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VAWSI和趋势持续性反转策略结合动态长度计算的多指标综合分析系统

Author: ChaoZhang, Date: 2024-06-21 15:36:43
Tags: VAWSIATRRSIWMASMARMA

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/*backtest
start: 2024-05-21 00:00:00
end: 2024-06-20 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("VAWSI and Trend Persistance Reversal", overlay=true, max_bars_back = 4999, process_orders_on_close = true)


//INPUTS
sltp = input.float(title = "Minimum SL/TP", defval = 5.0)
rsi_weight = input.float(title = "Wawsi weight", defval = 100.0)
half_weight= input.float(title = "Trend Persistence Weight", defval = 79.0)
atr_weight = input.float(title = "ATR Weight", defval = 20.0)
com_mult = input.float(title = "Combination Mult", defval = 1, step = .001)
smoothing = input.int(title = "Trend Persistence smooth length", defval = 3)
CycPart = input.float(1.1, step = .001, title = "Length Cycle Decimal")
src = close
hclose = request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, src)

//BlackCat1402's Dynamic Length Calculation
EhlersHoDyDC(Price, CycPart) =>
    // Vars: 
    Smooth = 0.00
    Detrender = 0.00
    I1 = 0.00
    Q1 = 0.00
    jI = 0.00
    jQ = 0.00
    I2 = 0.00
    Q2 = 0.00
    Re = 0.00
    Im = 0.00
    Period = 0.00
    SmoothPeriod = 0.00
    pi = 2 * math.asin(1)
    DomCycle = 0.0

    //Hilbert Transform
    Smooth := bar_index > 5 ? (4 * Price + 3 * nz(Price[1]) + 2 * nz(Price[2]) + nz(Price[3])) / 10 : Smooth
    Detrender := bar_index > 5 ? (.0962 * Smooth + .5769 * nz(Smooth[2]) - .5769 * nz(Smooth[4]) - .0962 * nz(Smooth[6])) * (.075 * nz(Period[1]) + .54) : Detrender
    //Compute InPhase and Quadrature components
    Q1 := bar_index > 5 ? (.0962 * Detrender + .5769 * nz(Detrender[2]) - .5769 * nz(Detrender[4]) - .0962 * nz(Detrender[6])) * (.075 * nz(Period[1]) + .54) : Q1
    I1 := bar_index > 5 ? nz(Detrender[3]) : I1

    //Advance the phase of I1 and Q1 by 90 degrees
    jI := (.0962 * I1 + .5769 * nz(I1[2]) - .5769 * nz(I1[4]) - .0962 * nz(I1[6])) * (.075 * nz(Period[1]) + .54)
    jQ := (.0962 * Q1 + .5769 * nz(Q1[2]) - .5769 * nz(Q1[4]) - .0962 * nz(Q1[6])) * (.075 * nz(Period[1]) + .54)

    //Phasor addition for 3 bar averaging
    I2 := I1 - jQ
    Q2 := Q1 + jI

    //Smooth the I and Q components before applying the discriminator
    I2 := .2 * I2 + .8 * nz(I2[1])
    Q2 := .2 * Q2 + .8 * nz(Q2[1])

    //Homodyne Discriminator
    Re := I2 * nz(I2[1]) + Q2 * nz(Q2[1])
    Im := I2 * nz(Q2[1]) - Q2 * nz(I2[1])
    Re := .2 * Re + .8 * nz(Re[1])
    Im := .2 * Im + .8 * nz(Im[1])

    Period := Im != 0 and Re != 0 ? 2 * pi / math.atan(Im / Re) : Period
    Period := Period > 1.5 * nz(Period[1]) ? 1.5 * nz(Period[1]) : Period
    Period := Period < .67 * nz(Period[1]) ? .67 * nz(Period[1]) : Period
    //Limit Period to be within the bounds of 6 bar and 50 bar cycles
    Period := Period < 6 ? 6 : Period
    Period := Period > 50 ? 50 : Period
    Period := .2 * Period + .8 * nz(Period[1])
    SmoothPeriod := .33 * Period + .67 * nz(SmoothPeriod[1])
    //it can add filter to Period here
    DomCycle := math.ceil(CycPart * SmoothPeriod) > 34 ? 34 : math.ceil(CycPart * SmoothPeriod) < 1 ? 1 : math.ceil(CycPart * SmoothPeriod)
    DomCycle

wma(src, length) =>
    wma = 0.0
    sum = 0.0
    norm = length * (length + 1) / 2
    for i = 0 to length - 1
        sum := sum + src[i] * (length - i)
    wma := sum / norm


length = math.round(math.ceil(EhlersHoDyDC(hclose,CycPart)))

// Traditional Function initialization
highest_custom(src, length) =>
    x = src
    for i = 0 to math.min(length, 4999)
        if src[i] > x
            x := src[i]
    x
lowest_custom(src, length) => 
    x = src
    for i = 0 to math.min(length, 4999)
        if src[i] < x
            x := src[i]
    x

rma(src, len) =>
    sum = 0.0
    for i = 0 to len - 1
        math.min(1, len)
        sum += src[i]
    rma = sum / len
    rma := nz(rma[1]) * (len - 1) / len + src / len
    
sma(src, length) =>
    math.sum(src, length) / length

hln(src, length) =>
    TR = math.max(math.abs(src - src[1]), high - low)
    TR := src / math.abs(ta.change(rma(TR, length)))
    TR := (1 / TR) * 100

vawma(src, length) =>
    atr = ta.atr(1)
    aavg = sma(atr, length)
    vavg = sma(volume, length)
    weighted_sum = 0.0
    sum_weights = 0.0
    weighted = 0.0
    for i = 0 to length
        weight = ((volume[i] / vavg + (atr[i]) / aavg) / 2)
        weighted_sum += src[i] * weight
        sum_weights += weight
    a = (weighted_sum / sum_weights)

vawsi(src, len) =>
    rmaUp = vawma(math.max(ta.change(src), 0), len)
    rmaDown = vawma(-math.min(ta.change(src), 0), len)
    rsi = 100 - (100 / (1 + rmaUp / rmaDown))

trendPersistence(src, length, smoothing) =>
    trendu = math.abs(src - highest_custom(src, length))
    trendd = math.abs(src - lowest_custom(src, length))
    trendu := wma(trendu, smoothing)
    trendd := wma(trendd, smoothing)
    trendu := ta.change(ta.cum(trendu))
    trendd := ta.change(ta.cum(trendd))
    trend = wma(math.max(trendu, trendd), smoothing)
    rmaUp = rma(math.max(ta.change(trend), 0), length)
    rmaDown = rma(-math.min(ta.change(trend), 0), length)
    rsi = 100 - (100 / (1 + rmaUp / rmaDown))

//Strategy Calculations
sl = ((100 - sltp) / 100) * close
tp = ((100 + sltp) / 100) * close

var bool crossup = na
var bool crossdown = na
var float dir = na
var float BearGuy = 0

BullGuy = ta.barssince(crossup or crossdown)
if na(BullGuy)
    BearGuy += 1
else
    BearGuy := math.min(BullGuy, 4999)


rsiw = rsi_weight / 100
cew = half_weight / 100
atrw = atr_weight / 100

atr = hln(hclose, length) * atrw
ce = 1 / trendPersistence(hclose, length, smoothing)
com = 1 / math.max(math.abs(vawsi(hclose, length) - 50) * 2, 20)

comfin = (((com * rsiw) + (ce * cew) - atr)) * com_mult

lower = highest_custom(math.min((math.max(highest_custom(src, BearGuy) * (1 - comfin), sl)), src[1]), BearGuy)
upper = lowest_custom(math.max((math.min(lowest_custom(src, BearGuy) * (1 + comfin), tp)), src[1]), BearGuy)

var float thresh = na

if na(thresh)
    thresh := lower
if na(dir)
    dir := 1
if crossdown
    dir := -1
if crossup
    dir := 1
if dir == 1
    thresh := lower
if dir == -1
    thresh := upper

crossup := ta.crossover(hclose, thresh) and barstate.isconfirmed
crossdown := ta.crossunder(hclose, thresh) and barstate.isconfirmed

//STRATEGY
if crossup
    strategy.entry("long", strategy.long)
if crossdown
    strategy.entry("Short", strategy.short)

//PLOTTING
col = hclose > thresh ? color.lime : color.red
plot(thresh, linewidth = 2, color = color.new(col[1], 0))

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