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mertriver1
17 мар 2020 г., 22:26

Laguerre RSI by KivancOzbilgic STRATEGY 

OANDA:USDJPY15
USD/JPYOANDA

Описание

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Backtesting.

tradingview.com/script/B094baNp-Laguerre-RSI/

" Laguerre RSI is based on John EHLERS' Laguerre Filter to avoid the noise of RSI .

Change alpha coefficient to increase/decrease lag and smoothness.

Buy when Laguerre RSI crosses upwards above 20.
Sell when Laguerre RSI crosses down below 80.

While indicator runs flat above 80 level, it means that an uptrend is strong.
While indicator runs flat below 20 level, it means that a downtrend is strong. "

Developer: John EHLERS
Author: KivancOzbilgic
OscillatorsCentered OscillatorsRelative Strength Index (RSI)laguerrekivancozbilgicstrategy
Комментарии
gtrco
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Why do you wait a candle before generating the signal? also long signals are being generated with any cross ( around 50) What are the criteria?
rimasmm99
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Isjejd
seyitcolak96
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Merhaba, bu strateji rewrite değil umarım? çünkü 80'i aşağı kırdığında satış veya 20'yi yukarı kırdığında alım vermiyor. Sanki hep avantajlı pozisyonlarda al sat gösteriyor backtestte. rewrite olup olmadığını nasıl anlayabiliriz?
Thomas_MND
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Hello mertriver1, thank you !
Do you know how to convert this strategy into an automatic alert?
mertriver1
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@th0mas021, You are welcome! Click on the link below for the original script. Set plots level 50 to create an alarm that fits my strategy.

tradingview.com/script/B094baNp-Laguerre-RSI/?_ga=2.129162248.567743836.1585915673-987054578.1568566383
Thomas_MND
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@mertriver1, Thank you !
Thomas_MND
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@mertriver1, I dont know how to do it can you copy me the code please ?
mertriver1
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@th0mas021,

// This source code is subject to the terms of the Mozilla Public License 2.0 at mozilla.org/MPL/2.0/
// © mertriver1
// Developer: John EHLERS
//@version=3
// Author:Kıvanç Özbilgiç
strategy("Laguerre RSI", shorttitle="LaRSI", overlay=false)
src = input(title="Source", defval=close)
alpha = input(title="Alpha", type=float, minval=0, maxval=1, step=0.1, defval=0.2)
colorchange = input(title="Change Color ?", type=bool, defval=false)

Date1 = input(true, title = "=== Date Backtesting ===")
FromDay1 = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth1 = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear1 = input(defval = 2020, title = "From Year", minval = 2017)

ToDay1 = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth1 = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear1 = input(defval = 9999, title = "To Year", minval = 2017)

start1 = timestamp(FromYear1, FromMonth1, FromDay1, 00, 00)
finish1 = timestamp(ToYear1, ToMonth1, ToDay1, 23, 59)
window1() => time >= start1 and time <= finish1 ? true : false

gamma=1-alpha
L0 = 0.0
L0 := (1-gamma) * src + gamma * nz(L0[1])
L1 = 0.0
L1 := -gamma * L0 + nz(L0[1]) + gamma * nz(L1[1])

L2 = 0.0
L2 := -gamma * L1 + nz(L1[1]) + gamma * nz(L2[1])

L3 = 0.0
L3 := -gamma * L2 + nz(L2[1]) + gamma * nz(L3[1])

cu= (L0>L1 ? L0-L1 : 0) + (L1>L2 ? L1-L2 : 0) + (L2>L3 ? L2-L3 : 0)

cd= (L0<L1 ? L1-L0 : 0) + (L1<L2 ? L2-L1 : 0) + (L2<L3 ? L3-L2 : 0)

temp= cu+cd==0 ? -1 : cu+cd
LaRSI=temp==-1 ? 0 : cu/temp

Color = colorchange ? (LaRSI > LaRSI[1] ? green : red) : blue
plot(100*LaRSI, title="LaRSI", linewidth=2, color=Color, transp=0)
plot(20,linewidth=1, color=maroon, transp=0)
plot(80,linewidth=1, color=maroon, transp=0)

strategy.entry("Long", true, when = window1() and crossover(cu, cd))
strategy.entry("Short", false, when = window1() and crossunder(cu, cd))
Ещё