This strategy can identify the trending market and the choppy market. It tries to catch swings in the choppy market and catch the big move in the trending market.
Ordre annulé:
***THERE IS SOMETHING WRONG WITH SHOWING THE STRATEGY ON THE GRAPH. THIS VERSION OF STRATEGY IS ALREADY DISCARDED. FIXING!!!***
//@version=2
//Created and coded by Shanghai Reed Asset Management Co., Ltd.
//本策略为上海蘆田资產管理有限公司制
//市场测温策略
strategy("[蘆田资產]Thermostat", overlay=true)
//Input
bollLength = input(50, title = "Bollinger Length", minval = 1)
trLiqLength = input(50, title = "Trend Liq")
numStdev = input(2, title = "No. of Std. Dev.")
swingPct1 = input(0.5, title = "Swing Percent 1")
swingPct2 = input(0.75, title = "Swing Percent 2")
atrLength = input(10, title = "ATR Length")
swingTrSwitch = input(20, title = "Swing Trade Switch")
//Choppy Market Index
cmiPeriod = input(30, title = "CMI Length")
cmi(Period) =>
shortLength = Period - 1
cmi = abs(close - close[shortLength]) / (highest(high, Period) - lowest(low, Period)) * 100
//Default Setting
cmiVal = cmi(cmiPeriod)
buyEasierDay = 0
sellEasierDay = 0
trendLokBuy = sma(low,3)
trendLokSell = sma(high,3)
keyOfDay = (high + low + close)/3
//Find Buy and Sell Easier Day
if(close > keyOfDay)
sellEasierDay = 1
if(close <= keyOfDay)
buyEasierDay = 1
//Find buy and sell point
if(buyEasierDay == 1)
swingBuyPt = close + swingPct1 * atr(atrLength)
swingSellPt = close - swingPct2 * atr(atrLength)
//Set Swing Trade Point
swingBuyPtN = max(swingBuyPt, trendLokBuy)
swingSellPtN = min(swingSellPt, trendLokSell)
//Set Trend Trade Point
basis = sma(close, bollLength)
buyDev = numStdev * stdev(close, bollLength)
trendBuyPt = basis + buyDev
sellDev = numStdev * stdev(close, bollLength)
trendSellPt = basis - sellDev
//Strategy Entry
swingTrendCondition = cmiVal < swingTrSwitch? 1 : 0
swingStop = 3 * atr(atrLength)
if (swingTrendCondition == 1)
if(strategy.position_size != 1)
strategy.entry("SwingBuy", strategy.long, stop = swingBuyPtN)
if(strategy.position_size != -1)
strategy.entry("SwingSell", strategy.short, stop = swingSellPtN)
if (swingTrendCondition == 0)
strategy.entry("TrendBuy", strategy.long, stop = trendBuyPt)
strategy.entry("TrendSell", strategy.short, stop = trendSellPt)
//Strategy Exit
strategy.exit(id = "ExitLong", from_entry = "TrendBuy", stop = sma(close, trLiqLength))
strategy.exit(id = "ExitShort", from_entry = "TrendSell", stop = sma(close, trLiqLength))
strategy.exit(id = "ExitLong", from_entry = "SwingBuy", stop = strategy.position_avg_price - swingStop)
strategy.exit(id = "ExitShort", from_entry = "SwingSell", stop = strategy.position_avg_price - swingStop)
if(sellEasierDay == 1)
swingBuyPt = close + swingPct2 * atr(atrLength),
swingSellPt = close - swingPct1 * atr(atrLength)
//Set Swing Trade Point
swingBuyPtN = max(swingBuyPt, trendLokBuy)
swingSellPtN = min(swingSellPt, trendLokSell)
//Set Trend Trade Point
basis = sma(close, bollLength)
buyDev = numStdev * stdev(close, bollLength)
trendBuyPt = basis + buyDev
sellDev = numStdev * stdev(close, bollLength)
trendSellPt = basis - sellDev
//Strategy Entry
swingTrendCondition = cmiVal < swingTrSwitch? 1 : 0
swingStop = 3 * atr(atrLength)
if (swingTrendCondition == 1)
if(strategy.position_size != 1)
strategy.entry("SwingBuy", strategy.long, stop = swingBuyPtN)
if(strategy.position_size != -1)
strategy.entry("SwingSell", strategy.short, stop = swingSellPtN)
if (swingTrendCondition == 0)
strategy.entry("TrendBuy", strategy.long, stop = trendBuyPt)
strategy.entry("TrendSell", strategy.short, stop = trendSellPt)
//Strategy Exit
strategy.exit(id = "ExitLong", from_entry = "TrendBuy", stop = sma(close, trLiqLength))
strategy.exit(id = "ExitShort", from_entry = "TrendSell", stop = sma(close, trLiqLength))
strategy.exit(id = "ExitLong", from_entry = "SwingBuy", stop = strategy.position_avg_price - swingStop)
strategy.exit(id = "ExitShort", from_entry = "SwingSell", stop = strategy.position_avg_price - swingStop)