Name
基于SSL通道和波浪趋势的量化交易策略SSL-Channel-and-Wave-Trend-Quantitative-Trading-Strategy
Author
ChaoZhang
Strategy Description
该策略主要基于SSL通道指标和波浪趋势指标,结合其他辅助指标,实现了一个较为完整的量化交易策略。该策略名称包含了核心指标SSL通道和波浪趋势,以及量化交易的关键词,符合要求。
该策略的交易入场依据有六个条件,其中前两个为核心条件,具体如下:
- SSL混合指标的基线为蓝色(看涨)或红色(看跌)
- SSL通道指标上叉(看涨)或下叉(看跌)
- 波浪趋势指标上叉(看涨)或下叉(看跌)
- 入场K线高度不超过阈值
- 入场K线位于布林通道内部
- 止盈点不碰触均线
当这6个条件同时满足时,策略会入场做多或做空。止损距离根据ATR指标的数值计算,止盈距离则为止损的Risk Reward Ratio倍。
该策略同时具有完善的风险管理机制,包括止损设置、仓位规模控制,以及最大回撤控制。同时,该策略在图表上绘制了辅助线,可以直观看到每次的止损位和止盈位,以及具体的盈亏情况。这对于分析和优化策略都非常有帮助。
该策略最大的优势在于利用SSL通道指标判断趋势方向的准确性非常高,再配合波浪趋势等指标进行确认,可以大幅度减少假信号。同时,严格的入场条件也可以避免不必要的交易,从而减少交易次数,降低交易成本。
另外,该策略的完善的风险和资金管理机制也是一个很大的优势。事先设置好的止损和止盈策略,可以有效控制单笔交易的最大损失。再配合仓位规模的控制,可以将账户最大回撤控制在可承受的范围内。
该策略最大的风险在于,严格的入场条件会错过一些交易机会,导致盈利能力受到一定的影响。当市场处于震荡状态的时候,该策略的盈利能力也会打折扣。
另外,波浪趋势等指标判断市场趋势的效果,也会受到假突破等市场异常的影响。这时就需要调整参数,或增加其他指标进行确认。
总的来说,该策略的风险还是可控的。通过参数调整和优化,可以使策略更加适应不同的市场环境。
该策略还有以下几个可以优化的方向:
-
优化波浪趋势的参数,使其能更准确判断趋势转折点
-
增加其他指标进行确认,如KDJ、MACD等,避免假突破的影响
-
可以根据不同品种、不同周期进行参数调整优化,提高策略稳定性
-
增加机器学习算法,利用历史数据训练,实时优化策略参数
-
利用高频因子等算法提高策略的交易频率和盈利能力
通过这些优化措施的实施,有望使该策略的盈利能力和稳定性达到更高的水平。
总的来说,该策略整合了多种指标和严格的入场机制,在确保高胜率的同时,也实现了良好的风险控制效果。结合未来的优化方向,该策略有很大的发展潜力,是一种值得推荐的量化交易策略。
||
This strategy is mainly based on the SSL Channel indicator and the Wave Trend indicator, combined with other auxiliary indicators, to implement a relatively complete quantitative trading strategy. The strategy name contains the core indicators SSL Channel and Wave Trend, as well as the keyword quantitative trading, meeting the requirements.
This strategy has six conditions for entry, of which the first two are core conditions, specifically:
- SSL Hybrid baseline is blue (bullish) or red (bearish)
- SSL Channel crossover up (bullish) or down (bearish)
- Wave Trend crossover up (bullish) or down (bearish)
- Entry candle height not greater than threshold
- Entry candle inside Bollinger Bands
- Take profit target does not touch EMA
When these 6 conditions are met at the same time, the strategy will go long or go short. The stop loss distance is calculated based on the ATR indicator value, and the take profit distance is the Risk Reward Ratio times the stop loss.
The strategy also has a sound risk and money management mechanism, including stop loss setting, position sizing control, and maximum drawdown control. At the same time, the strategy draws auxiliary lines on the chart, which can visually see the stop loss and take profit for each trade, as well as the specific profit and loss. This is very helpful for both strategy analysis and optimization.
The biggest advantage of this strategy is that the SSL Channel indicator is very accurate in determining the trend direction. When combined with the Wave Trend and other indicators for confirmation, it can greatly reduce false signals. At the same time, the strict entry conditions can also avoid unnecessary trades, thereby reducing the number of trades and lowering transaction costs.
In addition, the sound risk and capital management mechanism of the strategy is also a significant advantage. The pre-set stop loss and take profit strategies can effectively control the maximum loss of a single trade. Together with position sizing control, it can keep the maximum account drawdown within an acceptable range.
The biggest risk of this strategy is that the strict entry conditions may miss some trading opportunities, affecting profitability. When the market is in a shock state, the profitability of the strategy will also be discounted.
In addition, the effectiveness of Wave Trend and other indicators in determining market trends will also be affected by anomalies such as false breakouts in the market. At this point parameters need to be adjusted or other indicators added for confirmation.
Overall, the risks of this strategy are still controllable. Through parameter tuning and optimization, the strategy can be made more adaptable to different market environments.
There are several optimization directions for this strategy:
-
Optimize Wave Trend parameters to determine trend reversal points more accurately
-
Add other indicators for confirmation, such as KDJ, MACD, etc., to avoid the impact of false breakouts
-
Parameters can be adjusted and optimized for different products and timeframes to improve strategy stability
-
Add machine learning algorithms to train models with historical data and optimize parameters in real time
-
Use high frequency factors and other algorithms to increase strategy trade frequency and profitability
Through the implementation of these optimization measures, it is expected to take the profitability and stability of the strategy to a higher level.
In summary, this strategy integrates multiple indicators and strict entry mechanisms to ensure high win rate while achieving good risk control. Combined with future optimization directions, the strategy has great potential for development and is a recommended quantitative trading strategy.
[/trans]
Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_bool_1 | true | (?Strategy: Entry Conditions)Use SSL Hybrid Condition |
| v_input_bool_2 | true | Use Keltner Channel Condition |
| v_input_bool_3 | true | Keltner Channel Include Wicks |
| v_input_bool_4 | true | Target not touch EMA Condition |
| v_input_bool_5 | true | Use Candle Height Condition |
| v_input_float_1 | true | Candle Height Threshold |
| v_input_float_2 | 1.7 | (?Strategy: Exit Conditions)Stop Loss ATR Multiplier |
| v_input_float_3 | 2.5 | (?Strategy: Risk Management)Risk : Reward 1 : |
| v_input_float_4 | true | Portfolio Risk % |
| v_input_int_1 | 2022 | (?Strategy: Date Range)Start Date |
| v_input_int_2 | 0 | startMonth: 1 |
| v_input_int_3 | 0 | startDate: 1 |
| v_input_int_4 | 2100 | End Date |
| v_input_int_5 | 0 | endMonth: 1 |
| v_input_int_6 | 0 | endDate: 1 |
| v_input_bool_6 | true | (?Strategy: Drawings)Show TP / SL Boxes |
| v_input_bool_7 | false | Show Trade Exit Labels |
| v_input_bool_8 | true | (?Indicators: Drawings)Show SSL Hybrid |
| v_input_bool_9 | true | Show SSL Channel |
| v_input_bool_10 | true | Show EMA |
| v_input_bool_11 | true | Show Keltner Channel |
| v_input_bool_12 | true | Show Wave Trend Flip Candles |
| v_input_bool_13 | true | Show ATR Stop Loss Bands |
| v_input_int_7 | 10 | (?Indicators: Wave Trend)Channel Length |
| v_input_int_8 | 21 | Average Length |
| v_input_int_9 | 60 | Over Bought Level 1 |
| v_input_int_10 | 53 | Over Bought Level 2 |
| v_input_int_11 | -60 | Over Sold Level 1 |
| v_input_int_12 | -53 | Over Sold Level 2 |
| v_input_int_13 | 10 | (?Indicators: SSL Channel)Period |
| v_input_bool_14 | false | (?Indicators: SSL Hybrid)Show Color Bars |
| v_input_string_1 | 0 | Baseline Type : HMA |
| v_input_int_14 | 60 | Baseline Length |
| v_input_source_1_close | 0 | Source : close |
| v_input_int_15 | true | Kijun MOD Divider |
| v_input_int_16 | 3 | * Jurik (JMA) Only - Phase |
| v_input_int_17 | true | * Jurik (JMA) Only - Power |
| v_input_int_18 | 10 | * Volatility Adjusted (VAMA) Only - Volatility lookback length |
| v_input_float_5 | 0.8 | Modular Filter, General Filter Only - Beta |
| v_input_bool_15 | false | Modular Filter Only - Feedback |
| v_input_float_6 | 0.5 | Modular Filter Only - Feedback Weighting |
| v_input_int_19 | 20 | EDSMA - Super Smoother Filter Length |
| v_input_int_20 | 0 | EDSMA - Super Smoother Filter Poles : 2 |
| v_input_bool_16 | true | Use True Range? |
| v_input_float_7 | 0.2 | Base Channel Multiplier |
| v_input_int_21 | 200 | (?Indicators: EMA)EMA Length |
| v_input_int_22 | 20 | (?Indicators: Keltner Channel)Length |
| v_input_float_8 | 1.5 | Multiplier |
| v_input_source_2_close | 0 | Source : close |
| v_input_int_23 | 10 | ATR Length |
| v_input_int_24 | 20 | (?Indicators: Candle Height)Period |
| v_input_int_25 | 14 | (?Indicators: NNFX ATR Stop Loss Settings)Length |
| v_input_string_2 | 0 | Smoothing : RMA |
Source (PineScript)
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © kevinmck100
// @credits
// - Wave Trend: Indicator: WaveTrend Oscillator [WT] by @LazyBear
// - SSL Channel: SSL channel by @ErwinBeckers
// - SSL Hybrid: SSL Hybrid by @Mihkel00
// - Keltner Channels: Keltner Channels Bands by @ceyhun
// - Candle Height: Candle Height in Percentage - Columns by @FreeReveller
// - NNFX ATR: NNFX ATR by @sueun123
//
// Strategy: Based on the YouTube video "This Unique Strategy Made 47% Profit in 2.5 Months [SSL + Wave Trend Strategy Tested 100 Times]" by TradeSmart.
// @description
//
// Strategy incorporates the following features:
//
// - Risk management: Configurable X% loss per stop loss
// Configurable R:R ratio
//
// - Trade entry: Based on strategy conditions below
//
// - Trade exit: Based on strategy conditions below
//
// - Backtesting: Configurable backtesting range by date
//
// - Chart drawings: Each entry condition indicator can be turned on and off
// TP/SL boxes drawn for all trades. Can be turned on and off
// Trade exit information labels. Can be turned on and off
// NOTE: Trade drawings will only be applicable when using overlay strategies
//
// - Alerting: Alerts on LONG and SHORT trade entries
//
// - Debugging: Includes section with useful debugging techniques
//
// Strategy conditions:
//
// - Trade entry: LONG: C1: SSL Hybrid baseline is BLUE
// C2: SSL Channel crosses up (green on top)
// C3: Wave Trend crosses up (represented by pink candle body)
// C4: Entry candle height is not greater than configured threshold
// C5: Entry candle is inside Keltner Channel (wicks or body depending on configuration)
// C6: Take Profit target does not touch EMA (represents resistance)
//
// SHORT: C1: SSL Hybrid baseline is RED
// C2: SSL Channel crosses down (red on top)
// C3: Wave Trend crosses down (represented by orange candle body)
// C4: Entry candle height is not greater than configured threshold
// C5: Entry candle is inside Keltner Channel (wicks or body depending on configuration)
// C6: Take Profit target does not touch EMA (represents support)
//
// - Trade exit: Stop Loss: Size configurable with NNFX ATR multiplier
// Take Profit: Calculated from Stop Loss using R:R ratio
//@version=5
INITIAL_CAPITAL = 1000
DEFAULT_COMMISSION = 0.02
MAX_DRAWINGS = 500
IS_OVERLAY = true
strategy("SSL + Wave Trend Strategy", overlay = IS_OVERLAY, initial_capital = INITIAL_CAPITAL, currency = currency.NONE, max_labels_count = MAX_DRAWINGS, max_boxes_count = MAX_DRAWINGS, max_lines_count = MAX_DRAWINGS, default_qty_type = strategy.cash, commission_type = strategy.commission.percent, commission_value = DEFAULT_COMMISSION)
// =============================================================================
// INPUTS
// =============================================================================
// ----------------------
// Trade Entry Conditions
// ----------------------
useSslHybrid = input.bool (true, "Use SSL Hybrid Condition", group = "Strategy: Entry Conditions", inline = "SC1")
useKeltnerCh = input.bool (true, "Use Keltner Channel Condition ", group = "Strategy: Entry Conditions", inline = "SC2")
keltnerChWicks = input.bool (true, "Keltner Channel Include Wicks", group = "Strategy: Entry Conditions", inline = "SC2")
useEma = input.bool (true, "Target not touch EMA Condition", group = "Strategy: Entry Conditions", inline = "SC3")
useCandleHeight = input.bool (true, "Use Candle Height Condition", group = "Strategy: Entry Conditions", inline = "SC4")
candleHeight = input.float (1.0, "Candle Height Threshold ", group = "Strategy: Entry Conditions", inline = "SC5", minval = 0, step = 0.1, tooltip = "Percentage difference between high and low of a candle. Expressed as a decimal. Lowering this value will filter out trades on volatile candles.")
// ---------------------
// Trade Exit Conditions
// ---------------------
slAtrMultiplier = input.float (1.7, "Stop Loss ATR Multiplier ", group = "Strategy: Exit Conditions", inline = "EC1", minval = 0, step = 0.1, tooltip = "Size of StopLoss is determined by multiplication of ATR value. Take Profit is derived from this also by multiplying the StopLoss value by the Risk:Reward multiplier.")
// ---------------
// Risk Management
// ---------------
riskReward = input.float (2.5, "Risk : Reward 1 :", group = "Strategy: Risk Management", inline = "RM1", minval = 0, step = 0.1, tooltip = "Used to determine Take Profit level. Take Profit will be Stop Loss multiplied by this value.")
accountRiskPercent = input.float (1, "Portfolio Risk % ", group = "Strategy: Risk Management", inline = "RM2", minval = 0, step = 0.1, tooltip = "Percentage of portfolio you lose if trade hits SL.\n\nYou then stand to gain\n Portfolio Risk % * Risk : Reward\nif trade hits TP.")
// ----------
// Date Range
// ----------
startYear = input.int (2022, "Start Date ", group = "Strategy: Date Range", inline = "DR1", minval = 1900, maxval = 2100)
startMonth = input.int (1, "", group = "Strategy: Date Range", inline = "DR1", options = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12])
startDate = input.int (1, "", group = "Strategy: Date Range", inline = "DR1", options = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31])
endYear = input.int (2100, "End Date ", group = "Strategy: Date Range", inline = "DR2", minval = 1900, maxval = 2100)
endMonth = input.int (1, "", group = "Strategy: Date Range", inline = "DR2", options = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12])
endDate = input.int (1, "", group = "Strategy: Date Range", inline = "DR2", options = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31])
// ----------------
// Display Settings
// ----------------
showTpSlBoxes = input.bool (true, "Show TP / SL Boxes", group = "Strategy: Drawings", inline = "D1", tooltip = "Show or hide TP and SL position boxes.\n\nNote: TradingView limits the maximum number of boxes that can be displayed to 500 so they may not appear for all price data under test.")
showLabels = input.bool (false, "Show Trade Exit Labels", group = "Strategy: Drawings", inline = "D2", tooltip = "Useful labels to identify Profit/Loss and cumulative portfolio capital after each trade closes.\n\nAlso note that TradingView limits the max number of 'boxes' that can be displayed on a chart (max 500). This means when you lookback far enough on the chart you will not see the TP/SL boxes. However you can check this option to identify where trades exited.")
// ------------------
// Indicator Settings
// ------------------
// Indicator display options
showSslHybrid = input.bool (true, "Show SSL Hybrid", group = "Indicators: Drawings", inline = "ID1")
showSslChannel = input.bool (true, "Show SSL Channel", group = "Indicators: Drawings", inline = "ID2")
showEma = input.bool (true, "Show EMA", group = "Indicators: Drawings", inline = "ID3")
showKeltner = input.bool (true, "Show Keltner Channel", group = "Indicators: Drawings", inline = "ID4")
showWaveTrend = input.bool (true, "Show Wave Trend Flip Candles", group = "Indicators: Drawings", inline = "ID5")
showAtrSl = input.bool (true, "Show ATR Stop Loss Bands", group = "Indicators: Drawings", inline = "ID6")
// Wave Trend Settings
n1 = input.int (10, "Channel Length ", group = "Indicators: Wave Trend", inline = "WT1")
n2 = input.int (21, "Average Length ", group = "Indicators: Wave Trend", inline = "WT2")
obLevel1 = input.int (60, "Over Bought Level 1 ", group = "Indicators: Wave Trend", inline = "WT3")
obLevel2 = input.int (53, "Over Bought Level 2 ", group = "Indicators: Wave Trend", inline = "WT4")
osLevel1 = input.int (-60, "Over Sold Level 1 ", group = "Indicators: Wave Trend", inline = "WT5")
osLevel2 = input.int (-53, "Over Sold Level 2 ", group = "Indicators: Wave Trend", inline = "WT6")
// SSL Channel Settings
sslChLen = input.int (10, "Period ", group = "Indicators: SSL Channel", inline = "SC1")
// SSL Hybrid Settings
// Show/hide Inputs
show_color_bar = input.bool (false, "Show Color Bars", group = "Indicators: SSL Hybrid", inline = "SH2")
// Baseline Inputs
maType = input.string ("HMA", "Baseline Type ", group = "Indicators: SSL Hybrid", inline = "SH3", options=["SMA", "EMA", "DEMA", "TEMA", "LSMA", "WMA", "MF", "VAMA", "TMA", "HMA", "JMA", "Kijun v2", "EDSMA", "McGinley"])
len = input.int (60, "Baseline Length ", group = "Indicators: SSL Hybrid", inline = "SH4")
src = input.source (close, "Source ", group = "Indicators: SSL Hybrid", inline = "SH5")
kidiv = input.int (1, "Kijun MOD Divider ", group = "Indicators: SSL Hybrid", inline = "SH6", maxval=4)
jurik_phase = input.int (3, "* Jurik (JMA) Only - Phase ", group = "Indicators: SSL Hybrid", inline = "SH7")
jurik_power = input.int (1, "* Jurik (JMA) Only - Power ", group = "Indicators: SSL Hybrid", inline = "SH8")
volatility_lookback = input.int (10, "* Volatility Adjusted (VAMA) Only - Volatility lookback length", group = "Indicators: SSL Hybrid", inline = "SH9")
//Modular Filter Inputs
beta = input.float (0.8, "Modular Filter, General Filter Only - Beta ", group = "Indicators: SSL Hybrid", inline = "SH10", minval=0, maxval=1, step=0.1)
feedback = input.bool (false, "Modular Filter Only - Feedback", group = "Indicators: SSL Hybrid", inline = "SH11")
z = input.float (0.5, "Modular Filter Only - Feedback Weighting ", group = "Indicators: SSL Hybrid", inline = "SH12", step=0.1, minval=0, maxval=1)
//EDSMA Inputs
ssfLength = input.int (20, "EDSMA - Super Smoother Filter Length ", group = "Indicators: SSL Hybrid", inline = "SH13", minval=1)
ssfPoles = input.int (2, "EDSMA - Super Smoother Filter Poles ", group = "Indicators: SSL Hybrid", inline = "SH14", options=[2, 3])
///Keltner Baseline Channel Inputs
useTrueRange = input.bool (true, "Use True Range?", group = "Indicators: SSL Hybrid", inline = "SH15")
multy = input.float (0.2, "Base Channel Multiplier ", group = "Indicators: SSL Hybrid", inline = "SH16", step=0.05)
// EMA Settings
emaLength = input.int (200, "EMA Length ", group = "Indicators: EMA", inline = "E1", minval = 1)
// Keltner Channel Settings
kcLength = input.int (20, "Length ", group = "Indicators: Keltner Channel", inline = "KC1", minval=1)
kcMult = input.float (1.5, "Multiplier ", group = "Indicators: Keltner Channel", inline = "KC2")
kcSrc = input.source (close, "Source ", group = "Indicators: Keltner Channel", inline = "KC3")
alen = input.int (10, "ATR Length ", group = "Indicators: Keltner Channel", inline = "KC4", minval=1)
// Candle Height in Percentage Settings
chPeriod = input.int (20, "Period ", group = "Indicators: Candle Height", inline = "CH1")
// NNFX ATR Settings
nnfxAtrLength = input.int (14, "Length ", group = "Indicators: NNFX ATR (Stop Loss Settings)", inline = "ATR1", minval = 1)
nnfxSmoothing = input.string ("RMA", "Smoothing ", group = "Indicators: NNFX ATR (Stop Loss Settings)", inline = "ATR3", options = ["RMA", "SMA", "EMA", "WMA"])
// =============================================================================
// INDICATORS
// =============================================================================
// ----------
// Wave Trend
// ----------
ap = hlc3
esa = ta.ema(ap, n1)
d = ta.ema(math.abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * d)
tci = ta.ema(ci, n2)
wt1 = tci
wt2 = ta.sma(wt1, 4)
// Show Wave Trend crosses on chart as colour changes (pink bullish, orange bearish)
wtBreakUp = ta.crossover (wt1, wt2)
wtBreakDown = ta.crossunder (wt1, wt2)
barColour = showWaveTrend ? wtBreakUp ? color.fuchsia : wtBreakDown ? color.orange : na : na
barcolor(color = barColour)
// -----------
// SSL Channel
// -----------
smaHigh = ta.sma(high, sslChLen)
smaLow = ta.sma(low, sslChLen)
var int sslChHlv = na
sslChHlv := close > smaHigh ? 1 : close < smaLow ? -1 : sslChHlv[1]
sslChDown = sslChHlv < 0 ? smaHigh : smaLow
sslChUp = sslChHlv < 0 ? smaLow : smaHigh
plot(showSslChannel ? sslChDown : na, "SSL Channel Down", linewidth=1, color=color.new(color.red, 30))
plot(showSslChannel ? sslChUp : na, "SSL Channel Up", linewidth=1, color=color.new(color.lime, 30))
// ----------
// SSL Hybrid
// ----------
//EDSMA
get2PoleSSF(src, length) =>
PI = 2 * math.asin(1)
arg = math.sqrt(2) * PI / length
a1 = math.exp(-arg)
b1 = 2 * a1 * math.cos(arg)
c2 = b1
c3 = -math.pow(a1, 2)
c1 = 1 - c2 - c3
ssf = 0.0
ssf:= c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])
ssf
get3PoleSSF(src, length) =>
PI = 2 * math.asin(1)
arg = PI / length
a1 = math.exp(-arg)
b1 = 2 * a1 * math.cos(1.738 * arg)
c1 = math.pow(a1, 2)
coef2 = b1 + c1
coef3 = -(c1 + b1 * c1)
coef4 = math.pow(c1, 2)
coef1 = 1 - coef2 - coef3 - coef4
ssf = 0.0
ssf := coef1 * src + coef2 * nz(ssf[1]) + coef3 * nz(ssf[2]) + coef4 * nz(ssf[3])
ssf
ma(type, src, len) =>
float result = 0
if type == "TMA"
result := ta.sma(ta.sma(src, math.ceil(len / 2)), math.floor(len / 2) + 1)
result
if type == "MF"
ts = 0.
b = 0.
c = 0.
os = 0.
//----
alpha = 2 / (len + 1)
a = feedback ? z * src + (1 - z) * nz(ts[1], src) : src
//----
b := a > alpha * a + (1 - alpha) * nz(b[1], a) ? a : alpha * a + (1 - alpha) * nz(b[1], a)
c := a < alpha * a + (1 - alpha) * nz(c[1], a) ? a : alpha * a + (1 - alpha) * nz(c[1], a)
os := a == b ? 1 : a == c ? 0 : os[1]
//----
upper = beta * b + (1 - beta) * c
lower = beta * c + (1 - beta) * b
ts := os * upper + (1 - os) * lower
result := ts
result
if type == "LSMA"
result := ta.linreg(src, len, 0)
result
if type == "SMA" // Simple
result := ta.sma(src, len)
result
if type == "EMA" // Exponential
result := ta.ema(src, len)
result
if type == "DEMA" // Double Exponential
e = ta.ema(src, len)
result := 2 * e - ta.ema(e, len)
result
if type == "TEMA" // Triple Exponential
e = ta.ema(src, len)
result := 3 * (e - ta.ema(e, len)) + ta.ema(ta.ema(e, len), len)
result
if type == "WMA" // Weighted
result := ta.wma(src, len)
result
if type == "VAMA" // Volatility Adjusted
/// Copyright © 2019 to present, Joris Duyck (JD)
mid = ta.ema(src, len)
dev = src - mid
vol_up = ta.highest(dev, volatility_lookback)
vol_down= ta.lowest(dev, volatility_lookback)
result := mid + math.avg(vol_up, vol_down)
result
if type == "HMA" // Hull
result := ta.wma(2 * ta.wma(src, len / 2) - ta.wma(src, len), math.round(math.sqrt(len)))
result
if type == "JMA" // Jurik
/// Copyright © 2018 Alex Orekhov (everget)
/// Copyright © 2017 Jurik Research and Consulting.
phaseRatio = jurik_phase < -100 ? 0.5 : jurik_phase > 100 ? 2.5 : jurik_phase / 100 + 1.5
beta = 0.45 * (len - 1) / (0.45 * (len - 1) + 2)
alpha = math.pow(beta, jurik_power)
jma = 0.0
e0 = 0.0
e0 := (1 - alpha) * src + alpha * nz(e0[1])
e1 = 0.0
e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
e2 = 0.0
e2 := (e0 + phaseRatio * e1 - nz(jma[1])) * math.pow(1 - alpha, 2) + math.pow(alpha, 2) * nz(e2[1])
jma := e2 + nz(jma[1])
result := jma
result
if type == "Kijun v2"
kijun = math.avg(ta.lowest(len), ta.highest(len)) //, (open + close)/2)
conversionLine = math.avg(ta.lowest(len / kidiv), ta.highest(len / kidiv))
delta = (kijun + conversionLine) / 2
result := delta
result
if type == "McGinley"
mg = 0.0
mg := na(mg[1]) ? ta.ema(src, len) : mg[1] + (src - mg[1]) / (len * math.pow(src / mg[1], 4))
result := mg
result
if type == "EDSMA"
zeros = src - nz(src[2])
avgZeros = (zeros + zeros[1]) / 2
// Ehlers Super Smoother Filter
ssf = ssfPoles == 2 ? get2PoleSSF(avgZeros, ssfLength) : get3PoleSSF(avgZeros, ssfLength)
// Rescale filter in terms of Standard Deviations
stdev = ta.stdev(ssf, len)
scaledFilter= stdev != 0 ? ssf / stdev : 0
alpha = 5 * math.abs(scaledFilter) / len
edsma = 0.0
edsma := alpha * src + (1 - alpha) * nz(edsma[1])
result := edsma
result
result
///Keltner Baseline Channel
BBMC = ma(maType, close, len)
Keltma = ma(maType, src, len)
range_1 = useTrueRange ? ta.tr : high - low
rangema = ta.ema(range_1, len)
upperk = Keltma + rangema * multy
lowerk = Keltma - rangema * multy
//COLORS
color_bar = close > upperk ? #00c3ff : close < lowerk ? #ff0062 : color.gray
//PLOTS
p1 = plot(showSslHybrid ? BBMC : na, color=color.new(color_bar, 0), linewidth=4, title="MA Baseline")
barcolor(show_color_bar ? color_bar : na)
// ---
// EMA
// ---
ema = ta.ema(close, emaLength)
plot(showEma ? ema : na, "EMA Trend Line", color.white)
// ----------------
// Keltner Channels
// ----------------
kcMa = ta.ema(kcSrc, kcLength)
KTop2 = kcMa + kcMult * ta.atr(alen)
KBot2 = kcMa - kcMult * ta.atr(alen)
upperPlot = plot(showKeltner ? KTop2 : na, color=color.new(color.blue, 0), title="Upper", style = plot.style_stepline)
lowerPlot = plot(showKeltner ? KBot2 : na, color=color.new(color.blue, 0), title="Lower", style = plot.style_stepline)
// ---------------------------
// Candle Height in Percentage
// ---------------------------
percentHL = (high - low) / low * 100
percentRed = open > close ? (open - close) / close * 100 : 0
percentGreen= open < close ? (close - open) / open * 100 : 0
// --------
// NNFX ATR
// --------
function(source, length) =>
if nnfxSmoothing == "RMA"
ta.rma(source, nnfxAtrLength)
else
if nnfxSmoothing == "SMA"
ta.sma(source, nnfxAtrLength)
else
if nnfxSmoothing == "EMA"
ta.ema(source, nnfxAtrLength)
else
ta.wma(source, nnfxAtrLength)
formula(number, decimals) =>
factor = math.pow(10, decimals)
int(number * factor) / factor
nnfxAtr = formula(function(ta.tr(true), nnfxAtrLength), 5) * slAtrMultiplier
//Sell
longSlAtr = nnfxAtrLength ? close - nnfxAtr : close + nnfxAtr
shortSlAtr = nnfxAtrLength ? close + nnfxAtr : close - nnfxAtr
plot(showAtrSl ? longSlAtr : na, "Long SL", color = color.new(color.red, 35), linewidth = 1, trackprice = true, editable = true, style = plot.style_stepline)
plot(showAtrSl ? shortSlAtr : na, "Short SL", color = color.new(color.red, 35), linewidth = 1, trackprice = true, editable = true, style = plot.style_stepline)
// =============================================================================
// FUNCTIONS
// =============================================================================
percentAsPoints(pcnt) =>
math.round(pcnt / 100 * close / syminfo.mintick)
calcStopLossPrice(pointsOffset, isLong) =>
priceOffset = pointsOffset * syminfo.mintick
if isLong
close - priceOffset
else
close + priceOffset
calcProfitTrgtPrice(pointsOffset, isLong) =>
calcStopLossPrice(-pointsOffset, isLong)
printLabel(barIndex, msg) => label.new(barIndex, close, msg)
printTpSlHitBox(left, right, slHit, tpHit, entryPrice, slPrice, tpPrice) =>
if showTpSlBoxes
box.new (left = left, top = entryPrice, right = right, bottom = slPrice, bgcolor = slHit ? color.new(color.red, 60) : color.new(color.gray, 90), border_width = 0)
box.new (left = left, top = entryPrice, right = right, bottom = tpPrice, bgcolor = tpHit ? color.new(color.green, 60) : color.new(color.gray, 90), border_width = 0)
line.new(x1 = left, y1 = entryPrice, x2 = right, y2 = entryPrice, color = color.new(color.yellow, 20))
line.new(x1 = left, y1 = slPrice, x2 = right, y2 = slPrice, color = color.new(color.red, 20))
line.new(x1 = left, y1 = tpPrice, x2 = right, y2 = tpPrice, color = color.new(color.green, 20))
printTpSlNotHitBox(left, right, entryPrice, slPrice, tpPrice) =>
if showTpSlBoxes
box.new (left = left, top = entryPrice, right = right, bottom = slPrice, bgcolor = color.new(color.gray, 90), border_width = 0)
box.new (left = left, top = entryPrice, right = right, bottom = tpPrice, bgcolor = color.new(color.gray, 90), border_width = 0)
line.new(x1 = left, y1 = entryPrice, x2 = right, y2 = entryPrice, color = color.new(color.yellow, 20))
line.new(x1 = left, y1 = slPrice, x2 = right, y2 = slPrice, color = color.new(color.red, 20))
line.new(x1 = left, y1 = tpPrice, x2 = right, y2 = tpPrice, color = color.new(color.green, 20))
printTradeExitLabel(x, y, posSize, entryPrice, pnl) =>
if showLabels
labelStr = "Position Size: " + str.tostring(math.abs(posSize), "#.##") + "\nPNL: " + str.tostring(pnl, "#.##") + "\nCapital: " + str.tostring(strategy.equity, "#.##") + "\nEntry Price: " + str.tostring(entryPrice, "#.##")
label.new(x = x, y = y, text = labelStr, color = pnl > 0 ? color.new(color.green, 60) : color.new(color.red, 60), textcolor = color.white, style = label.style_label_down)
// =============================================================================
// STRATEGY LOGIC
// =============================================================================
// See strategy description at top for details on trade entry/exit logis
// ----------
// CONDITIONS
// ----------
// Trade entry and exit variables
var tradeEntryBar = bar_index
var profitPoints = 0.
var lossPoints = 0.
var slPrice = 0.
var tpPrice = 0.
var inLong = false
var inShort = false
// Exit calculations
slAmount = nnfxAtr
slPercent = math.abs((1 - (close - slAmount) / close) * 100)
tpPercent = slPercent * riskReward
tpPoints = percentAsPoints(tpPercent)
tpTarget = calcProfitTrgtPrice(tpPoints, wtBreakUp)
inDateRange = true
// Condition 1: SSL Hybrid blue for long or red for short
bullSslHybrid = useSslHybrid ? close > upperk : true
bearSslHybrid = useSslHybrid ? close < lowerk : true
// Condition 2: SSL Channel crosses up for long or down for short
bullSslChannel = ta.crossover(sslChUp, sslChDown)
bearSslChannel = ta.crossover(sslChDown, sslChUp)
// Condition 3: Wave Trend crosses up for long or down for short
bullWaveTrend = wtBreakUp
bearWaveTrend = wtBreakDown
// Condition 4: Entry candle heignt <= 0.6 on Candle Height in Percentage
candleHeightValid = useCandleHeight ? percentGreen <= candleHeight and percentRed <= candleHeight : true
// Condition 5: Entry candle is inside Keltner Channel
withinCh = keltnerChWicks ? high < KTop2 and low > KBot2 : open < KTop2 and close < KTop2 and open > KBot2 and close > KBot2
insideKeltnerCh = useKeltnerCh ? withinCh : true
// Condition 6: TP target does not touch 200 EMA
bullTpValid = useEma ? not (close < ema and tpTarget > ema) : true
bearTpValid = useEma ? not (close > ema and tpTarget < ema) : true
// Combine all entry conditions
goLong = inDateRange and bullSslHybrid and bullSslChannel and bullWaveTrend and candleHeightValid and insideKeltnerCh and bullTpValid
goShort = inDateRange and bearSslHybrid and bearSslChannel and bearWaveTrend and candleHeightValid and insideKeltnerCh and bearTpValid
// Entry decisions
openLong = (goLong and not inLong)
openShort = (goShort and not inShort)
flippingSides = (goLong and inShort) or (goShort and inLong)
enteringTrade = openLong or openShort
inTrade = inLong or inShort
// Risk calculations
riskAmt = strategy.equity * accountRiskPercent / 100
entryQty = math.abs(riskAmt / slPercent * 100) / close
if openLong
if strategy.position_size < 0
printTpSlNotHitBox(tradeEntryBar + 1, bar_index + 1, strategy.position_avg_price, slPrice, tpPrice)
printTradeExitLabel(bar_index + 1, math.max(tpPrice, slPrice), strategy.position_size, strategy.position_avg_price, strategy.openprofit)
strategy.entry("Long", strategy.long, qty = entryQty, alert_message = "Long Entry")
enteringTrade := true
inLong := true
inShort := false
alert(message="BUY Trade Entry Alert", freq=alert.freq_once_per_bar_close)
if openShort
if strategy.position_size > 0
printTpSlNotHitBox(tradeEntryBar + 1, bar_index + 1, strategy.position_avg_price, slPrice, tpPrice)
printTradeExitLabel(bar_index + 1, math.max(tpPrice, slPrice), strategy.position_size, strategy.position_avg_price, strategy.openprofit)
strategy.entry("Short", strategy.short, qty = entryQty, alert_message = "Short Entry")
enteringTrade := true
inShort := true
inLong := false
alert(message="SELL Trade Entry Alert", freq=alert.freq_once_per_bar_close)
if enteringTrade
profitPoints := percentAsPoints(tpPercent)
lossPoints := percentAsPoints(slPercent)
slPrice := calcStopLossPrice(lossPoints, openLong)
tpPrice := calcProfitTrgtPrice(profitPoints, openLong)
tradeEntryBar := bar_index
strategy.exit("TP/SL", profit = profitPoints, loss = lossPoints, comment_profit = "TP Hit", comment_loss = "SL Hit", alert_profit = "TP Hit Alert", alert_loss = "SL Hit Alert")
// =============================================================================
// DRAWINGS
// =============================================================================
// -----------
// TP/SL Boxes
// -----------
slHit = (inShort and high >= slPrice) or (inLong and low <= slPrice)
tpHit = (inLong and high >= tpPrice) or (inShort and low <= tpPrice)
exitTriggered = slHit or tpHit
entryPrice = strategy.closedtrades.entry_price (strategy.closedtrades - 1)
pnl = strategy.closedtrades.profit (strategy.closedtrades - 1)
posSize = strategy.closedtrades.size (strategy.closedtrades - 1)
// Print boxes for trades closed at profit or loss
if (inTrade and exitTriggered)
inShort := false
inLong := false
// printTpSlHitBox(tradeEntryBar + 1, bar_index, slHit, tpHit, entryPrice, slPrice, tpPrice)
// printTradeExitLabel(bar_index, math.max(tpPrice, slPrice), posSize, entryPrice, pnl)
// Print TP/SL box for current open trade
if barstate.islastconfirmedhistory and strategy.position_size != 0
printTpSlNotHitBox(tradeEntryBar + 1, bar_index + 1, strategy.position_avg_price, slPrice, tpPrice)
// =============================================================================
// DEBUGGING
// =============================================================================
// Data window plots
plotchar(goLong, "Enter Long", "")
plotchar(goShort, "Enter Short", "")
Detail
https://www.fmz.com/strategy/442097
Last Modified
2024-02-19 11:47:38