JayRogers

Open Close Cross Strategy

Revision: 1

Description:
  • Strategy based around Open-Close Crossovers, which can be tuned for smooth trend trading, or with a little care even work for choppy waters .
Setup:
  • I have generally found that setting the strategy resolution to 3-4x that of the chart you are viewing tends to yield the best results, regardless of which MA option you may choose (if any)
  • Don't aim for perfection. Just aim to get a reasonably snug fit with the O-C band, with good runs of green and red.
  • Option to either use basic open and close series data, or pick your poison with a wide array of MA types.
  • Optional trailing stop for damage mitigation if desired (can be toggled on/off)
  • Positions get taken directly following a crossover - which is why it's better to set the resolution of the script greater than that of your chart, so that the trades get taken sooner rather than later.
  • If you make use of the trailing stops, be sure to take your time tweaking the values. Cutting it too fine may cost you profits but keep you safer, while letting them loose could lead to more drawdown than you can handle.
Keluarkan daripada Skrip Pilihan Tambah kepada Skrip Pilihan
//@version=2

strategy(title = "Open Close Cross Strategy", shorttitle = "OCC Strategy", overlay = true, pyramiding = 0, default_qty_type = strategy.percent_of_equity, default_qty_value = 10)

// Revision:        1
// Author:          @JayRogers
//
// Description:
//  - Strategy based around Open-Close Crossovers.
// Setup:
//  - I have generally found that setting the strategy resolution to 3-4x that of the chart you are viewing
//    tends to yield the best results, regardless of which MA option you may choose (if any)
//  - Don't aim for perfection. Just aim to get a reasonably snug fit with the O-C band, with good runs of
//    green and red.
//  - Option to either use basic open and close series data, or pick your poison with a wide array of MA types.
//  - Optional trailing stop for damage mitigation if desired (can be toggled on/off)
//  - Positions get taken automagically following a crossover - which is why it's better to set the resolution
//    of the script greater than that of your chart, so that the trades get taken sooner rather than later.
//  - If you make use of the trailing stops, be sure to take your time tweaking the values. Cutting it too fine
//    will cost you profits but keep you safer, while letting them loose could lead to more drawdown than you
//    can handle.

// === INPUTS ===
useRes      = input(defval = true, title = "Use Alternate Resolution? ( recommended )")
stratRes    = input(defval = "120", title = "Set Resolution ( should not be lower than chart )", type = resolution)
useMA       = input(defval = true, title = "Use MA? ( otherwise use simple Open/Close data )")
basisType   = input(defval = "DEMA", title = "MA Type: SMA, EMA, DEMA, TEMA, WMA, VWMA, SMMA, HullMA, LSMA, ALMA ( case sensitive )", type = string)
basisLen    = input(defval = 14, title = "MA Period", minval = 1)
offsetSigma = input(defval = 6, title = "Offset for LSMA / Sigma for ALMA", minval = 0)
offsetALMA  = input(defval = 0.85, title = "Offset for ALMA", minval = 0, step = 0.01)
useStop     = input(defval = true, title = "Use Trailing Stop?")
slPoints    = input(defval = 200, title = "Stop Loss Trail Points", minval = 1)
slOffset    = input(defval = 400, title = "Stop Loss Trail Offset", minval = 1)
// === /INPUTS ===

// === BASE FUNCTIONS ===
// Returns MA input selection variant, default to SMA if blank or typo.
variant(type, src, len, offSig, offALMA) =>
    v1 = sma(src, len)                                                  // Simple
    v2 = ema(src, len)                                                  // Exponential
    v3 = 2 * v2 - ema(v2, len)                                          // Double Exponential
    v4 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len)               // Triple Exponential
    v5 = wma(src, len)                                                  // Weighted
    v6 = vwma(src, len)                                                 // Volume Weighted
    v7 = na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len    // Smoothed
    v8 = wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len)))   // Hull
    v9 = linreg(src, len, offSig)                                       // Least Squares
    v10 = alma(src, len, offALMA, offSig)                               // Arnaud Legoux
    type=="EMA"?v2 : type=="DEMA"?v3 : type=="TEMA"?v4 : type=="WMA"?v5 : type=="VWMA"?v6 : type=="SMMA"?v7 : type=="HullMA"?v8 : type=="LSMA"?v9 : type=="ALMA"?v10 : v1
// security wrapper for repeat calls
reso(exp, use, res) => use ? security(tickerid, res, exp) : exp
// === /BASE FUNCTIONS ===

// === SERIES SETUP ===
// open/close
closeSeries = useMA ? reso(variant(basisType, close, basisLen, offsetSigma, offsetALMA), useRes, stratRes) : reso(close, useRes, stratRes)
openSeries  = useMA ? reso(variant(basisType, open, basisLen, offsetSigma, offsetALMA), useRes, stratRes) : reso(open, useRes, stratRes)
trendState  = closeSeries > openSeries ? true : closeSeries < openSeries ? false : trendState[1]
// === /SERIES ===

// === PLOTTING ===
barcolor(color = closeSeries > openSeries ? #006600 : #990000, title = "Bar Colours")
// channel outline
closePlot   = plot(closeSeries, title = "Close Line", color = #009900, linewidth = 2, style = line, transp = 90)
openPlot    = plot(openSeries, title = "Open Line", color = #CC0000, linewidth = 2, style = line, transp = 90)
// channel fill
closePlotU  = plot(trendState ? closeSeries : na, transp = 100, editable = false)
openPlotU   = plot(trendState ? openSeries : na, transp = 100, editable = false)
closePlotD  = plot(trendState ? na : closeSeries, transp = 100, editable = false)
openPlotD   = plot(trendState ? na : openSeries, transp = 100, editable = false)
fill(openPlotU, closePlotU, title = "Up Trend Fill", color = #009900, transp = 40)
fill(openPlotD, closePlotD, title = "Down Trend Fill", color = #CC0000, transp = 40)
// === /PLOTTING ===

// === STRATEGY ===
// conditions
longCond    = crossover(closeSeries, openSeries)
shortCond   = crossunder(closeSeries, openSeries)
// entries and base exit
strategy.entry("long", strategy.long, when = longCond)
strategy.entry("short", strategy.short, when = shortCond)
// if we're using the trailing stop
if (useStop)
    strategy.exit("XL", from_entry = "long", trail_points = slPoints, trail_offset = slOffset)
    strategy.exit("XS", from_entry = "short", trail_points = slPoints, trail_offset = slOffset)
// not sure needed, but just incase..
strategy.exit("XL", from_entry = "long", when = shortCond)
strategy.exit("XS", from_entry = "short", when = longCond)
// === /STRATEGY ===
Love it, great work Jay
Balas
:-1
Balas
Hi Jay! Is it possible to insert an alert to the long/short signals?
+12 Balas
hi @JayRogers , what part of your code is used to plot the entry/exit value under the text long/short?
+3 Balas
how to sue in btxusd?
+2 Balas
repaint repaint repaint...
+6 Balas
It's a ballshit
+9 Balas
is there a way to fix it?
Balas
signal for short is more low and some time after, it move higher... do not use it with real money...
Balas
useless indicator, if u want to lose money it will be perfect... You can pay me and i will tell you about Short or Long after some time...
+1 Balas
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