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.
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***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)