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动量策略的双底突破模型Momentum-Strategy-Based-on-Double-Bottom-Breakout-Model.md

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Name

动量策略的双底突破模型Momentum-Strategy-Based-on-Double-Bottom-Breakout-Model

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略是基于技术指标的双底模型,当市场处于超卖状态时寻找底部区域形成的双底形态突破信号进行买入操作。策略同时结合多种指标判断市场的超卖与超买状态,在双底形成时发出买入信号。该策略主要适用于中短线交易。

策略原理

该策略主要判断价格是否在关键支撑位附近形成双底,以及市场是否处于超卖状态。具体来说,策略采用以下指标进行判断:

  1. RSI指标:当RSI指标显示市场处于超卖状态时,视为买入信号。

  2. RVI指标:当RVI指标显示市场处于超卖状态时,视为买入信号。

  3. MFI指标:当MFI指标显示市场处于超卖状态时,视为买入信号。

  4. SAR指标:当价格上扬突破SAR指标时,视为买入信号。

  5. SMA500指标:当价格上扬突破SMA500指标时,视为买入信号。

该策略综合考虑上述多个指标的判断结果,在关键支撑位附近形成双底形态时发出买入信号。

策略优势

该策略具有以下优势:

  1. 结合多种指标判断市场状态,信号更加可靠。

  2. 在双底形成时发出买入信号,具有较高的获利概率。

  3. 采用指标组合判断超卖超买状态,避免错失买入时机。

  4. 融合双底突破模型与指标策略,兼具趋势跟踪与反转交易的优点。

  5. 策略参数优化空间大,可根据不同市场调整参数。

策略风险

该策略也存在以下风险:

  1. 指标发出假信号的概率,导致买入亏损的风险。可以通过参数优化减少假信号。

  2. 双底没有成功突破的风险。可以设置止损点,降低单笔亏损。

  3. 高维度参数优化难度大,需要大量历史数据支持。可以采用步进算法逐步优化。

  4. 依赖历史数据测试效果,实盘效果会有差异。需要在不同市场验证。

优化方向

该策略的主要优化方向包括:

  1. 对买入指标的权重进行优化,确定最优权重组合。

  2. 优化指标参数,确定最佳参数组合。

  3. 添加止损策略,降低单笔亏损。

  4. 增加仓位管理模块,让盈利更加平稳。

  5. 结合机器学习算法,建立自适应参数优化机制。

总结

该策略整合双底突破模型与超卖指标判断,在关键支撑位附近形成双底时发出买入信号。优化空间较大,可调整权重、参数、止损、仓位等使策略更加稳定可靠。具备较高的实战价值。

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Overview

This strategy is based on the double bottom model using technical indicators. It looks for breakthrough signals when the market is in an oversold state and a double bottom pattern is formed near the bottom area. The strategy combines multiple indicators to judge the overbought and oversold state of the market and generates buy signals when a double bottom forms. This strategy is mainly suitable for medium- and short-term trading.

Strategy Principle

This strategy mainly judges whether prices are forming a double bottom around key support levels and whether the market is in an oversold state. Specifically, the strategy uses the following indicators for judgment:

  1. RSI Indicator: When the RSI indicator shows the market is oversold, it is considered a buy signal.

  2. RVI Indicator: When the RVI indicator shows the market is oversold, it is considered a buy signal.

  3. MFI Indicator: When the MFI indicator shows the market is oversold, it is considered a buy signal.

  4. SAR Indicator: When prices break above the SAR indicator, it is considered a buy signal.

  5. SMA500 Indicator: When prices break above the SMA500 indicator, it is considered a buy signal.

This strategy takes into account the judgments of the multiple indicators above and generates buy signals when a double bottom pattern forms around key support levels.

Advantages of the Strategy

This strategy has the following advantages:

  1. Combining multiple indicators to judge market status makes signals more reliable.

  2. Generating buy signals when double bottoms form has a relatively high probability of profit.

  3. Using indicator combinations to judge oversold and overbought states avoids missing buy opportunities.

  4. Integrating the double bottom breakout model with indicator strategies combines the advantages of trend following and mean reversion trading.

  5. The strategy has large parameter optimization space and parameters can be adjusted for different markets.

Risks of the Strategy

The strategy also has the following risks:

  1. The risk of false signals from indicators, resulting in losses from buying. This can be reduced through parameter optimization.

  2. The risk that double bottoms fail to break through. Stop losses can be set to reduce per trade loss.

  3. The difficulty of high-dimensional parameter optimization is large and requires massive historical data support. Stepwise algorithms can be adopted for gradual optimization.

  4. Reliance on historical data for testing results, actual performance will differ. Validation is needed across different markets.

Optimization Directions

The main optimization directions for this strategy include:

  1. Optimizing the weights of buy indicators to determine the optimal weight combination.

  2. Optimizing indicator parameters to determine the best parameter combination.

  3. Adding stop loss strategies to reduce per trade loss.

  4. Increasing position management modules for more steady profits.

  5. Incorporating machine learning algorithms to build adaptive parameter optimization mechanisms.

Conclusion

This strategy integrates the double bottom breakout model and oversold indicator judgments, generating buy signals when double bottoms form around key support levels. It has large optimization space to adjust weights, parameters, stop losses, positions etc. for more stable and reliable strategies. It has high practical value.

[/trans]

Strategy Arguments

Argument Default Description
v_input_string_1 0 Trade in: Uptrend and down trend
v_input_float_1 3.7 Expected profit %
v_input_int_1 10 (?Time Period Values)From Month
v_input_int_2 true From Day
v_input_int_3 2021 From Year
v_input_int_4 true Thru Month
v_input_int_5 true Thru Day
v_input_int_6 2112 Thru Year
v_input_float_2 0.0002 (?SAR Values)SAR value 1
v_input_float_3 0.0004 SAR value 2
v_input_float_4 0.1 SAR value 3
v_input_1_close 0 SAR Source - close: close
v_input_2_open 0 SAR Source - open: open
v_input_3 false Show SAR
v_input_int_7 16 (?Super Trend)Supertrend - Trend
v_input_int_8 7 Supertrend - Direction
v_input_int_9 true Supertrend - SMA
v_input_4 false Show Super Trend
v_input_5_high 0 (?SMA500)SMA500 - Source: high
v_input_int_10 143 SMA500 - Look back period
v_input_6 false Show SMA500
v_input_int_11 10 (?RSI Indicator - 10)Length
v_input_7_ohlc4 0 Source: ohlc4
v_input_int_12 50 (?RSI Indicator - 50)Length
v_input_8_high 0 Source: high
v_input_int_13 100 (?RSI Indicator - 100)Length
v_input_9_ohlc4 0 Source: ohlc4
v_input_int_14 10 (?RVI Indicator - 10)Length - RVI
v_input_int_15 10 Length - EMA
v_input_10_high 0 Source: high
v_input_int_16 50 (?RVI Indicator - 50)Length - RVI
v_input_int_17 50 Length - EMA
v_input_11_close 0 source: close
v_input_int_18 100 (?RVI Indicator - 100)Length - RVI
v_input_int_19 100 Length - EMA
v_input_12_close 0 Source: close
v_input_int_20 10 (?MFI Indicator - 10)Length - MFI
v_input_13_high 0 source: high
v_input_int_21 50 (?MFI Indicator - 50)Length - MFI
v_input_14_high 0 source: high
v_input_int_22 100 (?MFI Indicator - 100)Length - MFI
v_input_15_high 0 source: high
v_input_int_23 40 (?Indicator Values)Lower value of RSI
v_input_int_24 40 Lower value of RVI
v_input_int_25 40 Lower value of MFI
v_input_16 false (?Safty Margins)Show Profit marjin and average price
v_input_17 false Show Safty Grids

Source (PineScript)

/*backtest
start: 2023-12-13 00:00:00
end: 2023-12-20 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/


//@version=5

strategy("UP & DOWN -  BNB/USDT 15min", shorttitle="U&D - BNB 15min", overlay=true, calc_on_order_fills=true, calc_on_every_tick=true, initial_capital = 1000,pyramiding = 40,backtest_fill_limits_assumption = 1, process_orders_on_close=true, currency = currency.USD, default_qty_type = strategy.cash, default_qty_value = 25, commission_type = strategy.commission.percent, commission_value = 0.1)

// This startergy optimized to BNB 15 min standerd candlestic chart and buy & sell signals were based on technical analysis. 

UP_DOWN = input.string( title='Trade in', options=['Only on Up Trends', 'Uptrend and down trend'], defval='Uptrend and down trend')  
var profit_cal = input.float( defval = 3.7, title = "Expected profit %", minval = 0.2, step = 0.1)

//Backtest dates
fromMonth = input.int(defval = 10,title = "From Month", minval = 1, maxval = 12, group = 'Time Period Values')
fromDay   = input.int(defval = 1,    title = "From Day", minval = 1, maxval = 31, group = 'Time Period Values')
fromYear  = input.int(defval = 2021, title = "From Year", minval = 1970, group = 'Time Period Values')
thruMonth = input.int(defval = 1,    title = "Thru Month", minval = 1, maxval = 12, group = 'Time Period Values')
thruDay   = input.int(defval = 1,    title = "Thru Day", minval = 1, maxval = 31, group = 'Time Period Values')
thruYear  = input.int(defval = 2112, title = "Thru Year", minval = 1970, group = 'Time Period Values')

//showDate  = input(defval = true, title = "Show Date Range", group = 'Time Period Values')

start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => true
    
// inputs
//Inputs of SAR Indicator
sar1 = input.float(defval=0.0002, title='SAR value 1',step=0.0001, group = 'SAR Values')
sar2 = input.float(defval=0.0004, title='SAR value 2',step=0.0001, group = 'SAR Values')
sar3 = input.float(defval=0.1, title='SAR value 3',step=0.1, group = 'SAR Values')
src_close = input(close, "SAR Source - close", group = 'SAR Values')
src_open = input(open, "SAR Source - open", group = 'SAR Values')
bool sar_visible = input(false, "Show SAR",group = 'SAR Values' )
// Inputs of Super trend indicator
ST_T = input.int(defval=16, title = 'Supertrend - Trend', step =1, group = 'Super Trend')
ST_D = input.int(defval=7, title = 'Supertrend - Direction', step =1, group = 'Super Trend')
ST_SMA = input.int(defval=1, title = 'Supertrend - SMA', step = 1, group = 'Super Trend')
bool ST_visible = input(false, "Show Super Trend",group = 'Super Trend' )
//Inputs of SMA500 indicator
src_sma500 = input(high, 'SMA500 - Source', group = 'SMA500')
lb_sma500 = input.int(defval = 143, title = 'SMA500 - Look back period', step=10, group = 'SMA500')
bool sma500_visible = input(false, "Show SMA500",group = 'SMA500' )


// Calculations
// SMA500 Indicator
SMA500 = ta.sma(src_sma500,lb_sma500)
SMA700 = ta.sma(close,700)
SMA_Open = ta.sma(open,9)
//SMA9 Indicator
SMA9 = ta.sma((high+low)/2,5)
risingSMA9 = ta.rising(SMA9,1)
fallingSMA9 = ta.falling(SMA9,1)
color  plotcolor1 = color.black
if risingSMA9
    plotcolor1 := color.green

// SAR Indicator
sar = ta.sar(sar1, sar2, sar3)
sma2_close = ta.sma(src_close,1)
sma2_open = ta.sma(src_open,1)

//Supertrend
[supertrend, direction] = ta.supertrend(ST_T, ST_D)
up_trend = ta.sma(direction < 0 ? supertrend : na,ST_SMA)
down_trend = ta.sma(direction < 0? na : supertrend, ST_SMA)

// Color change
color  plotcolor2 = color.green
if open>down_trend or close>down_trend
    plotcolor2 := color.lime
if open<down_trend or close<down_trend
    plotcolor2 := color.red
    
color plotcolor3 = color.green
if open>up_trend or close>up_trend
    plotcolor3 := color.yellow
if open<up_trend or close<up_trend
    plotcolor3 := color.red

color plotcolor4 = color.black
if (open>sar or close>sar) 
    plotcolor4 := color.white
if (open<sar or close<sar)
    plotcolor4 := color.red
    
color plotcolor5 = color.black
if (open>SMA500 or close>SMA500) 
    plotcolor5 := color.green
if (open<SMA500 or close<SMA500) 
    plotcolor5 := color.red

color plotcolor6 = color.green
rising_taalma = ta.rising (ta.alma(open,10,.99,1),1)
falling_taalma = ta.falling (ta.alma(open,10,.99,1),1)

if rising_taalma
    plotcolor6 := color.green
if falling_taalma
    plotcolor6 := color.red
    
// buy and sell conditions for uptrend

longCondition1 = (open >= down_trend or high>= down_trend or ta.crossover(open,down_trend)or ta.crossover(high,down_trend))
longCondition2 = (open >= up_trend or high>= up_trend or ta.crossover(open,up_trend)or ta.crossover(high,up_trend))
longCondition3 = (open >= SMA500 or high>= SMA500 or ta.crossover(open,SMA500)or ta.crossover(high,SMA500))
longCondition4 = (open >= sar or high>= sar or ta.crossover(open,sar)or ta.crossover(high,sar))
longCondition5 = rising_taalma

shortCondition1 = (close < down_trend or low< down_trend or ta.crossunder(close,down_trend)or ta.crossunder(low,down_trend))
shortCondition2 = (close < up_trend or low< up_trend or ta.crossunder(close,up_trend)or ta.crossunder(low,up_trend))
shortCondition3 = (close < SMA500 or low< SMA500 or ta.crossunder(close,SMA500)or ta.crossunder(low,SMA500))
shortCondition4 = (close < sar or low< sar or ta.crossunder(close,sar)or ta.crossunder(low,sar))
shortCondition5 = falling_taalma

comp_buy1 = longCondition1 and longCondition2 and longCondition3 and longCondition4 and longCondition5
op_buy1 = shortCondition3 and longCondition1 and longCondition2 and longCondition4
op_buy2 = shortCondition1 and shortCondition2 and longCondition3 and longCondition4 and longCondition5

comp_sell1 = shortCondition1 and shortCondition2 and shortCondition3 and shortCondition4 and shortCondition5
op_sell1 = shortCondition3 and shortCondition4 and longCondition1 and longCondition2
op_sell2 = shortCondition4 and longCondition1 and longCondition2 and longCondition3
op_sell3 = longCondition2 and shortCondition1 and shortCondition4 and shortCondition3
op_sell4 = longCondition2 and shortCondition1 and shortCondition4

var b1 = 0
var b2 = 0
var b3 = 0

if comp_buy1 == true and comp_buy1[1] == false 
    b1 := 1
else
    b1 := 0
    

if op_buy1 == true and op_buy1[1] == false 
    b2 := 1
else
    b2 := 0


if op_buy2 == true and op_buy2[1] == false 
    b3 := 1
else
    b3 := 0

// DCA method based on indicators

//RSI Indicator
len_rsi_10 = input.int(10,  title="Length", group = "RSI Indicator - 10", minval=1, maxval = 10, step = 1)
src_rsi_10 = input(ohlc4, "Source", group = "RSI Indicator - 10")
up_rsi_10 = ta.rma(math.max(ta.change(src_rsi_10), 0), len_rsi_10)
down_rsi_10 = ta.rma(-math.min(ta.change(src_rsi_10), 0), len_rsi_10)
rsi_10 = down_rsi_10 == 0 ? 100 : up_rsi_10 == 0 ? 0 : 100 - (100 / (1 + up_rsi_10 / down_rsi_10))

var p_rsi = 0

if rsi_10>= 0 and rsi_10<10
    p_rsi := 0
else if rsi_10>= 10 and rsi_10<20
    p_rsi := 10
else if rsi_10>= 20 and rsi_10<30
    p_rsi := 20
else if rsi_10>= 30 and rsi_10<40
    p_rsi := 30
else if rsi_10>= 40 and rsi_10<50
    p_rsi := 40
else if rsi_10>= 50 and rsi_10<60
    p_rsi := 50
else if rsi_10>= 60 and rsi_10<70
    p_rsi := 60
else if rsi_10>= 70 and rsi_10<80
    p_rsi := 70
else if rsi_10>= 80 and rsi_10<90
    p_rsi := 80
else if rsi_10>= 90 and rsi_10<100
    p_rsi := 90

len_rsi_50 = input.int(50, title="Length", group = "RSI Indicator - 50", minval=11, maxval = 50, step = 1)
src_rsi_50 = input(high, "Source", group = "RSI Indicator - 50")
up_rsi_50 = ta.rma(math.max(ta.change(src_rsi_50), 0), len_rsi_50)
down_rsi_50 = ta.rma(-math.min(ta.change(src_rsi_50), 0), len_rsi_50)
rsi_50 = down_rsi_50 == 0 ? 100 : up_rsi_50 == 0 ? 0 : 100 - (100 / (1 + up_rsi_50 / down_rsi_50))

var p_rsi_50 = 0

if rsi_50>= 0 and rsi_50<10
    p_rsi_50 := 0
else if rsi_50>= 10 and rsi_50<20
    p_rsi_50 := 10
else if rsi_50>= 20 and rsi_50<30
    p_rsi_50 := 20
else if rsi_50>= 30 and rsi_50<40
    p_rsi_50 := 30
else if rsi_50>= 40 and rsi_50<50
    p_rsi_50 := 40
else if rsi_50>= 50 and rsi_50<60
    p_rsi_50 := 50
else if rsi_50>= 60 and rsi_50<70
    p_rsi_50 := 60
else if rsi_50>= 70 and rsi_50<80
    p_rsi_50 := 70
else if rsi_50>= 80 and rsi_50<90
    p_rsi_50 := 80
else if rsi_50>= 90 and rsi_50<100
    p_rsi_50 := 90

len_rsi_100 = input.int(100, title="Length", group = "RSI Indicator - 100", minval=51, maxval = 200, step = 10)
src_rsi_100 = input(ohlc4, "Source", group = "RSI Indicator - 100")
up_rsi_100 = ta.rma(math.max(ta.change(src_rsi_100), 0), len_rsi_100)
down_rsi_100 = ta.rma(-math.min(ta.change(src_rsi_100), 0), len_rsi_100)
rsi_100 = down_rsi_100 == 0 ? 100 : up_rsi_100 == 0 ? 0 : 100 - (100 / (1 + up_rsi_100 / down_rsi_100))

var p_rsi_100 = 0

if rsi_100>= 0 and rsi_100<10
    p_rsi_100 := 0
else if rsi_100>= 10 and rsi_100<20
    p_rsi_100 := 10
else if rsi_100>= 20 and rsi_100<30
    p_rsi_100 := 20
else if rsi_100>= 30 and rsi_100<40
    p_rsi_100 := 30
else if rsi_100>= 40 and rsi_100<50
    p_rsi_100 := 40
else if rsi_100>= 50 and rsi_100<60
    p_rsi_100 := 50
else if rsi_100>= 60 and rsi_100<70
    p_rsi_100 := 60
else if rsi_100>= 70 and rsi_100<80
    p_rsi_100 := 70
else if rsi_100>= 80 and rsi_100<90
    p_rsi_100 := 80
else if rsi_100>= 90 and rsi_100<100
    p_rsi_100 := 90

// Relative Volatility Indicator
length_rvi_10 = input.int(defval = 10, minval=1, maxval = 10, step = 1, title="Length - RVI", group = "RVI Indicator - 10")
len_rvi_10 = input.int(defval = 10, minval=1, maxval = 10, step = 1, title="Length - EMA", group = "RVI Indicator - 10")
src_rvi_10 = input(high, title = "Source", group = "RVI Indicator - 10")
stddev_rvi_10 = ta.stdev(src_rvi_10, length_rvi_10)
upper_rvi_10 = ta.ema(ta.change(src_rvi_10) <= 0 ? 0 : stddev_rvi_10, len_rvi_10)
lower_rvi_10 = ta.ema(ta.change(src_rvi_10) > 0 ? 0 : stddev_rvi_10, len_rvi_10)
rvi_10 = upper_rvi_10 / (upper_rvi_10 + lower_rvi_10) * 100

var p_rvi_10 = 0

if rvi_10 >= 0 and rvi_10 <10
    p_rvi_10 := 0
else if rvi_10 >= 10 and rvi_10 <20
    p_rvi_10 := 10
else if rvi_10 >= 20 and rvi_10 <30
    p_rvi_10 := 20
else if rvi_10 >= 30 and rvi_10 <40
    p_rvi_10 := 30
else if rvi_10 >= 40 and rvi_10 <50
    p_rvi_10 := 40
else if rvi_10 >= 50 and rvi_10 <60
    p_rvi_10 := 50
else if rvi_10 >= 60 and rvi_10 <70
    p_rvi_10 := 60
else if rvi_10 >= 70 and rvi_10 <80
    p_rvi_10 := 70
else if rvi_10 >= 80 and rvi_10 <90
    p_rvi_10 := 80
else if rvi_10 >= 90 and rvi_10 <100
    p_rvi_10 := 90

length_rvi_50 = input.int(defval = 50, minval=11, maxval = 50, step = 1, title="Length - RVI", group = "RVI Indicator - 50")
len_rvi_50 = input.int(defval = 50, minval=11, maxval = 50, step = 1, title="Length - EMA", group = "RVI Indicator - 50")
src_rvi_50 = input(close, title = "source", group = "RVI Indicator - 50")
stddev_rvi_50 = ta.stdev(src_rvi_50, length_rvi_50)
upper_rvi_50 = ta.ema(ta.change(src_rvi_50) <= 0 ? 0 : stddev_rvi_50, len_rvi_50)
lower_rvi_50 = ta.ema(ta.change(src_rvi_50) > 0 ? 0 : stddev_rvi_50, len_rvi_50)
rvi_50 = upper_rvi_50 / (upper_rvi_50 + lower_rvi_50) * 100

var p_rvi_50 = 0

if rvi_50 >= 0 and rvi_50 <10
    p_rvi_50 := 0
else if rvi_50 >= 10 and rvi_50 <20
    p_rvi_50 := 10
else if rvi_50 >= 20 and rvi_50 <30
    p_rvi_50 := 20
else if rvi_50 >= 30 and rvi_50 <40
    p_rvi_50 := 30
else if rvi_50 >= 40 and rvi_50 <50
    p_rvi_50 := 40
else if rvi_50 >= 50 and rvi_50 <60
    p_rvi_50 := 50
else if rvi_50 >= 60 and rvi_50 <70
    p_rvi_50 := 60
else if rvi_50 >= 70 and rvi_50 <80
    p_rvi_50 := 70
else if rvi_50 >= 80 and rvi_50 <90
    p_rvi_50 := 80
else if rvi_50 >= 90 and rvi_50 <100
    p_rvi_50 := 90


length_rvi_100 = input.int(defval = 100, minval=51, maxval = 200, step = 10, title="Length - RVI", group = "RVI Indicator - 100")
len_rvi_100 = input.int(defval = 100, minval=51, maxval = 200, step = 10, title="Length - EMA", group = "RVI Indicator - 100")
src_rvi_100 = input(close, title = "Source", group = "RVI Indicator - 100")
stddev_rvi_100 = ta.stdev(src_rvi_100, length_rvi_100)
upper_rvi_100 = ta.ema(ta.change(src_rvi_100) <= 0 ? 0 : stddev_rvi_100, len_rvi_100)
lower_rvi_100 = ta.ema(ta.change(src_rvi_100) > 0 ? 0 : stddev_rvi_100, len_rvi_100)
rvi_100 = upper_rvi_100 / (upper_rvi_100 + lower_rvi_100) * 100


var p_rvi_100 = 0

if rvi_100 >= 0 and rvi_100 <10
    p_rvi_100 := 0
else if rvi_100 >= 10 and rvi_100 <20
    p_rvi_100 := 10
else if rvi_100 >= 20 and rvi_100 <30
    p_rvi_100 := 20
else if rvi_100 >= 30 and rvi_100 <40
    p_rvi_100 := 30
else if rvi_100 >= 40 and rvi_100 <50
    p_rvi_100 := 40
else if rvi_100 >= 50 and rvi_100 <60
    p_rvi_100 := 50
else if rvi_100 >= 60 and rvi_100 <70
    p_rvi_100 := 60
else if rvi_100 >= 70 and rvi_100 <80
    p_rvi_100 := 70
else if rvi_100 >= 80 and rvi_100 <90
    p_rvi_100 := 80
else if rvi_100 >= 90 and rvi_100 <100
    p_rvi_100 := 90

// Money flow index
len_mfi_10 = input.int(defval = 10, minval=1, maxval = 10, step = 1, title="Length - MFI", group = "MFI Indicator - 10")
src_mfi_10 = input(high, title = "source", group = "MFI Indicator - 10")
mf_10 = ta.mfi(src_mfi_10, len_mfi_10)

var p_mfi_10 = 0

if mf_10>= 0 and mf_10<10
    p_mfi_10 := 0
else if mf_10>= 10 and mf_10<20
    p_mfi_10 := 10
else if mf_10>= 20 and mf_10<30
    p_mfi_10 := 20
else if mf_10>= 30 and mf_10<40
    p_mfi_10 := 30
else if mf_10>= 40 and mf_10<50
    p_mfi_10 := 40
else if mf_10>= 50 and mf_10<60
    p_mfi_10 := 50
else if mf_10>= 60 and mf_10<70
    p_mfi_10 := 60
else if mf_10>= 70 and mf_10<80
    p_mfi_10 := 70
else if mf_10>= 80 and mf_10<90
    p_mfi_10 := 80
else if mf_10>= 90 and mf_10<100
    p_mfi_10 := 90

len_mfi_50 = input.int(defval = 50, minval=11, maxval = 50, step = 1, title="Length - MFI", group = "MFI Indicator - 50")
src_mfi_50 = input(high, title = "source", group = "MFI Indicator - 50")
mf_50 = ta.mfi(src_mfi_50, len_mfi_50)

var p_mfi_50 = 0

if mf_50>= 0 and mf_50<10
    p_mfi_50 := 0
else if mf_50>= 10 and mf_50<20
    p_mfi_50 := 10
else if mf_50>= 20 and mf_50<30
    p_mfi_50 := 20
else if mf_50>= 30 and mf_50<40
    p_mfi_50 := 30
else if mf_50>= 40 and mf_50<50
    p_mfi_50 := 40
else if mf_50>= 50 and mf_50<60
    p_mfi_50 := 50
else if mf_50>= 60 and mf_50<70
    p_mfi_50 := 60
else if mf_50>= 70 and mf_50<80
    p_mfi_50 := 70
else if mf_50>= 80 and mf_50<90
    p_mfi_50 := 80
else if mf_50>= 90 and mf_50<100
    p_mfi_50 := 90

len_mfi_100 = input.int(defval = 100, minval=51, maxval = 200, step = 10, title="Length - MFI", group = "MFI Indicator - 100")
src_mfi_100 = input(high, title = "source", group = "MFI Indicator - 100")
mf_100 = ta.mfi(src_mfi_100, len_mfi_100)

var p_mfi_100 = 0

if mf_100>= 0 and mf_100<10
    p_mfi_100 := 0
else if mf_100>= 10 and mf_100<20
    p_mfi_100 := 10
else if mf_100>= 20 and mf_100<30
    p_mfi_100 := 20
else if mf_100>= 30 and mf_100<40
    p_mfi_100 := 30
else if mf_100>= 40 and mf_100<50
    p_mfi_100 := 40
else if mf_100>= 50 and mf_100<60
    p_mfi_100 := 50
else if mf_100>= 60 and mf_100<70
    p_mfi_100 := 60
else if mf_100>= 70 and mf_100<80
    p_mfi_100 := 70
else if mf_100>= 80 and mf_100<90
    p_mfi_100 := 80
else if mf_100>= 90 and mf_100<100
    p_mfi_100 := 90

//Balance of power indicator
bop = ((((close - open) / (high - low))*100)+50)
bop_sma_100 = ta.sma(bop,100)


// Buy and Sell lavels based on Indicators
l_val_rsi = input.int (defval = 40, title = "Lower value of RSI", maxval = 100, minval = 0, step = 10, group = 'Indicator Values')
l_val_rvi = input.int (defval = 40, title = "Lower value of RVI", maxval = 100, minval = 0, step = 10, group = 'Indicator Values')
l_val_mfi = input.int (defval = 40, title = "Lower value of MFI", maxval = 100, minval = 0, step = 10, group = 'Indicator Values')

//h_val_rsi = input.int (defval = 60, title = "Higher value of RSI", maxval = 100, minval = 0, step = 10, group = 'Indicator Values')
//h_val_rvi = input.int (defval = 50, title = "Higher value of RVI", maxval = 100, minval = 0, step = 10, group = 'Indicator Values')
//h_val_mfi = input.int (defval = 50, title = "Higher value of MFI", maxval = 100, minval = 0, step = 10, group = 'Indicator Values')

buy_rsi = p_rsi_100 <= l_val_rsi and p_rsi_50<p_rsi_100 and p_rsi<=p_rsi_50
buy_rvi = p_rvi_100 <= l_val_rvi and p_rvi_50<=p_rvi_100 and p_rvi_10<=p_rvi_50
buy_mfi = p_mfi_100 <= l_val_mfi and p_mfi_50<=p_mfi_100 and p_mfi_10<=p_mfi_50

buy_compound = buy_rsi and buy_rvi and buy_mfi ? 100 : 0

var float  buy_compound_f = na
if (buy_compound[1] == 100 and buy_compound == 0) //and open > close
    buy_compound_f := 1
else 
    buy_compound_f := na

ma_9 = ta.ema(close,2)
co_l1 = strategy.position_avg_price*0.95
co_l2 = strategy.position_avg_price*0.90
co_l3 = strategy.position_avg_price*0.85
co_l4 = strategy.position_avg_price*0.80

//Take profit in Market bottoms
profit_f = 1.0 + (profit_cal/100)


// Trading 
var final_option = UP_DOWN == 'Uptrend and down trend' ? 1 : 2

if final_option == 1
    if  ((buy_compound_f ==1 or ta.crossover(ma_9, co_l1) or ta.crossover(ma_9, co_l2) or ta.crossover(ma_9, co_l3) or ta.crossover(ma_9, co_l4)) and window())
        strategy.entry("long", strategy.long,comment = "BUY")
    else if ( comp_sell1 and window()) and strategy.position_avg_price * profit_f < close
        strategy.close("long", qty_percent = 100, comment = "SELL")
else if final_option == 2
    if (b1 or b2 or b3) and window()
        strategy.entry("long", strategy.long, comment = "BUY")
    else if (comp_sell1 or op_sell1 or op_sell2 or op_sell3 or op_sell4 ) and window() 
        strategy.close("long", qty_percent = 100, comment = "SELL")



bool PM_visible = input(false, "Show Profit marjin and average price", group = 'Safty Margins')
bool SM_visible = input(false, "Show Safty Grids", group = 'Safty Margins' )


//Graphs

plot(PM_visible or final_option == 1 ? strategy.position_avg_price : na, color = color.green, title = "Average Cost", style = plot.style_circles)
plot(PM_visible or final_option == 1 ? strategy.position_avg_price* profit_f :na, color = color.aqua, title = "Expected Profit", style = plot.style_circles)
plot(SM_visible ? strategy.position_avg_price*0.95 : na, color = color.gray, title = "SAFTY MARGIN - 95%", linewidth = 1, style = plot.style_circles)
plot(SM_visible ? strategy.position_avg_price*0.90 : na, color = color.gray, title = "SAFTY MARGIN - 90%", linewidth = 1, style = plot.style_circles)
plot(SM_visible ? strategy.position_avg_price*0.85 : na, color = color.gray, title = "SAFTY MARGIN - 85%", linewidth = 1, style = plot.style_circles)
plot(SM_visible ? strategy.position_avg_price*0.80 : na, color = color.gray, title = "SAFTY MARGIN - 80%", linewidth = 1, style = plot.style_circles)

plot(ST_visible or final_option == 2 ? down_trend:na, "Down trend", color = plotcolor2,  linewidth=2)
plot(ST_visible or final_option == 2 ? up_trend: na , "Up direction", color = plotcolor3, linewidth=2)
plot(sar_visible or final_option == 2 ? sar:na, title='SAR', color=plotcolor4, linewidth=2)
plot(sma500_visible or final_option == 2 ? SMA500:na,title='SMA500', color=plotcolor5, linewidth=3)

Detail

https://www.fmz.com/strategy/436124

Last Modified

2023-12-21 15:16:24