ChaoZhang
概述
这是一个利用双重趋势过滤器进行量化交易的策略。该策略同时结合全局趋势过滤器和本地趋势过滤器,确保只在趋势方向正确时开仓。此外,策略还设置了其他多个过滤条件,如RSI过滤器、价格过滤器、斜率过滤器等,用来进一步提高交易信号的可靠性。在出场方面,策略preset了止损价位和止盈价位。总体而言,这是一个稳定、精准的量化交易策略。
策略原理
该策略的核心逻辑基于双重趋势过滤器。全局趋势过滤器基于高周期EMA判断市场总体走势,本地趋势过滤器基于低周期EMA判断局部走势。只有当两者判断趋势一致时,才会开仓。
具体来说,策略通过计算BTCUSDT的EMA线,判断总体市场处于上升趋势还是下降趋势,这就是全局趋势过滤器。同时,策略计算本合约的EMA线,判断局部市场的走势,这是本地趋势过滤器。当两者判断趋势一致时,再结合其他多个辅助过滤器,策略会产生交易信号并预设止盈止损价格开仓。
在确定交易信号后,策略会立即下单开仓。同时,策略预先设置好止盈价格和止损价格。当价格触发止盈或止损时,策略会自动止盈或止损。
优势分析
这是一个稳定可靠的量化交易策略,主要优势有:
采用双重趋势过滤机制,能过滤掉大部分假信号,使交易信号更加可靠精准。
结合多个辅助过滤器,如RSI过滤器、价格过滤器等,进一步提高信号质量。
自动运算止盈止损价位,无需人工监控,降低交易风险。
策略参数可以自定义调整,适应更多交易品种,有较强适应性。
策略思路清晰易理解,便于优化改进,有较大拓展空间。
风险分析
尽管该策略有许多优势,但仍存在一定的交易风险,主要集中在:
双重趋势过滤器确定入场时点不精准。可以通过调整过滤器参数进行优化。
止盈止损价格设定不准确,可能过早止盈或止损。可以测试不同参数组合寻找最优解。
交易品种和周期的选择不当,可能导致策略无效。建议针对不同交易品种分别进行参数调优和测试。
存在一定的过拟合风险。需要在更多市场环境中进行回测,确保策略稳健性。
优化方向
该策略主要可以从以下几个方向进行优化:
调整双重过滤器的参数,找到最佳参数组合;
测试并选择最佳的辅助过滤器;
优化止盈止损算法,使其更加智能化;
尝试引入机器学习等手段,实现策略的动态调参;
在更多交易品种和更长周期内进行回测,提高策略的稳定性。
总结
该策略整体来说是一个稳定、精准、易于优化的量化交易策略。它采用双重趋势过滤器结合多个辅助过滤器产生交易信号,可以过滤掉大部分噪音,使信号更加精准可靠。同时,策略内置止盈止损设定,可以降低交易风险。这是一个非常有实战价值的策略,在优化和验证后,可以直接投入实盘运用。它也具有很大的拓展潜力,是一款值得深入研究的量化策略。
策略源码
/*backtest
start: 2023-01-01 00:00:00
end: 2023-12-25 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title = 'Cipher_B', overlay=true )
// PARAMETERS {
// WaveTrend
wtShow = input(true, title = 'Show WaveTrend', type = input.bool)
wtBuyShow = input(true, title = 'Show Buy dots', type = input.bool)
wtGoldShow = input(true, title = 'Show Gold dots', type = input.bool)
wtSellShow = input(true, title = 'Show Sell dots', type = input.bool)
wtDivShow = input(true, title = 'Show Div. dots', type = input.bool)
vwapShow = input(true, title = 'Show Fast WT', type = input.bool)
wtChannelLen = input(9, title = 'WT Channel Length', type = input.integer)
wtAverageLen = input(12, title = 'WT Average Length', type = input.integer)
wtMASource = input(hlc3, title = 'WT MA Source', type = input.source)
wtMALen = input(3, title = 'WT MA Length', type = input.integer)
// WaveTrend Overbought & Oversold lines
obLevel = input(53, title = 'WT Overbought Level 1', type = input.integer)
obLevel2 = input(60, title = 'WT Overbought Level 2', type = input.integer)
obLevel3 = input(100, title = 'WT Overbought Level 3', type = input.integer)
osLevel = input(-53, title = 'WT Oversold Level 1', type = input.integer)
osLevel2 = input(-60, title = 'WT Oversold Level 2', type = input.integer)
osLevel3 = input(-75, title = 'WT Oversold Level 3', type = input.integer)
// Divergence WT
wtShowDiv = input(true, title = 'Show WT Regular Divergences', type = input.bool)
wtShowHiddenDiv = input(false, title = 'Show WT Hidden Divergences', type = input.bool)
showHiddenDiv_nl = input(true, title = 'Not apply OB/OS Limits on Hidden Divergences', type = input.bool)
wtDivOBLevel = input(45, title = 'WT Bearish Divergence min', type = input.integer)
wtDivOSLevel = input(-65, title = 'WT Bullish Divergence min', type = input.integer)
// Divergence extra range
wtDivOBLevel_addshow = input(false, title = 'Show 2nd WT Regular Divergences', type = input.bool)
wtDivOBLevel_add = input(15, title = 'WT 2nd Bearish Divergence', type = input.integer)
wtDivOSLevel_add = input(-40, title = 'WT 2nd Bullish Divergence 15 min', type = input.integer)
// RSI+MFI
rsiMFIShow = input(true, title = 'Show MFI', type = input.bool)
rsiMFIperiod = input(60,title = 'MFI Period', type = input.integer)
rsiMFIMultiplier = input(150, title = 'MFI Area multiplier', type = input.float)
rsiMFIPosY = input(2.5, title = 'MFI Area Y Pos', type = input.float)
// RSI
rsiShow = input(false, title = 'Show RSI', type = input.bool)
rsiSRC = input(close, title = 'RSI Source', type = input.source)
rsiLen = input(14, title = 'RSI Length', type = input.integer)
rsiOversold = input(30, title = 'RSI Oversold', minval = 50, maxval = 100, type = input.integer)
rsiOverbought = input(60, title = 'RSI Overbought', minval = 0, maxval = 50, type = input.integer)
// Divergence RSI
rsiShowDiv = input(false, title = 'Show RSI Regular Divergences', type = input.bool)
rsiShowHiddenDiv = input(false, title = 'Show RSI Hidden Divergences', type = input.bool)
rsiDivOBLevel = input(60, title = 'RSI Bearish Divergence min', type = input.integer)
rsiDivOSLevel = input(30, title = 'RSI Bullish Divergence min', type = input.integer)
// RSI Stochastic
stochShow = input(true, title = 'Show Stochastic RSI', type = input.bool)
stochUseLog = input(true, title=' Use Log?', type = input.bool)
stochAvg = input(false, title='Use Average of both K & D', type = input.bool)
stochSRC = input(close, title = 'Stochastic RSI Source', type = input.source)
stochLen = input(14, title = 'Stochastic RSI Length', type = input.integer)
stochRsiLen = input(14, title = 'RSI Length ', type = input.integer)
stochKSmooth = input(3, title = 'Stochastic RSI K Smooth', type = input.integer)
stochDSmooth = input(3, title = 'Stochastic RSI D Smooth', type = input.integer)
// Divergence stoch
stochShowDiv = input(false, title = 'Show Stoch Regular Divergences', type = input.bool)
stochShowHiddenDiv = input(false, title = 'Show Stoch Hidden Divergences', type = input.bool)
// Schaff Trend Cycle
tcLine = input(false, title="Show Schaff TC line", type=input.bool)
tcSRC = input(close, title = 'Schaff TC Source', type = input.source)
tclength = input(10, title="Schaff TC", type=input.integer)
tcfastLength = input(23, title="Schaff TC Fast Lenght", type=input.integer)
tcslowLength = input(50, title="Schaff TC Slow Length", type=input.integer)
tcfactor = input(0.5, title="Schaff TC Factor", type=input.float)
// Sommi Flag
sommiFlagShow = input(false, title = 'Show Sommi flag', type = input.bool)
sommiShowVwap = input(false, title = 'Show Sommi F. Wave', type = input.bool)
sommiVwapTF = input('720', title = 'Sommi F. Wave timeframe', type = input.string)
sommiVwapBearLevel = input(0, title = 'F. Wave Bear Level (less than)', type = input.integer)
sommiVwapBullLevel = input(0, title = 'F. Wave Bull Level (more than)', type = input.integer)
soomiFlagWTBearLevel = input(0, title = 'WT Bear Level (more than)', type = input.integer)
soomiFlagWTBullLevel = input(0, title = 'WT Bull Level (less than)', type = input.integer)
soomiRSIMFIBearLevel = input(0, title = 'Money flow Bear Level (less than)', type = input.integer)
soomiRSIMFIBullLevel = input(0, title = 'Money flow Bull Level (more than)', type = input.integer)
// Sommi Diamond
sommiDiamondShow = input(false, title = 'Show Sommi diamond', type = input.bool)
sommiHTCRes = input('60', title = 'HTF Candle Res. 1', type = input.string)
sommiHTCRes2 = input('240', title = 'HTF Candle Res. 2', type = input.string)
soomiDiamondWTBearLevel = input(0, title = 'WT Bear Level (More than)', type = input.integer)
soomiDiamondWTBullLevel = input(0, title = 'WT Bull Level (Less than)', type = input.integer)
// macd Colors
macdWTColorsShow = input(false, title = 'Show MACD Colors', type = input.bool)
macdWTColorsTF = input('240', title = 'MACD Colors MACD TF', type = input.string)
darkMode = input(false, title = 'Dark mode', type = input.bool)
// Colors
colorRed = #ff0000
colorPurple = #e600e6
colorGreen = #3fff00
colorOrange = #e2a400
colorYellow = #ffe500
colorWhite = #ffffff
colorPink = #ff00f0
colorBluelight = #31c0ff
colorWT1 = #90caf9
colorWT2 = #0d47a1
colorWT2_ = #131722
colormacdWT1a = #4caf58
colormacdWT1b = #af4c4c
colormacdWT1c = #7ee57e
colormacdWT1d = #ff3535
colormacdWT2a = #305630
colormacdWT2b = #310101
colormacdWT2c = #132213
colormacdWT2d = #770000
// } PARAMETERS
// FUNCTIONS {
// Divergences
f_top_fractal(src) => src[4] < src[2] and src[3] < src[2] and src[2] > src[1] and src[2] > src[0]
f_bot_fractal(src) => src[4] > src[2] and src[3] > src[2] and src[2] < src[1] and src[2] < src[0]
f_fractalize(src) => f_top_fractal(src) ? 1 : f_bot_fractal(src) ? -1 : 0
f_findDivs(src, topLimit, botLimit, useLimits) =>
fractalTop = f_fractalize(src) > 0 and (useLimits ? src[2] >= topLimit : true) ? src[2] : na
fractalBot = f_fractalize(src) < 0 and (useLimits ? src[2] <= botLimit : true) ? src[2] : na
highPrev = valuewhen(fractalTop, src[2], 0)[2]
highPrice = valuewhen(fractalTop, high[2], 0)[2]
lowPrev = valuewhen(fractalBot, src[2], 0)[2]
lowPrice = valuewhen(fractalBot, low[2], 0)[2]
bearSignal = fractalTop and high[2] > highPrice and src[2] < highPrev
bullSignal = fractalBot and low[2] < lowPrice and src[2] > lowPrev
bearDivHidden = fractalTop and high[2] < highPrice and src[2] > highPrev
bullDivHidden = fractalBot and low[2] > lowPrice and src[2] < lowPrev
[fractalTop, fractalBot, lowPrev, bearSignal, bullSignal, bearDivHidden, bullDivHidden]
// RSI+MFI
f_rsimfi(_period, _multiplier, _tf) => security(syminfo.tickerid, _tf, sma(((close - open) / (high - low)) * _multiplier, _period) - rsiMFIPosY)
// WaveTrend
f_wavetrend(src, chlen, avg, malen, tf) =>
tfsrc = security(syminfo.tickerid, tf, src)
esa = ema(tfsrc, chlen)
de = ema(abs(tfsrc - esa), chlen)
ci = (tfsrc - esa) / (0.015 * de)
wt1 = security(syminfo.tickerid, tf, ema(ci, avg))
wt2 = security(syminfo.tickerid, tf, sma(wt1, malen))
wtVwap = wt1 - wt2
wtOversold = wt2 <= osLevel
wtOverbought = wt2 >= obLevel
wtCross = cross(wt1, wt2)
wtCrossUp = wt2 - wt1 <= 0
wtCrossDown = wt2 - wt1 >= 0
wtCrosslast = cross(wt1[2], wt2[2])
wtCrossUplast = wt2[2] - wt1[2] <= 0
wtCrossDownlast = wt2[2] - wt1[2] >= 0
[wt1, wt2, wtOversold, wtOverbought, wtCross, wtCrossUp, wtCrossDown, wtCrosslast, wtCrossUplast, wtCrossDownlast, wtVwap]
// Schaff Trend Cycle
f_tc(src, length, fastLength, slowLength) =>
ema1 = ema(src, fastLength)
ema2 = ema(src, slowLength)
macdVal = ema1 - ema2
alpha = lowest(macdVal, length)
beta = highest(macdVal, length) - alpha
gamma = (macdVal - alpha) / beta * 100
gamma := beta > 0 ? gamma : nz(gamma[1])
delta = gamma
delta := na(delta[1]) ? delta : delta[1] + tcfactor * (gamma - delta[1])
epsilon = lowest(delta, length)
zeta = highest(delta, length) - epsilon
eta = (delta - epsilon) / zeta * 100
eta := zeta > 0 ? eta : nz(eta[1])
stcReturn = eta
stcReturn := na(stcReturn[1]) ? stcReturn : stcReturn[1] + tcfactor * (eta - stcReturn[1])
stcReturn
// Stochastic RSI
f_stochrsi(_src, _stochlen, _rsilen, _smoothk, _smoothd, _log, _avg) =>
src = _log ? log(_src) : _src
rsi = rsi(src, _rsilen)
kk = sma(stoch(rsi, rsi, rsi, _stochlen), _smoothk)
d1 = sma(kk, _smoothd)
avg_1 = avg(kk, d1)
k = _avg ? avg_1 : kk
[k, d1]
// MACD
f_macd(src, fastlen, slowlen, sigsmooth, tf) =>
fast_ma = security(syminfo.tickerid, tf, ema(src, fastlen))
slow_ma = security(syminfo.tickerid, tf, ema(src, slowlen))
macd = fast_ma - slow_ma,
signal = security(syminfo.tickerid, tf, sma(macd, sigsmooth))
hist = macd - signal
[macd, signal, hist]
// MACD Colors on WT
f_macdWTColors(tf) =>
hrsimfi = f_rsimfi(rsiMFIperiod, rsiMFIMultiplier, tf)
[macd, signal, hist] = f_macd(close, 28, 42, 9, macdWTColorsTF)
macdup = macd >= signal
macddown = macd <= signal
macdWT1Color = macdup ? hrsimfi > 0 ? colormacdWT1c : colormacdWT1a : macddown ? hrsimfi < 0 ? colormacdWT1d : colormacdWT1b : na
macdWT2Color = macdup ? hrsimfi < 0 ? colormacdWT2c : colormacdWT2a : macddown ? hrsimfi < 0 ? colormacdWT2d : colormacdWT2b : na
[macdWT1Color, macdWT2Color]
// Get higher timeframe candle
f_getTFCandle(_tf) =>
_open = security(heikinashi(syminfo.tickerid), _tf, open, barmerge.gaps_off, barmerge.lookahead_off)
_close = security(heikinashi(syminfo.tickerid), _tf, close, barmerge.gaps_off, barmerge.lookahead_off)
_high = security(heikinashi(syminfo.tickerid), _tf, high, barmerge.gaps_off, barmerge.lookahead_off)
_low = security(heikinashi(syminfo.tickerid), _tf, low, barmerge.gaps_off, barmerge.lookahead_off)
hl2 = (_high + _low) / 2.0
newBar = change(_open)
candleBodyDir = _close > _open
[candleBodyDir, newBar]
// Sommi flag
f_findSommiFlag(tf, wt1, wt2, rsimfi, wtCross, wtCrossUp, wtCrossDown) =>
[hwt1, hwt2, hwtOversold, hwtOverbought, hwtCross, hwtCrossUp, hwtCrossDown, hwtCrosslast, hwtCrossUplast, hwtCrossDownlast, hwtVwap] = f_wavetrend(wtMASource, wtChannelLen, wtAverageLen, wtMALen, tf)
bearPattern = rsimfi < soomiRSIMFIBearLevel and
wt2 > soomiFlagWTBearLevel and
wtCross and
wtCrossDown and
hwtVwap < sommiVwapBearLevel
bullPattern = rsimfi > soomiRSIMFIBullLevel and
wt2 < soomiFlagWTBullLevel and
wtCross and
wtCrossUp and
hwtVwap > sommiVwapBullLevel
[bearPattern, bullPattern, hwtVwap]
f_findSommiDiamond(tf, tf2, wt1, wt2, wtCross, wtCrossUp, wtCrossDown) =>
[candleBodyDir, newBar] = f_getTFCandle(tf)
[candleBodyDir2, newBar2] = f_getTFCandle(tf2)
bearPattern = wt2 >= soomiDiamondWTBearLevel and
wtCross and
wtCrossDown and
not candleBodyDir and
not candleBodyDir2
bullPattern = wt2 <= soomiDiamondWTBullLevel and
wtCross and
wtCrossUp and
candleBodyDir and
candleBodyDir2
[bearPattern, bullPattern]
// } FUNCTIONS
// CALCULATE INDICATORS {
// RSI
rsi = rsi(rsiSRC, rsiLen)
rsiColor = rsi <= rsiOversold ? colorGreen : rsi >= rsiOverbought ? colorRed : colorPurple
// RSI + MFI Area
rsiMFI = f_rsimfi(rsiMFIperiod, rsiMFIMultiplier, timeframe.period)
rsiMFIColor = rsiMFI > 0 ? #3ee145 : #ff3d2e
// Calculates WaveTrend
[wt1, wt2, wtOversold, wtOverbought, wtCross, wtCrossUp, wtCrossDown, wtCross_last, wtCrossUp_last, wtCrossDown_last, wtVwap] = f_wavetrend(wtMASource, wtChannelLen, wtAverageLen, wtMALen, timeframe.period)
// Stochastic RSI
[stochK, stochD] = f_stochrsi(stochSRC, stochLen, stochRsiLen, stochKSmooth, stochDSmooth, stochUseLog, stochAvg)
// Schaff Trend Cycle
tcVal = f_tc(tcSRC, tclength, tcfastLength, tcslowLength)
// Sommi flag
[sommiBearish, sommiBullish, hvwap] = f_findSommiFlag(sommiVwapTF, wt1, wt2, rsiMFI, wtCross, wtCrossUp, wtCrossDown)
//Sommi diamond
[sommiBearishDiamond, sommiBullishDiamond] = f_findSommiDiamond(sommiHTCRes, sommiHTCRes2, wt1, wt2, wtCross, wtCrossUp, wtCrossDown)
// macd colors
[macdWT1Color, macdWT2Color] = f_macdWTColors(macdWTColorsTF)
// WT Divergences
[wtFractalTop, wtFractalBot, wtLow_prev, wtBearDiv, wtBullDiv, wtBearDivHidden, wtBullDivHidden] = f_findDivs(wt2, wtDivOBLevel, wtDivOSLevel, true)
[wtFractalTop_add, wtFractalBot_add, wtLow_prev_add, wtBearDiv_add, wtBullDiv_add, wtBearDivHidden_add, wtBullDivHidden_add] = f_findDivs(wt2, wtDivOBLevel_add, wtDivOSLevel_add, true)
[wtFractalTop_nl, wtFractalBot_nl, wtLow_prev_nl, wtBearDiv_nl, wtBullDiv_nl, wtBearDivHidden_nl, wtBullDivHidden_nl] = f_findDivs(wt2, 0, 0, false)
wtBearDivHidden_ = showHiddenDiv_nl ? wtBearDivHidden_nl : wtBearDivHidden
wtBullDivHidden_ = showHiddenDiv_nl ? wtBullDivHidden_nl : wtBullDivHidden
wtBearDivColor = (wtShowDiv and wtBearDiv) or (wtShowHiddenDiv and wtBearDivHidden_) ? colorRed : na
wtBullDivColor = (wtShowDiv and wtBullDiv) or (wtShowHiddenDiv and wtBullDivHidden_) ? colorGreen : na
wtBearDivColor_add = (wtShowDiv and (wtDivOBLevel_addshow and wtBearDiv_add)) or (wtShowHiddenDiv and (wtDivOBLevel_addshow and wtBearDivHidden_add)) ? #9a0202 : na
wtBullDivColor_add = (wtShowDiv and (wtDivOBLevel_addshow and wtBullDiv_add)) or (wtShowHiddenDiv and (wtDivOBLevel_addshow and wtBullDivHidden_add)) ? #1b5e20 : na
// RSI Divergences
[rsiFractalTop, rsiFractalBot, rsiLow_prev, rsiBearDiv, rsiBullDiv, rsiBearDivHidden, rsiBullDivHidden] = f_findDivs(rsi, rsiDivOBLevel, rsiDivOSLevel, true)
[rsiFractalTop_nl, rsiFractalBot_nl, rsiLow_prev_nl, rsiBearDiv_nl, rsiBullDiv_nl, rsiBearDivHidden_nl, rsiBullDivHidden_nl] = f_findDivs(rsi, 0, 0, false)
rsiBearDivHidden_ = showHiddenDiv_nl ? rsiBearDivHidden_nl : rsiBearDivHidden
rsiBullDivHidden_ = showHiddenDiv_nl ? rsiBullDivHidden_nl : rsiBullDivHidden
rsiBearDivColor = (rsiShowDiv and rsiBearDiv) or (rsiShowHiddenDiv and rsiBearDivHidden_) ? colorRed : na
rsiBullDivColor = (rsiShowDiv and rsiBullDiv) or (rsiShowHiddenDiv and rsiBullDivHidden_) ? colorGreen : na
// Stoch Divergences
[stochFractalTop, stochFractalBot, stochLow_prev, stochBearDiv, stochBullDiv, stochBearDivHidden, stochBullDivHidden] = f_findDivs(stochK, 0, 0, false)
stochBearDivColor = (stochShowDiv and stochBearDiv) or (stochShowHiddenDiv and stochBearDivHidden) ? colorRed : na
stochBullDivColor = (stochShowDiv and stochBullDiv) or (stochShowHiddenDiv and stochBullDivHidden) ? colorGreen : na
// Small Circles WT Cross
signalColor = wt2 - wt1 > 0 ? color.red : color.lime
// Buy signal.
buySignal = wtCross and wtCrossUp and wtOversold
buySignalDiv = (wtShowDiv and wtBullDiv) or
(wtShowDiv and wtBullDiv_add) or
(stochShowDiv and stochBullDiv) or
(rsiShowDiv and rsiBullDiv)
buySignalDiv_color = wtBullDiv ? colorGreen :
wtBullDiv_add ? color.new(colorGreen, 60) :
rsiShowDiv ? colorGreen : na
// Sell signal
sellSignal = wtCross and wtCrossDown and wtOverbought
sellSignalDiv = (wtShowDiv and wtBearDiv) or
(wtShowDiv and wtBearDiv_add) or
(stochShowDiv and stochBearDiv) or
(rsiShowDiv and rsiBearDiv)
sellSignalDiv_color = wtBearDiv ? colorRed :
wtBearDiv_add ? color.new(colorRed, 60) :
rsiBearDiv ? colorRed : na
// Gold Buy
lastRsi = valuewhen(wtFractalBot, rsi[2], 0)[2]
wtGoldBuy = ((wtShowDiv and wtBullDiv) or (rsiShowDiv and rsiBullDiv)) and
wtLow_prev <= osLevel3 and
wt2 > osLevel3 and
wtLow_prev - wt2 <= -5 and
lastRsi < 30
// } CALCULATE INDICATORS
// DRAW {
bgcolor(darkMode ? color.new(#000000, 80) : na)
zLine = plot(0, color = color.new(colorWhite, 50))
// MFI BAR
rsiMfiBarTopLine = plot(rsiMFIShow ? -95 : na, title = 'MFI Bar TOP Line', transp = 100)
rsiMfiBarBottomLine = plot(rsiMFIShow ? -99 : na, title = 'MFI Bar BOTTOM Line', transp = 100)
fill(rsiMfiBarTopLine, rsiMfiBarBottomLine, title = 'MFI Bar Colors', color = rsiMFIColor, transp = 75)
Global=input(title="Use Global trend?", defval=true, type=input.bool, group="Trend Settings")
regimeFilter_frame=input(title="Global trend timeframe", defval="5", options=['D','60','5'], group="Trend Settings")
regimeFilter_length=input(title="Global trend length", defval=1700, type=input.integer, group="Trend Settings")
localFilter_length=input(title="Local trend filter length", defval=20, type=input.integer, group="Trend Settings")
localFilter_frame=input(title="Local trend filter timeframe", defval="60", options=['D','60', '5'], group="Trend Settings")
Div_1=input(title="Only divergencies for long", defval=true, type=input.bool, group="Trend Settings")
Div_2=input(title="Only divergencies for short", defval=true, type=input.bool, group="Trend Settings")
sommi_diamond_on=input(title="Sommi diamond alerts", defval=false, type=input.bool, group="Trend Settings")
Cancel_all=input(title="Cancel all positions if price crosses local sma? (yellow line)", defval=false, type=input.bool, group="Trend Settings")
a_1=input(title="TP long", defval=0.95,step=0.5, type=input.float, group="TP/SL Settings")
a_1_div=input(title="TP long div", defval=0.95,step=0.5, type=input.float, group="TP/SL Settings")
a_2=input(title="TP short", defval=0.95,step=1, type=input.float, group="TP/SL Settings")
b_1=input(title="SL long", defval=5,step=0.1, type=input.float, group="TP/SL Settings")
b_2=input(title="SL short", defval=5,step=0.1, type=input.float, group="TP/SL Settings")
RSI_filter_checkbox = input(title="RSI filter ON", defval=false, type=input.bool, group="Trend Settings")
Price_filter_checkbox=input(title="Price filter ON", defval=false, type=input.bool, group="Trend Settings")
Price_filter_1_long=input(title="Long Price filter from", defval=1000, type=input.integer, group="Trend Settings")
Price_filter_2_long=input(title="Long Price filter to", defval=1200, type=input.integer, group="Trend Settings")
Price_filter_1_short=input(title="Short Price filter from", defval=1000, type=input.integer, group="Trend Settings")
Price_filter_2_short=input(title="Short Price filter to", defval=1200, type=input.integer, group="Trend Settings")
Local_filter_checkbox=input(title="Use Local trend?", defval=true, type=input.bool, group="Trend Settings")
slope_checkbox = input(title="Use Slope filter?", defval=false, type=input.bool, group="Slope Settings")
slope_number_long = input(title="Slope number long", defval=-0.3,step=0.01, type=input.float, group="Slope Settings")
slope_number_short = input(title="Slope number short", defval=0.16,step=0.01, type=input.float, group="Slope Settings")
slope_period = input(title="Slope period", defval=300, type=input.integer, group="Slope Settings")
long_on = input(title="Only long?", defval=true, type=input.bool, group="Position Settings")
short_on = input(title="Only short?", defval=true, type=input.bool, group="Position Settings")
volume_ETH_spot_checkbox = input(title="Volume filter?", defval=false, type=input.bool, group="Volume Settings")
volume_ETH_spot_number_more = input(title="Volume no more than:", defval=3700, type=input.integer, group="Volume Settings")
volume_ETH_spot_number_less = input(title="Volume no less than:", defval=600, type=input.integer, group="Volume Settings")
limit_checkbox = input(title="Shift open position?", defval=false, type=input.bool, group="Shift Settings")
limit_shift = input(title="How many % to shift?", defval=0.5,step=0.01, type=input.float, group="Shift Settings")
cancel_in = input(title="Cancel position in #bars?", defval=false, type=input.bool, group="Cancel Settings")
cancel_in_num = input(title="Number of bars", defval=96, type=input.integer, group="Cancel Settings")
//Name of ticker
_str=tostring(syminfo.ticker)
_chars = str.split(_str, "")
int _len = array.size(_chars)
int _beg = max(0, _len - 4)
string[] _substr = array.new_string(0)
if _beg < _len
_substr := array.slice(_chars, 0, _beg)
string _return = array.join(_substr, "")
//Hour sma
basis = security(syminfo.tickerid, localFilter_frame, ema(close, localFilter_length))
plot(basis, title="Local trend curve", color=color.yellow, style=plot.style_linebr)
//Trend calculation with EMA
f_sec(_market, _res, _exp) => security(_market, _res, _exp[barstate.isconfirmed ? 0 : 1])
ema = sma(close, regimeFilter_length)
emaValue = f_sec("BTC_USDT:swap", regimeFilter_frame, ema)
marketPrice = f_sec("BTC_USDT:swap", regimeFilter_frame, close)
regimeFilter = Global?(marketPrice > emaValue or marketPrice[1] > emaValue[1]):true
reverse_regime=Global?(marketPrice < emaValue or marketPrice[1] < emaValue[1]):true
bgcolor(Global?regimeFilter ? color.green : color.red:color.yellow)
//Local trend
regimeFilter_local = Local_filter_checkbox ? close > basis: true //or close[1] > basis[1]
reverse_regime_local = Local_filter_checkbox ? close < basis: true //or close[1] < basis[1]
//RSI filter
up = rma(max(change(close), 0), 14)
down = rma(-min(change(close), 0), 14)
rsi_ = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
rsiMA = ema(rsi_,12)
//local incline
sma =security(syminfo.tickerid, '60', ema(close, 15))
slope = (sma - sma[slope_period]) / slope_period
slope_filter_long = slope_checkbox? slope > slope_number_long : true
slope_filter_short = slope_checkbox? slope < slope_number_short : true
var long_check = true
var short_check = true
if RSI_filter_checkbox
long_check:= rsiMA<40
short_check:= rsiMA>60
//
validlow = Div_1 ? buySignalDiv or wtGoldBuy : buySignal or buySignalDiv or wtGoldBuy
validhigh = Div_2 ? sellSignalDiv : sellSignal or sellSignalDiv
//check volume of ETHUSDT
volume_ETH_spot = volume
volume_ETH_spot_filter = volume_ETH_spot_checkbox? volume_ETH_spot < volume_ETH_spot_number_more and volume_ETH_spot > volume_ETH_spot_number_less : true
// Check if we have confirmation for our setup
var Price_long = true
if Price_filter_checkbox
Price_long:=close>Price_filter_1_long and close<Price_filter_2_long
var Price_short = true
if Price_filter_checkbox
Price_short:=close>Price_filter_1_short and close<Price_filter_2_short
validlong = sommi_diamond_on ? sommiBullishDiamond and strategy.position_size == 0 and barstate.isconfirmed and regimeFilter_local and regimeFilter : validlow and strategy.position_size == 0 and barstate.isconfirmed and regimeFilter_local and Price_long and long_check and slope_filter_long and volume_ETH_spot_filter
validshort = sommi_diamond_on ? sommiBearishDiamond and strategy.position_size == 0 and barstate.isconfirmed and reverse_regime_local and reverse_regime : validhigh and strategy.position_size == 0 and barstate.isconfirmed and reverse_regime_local and Price_short and short_check and slope_filter_short and volume_ETH_spot_filter
// Save trade stop & target & position size if a valid setup is detected
var tradeStopPrice = 0.0
var tradeTargetPrice = 0.0
var TP=0.0
var limit_price=0.0
//Detect valid long setups & trigger alert
if validlong
if buySignalDiv or wtGoldBuy
limit_price:=limit_checkbox? close*(1-limit_shift*0.01) : close
tradeStopPrice := limit_price*(1-b_1*0.01)
tradeTargetPrice := limit_price*(1+a_1_div*0.01)
TP:= a_1_div
else
limit_price:=limit_checkbox? close*(1-limit_shift*0.01) : close
tradeStopPrice := limit_price*(1-b_1*0.01)
tradeTargetPrice := limit_price*(1+a_1*0.01)
TP:= a_1
// if validlong
// if buySignalDiv or wtGoldBuy
// limit_price:=close
// tradeStopPrice := limit_price*(1-b_1*0.01)
// tradeTargetPrice := limit_price*(1+a_1_div*0.01)
// TP:= a_1_div
// else
// limit_price:=close
// tradeStopPrice := limit_price*(1-b_1*0.01)
// tradeTargetPrice := limit_price*(1+a_1*0.01)
// TP:= a_1
// Detect valid short setups & trigger alert
if validshort
limit_price:=limit_checkbox? close*(1+limit_shift*0.01) : close
tradeStopPrice := limit_price*(1+b_2*0.01)
tradeTargetPrice := limit_price*(1-a_2*0.01)
TP:= a_2
// if validshort
// limit_price:= close
// tradeStopPrice := limit_price*(1+b_2*0.01)
// tradeTargetPrice := limit_price*(1-a_2*0.01)
// TP:= a_2
if cancel_in and barssince(validlong) == cancel_in_num or barssince(validshort) == cancel_in_num
strategy.cancel_all()
if long_on
strategy.entry (id="Long", long=strategy.long, limit=limit_price, when=validlong, comment='{\n' + ' "name": "",\n' + ' "secret": "",\n' + ' "side": "buy",\n' + ' "symbol": '+'"'+_return+'"'+',\n' + ' "positionSide": "long"\n' + '}')
if short_on
strategy.entry (id="Short", long=strategy.short, limit=limit_price, when=validshort,comment='{\n' + ' "name": "",\n' + ' "secret": "",\n' + ' "side": "sell",\n' + ' "symbol": '+'"'+_return+'"'+',\n' + ' "positionSide": "short",\n' + ' "sl": {\n' + ' "enabled": true\n' + ' }\n' + '}')
// condition:=true
// if Cancel_all and strategy.position_size > 0 and (reverse_regime_local or reverse_regime)
// strategy.close_all(when=strategy.position_size != 0, comment='{\n' + ' "name": "",\n' + ' "secret": "",\n' + ' "side": "sell",\n' + ' "symbol": '+'"'+_return+'"'+',\n' + ' "positionSide": "flat"\n' + '}')
if Cancel_all and strategy.position_size > 0 and reverse_regime_local
strategy.close_all(when=strategy.position_size != 0, comment='{\n'
+ ' "name": "",\n'
+ ' "secret": "",\n'
+ ' "side": "sell",\n'
+ ' "symbol": '+'"'+_return+'"'+',\n'
+ ' "positionSide": "flat"\n'
+ '}')
if Cancel_all and strategy.position_size < 0 and regimeFilter_local
strategy.close_all(when=strategy.position_size != 0, comment='{\n'
+ ' "name": "",\n'
+ ' "secret": "",\n'
+ ' "side": "buy",\n'
+ ' "symbol": '+'"'+_return+'"'+',\n'
+ ' "positionSide": "flat"\n'
+ '}')
if cancel_in and strategy.position_size > 0 and barssince(validlong) > cancel_in_num
strategy.close_all(when=strategy.position_size != 0, comment='{\n'
+ ' "name": "",\n'
+ ' "secret": "",\n'
+ ' "side": "sell",\n'
+ ' "symbol": '+'"'+_return+'"'+',\n'
+ ' "positionSide": "flat"\n'
+ '}')
if cancel_in and strategy.position_size < 0 and barssince(validshort) > cancel_in_num
strategy.close_all(when=strategy.position_size != 0, comment='{\n'
+ ' "name": "",\n'
+ ' "secret": "",\n'
+ ' "side": "buy",\n'
+ ' "symbol": '+'"'+_return+'"'+',\n'
+ ' "positionSide": "flat"\n'
+ '}')
// Exit trades whenever our stop or target is hit
strategy.exit(id="Long Exit", from_entry="Long", limit=tradeTargetPrice, stop=tradeStopPrice, when=strategy.position_size > 0)
strategy.exit(id="Short Exit", from_entry="Short", limit=tradeTargetPrice,stop=tradeStopPrice, when=strategy.position_size < 0)