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FTL-范围过滤器X2+EMA+UO

Author: 雨幕（youquant）, Date: 2022-05-25 10:31:45
Tags: EMAUO
脚本结合了两个范围过滤器，一个EMA和最终振荡器。这是一种带有警报的指示器类型的脚本，非常适合一分钟的头皮操作，最初是为NAS100开发的，但已成功用于其他符号。这两个范围过滤器用于检测短期和中期趋势何时处于同一方向。 EMA表示长期趋势，UO用于确定资产是超买还是超卖。这一指标与分歧指标很好地结合在一起，以增加方向变化的汇合。
此指示器的其他功能： -配置是否仅在资产未超买或超卖时显示买卖标签 -选择是仅在价格高于均线时显示买入，还是仅在均线以下显示卖出 -指示趋势穿过均线的条形图，并选择交叉或交叉下方是否应仅在反向趋势中显示。 -可以确定趋势中的回调。这可能表明趋势持续。 -可以为回调、均线交叉和买入或卖出信号创建警报
回测测试
/*backtest
start: 2022-01-01 09:00:00
end: 2022-05-24 15:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["ContractType","rb888",360008]]
*/

//@version=5


// Original Script > @DonovanWall

// Previous Version > @guikroth
// Ultimate Oscillator > @PineCoders

// Updated by > @jwelmac


//////////////////////////////////////////////////////////////////////////
// Range Filter x 2, EMA and UO
//////////////////////////////////////////////////////////////////////////


indicator(title='FTL - Range Filter X2 + EMA + UO', overlay=true)

// Groups

string groupLeadingRange = "Leading Range Filter"
string groupTriggerRange = "Trigger Range Filter"
string groupEMA = "EMA"
string groupUO = "Ultimate Oscillator (UO)"
string GROUP_BUY_OPTIONS = "Buy Options"
string GROUP_SELL_OPTIONS = "Sell Options"


//-------  *********  --------  *********  ---------
// Range Filter (Leader) {

// Source
src = input(defval=hl2, title='数据源', group=groupLeadingRange)

// Sampling Period
per = input.int(defval=30, minval=1, title='采样周期', group=groupLeadingRange)

// Range Multiplier
mult = input.float(defval=2.6, minval=0.1, title='区间乘数', group=groupLeadingRange)

// Smooth Average Range {
smoothrng(x, t, m) =>
    wper = t * 2 - 1
    avrng = ta.ema(math.abs(x - x[1]), t)
    _smoothrng = ta.ema(avrng, wper) * m
    _smoothrng
// }
smrng = smoothrng(src, per, mult)

// Range Filter{
rngfilter(x, r) =>
    rngfilt = x
    rngfilt := x > nz(rngfilt[1]) ? x - r < nz(rngfilt[1]) ? nz(rngfilt[1]) : x - r : x + r > nz(rngfilt[1]) ? nz(rngfilt[1]) : x + r
    rngfilt
//}
filt = rngfilter(src, smrng)

// Filter Direction

upward = 0.0
upward := filt > filt[1] ? nz(upward[1]) + 1 : filt < filt[1] ? 0 : nz(upward[1])

downward = 0.0
downward := filt < filt[1] ? nz(downward[1]) + 1 : filt > filt[1] ? 0 : nz(downward[1])


// Colors

filtcolor = upward > 0 ? color.lime : downward > 0 ? color.red : color.orange

filtplot = plot(filt, color=filtcolor, linewidth=1, title='Range Filter (Leader)')

// }
//-------  *********  --------  *********  ---------

//-------  *********  --------  *********  ---------
// Range Filter (Trigger){
// Source
src2 = input(defval=ohlc4, title='数据源', group=groupTriggerRange)

// Sampling Period
// Settings for 1min chart, US 100.

per2 = input.int(defval=48, minval=1, title='采样周期', group=groupTriggerRange)

// Range Multiplier

mult2 = input.float(defval=3.4, minval=0.1, title='区间乘数', group=groupTriggerRange)

// Smooth Average Range

smrng2 = smoothrng(src2, per2, mult2)

// Range Filter

rngfilt2(x, r) =>
    rngfilt = x
    rngfilt := x > nz(rngfilt[1]) ? x - r < nz(rngfilt[1]) ? nz(rngfilt[1]) : x - r : x + r > nz(rngfilt[1]) ? nz(rngfilt[1]) : x + r
    rngfilt
filt2 = rngfilt2(src2, smrng2)

// Filter Direction

upward2 = 0.0
upward2 := filt2 > filt2[1] ? nz(upward2[1]) + 1 : filt2 < filt2[1] ? 0 : nz(upward2[1])
downward2 = 0.0
downward2 := filt2 < filt2[1] ? nz(downward2[1]) + 1 : filt2 > filt2[1] ? 0 : nz(downward2[1])

// Colors

filtcolor2 = upward2 > 0 ? color.lime : downward2 > 0 ? color.red : color.orange

filtplot2 = plot(filt2, color=filtcolor2, linewidth=3, title='Range Filter (trigger)')

barcolor = src2 > filt2 and upward2 > 0
   ? color.green 
   : src2 < filt2 and downward > 0 
     ? color.red 
     : color.rgb(120, 123, 134)
// Bar Color
//barcolor(barcolor)

// }
//-------  *********  --------  *********  ---------


//-------  *********  --------  *********  ---------
// Default EMA 144 {
len4 = input.int(144, minval=1, title='周期', group=groupEMA)
src4 = input(close, title='数据源')
ema = ta.ema(src4, len4)
plot(ema, linewidth=3, color=color.new(color.yellow, 0), title='EMA')
closeAboveEma = close > ema
closeBelowEma = close < ema

uptrendCrossoverOnly = input.bool(false, title="仅在上升趋势中显示交叉", group=groupEMA)
downtrendCrossunderOnly = input.bool(false, title="仅在下降趋势中显示交叉", group=groupEMA)
// END EMA
// }
//-------  *********  --------  *********  ---------


// ------ UO {
average(bp, tr_, length) => math.sum(bp, length) / math.sum(tr_, length)
uo() =>
    length1 = input.int(7, minval=1, title = "快线周期", group=groupUO), 
    length2 = input.int(14, minval=1, title = "中线周期", group=groupUO), 
    length3 = input.int(28, minval=1, title = "慢线周期", group=groupUO)
    high_ = math.max(high, close[1])
    low_ = math.min(low, close[1])
    bp = close - low_
    tr_ = high_ - low_
    avg7 = average(bp, tr_, length1)
    avg14 = average(bp, tr_, length2)
    avg28 = average(bp, tr_, length3)
    100 * (4*avg7 + 2*avg14 + avg28)/7
uoLevel = uo()
// }



// Break Outs
// Conditions {

longCond = bool(na)
shortCond = bool(na)
longCond := src > filt2 and src > src[1] and upward2 > 0 or src > filt2 and src < src[1] and upward2 > 0
shortCond := src < filt2 and src < src[1] and downward2 > 0 or src < filt2 and src > src[1] and downward2 > 0

CondIni = 0
CondIni := longCond ? 1 : shortCond ? -1 : CondIni[1]


// Long (Buy){
overBoughtLevel = input.float(defval=60, minval=50, title='UO超买值', group=GROUP_BUY_OPTIONS)
longWhenNotOverbought = input.bool(true, title = '仅在未超买时显示买入（UO）', tooltip = 'Show BUY Signal only when not overbought according to UO', group=GROUP_BUY_OPTIONS)
longOnlyAboveEma = input.bool(true, title = '仅在均线上方显示买入', tooltip = 'Show BUY Signal only when price closes above the EMA', group=GROUP_BUY_OPTIONS)

longCondition = longCond and CondIni[1] == -1
overBought = uoLevel > overBoughtLevel

if (longCondition and longWhenNotOverbought)
    longCondition := not overBought
    
if (longCondition and longOnlyAboveEma)
    longCondition := closeAboveEma
//}

// Short (Sell){
overSoldLevel = input.float(defval=40, maxval=50, title='UO超卖值', group=GROUP_SELL_OPTIONS)
shortWhenNotOversold = input.bool(true, title = '仅在未超卖时显示卖出（UO）', tooltip = 'Show SELL Signal only when not oversold according to UO', group=GROUP_SELL_OPTIONS)
shortOnlyBelowEma = input.bool(true, title = '仅在均线以下显示卖出', tooltip = 'Show SELL Signal only when price closes below the EMA', group=GROUP_SELL_OPTIONS)

shortCondition = shortCond and CondIni[1] == 1
overSold = uoLevel < overSoldLevel

if (shortCondition and shortWhenNotOversold)
    shortCondition := not overSold
    
if (shortCondition and shortOnlyBelowEma)
    shortCondition := closeBelowEma
//}

// }

// Trend directions {
trendUp = upward and upward2
trendDown = downward and downward2
// }

// MA Crossover{
arrowSize = size.small

emaCrossover = 'EMA Crossover'
didEmaCrossover = (not uptrendCrossoverOnly or trendUp) and ta.crossover(close, ema)
plotshape(
  didEmaCrossover, 
  title = emaCrossover,
  style = shape.triangleup, 
  size = arrowSize, 
  location = location.belowbar, 
  color = color.new(color.green, 0)
  )

emaCrossunder = 'EMA Crossunder'
didEmaCrossunder = (not downtrendCrossunderOnly or trendDown) and ta.crossunder(close, ema)
plotshape(
  didEmaCrossunder, 
  title = emaCrossunder,
  style = shape.triangledown, 
  size = arrowSize, 
  location = location.abovebar, 
  color = color.new(color.red, 0)
  )
// }

// Pullbacks (a possible indicator of trend continuation) {
// Conditions: 
// - Both filters going in same direction 
sameDirection = trendUp or trendDown

// Did the previous candle close in the opposite direction 
prevOpp = (trendUp and close[1] < open[1]) or (trendDown and open[1] < close[1])

// Is the current candle in the trend direction
inTrendDirection = (trendDown and close < open) or (trendUp and close > open)

// - previous candle: crossover one or both in downtrend, crossunder one or both in uptrend
prevLimit = trendDown ? high[1] : low[1]
var previousCross = false

if (trendDown)
    previousCross := ta.crossover(prevLimit, filt[1]) or ta.crossover(prevLimit, filt2[1])
else 
    previousCross := ta.crossunder(prevLimit, filt[1]) or ta.crossunder(prevLimit, filt2[1])

// - current candle: crossunder one or both in downtrend, crossover one or both in uptrend
currentReturn = trendDown
  ? close < filt
  : close > filt

pullback = prevOpp and inTrendDirection and sameDirection and previousCross and currentReturn

uptrendPullback = 'Uptrend Pullback'
isUptrendPullback = pullback and trendUp
plotshape(
  isUptrendPullback, 
  title = uptrendPullback,
  style = shape.diamond, 
  size = arrowSize, 
  location = location.belowbar, 
  color = color.new(color.green, 0)
  )

downtrendPullback = 'Downtrend Pullback'
isDowntrendPullback = pullback and trendDown
plotshape(
  isDowntrendPullback, 
  title = 'Downtrend Pullback',
  style = shape.diamond, 
  size = arrowSize, 
  location = location.abovebar, 
  color = color.new(color.red, 0)
  )

// }

// Buy/Sell Signal {
plotshape(longCondition, title='Buy Signal', text='BUY', textcolor=color.new(color.white, 0), style=shape.labelup, size=size.normal, location=location.belowbar, color=color.new(color.green, 0))
plotshape(shortCondition, title='Sell Signal', text='SELL', textcolor=color.new(color.white, 0), style=shape.labeldown, size=size.normal, location=location.abovebar, color=color.new(color.red, 0))
//}

//Alerts{

alertcondition(longCondition, title='Buy Alert', message='BUY')
alertcondition(shortCondition, title='Sell Alert', message='SELL')

alertcondition(didEmaCrossover, title = emaCrossover, message = emaCrossover)
alertcondition(didEmaCrossunder, title = emaCrossunder, message = emaCrossover)

alertcondition(isUptrendPullback, title=uptrendPullback, message = uptrendPullback)
alertcondition(isDowntrendPullback, title=downtrendPullback, message = downtrendPullback)
// }


// For use like Strategy, {

//1. Change the word  "indicator" for "strategy" at the top
//2.  Remove the "//" below

//strategy.entry( id = "Long", long = true, when = longCondition )
//strategy.close( id = "Long", when = shortCondition )
// }

if longCondition
    strategy.entry("Enter Long", strategy.long)
else if shortCondition
    strategy.entry("Enter Short", strategy.short)
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