238 lines
14 KiB
Text
238 lines
14 KiB
Text
//@version=6
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strategy("QQE Cross v6 Modernized", shorttitle="QQEX v6", overlay=true, max_bars_back=2000,
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pyramiding=0,
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default_qty_type=strategy.cash,
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default_qty_value=1000,
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commission_type=strategy.commission.percent,
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commission_value=0.1,
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initial_capital=10000,
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process_orders_on_close=true)
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anchor = input.int(4, minval=0, maxval=100, title="Relative TimeFrame Multiplier for Second MA Ribbon (0=none, max=100)")
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showAvgs = input.bool(true, title="Show Moving Average Lines")
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type1 = input.string("EMA", title="Fast MA Type", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "HullMA", "ZEMA", "TMA", "SSMA"])
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len1 = input.int(16, title="Fast Length", minval=1)
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gamma1 = 0.33
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type2 = input.string("EMA", title="Medium MA Type", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "HullMA", "ZEMA", "TMA", "SSMA"])
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len2 = input.int(21, title="Medium Length", minval=1)
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gamma2 = 0.55
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type3 = input.string("EMA", title="Slow MA Type", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "HullMA", "ZEMA", "TMA", "SSMA"])
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len3 = input.int(26, title="Slow Length", minval=1)
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gamma3 = 0.77
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RSILen = input.int(14, title="RSI Length", minval=1)
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SF = input.int(8, title="RSI Smoothing Factor", minval=1)
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QQEfactor = input.float(5.0, title="Fast QQE Factor", minval=0.1)
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threshhold = input.int(10, title="RSI Threshold", minval=1)
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sQQEx = input.bool(true, title="Show QQE Signal Crosses")
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sQQEz = input.bool(false, title="Show QQE Zero Crosses")
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sQQEc = input.bool(true, title="Show QQE Threshold Channel Exits")
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tradeSignal = input.string("XC", title="Select which QQE signal to Buy/Sell", options=["XC", "XQ", "XZ"])
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closeSignal = input.string("XQ", title="Select which QQE signal to Close Order", options=["XC", "XQ", "XZ"])
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xfilter = input.bool(true, title="Filter XQ Buy/Sell Orders by Threshold")
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filter = input.bool(false, title="Use Moving Average Filter")
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dfilter = input.bool(true, title="Use Trend Directional Filter")
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ufirst = input.bool(false, title="Only Alert First Buy/Sell in a New Trend")
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RSIsrc = input.source(close, title="Source")
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enableLongs = input.bool(true, title="Enable Long Entries")
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enableShorts = input.bool(true, title="Enable Short Entries")
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useDateFilter = input.bool(false, title="Use Backtest Date Filter")
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startTime = input.time(timestamp(2018, 6, 12, 0, 0), title="Backtest Start")
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endTime = input.time(timestamp(2099, 12, 31, 23, 59), title="Backtest End")
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src = RSIsrc
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srcclose = RSIsrc
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mult = anchor > 0 ? anchor : 1
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inTradeWindow = not useDateFilter or (time >= startTime and time <= endTime)
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variant_supersmoother(_src, _len) =>
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float a1 = math.exp(-1.414 * math.pi / _len)
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float b1 = 2.0 * a1 * math.cos(1.414 * math.pi / _len)
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float c2 = b1
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float c3 = -a1 * a1
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float c1 = 1.0 - c2 - c3
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float ss = 0.0
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ss := c1 * (_src + nz(_src[1])) / 2.0 + c2 * nz(ss[1]) + c3 * nz(ss[2])
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ss
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variant_smoothed(_src, _len) =>
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float smma = na
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smma := na(smma[1]) ? ta.sma(_src, _len) : (smma[1] * (_len - 1) + _src) / _len
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smma
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variant_zerolagema(_src, _len) =>
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ema1 = ta.ema(_src, _len)
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ema2 = ta.ema(ema1, _len)
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ema1 + (ema1 - ema2)
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variant_doubleema(_src, _len) =>
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ema1 = ta.ema(_src, _len)
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2.0 * ema1 - ta.ema(ema1, _len)
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variant_tripleema(_src, _len) =>
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ema1 = ta.ema(_src, _len)
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3.0 * (ema1 - ta.ema(ema1, _len)) + ta.ema(ta.ema(ema1, _len), _len)
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variant(_type, _src, _len, _g) =>
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switch _type
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"EMA" => ta.ema(_src, _len)
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"WMA" => ta.wma(_src, _len)
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"VWMA" => ta.vwma(_src, _len)
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"SMMA" => variant_smoothed(_src, _len)
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"DEMA" => variant_doubleema(_src, _len)
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"TEMA" => variant_tripleema(_src, _len)
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"HullMA" => ta.wma(2.0 * ta.wma(_src, int(math.max(1, _len / 2))) - ta.wma(_src, _len), int(math.max(1, math.round(math.sqrt(_len)))))
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"SSMA" => variant_supersmoother(_src, _len)
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"ZEMA" => variant_zerolagema(_src, _len)
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"TMA" => ta.sma(ta.sma(_src, _len), _len)
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=> ta.sma(_src, _len)
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Wilders_Period = RSILen * 2 - 1
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Rsi = ta.rsi(RSIsrc, RSILen)
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RSIndex = ta.ema(Rsi, SF)
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AtrRsi = math.abs(RSIndex[1] - RSIndex)
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MaAtrRsi = ta.ema(AtrRsi, Wilders_Period)
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DeltaFastAtrRsi = ta.ema(MaAtrRsi, Wilders_Period) * QQEfactor
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newshortband = RSIndex + DeltaFastAtrRsi
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newlongband = RSIndex - DeltaFastAtrRsi
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var float longband = na
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var float shortband = na
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var int trend = 1
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longband := RSIndex[1] > nz(longband[1], newlongband) and RSIndex > nz(longband[1], newlongband) ? math.max(nz(longband[1], newlongband), newlongband) : newlongband
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shortband := RSIndex[1] < nz(shortband[1], newshortband) and RSIndex < nz(shortband[1], newshortband) ? math.min(nz(shortband[1], newshortband), newshortband) : newshortband
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trend := ta.cross(RSIndex, nz(shortband[1], newshortband)) ? 1 : ta.cross(nz(longband[1], newlongband), RSIndex) ? -1 : nz(trend[1], 1)
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FastAtrRsiTL = trend == 1 ? longband : shortband
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ma_fast = variant(type1, srcclose, len1, gamma1)
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ma_medium = variant(type2, srcclose, len2, gamma2)
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ma_slow = variant(type3, srcclose, len3, gamma3)
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ma_fast_alt = variant(type1, srcclose, len1 * mult, gamma1)
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ma_medium_alt = variant(type2, srcclose, len2 * mult, gamma2)
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ma_slow_alt = variant(type3, srcclose, len3 * mult, gamma3)
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direction = ta.rising(ma_medium, 3) ? 1 : ta.falling(ma_medium, 3) ? -1 : 0
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altDirection = ta.rising(ma_medium_alt, 3) ? 1 : ta.falling(ma_medium_alt, 3) ? -1 : 0
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var int QQExlong = 0
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var int QQExshort = 0
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QQExlong := FastAtrRsiTL < RSIndex ? nz(QQExlong[1]) + 1 : 0
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QQExshort := FastAtrRsiTL > RSIndex ? nz(QQExshort[1]) + 1 : 0
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var int QQEzlong = 0
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var int QQEzshort = 0
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QQEzlong := RSIndex >= 50 ? nz(QQEzlong[1]) + 1 : 0
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QQEzshort := RSIndex < 50 ? nz(QQEzshort[1]) + 1 : 0
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var int QQEclong = 0
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var int QQEcshort = 0
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QQEclong := RSIndex > (50 + threshhold) ? nz(QQEclong[1]) + 1 : 0
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QQEcshort := RSIndex < (50 - threshhold) ? nz(QQEcshort[1]) + 1 : 0
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QQEflong = mult == 1 ?
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(not filter or (srcclose > ma_medium and ma_medium > ma_slow and ma_fast > ma_medium)) and (not dfilter or direction > 0) :
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(not filter or (ma_medium > ma_medium_alt and srcclose > ma_fast and ma_fast > ma_medium)) and (not dfilter or (direction > 0 and altDirection > 0 and srcclose > ma_medium))
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QQEfshort = mult == 1 ?
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(not filter or (srcclose < ma_medium and ma_medium < ma_slow and ma_fast < ma_medium)) and (not dfilter or direction < 0) :
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(not filter or (ma_medium < ma_medium_alt and srcclose < ma_fast and ma_fast < ma_medium)) and (not dfilter or (direction < 0 and altDirection < 0 and srcclose < ma_medium))
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QQExfilter = not xfilter or RSIndex > (50 + threshhold) or RSIndex < (50 - threshhold)
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var int buy_ = 0
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var int sell_ = 0
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buy_ := tradeSignal == "XC" ? (QQEclong[1] == 1 and QQEflong[1] ? nz(buy_[1]) + 1 : 0) :
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tradeSignal == "XQ" ? (QQExlong[1] == 1 and QQEflong[1] and QQExfilter[1] ? nz(buy_[1]) + 1 : 0) :
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tradeSignal == "XZ" ? (QQEzlong[1] == 1 and QQEflong[1] ? nz(buy_[1]) + 1 : 0) : 0
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sell_ := tradeSignal == "XC" ? (QQEcshort[1] == 1 and QQEfshort[1] ? nz(sell_[1]) + 1 : 0) :
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tradeSignal == "XQ" ? (QQExshort[1] == 1 and QQEfshort[1] and QQExfilter[1] ? nz(sell_[1]) + 1 : 0) :
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tradeSignal == "XZ" ? (QQEzshort[1] == 1 and QQEfshort[1] ? nz(sell_[1]) + 1 : 0) : 0
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var int Buy = 0
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var int Sell = 0
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Buy := sell_ > 0 ? 0 : ((buy_ == 1 or nz(Buy[1]) > 0) ? nz(Buy[1]) + 1 : nz(Buy[1]))
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Sell := buy_ > 0 ? 0 : ((sell_ == 1 or nz(Sell[1]) > 0) ? nz(Sell[1]) + 1 : nz(Sell[1]))
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buy = ufirst ? Buy : buy_
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sell = ufirst ? Sell : sell_
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var int closeLong = 0
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var int closeShort = 0
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closeLong := closeSignal == "XC" ? (QQEcshort == 1 ? nz(closeLong[1]) + 1 : 0) :
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closeSignal == "XQ" ? (tradeSignal == "XQ" ? (QQExshort == 1 ? nz(closeLong[1]) + 1 : 0) : ((QQExshort == 1 or QQEzshort > 0 or QQEcshort > 0) ? nz(closeLong[1]) + 1 : 0)) :
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closeSignal == "XZ" ? (QQEzshort == 1 ? nz(closeLong[1]) + 1 : 0) : 0
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closeShort := closeSignal == "XC" ? (QQEclong == 1 ? nz(closeShort[1]) + 1 : 0) :
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closeSignal == "XQ" ? (tradeSignal == "XQ" ? (QQExlong == 1 ? nz(closeShort[1]) + 1 : 0) : ((QQExlong == 1 or QQEzlong > 0 or QQEclong == 1) ? nz(closeShort[1]) + 1 : 0)) :
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closeSignal == "XZ" ? (QQEzlong == 1 ? nz(closeShort[1]) + 1 : 0) : 0
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var int tradestate = 0
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tradestate := tradestate == 0 ? (buy == 1 ? 1 : sell == 1 ? 2 : 0) : ((tradestate == 1 and closeLong == 1) or (tradestate == 2 and closeShort == 1) ? 0 : tradestate)
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isLong = tradestate != nz(tradestate[1]) and tradestate == 1
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isShort = tradestate != nz(tradestate[1]) and tradestate == 2
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isCloseLong = tradestate != nz(tradestate[1]) and tradestate == 0 and nz(tradestate[1]) == 1
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isCloseShort = tradestate != nz(tradestate[1]) and tradestate == 0 and nz(tradestate[1]) == 2
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tcolor = direction < 0 ? color.red : color.green
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altTcolor = altDirection < 0 ? color.red : color.green
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plot(showAvgs ? ma_medium : na, title="MA Medium", color=tcolor, linewidth=2)
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plot(showAvgs and mult > 1 ? ma_fast_alt : na, title="MA Fast Alt", color=altTcolor, linewidth=1)
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plot(showAvgs and mult > 1 ? ma_medium_alt : na, title="MA Medium Alt", color=altTcolor, linewidth=2)
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plot(showAvgs and mult > 1 ? ma_slow_alt : na, title="MA Slow Alt", color=altTcolor, linewidth=1)
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barcolor(mult > 1 ? altTcolor : na)
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turned_aqua = altTcolor[1] == color.red and altTcolor == color.green
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turned_blue = altTcolor[1] == color.green and altTcolor == color.red
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take_profit_long = ma_slow > ma_fast_alt and ma_slow > ma_slow_alt and tcolor[1] == color.green and tcolor == color.red
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take_profit_short = ma_slow < ma_fast_alt and ma_slow < ma_slow_alt and tcolor[1] == color.red and tcolor == color.green
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plotshape(turned_aqua, title="MA Green Buy", style=shape.triangleup, location=location.belowbar, text="Long", color=color.new(color.green, 20), size=size.normal)
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plotshape(turned_blue, title="MA Red Sell", style=shape.triangledown, location=location.abovebar, text="Short", color=color.new(color.red, 20), size=size.normal)
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plotshape(take_profit_long, title="Take Profit Long", style=shape.triangledown, location=location.abovebar, text="TP Long", color=color.new(color.purple, 20), size=size.tiny)
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plotshape(take_profit_short, title="Take Profit Short", style=shape.triangleup, location=location.belowbar, text="TP Short", color=color.new(color.purple, 20), size=size.tiny)
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plotshape(sQQEc and QQEclong == 1 and not isLong, title="QQE X Over Channel", style=shape.triangleup, location=location.belowbar, text="XC", color=color.new(color.olive, 20), size=size.tiny)
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plotshape(sQQEc and QQEcshort == 1 and not isShort, title="QQE X Under Channel", style=shape.triangledown, location=location.abovebar, text="XC", color=color.new(color.red, 20), size=size.tiny)
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plotshape(sQQEx and QQExlong == 1 and QQEclong != 1 and not isLong, title="QQE Cross Over", style=shape.triangleup, location=location.belowbar, text="XQ", color=color.new(color.blue, 20), size=size.tiny)
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plotshape(sQQEx and QQExshort == 1 and QQEcshort != 1 and not isShort, title="QQE Cross Under", style=shape.triangledown, location=location.abovebar, text="XQ", color=color.new(color.black, 20), size=size.tiny)
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plotshape(sQQEz and QQEzlong == 1 and QQEclong != 1 and not isLong and QQExlong != 1, title="QQE Zero Cross Over", style=shape.triangleup, location=location.belowbar, text="XZ", color=color.new(color.aqua, 20), size=size.tiny)
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plotshape(sQQEz and QQEzshort == 1 and QQEcshort != 1 and not isShort and QQExshort != 1, title="QQE Zero Cross Under", style=shape.triangledown, location=location.abovebar, text="XZ", color=color.new(color.fuchsia, 20), size=size.tiny)
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plotshape(isLong, title="QQEX Long", style=shape.arrowup, location=location.belowbar, text="Open\nLONG", color=color.lime, textcolor=color.green, size=size.tiny)
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plotshape(isShort, title="QQEX Short", style=shape.arrowdown, location=location.abovebar, text="Open\nSHORT", color=color.red, textcolor=color.maroon, size=size.tiny)
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plotshape(isCloseLong, title="QQEX Close Long", style=shape.arrowdown, location=location.abovebar, text="Close\nLONG", color=color.gray, textcolor=color.gray, size=size.tiny)
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plotshape(isCloseShort, title="QQEX Close Short", style=shape.arrowup, location=location.belowbar, text="Close\nSHORT", color=color.gray, textcolor=color.gray, size=size.tiny)
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alertcondition(turned_aqua, title="Long", message="MA's Turned Green")
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alertcondition(turned_blue, title="Short", message="MA's Turned Red")
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alertcondition(take_profit_long, title="Take Profit Long", message="Take Profit Long")
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alertcondition(take_profit_short, title="Take Profit Short", message="Take Profit Short")
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alertcondition(isLong, title="QQEX Long", message="QQEX LONG")
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alertcondition(isShort, title="QQEX Short", message="QQEX SHORT")
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alertcondition(isCloseLong, title="QQEX Close Long", message="QQEX CLOSE LONG")
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alertcondition(isCloseShort, title="QQEX Close Short", message="QQEX CLOSE SHORT")
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plotshape(isLong or isShort, title="Cross Alert Completed", location=location.bottom, color=isShort ? color.red : color.green, style=shape.circle, size=size.auto)
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plotshape(isCloseShort[1] or isCloseLong[1], title="Close Order", location=location.top, color=isCloseShort[1] ? color.red : color.green, style=shape.square, size=size.auto, offset=-1)
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if inTradeWindow and barstate.isconfirmed
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if isCloseLong
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strategy.close("Long", comment="QQEX Close Long")
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if isCloseShort
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strategy.close("Short", comment="QQEX Close Short")
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if isLong and enableLongs
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strategy.close("Short", comment="Reverse to Long")
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strategy.entry("Long", strategy.long, comment="QQEX Long")
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if isShort and enableShorts
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strategy.close("Long", comment="Reverse to Short")
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strategy.entry("Short", strategy.short, comment="QQEX Short")
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