Name
T-Step-LSMA
Author
Zer3192
Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_1 | 100 | length |
| v_input_2 | 0.5 | sc |
| v_input_3 | false | No Smoothing |
Source (PineScript)
/*backtest
start: 2021-05-08 00:00:00
end: 2022-05-07 23:59:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
study("T-Step LSMA",overlay=true)
length = input(100),sc = input(.5),ns = input(false,"No Smoothing")
//----
b = 0.,ls = 0.
src = sc*close+(1-sc)*nz(ls[1],close)
//----
er = 1 - abs(change(src,length))/sum(abs(change(src)),length)
n = cum(1)-1
a = cum(abs(src - nz(b[1],src)))/n*(1+er)
b := src > nz(b[1],src) + a ? src : src < nz(b[1],src) - a ? src : nz(b[1],src)
//----
alpha = fixnan(correlation(src,b,length) * (stdev(src,length)/stdev(b,length)))
beta = sma(src,length) - alpha*sma(b,length)
ls := alpha*b+beta
//----
osc = 0
osc := b > b[1] ? 1 : b < b[1] ? 0 : osc[1]
css = osc == 1 ? color.blue :#e65100
plot(ns ? b : fixnan(ls),color=css,linewidth=3,transp=0)
alertcondition(change(osc)>0,title="Up",message="Up-trending Market Estimated")
alertcondition(change(osc)<0,title="Dn",message="Down-trending Market Estimated")
buySignal = change(osc)>0
sellSignal= change(osc)<0
if buySignal
strategy.entry("buy", strategy.long)
else if sellSignal
strategy.entry("sell", strategy.short)
Detail
https://www.fmz.com/strategy/370711
Last Modified
2022-06-25 16:26:42