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基于双向运动量指数策略

Author: ChaoZhang, Date: 2024-02-18 10:00:22
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---

---

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Tamil_FNO_Trader

//@version=5
strategy("Overlay Signals by TFOT", overlay=true)

// Calculate DMI
len = input.int(14, minval=1, title="DI Length")
lensig = input.int(14, title="ADX Smoothing", minval=1, maxval=50)
[diplus, diminus, adx] = ta.dmi(len, lensig)

// Get EMA
emalen = input.int(26, minval=1, title = "EMA Length")
emasrc = input.source(close, title = "EMA Source")

my_ema(src, length) =>
    alpha = 2 / (length + 1)
    sum = 0.0
    sum := na(sum[1]) ? src : alpha * src + (1 - alpha) * nz(sum[1])
EMA2 = my_ema(emasrc, emalen)

// Variables
var bool buycondition1 = false
var bool sellcondition1 = false

var int firstbuybar = na
var int firstsellbar = na

var int buyexitbar = na
var int sellexitbar = na

var bool buyexit1 = false
var bool sellexit1 = false

// Buy & Sell Conditions
buycondition1 := (ta.crossover(diplus, diminus)) and (adx > 20) and (close > EMA2) and na(firstbuybar)
sellcondition1 := (ta.crossover(diminus, diplus)) and (adx > 25) and (close < EMA2) and na(firstsellbar)

buyexit1 := ta.crossover(diminus, diplus) and (adx > 30) and na(buyexitbar)
sellexit1 := ta.crossover(diplus, diminus) and (adx > 30) and na(sellexitbar)

if buycondition1
    if(na(firstbuybar))
        firstbuybar := bar_index
        buyexitbar := na
        firstsellbar := na
        strategy.entry("Buy", strategy.long)

if sellcondition1
    if(na(firstsellbar))
        firstsellbar := bar_index
        sellexitbar := na
        firstbuybar := na
        strategy.entry("Sell", strategy.short)

if buyexit1 and not na(firstbuybar)
    if(na(buyexitbar))
        buyexitbar := bar_index
        firstbuybar := na
        firstsellbar := na
        strategy.close("Buy")

if sellexit1 and not na(firstsellbar)
    if(na(sellexitbar))
        sellexitbar := bar_index
        firstsellbar := na
        firstbuybar := na
        strategy.close("Sell")

// Plot signals on chart
hl = input.bool(defval = true, title = "Signal Labels")

plotshape(hl and buycondition1 and bar_index == firstbuybar ? true : na, "Buy", style = shape.labelup, location = location.belowbar, color = color.green, text = "Buy", textcolor = color.white, size = size.tiny)
plotshape(hl and sellcondition1 and bar_index == firstsellbar ? true : na, "Sell", style = shape.labeldown, location = location.abovebar, color = color.red, text = "Sell", textcolor = color.white, size = size.tiny)

plotshape(hl and buyexit1 and bar_index == buyexitbar ? true : na, "Buy Exit", style = shape.labelup, location = location.belowbar, color = color.red, text = "Buy X", textcolor = color.white, size = size.tiny)
plotshape(hl and sellexit1 and bar_index == sellexitbar ? true : na, "Sell Exit", style = shape.labeldown, location = location.abovebar, color = color.red, text = "Sell X", textcolor = color.white, size = size.tiny)

---

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