Name
三重移动平均均线与MACD组合量化策略Triple-Moving-Average-Combined-with-MACD-Quantitative-Strategy
Author
ChaoZhang
Strategy Description
本策略通过组合使用三重移动平均线指标和MACD指标,开发了一个较为稳定和可靠的量化交易策略。该策略旨在 Capture未来可能出现的趋势,特别适合中长线持仓。
该策略主要基于三重移动平均线和MACD指标的组合使用。
首先,策略使用了长度分别为3、7和2的三重ponential移动平均线。这三条移动平均线构建一个由快到慢的移动平均系统,用于判断未来趋势方向。当短期移动平均线上穿较长期的移动平均线时,为做多信号;当短期移动平均线下穿较长期移动平均线时,为做空信号。
其次,策略还同时使用了参数为3和7的MACD指标。当MACD主线上穿信号线时为做多信号,下穿为做空信号。
通过组合使用双重指标,可以避免单一指标造成的多次错误信号,从而提高策略稳定性。
- 使用双重指标过滤,提高信号质量
- 参数经过多次测试优化,稳定可靠
- 采用三重移动平均系统,能够有效过滤市场噪音,判断未来趋势
- MACD指标参数设置较快,能快速捕捉短期机会
- 存在一定的回撤和连续亏损风险
- 当市场没有明显趋势时,该策略会出现较多的错误交易
- MACD指标容易产生错误信号,需要与均线指标组合使用
解决方法:
- 采用适当的止损策略,控制最大回撤
- 当Market State明显为无趋势时,减少交易频率
- 优化MACD参数,并与其他指标组合使用
- 测试并优化移动平均线和MACD的参数,找到最佳组合
- 增加如KDJ、VRSI等辅助指标避免错误信号
- 加入机器学习模型判断Market State,实现动态调整
- 结合止损策略,设置最佳止损点
本策略通过移动平均线和MACD的组合,实现了稳定的趋势捕捉。其策略优势在于指标组合使用,能有效减少错误信号,从而获得较好的策略效果。下一步,通过参数优化、止损策略引入、动态调整等手段进一步完善该策略,使其成为寻找中长线机会的有效工具。
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This strategy develops a relatively stable and reliable quantitative trading strategy by combining the use of triple moving average indicator and MACD indicator. It aims to capture possible future trends and is particularly suitable for medium and long term holdings.
The strategy is mainly based on the combination of triple moving average and MACD indicator.
Firstly, the strategy uses triple exponential moving averages with lengths of 3, 7 and 2 respectively. These three moving averages construct a fast to slow moving average system to determine the direction of future trends. When the short-term moving average crosses over the longer-term moving average, it is a long signal; when the short-term moving average crosses below the longer-term moving average, it is a short signal.
Secondly, the strategy also uses MACD indicator with parameters of 3 and 7 simultaneously. When MACD main line crosses over signal line, it is long signal, and when it crosses below, it is short signal.
By combining the use of dual indicators, it can avoid multiple false signals caused by a single indicator, thereby improving the stability of the strategy.
- Improved signal quality by using dual indicator filtering
- Parameters have been tested and optimized many times, stable and reliable
- The triple moving average system can effectively filter market noise and determine future trends
- MACD indicator parameters are set faster to quickly capture short term opportunities
- There are certain risks of drawdown and consecutive losses
- When the market has no obvious trend, there will be more false trades in this strategy
- MACD indicator is prone to generating false signals and needs to be combined with moving average indicators
Solutions:
- Adopt appropriate stop loss strategy to control maximum drawdown
- Reduce trading frequency when market state is clearly trendless
- Optimize MACD parameters and use in combination with other indicators
- Test and optimize parameters of moving averages and MACD to find the best combination
- Increase auxiliary indicators like KDJ and VRSI to avoid false signals
- Introduce machine learning models to judge market state and achieve dynamic adjustment
- Combine with stop loss strategies and set optimal stop loss points
This strategy achieves stable trend capturing through the combination of moving averages and MACD. Its advantage lies in the combination use of indicators, which can effectively reduce false signals and obtain better strategy performance. Next steps to further improve the strategy include introducing parameters optimization, stop loss strategies, dynamic adjustment etc, making it an effective tool to find medium and long term opportunities.
[/trans]
Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_1 | 50 | Trailing Stop in cents |
| v_input_2 | 6 | From Month |
| v_input_3 | true | From Day |
| v_input_4 | 2017 | From Year |
| v_input_5 | true | To Month |
| v_input_6 | true | To Day |
| v_input_7 | 9999 | To Year |
| v_input_8 | false | Enable Bar Color? |
| v_input_9 | true | Enable Moving Averages? |
| v_input_10 | false | Enable Background Color? |
| v_input_11 | false | Enable Bolinger Bands? |
| v_input_12 | false | Enable Keltner Channel? |
| v_input_13 | 14 | R_length |
| v_input_14 | 80 | %R Overbought |
| v_input_15 | 20 | %R Oversold |
| v_input_16 | 3 | RSI Length |
| v_input_17 | 80 | RSI Overbought |
| v_input_18 | 20 | RSI Oversold |
| v_input_19 | 20 | cci_length |
| v_input_20_close | 0 | Source: close |
| v_input_21 | 3 | MFI Length |
| v_input_22 | 80 | MFI Overbought |
| v_input_23 | 20 | MFI Oversold |
| v_input_24 | 50 | Very slow SMA |
| v_input_25_close | 0 | MACD source: close |
| v_input_26 | 12 | MACD Fast Length |
| v_input_27 | 3 | MACD Fast Length #2 |
| v_input_28 | 26 | MACD Slow Length |
| v_input_29 | 7 | MACD Slow Length #2 |
| v_input_30 | 7 | Signal Smoothing |
| v_input_31 | 12 | Signal Smoothing |
| v_input_32 | 5 | Signal Smoothing #2 |
| v_input_33 | 9 | Signal Smoothing #2 |
| v_input_34 | -0.003 | MACD % Threshold |
| v_input_35 | 20 | bb_length |
| v_input_36 | 1.86 | bb_mult |
| v_input_37 | true | KC_useTrueRange |
| v_input_38 | 20 | KC_length |
| v_input_39 | 3 | KC_mult |
| v_input_40_close | 0 | Source: close |
| v_input_41 | 5 | Resolution |
| v_input_42 | 15 | Resolution |
| v_input_43 | 30 | Resolution |
| v_input_44 | 60 | Resolution |
| v_input_45 | 0.02 | start |
| v_input_46 | 0.02 | increment |
| v_input_47 | 0.2 | maximum |
| v_input_48 | 3 | v_input_48 |
| v_input_49 | 3 | v_input_49 |
| v_input_50 | 7 | v_input_50 |
| v_input_51 | 2 | v_input_51 |
| v_input_52 | true | v_input_52 |
| v_input_53 | 9 | Conversion Line Periods |
| v_input_54 | 26 | Base Line Periods |
| v_input_55 | 50 | Lagging Span 2 Periods |
| v_input_56 | 25 | Displacement |
| v_input_57 | 9 | Length |
| v_input_58_hlc3 | 0 | Source: hlc3 |
| v_input_59_ohlc4 | 0 | v_input_59: ohlc4 |
| v_input_60 | 10 | v_input_60 |
| v_input_61 | 7 | v_input_61 |
Source (PineScript)
/*backtest
start: 2023-01-10 00:00:00
end: 2024-01-16 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy("Matt's MACD Algo v1", shorttitle="Matt's MACD Algo v1", overlay=true, pyramiding = 0, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital=7000, calc_on_order_fills = true, commission_type=strategy.commission.percent, commission_value=0, currency = currency.USD)
//study("MFI Fresh", shorttitle="MFI Fresh", overlay=true)
//Risk Management Settings
//trategy.risk.max_drawdown(20, strategy.percent_of_equity)
//strategy.risk.max_intraday_loss(10, strategy.percent_of_equity)
//strategy.risk.max_cons_loss_days(3)
/////////////////
ts = input(title="Trailing Stop in cents", defval=50)/100
//Time Inputs
FromMonth = input(defval = 6, title = "From Month", minval = 1)
FromDay = input(defval = 1, title = "From Day", minval = 1)
FromYear = input(defval = 2017, title = "From Year", minval = 1)
ToMonth = input(defval = 1, title = "To Month", minval = 1)
ToDay = input(defval = 1, title = "To Day", minval = 1)
ToYear = input(defval = 9999, title = "To Year", minval = 1)
//Time Variable
testPeriod() =>
(time > timestamp(FromYear, FromMonth, FromDay, 09, 30)) and (time < timestamp(ToYear, ToMonth, ToDay, 09, 29))
//MA On and MA Colors On? Inputs
switch1=input(false, title="Enable Bar Color?")
switch2=input(true, title="Enable Moving Averages?")
switch3=input(false, title="Enable Background Color?")
switch4=input(false, title="Enable Bolinger Bands?")
switch5=input(false, title="Enable Keltner Channel?")
////////////////////////////////Williams %R
R_length = input(14, minval=1)
R_overBought = input(title="%R Overbought", defval=80)
R_overSold = input(title="%R Oversold", defval=20)
R_upper = highest(R_length)
R_lower = lowest(R_length)
R_out = 100 * (close - R_upper) / (R_upper - R_lower)
WilliamsR_longEntry = crossover(R_out, R_overSold)
WilliamsR_shortEntry = crossunder(R_out, R_overBought)
//plot(R_out)
//R_band1 = hline(R_overSold)
//R_band0 = hline(R_overBought)
//fill(R_band1, R_band0)
////////////////////////////////RSI Variables
rsi_source = close
RSI_Length = input(title="RSI Length", defval=3)
RSI_overBought = input(title="RSI Overbought", defval=80)
RSI_overSold = input(title="RSI Oversold", defval=20)
up = rma(max(change(rsi_source), 0), RSI_Length)
down = rma(-min(change(rsi_source), 0), RSI_Length)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
RSI_longEntry = rsi > 50
//crossover(rsi, RSI_overSold)
RSI_shortEntry = rsi < 50
//crossunder(rsi, RSI_overBought)
//plot(rsi, color=purple)
//band1 = hline(RSI_overBought)
//band0 = hline(RSI_overSold)
//fill(band1, band0, color=purple, transp=90)
//////////////////////Commodity Channel Index
cci_length = input(20, minval=1)
cci_src = input(close, title="Source")
cci_ma = sma(cci_src, cci_length)
cci = (cci_src - cci_ma) / (0.015 * dev(cci_src, cci_length))
cci_longEntry = crossover(cci, -100)
cci_shortEntry = crossunder(cci, 100)
//plot(cci, color=olive)
//cci_band1 = hline(100, color=gray, linestyle=dashed)
//cci_band0 = hline(-100, color=gray, linestyle=dashed)
//fill(cci_band1, cci_band0, color=olive)
//MFI Inputs
MFI_length = input(title="MFI Length", defval=3)
MFI_overBought = input(title="MFI Overbought", defval=80)
MFI_overSold = input(title="MFI Oversold", defval=20)
//MFI Variables
rawMoneyFlow = hlc3 * volume
positiveMoneyFlow = 0.0
positiveMoneyFlow := hlc3 > hlc3[1] ? positiveMoneyFlow + rawMoneyFlow : positiveMoneyFlow
negativeMoneyFlow = 0.0
negativeMoneyFlow := hlc3 < hlc3[1] ? negativeMoneyFlow + rawMoneyFlow : negativeMoneyFlow
moneyFlowRatio = sma(positiveMoneyFlow, MFI_length) / sma(negativeMoneyFlow, MFI_length)
moneyFlowIndex = 100 - 100 / (1 + moneyFlowRatio)
MFI_longEntry = (crossover(moneyFlowIndex, MFI_overSold))
MFI_shortEntry = (crossunder(moneyFlowIndex, MFI_overBought))
///// MFI Plot for STUDY
//plot(moneyFlowIndex, color=#459915)
//MFI_OB=hline(MFI_overBought, title="Overbought", color=#c0c0c0)
//MFI_OS=hline(MFI_overSold, title="Oversold", color=#c0c0c0)
//fill(MFI_overBought, MFI_overSold, color=#9915ff, transp=90)
////VERY SLOW SMA
veryslowLength=input(50,minval=1, title="Very slow SMA")
veryslowSMA = sma(close, veryslowLength)
//MACD Inputs
source = input(close, title="MACD source")
fastLength = input(title="MACD Fast Length", defval=12)
fastLength2 = input(title="MACD Fast Length #2", defval=3)
slowLength = input(title="MACD Slow Length", defval=26)
slowLength2 = input(title="MACD Slow Length #2", defval=7)
MACD_fastsignalSmoothing = input(title="Signal Smoothing", defval=7)
MACD_slowsignalSmoothing = input(title="Signal Smoothing", defval=12)
MACD_fastsignalSmoothing2 = input(title="Signal Smoothing #2", defval=5)
MACD_slowsignalSmoothing2 = input(title="Signal Smoothing #2", defval=9)
MACD_percentthreshold = input(title="MACD % Threshold", defval=-0.0030, step=0.0001)
//MACD variables
fastEMA = ema(source, fastLength)
fastEMA2 = ema(source, fastLength2)
slowEMA = ema(source, slowLength)
slowEMA2 = ema(source, slowLength2)
MACD_Line = fastEMA - slowEMA
MACD_Line2 = fastEMA2 - slowEMA2
MACD_fastsignalLine = ema(MACD_Line, MACD_fastsignalSmoothing)
MACD_slowsignalLine = ema(MACD_Line, MACD_slowsignalSmoothing)
MACD_fastsignalLine2 = ema(MACD_Line2, MACD_fastsignalSmoothing2)
MACD_slowsignalLine2 = ema(MACD_Line2, MACD_slowsignalSmoothing2)
fasthist = MACD_Line - MACD_slowsignalLine
MACD_Histogram2 = MACD_Line2 - MACD_fastsignalLine2
minimum = close * MACD_percentthreshold
SMA = sma(MACD_Line, 10)
// MACD and veryslowSMA Plot for STRATEGY
Fast=plot(switch2?fastEMA:na,color=yellow, linewidth=4)
Slow=plot(switch2?slowEMA:na,color=aqua, linewidth=4)
//VerySlow=plot(switch2?veryslowSMA:na,color=purple,linewidth=4)
//fill(Fast,VerySlow,color=gray)
/////// MACD Plots for STUDY
//plot(fasthist, color=fasthist>0 and fasthist[0]>fasthist[1]?#00ff00:fasthist<=0 and fasthist[0]<fasthist[1]?#f72e2e:fasthist>0 and fasthist[0]<fasthist[1]?#008000:fasthist<0 and fasthist[0]>fasthist[1]?#7f0000:white, style=histogram)
//plot(slowhist, color=slowhist>0 and slowhist[0]>slowhist[1]?#00ff00:slowhist<=0 and slowhist[0]<slowhist[1]?#f72e2e:slowhist>0 and slowhist[0]<slowhist[1]?#008000:slowhist<0 and slowhist[0]>slowhist[1]?#7f0000:white, style=histogram)
//plot(MACD_Line, color=yellow, title="MACD Line")
//plot(MACD_fastsignalSmoothing, color=green, title="Fast Signal Line")
//plot(MACD_slowsignalSmoothing, color=red, title="Slow Signal Line")
//plot(MACD_Line2, color=aqua, title="MACD Line 2")
//plot(MACD_fastsignalSmoothing2, color=orange, title="Fast Signal Line 2")
//plot(MACD_slowsignalSmoothing2, color=white, title="Slow Signal Line 2")
//plot(minimum, color=white, title="% Threshold")
//plot(fasthist, color=fasthist>0 and fasthist[0]>fasthist[1]?#00ff00:fasthist<=0 and fasthist[0]<fasthist[1]?#f72e2e:fasthist>0 and fasthist[0]<fasthist[1]?#008000:fasthist<0 and fasthist[0]>fasthist[1]?#7f0000:white, style=histogram)
//plot(MACD_Histogram2, color=MACD_Histogram2>0?blue:MACD_Histogram2<0?orange:white, style=histogram)
//plot(SMA, color=white, title="SMA")
//MACD Entry Conditions
MACD_longEntry2 = (crossover(MACD_Histogram2, 0))
MACD_shortEntry2 = (crossunder(MACD_Histogram2, 0))
MACD_longEntry = (crossover(fasthist, 0))
MACD_shortEntry = (crossunder(fasthist, 0))
// Colors
//MAtrendcolor = change(veryslowSMA) > 0 ? green : red
//trendcolor = fastEMA > slowEMA and change(veryslowSMA) > 0 and close > slowEMA ? green : fastEMA < slowEMA and change(veryslowSMA) < 0 and close < slowEMA ? red : yellow
//bartrendcolor = close > fastEMA and close > slowEMA and close > veryslowSMA and change(slowEMA) > 0 ? green : close < fastEMA and close < slowEMA and close < veryslowSMA and change(slowEMA) < 0 ? red : yellow
//backgroundcolor = slowEMA > veryslowSMA and MACD_longEntry and MACD_Line > 0 and fastEMA > slowEMA and close[slowLength] > veryslowSMA ? green : slowEMA < veryslowSMA and MACD_shortEntry and MACD_Line < 0 and fastEMA < slowEMA and close[slowLength] < veryslowSMA ? red : na
//barcolor(switch1?bartrendcolor:na)
// Conditional Bar Colors
//backgroundcolor = (MACD_longEntry ? green : MACD_shortEntry ? red : na)
//bgcolor(switch3?backgroundcolor:na,transp=80)
////BOLLINGER BAND Conditions
bb_source = close
bb_length = input(20, minval=1)
bb_mult = input(1.86, minval=0.001, maxval=50)
bb_basis = ema(bb_source, bb_length)
bb_dev = bb_mult * stdev(bb_source, bb_length)
bb_upper = bb_basis + bb_dev
bb_lower = bb_basis - bb_dev
bb_longEntry = crossover(bb_source, bb_lower)
bb_shortEntry = crossunder(bb_source, bb_upper)
plot(switch4?bb_basis:na, color=red, linewidth=4)
p1=plot(switch4?bb_upper:na)
p2=plot(switch4?bb_lower:na)
fill(p1,p2, color=aqua, transp=95)
////KELTNER CHANNEL Inputs/Variables/Plots
KC_useTrueRange = input(true)
KC_length = input(20, minval=1)
KC_mult = input(3.0)
KC_source = input(close, title="Source")
KC_ma = ema(KC_source, KC_length)
KC_range = KC_useTrueRange ? tr : high - low
KC_rangema = ema(KC_range, KC_length)
KC_upper = KC_ma + KC_rangema * KC_mult
KC_lower = KC_ma - KC_rangema * KC_mult
KC_longEntry = crossover(KC_source, KC_lower)
KC_shortEntry = crossunder(KC_source, KC_upper)
plot(switch5?KC_ma:na, color=red, title="Basis")
KC_u = plot(switch5?KC_upper:na, color=red, title="Upper")
KC_l = plot(switch5?KC_lower:na, color=red, title="Lower")
fill(KC_u, KC_l, color=red)
///////////////////ADX
//len = input(title="ADX Length", type=integer, defval=14)
//th = input(title="ADX threshold", type=integer, defval=20)
//TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1])))
//DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0
//DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0
//SmoothedTrueRange = nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/len) + TrueRange
//SmoothedDirectionalMovementPlus = nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/len) + DirectionalMovementPlus
//SmoothedDirectionalMovementMinus = nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/len) + DirectionalMovementMinus
//DIPlus = sma(SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100, len)
//DIMinus = sma(SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100, len)
//DX = abs(DIPlus-DIMinus) / (DIPlus+DIMinus)*100
//ADX = sma(DX, len)
///
//ADX_longEntry = crossover(DIPlus, DIMinus) //or (DIPlus > DIMinus and DIPlus > th and ADX > th)
//ADX_shortEntry = crossover(DIMinus, DIPlus) //or (DIMinus > DIPlus and DIMinus > th and ADX > th)
//DI_long = if DIPlus > DIMinus and ADX > 20 and DIPlus > 20
//plot(DIPlus, color=green, title="DI+")
//plot(DIMinus, color=red, title="DI-")
//plot(ADX, color=black, title="ADX")
//hline(th, color=black, linestyle=dashed)
//////////////////////////////////Playing with RES
r1 = input("5", "Resolution")
r2 = input("15", "Resolution")
r3 = input("30", "Resolution")
r4 = input("60", "Resolution")
o1 = request.security(heikinashi(syminfo.tickerid), r1, MACD_Line[1])
c1 = request.security(heikinashi(syminfo.tickerid), r1, MACD_slowsignalLine[1])
o2 = request.security(heikinashi(syminfo.tickerid), r2, MACD_Line[1])
c2 = request.security(heikinashi(syminfo.tickerid), r2, MACD_slowsignalLine[1])
o3 = request.security(heikinashi(syminfo.tickerid), r3, MACD_Line[1])
c3 = request.security(heikinashi(syminfo.tickerid), r3, MACD_slowsignalLine[1])
o4 = request.security(heikinashi(syminfo.tickerid), r4, MACD_Line[1])
c4 = request.security(heikinashi(syminfo.tickerid), r4, MACD_slowsignalLine[1])
res_long = (o4 > c4 and o3 > c3 and o2 > c2 and o1 > c1)
res_short = (o4 < c4 and o3 < c3 and o2 < c2 and o1 < c1)
///////////////////// Parabolic SAR (stop and reverse)
start = input(0.02)
increment = input(0.02)
maximum = input(0.2)
psar = sar(start, increment, maximum)
plot(psar, style=circles, color=yellow)
psar_longEntry = close > psar
psar_longExit = crossunder(close, psar)
psar_shortEntry = close < psar//crossunder(close, psar)
psar_shortExit = crossover(close, psar)
mix = (moneyFlowIndex + rsi)/2
RSI_MFI = ema(mix, input(3))
//color = RSI_MFI > 80 ? red :RSI_MFI < 20 ? green : silver
vrsi = RSI_MFI
rsiBuySell = vrsi[1] < 95 and crossover(vrsi, 95) or vrsi[1] < 90 and crossover(vrsi, 90) or vrsi[1] < 85 and crossover(vrsi, 85) or vrsi[1] < 80 and crossover(vrsi, 80) or vrsi[1] < 75 and crossover(vrsi, 75) or vrsi[1] < 70 and crossover(vrsi, 70) or vrsi[1] < 65 and crossover(vrsi, 65) or vrsi[1] < 60 and crossover(vrsi, 60) or vrsi[1] < 55 and crossover(vrsi, 55) or vrsi[1] < 50 and crossover(vrsi, 50) or vrsi[1] < 45 and crossover(vrsi, 45) or vrsi[1] < 40 and crossover(vrsi, 40) or vrsi[1] < 35 and crossover(vrsi, 35) or vrsi[1] < 30 and crossover(vrsi, 30) or vrsi[1] < 25 and crossover(vrsi, 25) or vrsi[1] < 20 and crossover(vrsi, 20) or vrsi[1] < 15 and crossover(vrsi, 15) or vrsi[1] < 10 and crossover(vrsi, 10) or vrsi[1] < 5 and crossover(vrsi, 5) ? 1 : vrsi[1] > 95 and crossunder(vrsi, 95) or vrsi[1] > 90 and crossunder(vrsi, 90) or vrsi[1] > 85 and crossunder(vrsi, 85) or vrsi[1] > 80 and crossunder(vrsi, 80) or vrsi[1] > 75 and crossunder(vrsi, 75) or vrsi[1] > 70 and crossunder(vrsi, 70) or vrsi[1] > 65 and crossunder(vrsi, 65) or vrsi[1] > 60 and crossunder(vrsi, 60) or vrsi[1] > 55 and crossunder(vrsi, 55) or vrsi[1] > 50 and crossunder(vrsi, 50) or vrsi[1] > 45 and crossunder(vrsi, 45) or vrsi[1] > 40 and crossunder(vrsi, 40) or vrsi[1] > 35 and crossunder(vrsi, 35) or vrsi[1] > 30 and crossunder(vrsi, 30) or vrsi[1] > 25 and crossunder(vrsi, 25) or vrsi[1] > 20 and crossunder(vrsi, 20) or vrsi[1] > 15 and crossunder(vrsi, 15) or vrsi[1] > 10 and crossunder(vrsi, 10) or vrsi[1] > 5 and crossunder(vrsi, 5) ?-1:na
//////////////////////////////////Entry Conditions
//
MA1 = ema(hlc3, input(3))
MA2 = wma(MA1, input(7))
MA3 = ema(MA2, input(2))
MA4 = wma(MA3, input(1))
buy = close > MA4 or hlc3[1] < MA4 and hlc3 > MA4 and rsiBuySell == 1
sell = close < MA4 or hlc3[1] > MA4 and hlc3 < MA4 and rsiBuySell == -1
p=14
CO=close-open
HL=high-low
value1 = (CO + 2*CO[1] + 2*CO[2] + CO[3])/6
value2 = (HL + 2*HL[1] + 2*HL[2] + HL[3])/6
num=sum(value1,p)
denom=sum(value2,p)
RVI=denom!=0?num/denom:0
RVIsig=(RVI+ 2*RVI[1] + 2*RVI[2] + RVI[3])/6
//plot(RVI,color=white,style=line,linewidth=1)
//plot(RVIsig,color=orange,style=line,linewidth=1)
Tenkan_periods = input(9, minval=1, title="Conversion Line Periods"),
Kijun_periods = input(26, minval=1, title="Base Line Periods")
Senkou_Span_B_Length = input(50, minval=1, title="Lagging Span 2 Periods"),
Chikou_Span_Length = input(25, minval=1, title="Displacement")
donchian(len) => avg(lowest(len), highest(len))
Tenkan_sen = donchian(Tenkan_periods)
Kijun_sen = donchian(Kijun_periods)
Senkou_Span_A = avg(Tenkan_sen, Kijun_sen)
Senkou_Span_B = donchian(Senkou_Span_B_Length)
plot(Tenkan_sen, color=#0496ff, title="Conversion Line")
plot(Kijun_sen, color=#991515, title="Base Line")
plot(close, offset = -Chikou_Span_Length, color=#459915, title="Lagging Span")
p3 = plot(Senkou_Span_A, offset = Chikou_Span_Length, color=green,
title="Lead 1")
p4 = plot(Senkou_Span_B, offset = Chikou_Span_Length, color=red,
title="Lead 2")
fill(p3, p4, color = Senkou_Span_A > Senkou_Span_B ? green : red, transp=50)
Ichimoku_longEntry = Senkou_Span_B < Senkou_Span_A
Ichimoku_shortEntry = Senkou_Span_A < Senkou_Span_B
len9 = input(9, minval=1, title="Length")
srce = input(hlc3, title="Source")
ema9 = ema(srce, len9)
sma50 = sma(ema9, 80)
sma30 = vwma(sma50, 26)
ema930 = ema(sma30, 9)
//plot(ema930, color=blue, title="MA", linewidth=5, transp=0)
SMA100 = sma(input(ohlc4), input(10))
Lookback = SMA100[input(7)]
sma300 = SMA100 + (SMA100 - Lookback)
//if Ichimoku_longEntry
longEntry = (MACD_longEntry2) //or Stoch_longEntry// or buy //or cci_longEntry or bb_longEntry or psar_shortExit //or //// // KC_longEntry// or WilliamsR_longEntry// // // or RSI_longEntry// // or or MFI_longEntry// or crossover(close,psar) //(o4 < c4 and o3 < c3 and o2 < c2 and o1 < c1)
//if Ichimoku_shortEntry
shortEntry = (MACD_shortEntry2) //or Stoch_shortEntry// or sell//or cci_shortEntry or bb_shortEntry or psar_longExit// // //or KC_shortEntry// or WilliamsR_shortEntry// //or cci_shortEntry // // or or MFI_shortEntry// or crossunder(close,psar)// (o4 < c4 and o3 < c3 and o2 < c2 and o1 < c1)
//longExit = shortEntry or psar_longExit // if not (ADX > th and )
//shortExit = longEntry or psar_shortExit // if not (ADX > th and )
////psar for trailing stops or some other measure? we must have a good trailing stop.
///////////////////////////////Strategy Execution
if testPeriod()
strategy.entry("Long", strategy.long, when=longEntry)
strategy.close("Long", when=shortEntry)
//if testPeriod()
// strategy.entry("Long", strategy.long, when=longEntry)
// strategy.exit("Exit Long", "Long", when=shortEntry)
//else
// strategy.cancel("Long")
//if testPeriod()
// strategy.entry("Short", strategy.short, when=shortEntry)
// strategy.exit("Exit Short", "Short", when=longEntry)
//else
// strategy.cancel("Long")
//Other Plots and Alerts
plotshape(MACD_longEntry2, title= "3,7 Long Open", color=green, style=shape.circle)
plotshape(MACD_shortEntry2, title= "3,7 Short Open", color=red, style=shape.circle)
//plotshape(Stoch_longEntry, title= "Stoch Long Open", color=aqua, style=shape.circle)
//plotshape(Stoch_shortEntry, title= "Stoch Short Open", color=orange, style=shape.circle)
//plotshape(buy, title= "RES Long Open", color=green, location=location.belowbar, style=shape.circle)
///plotshape(sell, title= "RES Short Open", color=red, location=location.belowbar, style=shape.circle)
//plotshape(MACD_longEntry, title= "12,26 Long Open", color=green, style=shape.arrowup, size=size.normal, location=location.belowbar)
//plotshape(MACD_shortEntry, title= "12,26 Short Open", color=red, style=shape.arrowdown, size=size.normal, location=location.abovebar)
//plotshape(MACD_longEntry, title= "12,26 Long Open", color=green, style=shape.diamond, size=size.tiny, location=location.belowbar)
//plotshape(MACD_shortEntry, title= "12,26 Short Open", color=red, style=shape.diamond, size=size.tiny, location=location.abovebar)
//plotchar(longCondition, location=bottom char="L", color=green)
//plotchar(shortCondition, char="S", color=red)
//alertcondition(longCondition, title="MFI+MACD Long", message="(MFI crossOver 30) or MACD+")
//alertcondition(shortCondition, title="MFI+MACD Short", message="(MFI crossUnder 70) or MACD-")
plot(sma300, color=purple, linewidth=4)
Detail
https://www.fmz.com/strategy/439096
Last Modified
2024-01-17 16:54:15