量化交易蜡烛形态与趋势追踪策略Quantitative-Candlestick-Pattern-and-Trend-Following-Strategy.md

Name

量化交易蜡烛形态与趋势追踪策略Quantitative-Candlestick-Pattern-and-Trend-Following-Strategy

Author

ChaoZhang

Strategy Description

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概述

本策略名称为“量化交易蜡烛形态与趋势追踪策略”。该策略融合了蜡烛形态分析和趋势追踪交易的策略思想。

策略主要通过识别不同的蜡烛形态,判断市场目前的多空态势和可能的转折点。结合最高价和最低价的追踪,形成进入和退出信号,以捕捉中长线的价格趋势。

策略原理

该策略主要分为以下几个模块:

1. 蜡烛形态判断

   策略首先定义了诸如实体、影线等蜡烛身上的要素,并设定一些参数,用来识别如十字星、启明星、三内部上涨等共40多个常见的蜡烛形态。当识别到这些形态时,会进行标记并判断为多头或空头信号。

2. 趋势判断

   策略利用最高价和最低价的追踪判断趋势,当价格超过N日内的最高价时判断为上涨趋势,当价格跌破N日内的最低价时判断为空头趋势。

3. 入场与退出

   根据蜡烛形态判断的多空信号,结合趋势判断中的最高价和最低价的突破,形成入场和退出规则。

   例如,当识别到多头蜡烛形态如锤子线,并且价格超过N日最高价时,做多;当价格跌破N日最低价时,平掉多单。

4. 回测范围设置

   策略最后通过设置回测的起止时间,完成整个策略逻辑的闭环。

优势分析

该策略具有以下几点优势:

1. 结合形态和趋势

   利用蜡烛形态判断和趋势追踪结合的优势,既可以通过形态来判断价格可能的转折点,又可以通过趋势来确定入场的时机。

2. 多种形态识别

   策略包含40多个常见蜡烛形态的识别,覆盖面广,不同市场环境下可识别更多潜在交易机会。

3. 参数可调整性高

   策略中的参数如追踪天数、识别形态的参数都可自主调整,适应性强,更容易针对特定市场进行调优。

4. 容易扩展

   可直接在现有逻辑上扩展更多形态识别模块,也可以加入更多因子判断模块,继续优化策略效果。

风险分析

该策略也存在以下风险:

1. 形态识别准确率无法100%

   蜡烛形态判断并非完全准确,仍存在一定误识别概率,可能出现交易信号被错误触发的情况。

2. 缺乏止损模块

   目前策略中没有设置止损逻辑,无法有效控制单笔损失。当趋势判断失败时,可能给账户带来较大亏损。

3. 回测数据拟合风险

   当前策略效果可能对回测区间内的数据有一定的拟合,实盘中表现可能会有所下降。

优化方向

该策略的主要优化方向如下:

1. 增加止损模块

   增加移动止损、百分比止损等止损策略,可以有效控制风险,限制单笔最大损失。

2. 使用机器学习提高形态判断准确率

   利用机器学习算法训练模型,提高蜡烛形态判断的准确率,降低错误信号率。

3. 多市场验证

   在更多市场如外汇、数字货币市场中测试策略鲁棒性,防止回测数据拟合。

4. 组合更多因子

   可引入更多量化因子,如量价指标、资金流指标等,丰富策略逻辑,提高稳定性。

总结

本策略总体来说,结合蜡烛形态判断和趋势追踪交易,可以在判断市场转折点的同时捕捉价格趋势,实现超额收益。策略优化空间较大,可从风险控制、机器学习、多因子等方面进行提升,使得策略更具鲁棒性和商业价值。

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Overview

The strategy is named "Quantitative Candlestick Pattern and Trend Following Strategy". It integrates the strategy ideas of candlestick pattern analysis and trend following trading.

The strategy mainly identifies different candlestick patterns to judge the current market sentiment and potential turning points. Combined with tracking the highest and lowest prices to form entry and exit signals and capture mid-to-long term price trends.

Strategy Principle

The main modules of this strategy are:

1. Candlestick Pattern Identification

   The strategy first defines elements on the candlestick like the body, shadow, and sets some parameters to identify over 40 common candlestick patterns like Doji, Morning Star, Three Inside Up, etc. When these patterns are identified, marks will be plotted and judged as bullish or bearish signals.

2. Trend Identification

   The strategy utilizes the tracking of highest and lowest prices in N days to determine the trend. When price breaks above the highest price in N days, it is judged as an uptrend. When price breaks below the lowest price in N days, it is judged as a downtrend.

3. Entry and Exit

   According to the bullish/bearish signals from candlestick pattern identification and the breakthrough of highest/lowest prices from trend identification, the strategy forms the entry and exit rules.

   For example, when a bullish pattern like Hammer is identified and price breaks above the N-day highest price, go long. When price breaks below the N-day lowest price, close the long position.

4. Backtest Range Setting

   At last, the strategy sets the start and end time for backtest to complete the whole logical loop.

Advantage Analysis

The advantages of this strategy:

1. Combination of Pattern and Trend

   Utilize both pattern identification and trend following, it can spot potential turning points through patterns and determine entry timing according to trends.

2. Broad Pattern Coverage

   The strategy covers over 40 common candlestick patterns, which provides wider coverage in different market environments for more potential trading opportunities.

3. High Parameter Tunability

   The parameters like tracking days, pattern identification parameters are adjustable for users. It has better adaptivity and easier to tune for specific markets.

4. Easy to Expand

   It's easy to expand with more pattern identifications based on existing logic or add in more factors to further optimize the strategy performance.

Risk Analysis

The main risks of the strategy:

1. Accuracy of Pattern Identification

   Candlestick pattern identification does not provide 100% accuracy, there are still probabilities of misidentification and wrong signal triggering.

2. Lack of Stop Loss Module

   Currently there is no stop loss logic in the strategy, unable to control losses of single trades effectively. It may lead to huge losses when trend identification fails.

3. Data Fitting Risk of Backtest

   The current good results may have some data fitting risks towards the backtest data. Real trading performance may see a decrease.

Optimization Directions

The main optimization directions:

1. Add in Stop Loss Module

   Add in modules like moving stop loss, percentage stop loss etc. to effectively control risks and limit max loss per trade.

2. Utilize Machine Learning to Improve Accuracy of Pattern Identification

   Use machine learning algorithms to train models and improve accuracy of candlestick pattern identification, decrease misidentified signals.

3. Multi-Market Validation

   Test the robustness of strategy on more markets like forex, crypto to avoid data fitting risks on single backtest.

4. Introduce More Factors

   Bring in more quant factors like volume-price indicators, money flow indicators to enrich strategy logic and improve stability.

Conclusion

Overall, this strategy combines candlestick pattern identification and trend following trading to spot potential turning points and capture price trends simultaneously to achieve alpha. There are ample optimization space from risk control, machine learning models to multi-factor models to make it more robust and valuable for actual trading.

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Strategy Arguments

Argument	Default	Description
v_input_1	0.05	Doji size
v_input_2	true	From Month
v_input_3	true	From Day
v_input_4	2016	From Year
v_input_5	true	To Month
v_input_6	true	To Day
v_input_7	9999	To Year
v_input_8	20	enter_fast
v_input_9	10	exit_fast
v_input_10	10	exit_fast_short

Source (PineScript)

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("Candle analysis & long/short strategy (HF) inspired by TurtleBC", shorttitle="TurtleBC-V.Troussel", overlay=true,initial_capital=1000)

//VARIABLES
body=close-open
range=high-low
middle=(open+close)/2
abody=abs(body)
ratio=abody/range
longcandle= (ratio>0.6)
bodytop=max(open, close)
bodybottom=min(open, close)
shadowtop=high-bodytop
shadowbottom=bodybottom-low

//Doji
DojiSize = input(0.05, minval=0.01, title="Doji size")
data=(abs(open - close) <= (high - low) * DojiSize)
plotchar(data, title="Doji", text='Doji', color=black)

//BULLISH SIGNALS
//Homing Pigeon
HomingPigeon=(body[1]<0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(HomingPigeon, title= "Homing Pigeon", location=location.belowbar, color=lime, style=shape.arrowup, text="Homing\nPigeon")

//Dragonfly Doji Bottom
DragonflyDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3)
plotshape(DragonflyDojiBottom, title= "Dragonfly Doji Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Dragonfly\nDoji\nBottom")

//Concealing Baby Swallow
ConcealingBabySwallow=(body[3]<0 and body[2]<0 and body[1]<0 and body<0 and ratio[3]>0.8 and ratio[2]>0.8 and ratio>0.8 and open[1]<close[2] and high[1]>close[2] and shadowtop[1]>0.6*(abody[1]+shadowbottom[1]) and bodybottom<bodybottom[1] and bodytop>high[1])
plotshape(ConcealingBabySwallow, title= "Concealing Baby Swallow", location=location.belowbar, color=lime, style=shape.arrowup, text="Concealing\nBaby\nSwallow")

//Gravestone Doji Bottom
GravestoneDojiBottom=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>3*abody and shadowbottom<shadowtop/3)
plotshape(GravestoneDojiBottom, title= "Gravestone Doji Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Gravestone\nDoji\nBottom")

//Last Engulfing Bottom
LastEngulfingBottom=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(LastEngulfingBottom, title= "Last Engulfing Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Last\nEngulfing\nBottom")

//Bullish Harami Cross
BullishHaramiCross=(body[1]<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1])
plotshape(BullishHaramiCross, title= "Bullish Harami Cross", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nHarami\nCross")

//Three Stars in the South
ThreeStarsInTheSouth=(body[2]<0 and body[1]<0 and body<0 and shadowtop[2]<range[2]/4 and shadowbottom[2]>abody[2]/2 and low[1]>low[2] and high[1]<high[2] and abody[1]<abody[2]  and shadowtop[1]<range[1]/4 and shadowbottom[1]>abody[1]/2 and low>low[1] and high<high[1] and abody<abody[1] and shadowtop<range/4 and shadowbottom<range/4)
plotshape(ThreeStarsInTheSouth, title= "Three Stars In TheSouth", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nStars\nIn\nThe\nSouth")

//Bullish Breakaway
BullishBreakaway=(body[4]<0 and body[3]<0 and body>0 and open[3]<close[4] and close[2]<close[3] and close[1]<close[2] and longcandle and close<close[4] and close>open[3])
plotshape(BullishBreakaway, title= "Bullish Breakaway", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nBreakaway")

//Hammer
Hammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowbottom>2*abody and shadowtop<0.3*abody)
plotshape(Hammer, title= "Hammer", location=location.belowbar, color=lime, style=shape.arrowup, text="Hammer")

//Inverted Hammer
InvertedHammer=(body[1]<0 and longcandle[1] and low<low[1] and shadowtop>2*abody and shadowbottom<0.3*abody)
plotshape(InvertedHammer, title= "Inverted Hammer", location=location.belowbar, color=lime, style=shape.arrowup, text="Inverted\nHammer")

//Rising Three Methods
RisingThreeMethods=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and longcandle and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and close>high[3] and close>high[2] and close>high[1])
plotshape(RisingThreeMethods, title= "Rising Three Methods", location=location.belowbar, color=lime, style=shape.arrowup, text="Rising\nThree\nMethods")

//BullishThreeLineStrike
BullishThreeLineStrike=(body[3]>0 and body[2]>0 and body[1]>0 and body<0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]>close[3] and close[1]>close[2] and open>close[1] and close<open[3])
plotshape(BullishThreeLineStrike, title= "Bullish Three Line Strike", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nThreeLine\nStrike")

//Bullish Mat Hold
BullishMatHold=(body[4]>0 and body[3]<0 and body[1]<0 and body>0 and longcandle[4] and close[3]>close[4] and close[2]<close[3] and close[1]<close[2] and high[2]<high[3] and high[1]<high[2] and low[1]>low[4] and open>close[1] and close>high[4] and  close>high[3] and close>high[2] and close>high[1])
plotshape(BullishMatHold, title= "Bullish Mat Hold", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nMat\nHold")

//Doji Star Bottom
DojiStarBottom=(body[1]<0 and longcandle[1] and low<low[1] and open<close[1] and ratio<0.3 and range<0.3*range[1])
plotshape(DojiStarBottom, title= "Doji Star Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Doji\nStar\nBottom")

//Morning Star
MorningStar=(body[2]<0 and body>0 and longcandle[2] and open[1]<close[2] and open>close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and low[1]<low and low[1]<low[2] and high[1]<open[2] and high[1]<close)
plotshape(MorningStar,  title= "Morning Star", location=location.belowbar, color=lime, style=shape.arrowup, text="Morning\nStar")

//Abandoned Baby Bottom
AbandonedBabyBottom=(body[2]<0 and body>0 and longcandle[2] and ratio[1]<0.3 and high[1]<low[2] and high[1]<low)
plotshape(AbandonedBabyBottom,  title= "Abandoned Baby Bottom", location=location.belowbar, color=lime, style=shape.arrowup, text="Abandoned\nBaby\nBottom")

//Bullish Harami
BullishHarami=(body[1]<0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(BullishHarami,  title= "Bullish Harami", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nHarami")

//Three Inside Up
ThreeInsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishHarami[1] and close>close[1])
plotshape(ThreeInsideUp,  title= "Three Inside Up", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nInside\nUp")

//Bullish Engulfing
BullishEngulfing=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(BullishEngulfing, title= "Bullish Engulfing", location=location.belowbar, color=lime, style=shape.arrowup, text="Bullish\nEngulfing")

//Piercing Line
PiercingLine=(body[1]<0 and body>0 and longcandle[1] and longcandle and open<low[1] and close>middle[1] and close<open[1])
plotshape(PiercingLine, title= "Piercing Line", location=location.belowbar, color=lime, style=shape.arrowup, text="Piercing\nLine")

//Three Outside Up
ThreeOutsideUp=(body[2]<0 and body[1]>0 and body>0 and BullishEngulfing[1] and close>close[1])
plotshape(ThreeOutsideUp, title= "Three Outside Up", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nOutside\nUp")

//Three White Soldiers
ThreeWhiteSoldiers=(body[2]>0 and body[1]>0 and body>0 and high[1]>high[2] and high>high[1] and close[1]>close[2] and close>close[1] and open[1]>open[2] and open[1]<close[2] and open>open[1] and open<close[1])
plotshape(ThreeWhiteSoldiers, title= "Three White Soldiers", location=location.belowbar, color=lime, style=shape.arrowup, text="Three\nWhite\nSoldiers")

//BEARISH SIGNALS

//Evening Star
EveningStar=(body[2]>0 and body<0 and longcandle[2] and open[1]>close[2] and open<close[1] and ratio[1]<0.3 and abody[1]<abody[2] and abody[1]<abody and high[1]>high and high[1]>high[2] and low[1]>open[2] and low[1]>close)
plotshape(EveningStar, title= "Evening Star", color=red, style=shape.arrowdown, text="Evening\nStar")

//Dark Cloud Cover
DarkCloudCover=(body[1]>0 and body<0 and longcandle[1] and longcandle and open>high[1] and close<middle[1] and close>open[1])
plotshape(DarkCloudCover, title= "Dark Cloud Cover", color=red, style=shape.arrowdown, text="Dark\nCloud\nCover")

//Abandoned Baby Top
AbandonedBabyTop=(body[2]>0 and body<0 and longcandle[2] and ratio[1]<0.3 and low[1]>high[2] and low[1]>high)
plotshape(AbandonedBabyTop, title= "Abandoned Baby Top", color=red, style=shape.arrowdown, text="Abandoned\nBaby\nTop")

//Bearish Harami
BearishHarami=(body[1]>0 and body<0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(BearishHarami, title= "Bearish Harami", color=red, style=shape.arrowdown, text="Bearish\nHarami")

//Descending Hawk
DescendingHawk=(body[1]>0 and body>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1])
plotshape(DescendingHawk, title= "Descending Hawk", color=red, style=shape.arrowdown, text="Descending\nHawk")

//Bearish Engulfing
BearishEngulfing=(body[1]>0 and body<0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(BearishEngulfing, title= "Bearish Engulfing", color=red, style=shape.arrowdown, text="Bearish\nEngulfing")

//Gravestone Doji Top
GravestoneDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>3*abody and shadowbottom<shadowtop/3)
plotshape(GravestoneDojiTop, title= "Gravestone Doji Top", color=red, style=shape.arrowdown, text="Gravestone\nDoji\nTop")

//Shooting Star
ShootingStar=(body[1]>0 and longcandle[1] and high>high[1] and shadowtop>2*abody and shadowbottom<0.3*abody)
plotshape(ShootingStar, title= "Shooting Star", color=red, style=shape.arrowdown, text="Shooting\nStar")

//Hanging Man
HangingMan=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>2*abody and shadowtop<0.3*abody)
plotshape(HangingMan, title= "Hanging Man", color=red, style=shape.arrowdown, text="Hanging\nMan")

//Bearish Three Line Strike
BearishThreeLineStrike=(body[3]<0 and body[2]<0 and body[1]<0 and body>0 and longcandle[3] and longcandle[2] and longcandle[1] and close[2]<close[3] and close[1]<close[2] and open<close[1] and close>open[3])
plotshape(BearishThreeLineStrike, title= "Bearish Three Line Strike", color=red, style=shape.arrowdown, text="Bearish\nThree\nLine\nStrike")

//Falling Three Methods
FallingThreeMethods=(body[4]<0 and body[3]>0 and body[1]>0 and body<0 and longcandle[4] and longcandle and close[2]>close[3] and close[1]>close[2] and low[2]>low[3] and low[1]>low[2] and high[1]<high[4] and open<close[1] and close<low[4] and close<low[3] and close<low[2] and close<low[1])
plotshape(FallingThreeMethods, title= "Falling Three Methods", color=red, style=shape.arrowdown, text="Falling\n\nThreeMethods")

//Three Inside Down
ThreeInsideDown=(body[2]>0 and body[1]<0 and body<0 and BearishHarami[1] and close<close[1])
plotshape(ThreeInsideDown, title= "Three Inside Down", color=red, style=shape.arrowdown, text="Three\nInside\nDown")

//Three Outside Down
ThreeOutsideDown=(body[2]>0 and body[1]<0 and body<0 and BearishEngulfing[1] and close<close[1])
plotshape(ThreeOutsideDown, title= "Three Outside Down", color=red, style=shape.arrowdown, text="Three\nOutside\nDown")

//Three Black Crows
ThreeBlackCrows=(body[2]<0 and body[1]<0 and body<0 and longcandle[2] and longcandle[1] and longcandle and low[1]<low[2] and low<low[1] and close[1]<close[2] and close<close[1] and open[1]<open[2] and open[1]>close[2] and open<open[1] and open>close[1])
plotshape(ThreeBlackCrows, title= "Three Black Crows", color=red, style=shape.arrowdown, text="Three\nBlack\nCrows")

//Upside Gap Two Crows
UpsideGapTwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and bodytop>bodytop[1] and bodybottom<bodybottom[1] and close>close[2])
plotshape(UpsideGapTwoCrows, title= "Upside Gap Two Crows", color=red, style=shape.arrowdown, text="Upside\nGap\nTwo\nCrows")

//Last Engulfing Top
LastEngulfingTop=(body[1]<0 and body>0 and bodybottom<bodybottom[1] and bodytop>bodytop[1] and longcandle)
plotshape(LastEngulfingTop, title= "Last Engulfing Top", color=red, style=shape.arrowdown, text="Last\nEngulfing\nTop")

//Dragonfly Doji Top
DragonflyDojiTop=(body[1]>0 and longcandle[1] and high>high[1] and shadowbottom>3*abody and shadowtop<shadowbottom/3)
plotshape(DragonflyDojiTop, title= "Dragonfly Doji Top", color=red, style=shape.arrowdown, text="Dragonfly\nDoji\nTop")

//Bearish Harami Cross
BearishHaramiCross=(body[1]>0 and longcandle[1] and bodybottom>bodybottom[1] and bodytop<bodytop[1] and ratio<0.3 and range<0.3*range[1])
plotshape(BearishHaramiCross, title= "Bearish Harami Cross", color=red, style=shape.arrowdown, text="Bearish\nHarami\nCross")

//Advance Block
AdvanceBlock=(body[2]>0 and body[1]>0 and body>0 and high[2]<high[1] and high[1]<high and open[1]>bodybottom[2] and open[1]<bodytop[2] and open>bodybottom[1] and open<bodytop[1] and abody[1]<abody[2] and abody<abody[1])
plotshape(AdvanceBlock, title= "Advance Block", color=red, style=shape.arrowdown, text="Advance\nBlock")

//Bearish Breakaway
BearishBreakaway=(body[4]>0 and body[3]>0 and body<0 and open[3]>close[4] and close[2]>close[3] and close[1]>close[2] and longcandle and close>close[4] and close<open[3])
plotshape(BearishBreakaway, title= "Bearish Breakaway", color=red, style=shape.arrowdown, text="Bearish\nBreakaway")

//Two Crows

TwoCrows=(body[2]>0 and body[1]<0 and body<0 and longcandle[2] and open[1]>close[2] and close[1]>close[2] and open<bodytop[1] and open>bodybottom[1] and close<bodytop[2] and close>bodybottom[2])
plotshape(TwoCrows, title= "Two Crows", color=red, style=shape.arrowdown, text="Two\nCrows")






// === BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1)
FromDay   = input(defval = 1, title = "From Day", minval = 1)
FromYear  = input(defval = 2016, title = "From Year", minval = 2016)
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 = 9999)

enter_fast = input(20, minval=1)
exit_fast = input(10, minval=1)
exit_fast_short=input(10,minval=1)


fastL = highest(close, enter_fast)
fastS = highest(close ,exit_fast_short)
fastLC = lowest(close, exit_fast)


//entrées et sorties pour long et short, le short utilise la sortie du long comme entrée
enterL1 = close > fastL[1]
exitL1 = close <= fastLC[1]
exitS=close>fastS[1]



strategy.entry("Long", strategy.long, when = enterL1 )
strategy.close("Long", when = exitL1)

strategy.entry("Short", strategy.short, when = exitL1)
strategy.close("Short", when = exitS)

Detail

https://www.fmz.com/strategy/440564

Last Modified

2024-01-31 17:24:30