My strategy

hace 3 días

//version=5
strategy("Dynamic RSI Momentum", "DRM Strategy", process_orders_on_close = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 50 )

// +++++++++++++++++++++
// ++ INPUT ++
// +++++++++++++++++++++

// Momentum
len = input.int(10, "Momentum Length", 1, group = "Dynamic RSI Momentum")
src = input.source(close, "Source", group = "Dynamic RSI Momentum")

min_rsi = input.int(20, "Min RSI", group = "Dynamic RSI Momentum")
max_rsi = input.int(50, "Max RSI", group = "Dynamic RSI Momentum")

upLvl = input.float(70, "OverBought", 0, 100, group = "Dynamic RSI Momentum")
dnLvl = input.float(30, "OverSold", 0, 100, group = "Dynamic RSI Momentum")

// +++++++++++++++++++++
// ++ CALCULATION ++
// +++++++++++++++++++++

// RMA Function
rmaFun(src, len) =>
sma = ta.sma(src, len)
alpha = 1/len
sum = 0.0
sum := na(sum[1]) ? sma : alpha * src + (1 - alpha) * nz(sum[1])

// RSI Function
rsiFun(src, len) =>
100 - 100 / (1 + rmaFun(src - src[1] > 0 ? src - src[1] : 0, len) /
rmaFun(src[1] - src > 0 ? src[1] - src : 0, len))

// Momentum
momVal = src - src[len]

// Calculation Price vs Momentum
corr = ta.correlation(src, momVal, len)
corr := corr > 1 or corr < -1 ? float(na) : corr

rsiLen = 0
rsiLen := int(min_rsi + nz(math.round((1 - corr) * (max_rsi-min_rsi) / 2, 0), 0))

rsiMom = rsiFun(src, rsiLen)


// +++++++++++++++++++++
// ++ STRATEGY ++
// +++++++++++++++++++++

long = ta.crossover(rsiMom, dnLvl)
short = ta.crossunder(rsiMom, upLvl)


// +++> Long <+++++
if long and not na(rsiMom)
strategy.entry("Long", strategy.long)

// +++> Short <+++++
if short and not na(rsiMom)
strategy.entry("Short", strategy.short)

// +++++++++++++++++++++
// ++ PLOT ++
// +++++++++++++++++++++

plot(rsiMom, "Dynamic RSI Momentum", rsiMom < dnLvl ? color.green : rsiMom > upLvl ? color.red : color.yellow)

hline(50, "Mid Line", color.gray)

upperLine = hline(upLvl, "Upper Line", color.gray)
lowerLine = hline(dnLvl, "Lower Line", color.gray)
fill(upperLine, lowerLine, color.new(color.purple, 90), "Background Fill")