T3e22=ema(T3e12,length2)
T3e32=ema(T3e22,length2)
T3e42=ema(T3e32,length2)
T3e52=ema(T3e42,length2)
T3e62=ema(T3e52,length2)
T3c12=-T3a1*T3a1*T3a1
T3c22=3*T3a1*T3a1+3*T3a1*T3a1*T3a1
T3c32=-6*T3a1*T3a1-3*T3a1-3*T3a1*T3a1*T3a1
T3c42=1+3*T3a1+T3a1*T3a1*T3a1+3*T3a1*T3a1
T32=T3c12*T3e62+T3c22*T3e52+T3c32*T3e42+T3c42*T3e32
getMA2(src2, length2) =>
ma2 = 0.0
if mav == "SMA"
ma2 := sma(src2, length2)
ma2
if mav == "EMA"
ma2 := ema(src2, length2)
ma2
if mav == "WMA"
ma2 := wma(src2, length2)
ma2
if mav == "DEMA"
ma2 := DEMA2
ma2
if mav == "TMA"
ma2 := sma(sma(src2, ceil(length2 / 2)), floor(length2 / 2) + 1)
ma2
if mav == "VAR"
ma2 := VAR2
ma2
if mav == "WWMA"
ma2 := WWMA2
ma2
if mav == "ZLEMA"
ma2 := ZLEMA2
ma2
if mav == "TSF"
ma2 := TSF2
ma2
if mav == "HULL"
ma2 := HMA2
ma2
if mav == "TILL"
ma2 := T32
ma2
ma2
MATR=getMA2(MA12-MA26, length2)
hist = src2 - MATR
FromMonth = input(defval = 9, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear = input(defval = 2018, title = "From Year", minval = 999)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear = input(defval = 9999, title = "To Year", minval = 999)
start = timestamp(FromYear, FromMonth, FromDay, 00, 00)
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59)
window() => true
buySignal = crossover(hist, 0)
if (crossover(hist, 0))
strategy.entry("MacdLong", strategy.long, comment="MacdLong")
sellSignal = crossunder(hist, 0)
if (crossunder(hist, 0))
strategy.entry("MacdShort", strategy.short, comment="MacdShort")
buy1= barssince(buySignal)
sell1 = barssince(sellSignal)
color1 = buy1[1] < sell1[1] ? color.green : buy1[1] > sell1[1] ? color.red : na
barcolor(barcoloring ? color1 : na)
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