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ESM2024.txt
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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © thinhdangho
//@version=5
strategy("ESM2024 - ALMA Smoothed Gaussian Moving Average", shorttitle = "ESM2024 - ALMA Moving Average", overlay=true, pyramiding=1, default_qty_type = strategy.fixed, default_qty_value = 1)
stopPerCall = input(0.08, title='Stop Loss Call %') / 100
takePerCall = input(0.03, title='Take Profit Call %') / 100
stopPerPut = input(0.07, title='Stop Loss Put %') / 100
takePerPut = input(0.02, title='Take Profit Put %') / 100
longStop = strategy.position_avg_price * (1 - stopPerCall)
shortStop = strategy.position_avg_price * (1 + stopPerPut)
shortTake = strategy.position_avg_price * (1 - takePerPut)
longTake = strategy.position_avg_price * (1 + takePerCall)
//ALMA Smoothing
src = input(close, title='Source', group = "ALMA Smoothing")
smooth = input.int(1, title='Smoothing', minval=1, group = "ALMA Smoothing")
length1 = input.int(25, title='Lookback', minval=1, group = "ALMA Smoothing")
offset = 0.85
sigma1 = 7
pchange = ta.change(src, smooth) / src * 100
avpchange = ta.alma(pchange, length1, offset, sigma1)
//RSI
rsi = ta.rsi(close, 14)
rsiL = rsi > rsi[1]
rsiS = rsi < rsi[1]
//Chande Momentum
length11 = 9
src1 = close
momm = ta.change(src1)
f1(m) => m >= 0.0 ? m : 0.0
f2(m) => m >= 0.0 ? 0.0 : -m
m1 = f1(momm)
m2 = f2(momm)
sm1 = math.sum(m1, length11)
sm2 = math.sum(m2, length11)
percent(nom, div) => 100 * nom / div
chandeMO = percent(sm1-sm2, sm1+sm2)
cL = chandeMO > chandeMO[1]
cS = chandeMO[1] < chandeMO[2]
//GAMA credit to author: © LeafAlgo https://www.tradingview.com/v/th7NZUPM/
length = input.int(26, minval=1, title="Length", group = "Gaussian Adaptive Moving Average")
adaptive = input.bool(true, title="Adaptive Parameters", group = "Gaussian Adaptive Moving Average")
volatilityPeriod = input.int(20, minval=1, title="Volatility Period", group = "Gaussian Adaptive Moving Average")
// Calculate Gaussian Moving Average
gma = 0.0
sumOfWeights = 0.0
sigma = adaptive ? ta.stdev(open, volatilityPeriod) : input.float(1.0, minval=0.1, title="Standard Deviation", group = "Gaussian Adaptive Moving Average")
for i = 0 to length - 1
weight = math.exp(-math.pow(((i - (length - 1)) / (2 * sigma)), 2) / 2)
value = ta.highest(avpchange, i + 1) + ta.lowest(avpchange, i + 1)
gma := gma + (value * weight)
sumOfWeights := sumOfWeights + weight
gma := (gma / sumOfWeights) / 2
gma:= ta.ema(gma, 7)
gmaColor = avpchange >= gma ? color.rgb(0, 161, 5) : color.rgb(215, 0, 0)
// Color bars based on signals until the next signal occurs
var int currentSignal = 0
currentSignal := avpchange >= gma ? 1 : -1//le_final ? -1 : currentSignal
//var color barColor = na
//if currentSignal == 1
// barColor := color.rgb(0, 186, 6)
//else if currentSignal == -1
// barColor := color.rgb(176, 0, 0)
//barcolor(barColor)
//plotcandle(open, high, low, close, "Bar Color", barColor, barColor, bordercolor = barColor)
//Plotting
ema = ta.ema(close, 7)
plot(ema, color=gmaColor, linewidth=3, title="Gaussian Moving Average")
buy_signal = ta.crossover(avpchange,gma) and barstate.isconfirmed
sell_signal = ta.crossunder(avpchange,gma) and barstate.isconfirmed
plotshape(buy_signal ? low : na, "Buy Signal", text = "B", textcolor = color.white, style = shape.labelup, location = location.belowbar, color = color.rgb(0, 161, 5), offset = -1)
plotshape(sell_signal ? high : na, "Sell Signal", text = "S", textcolor = color.white, style = shape.labeldown, location = location.abovebar, color = color.rgb(215, 0, 0), offset = -1)
//bgcolor(ta.crossover(avpchange,gma) and barstate.isconfirmed and rsiL and cL ? color.rgb(0, 162, 5, 85): na, offset = -1)
//bgcolor(ta.crossunder(avpchange,gma) and barstate.isconfirmed and rsiS and cS ? color.rgb(207, 0, 0, 85): na, offset = -1)
//barcolor(gmaColor)
alertcondition(ta.crossover(avpchange,gma) and barstate.isconfirmed, title="Buy Signal", message="Go Long! {{exchange}}:{{ticker}}")
alertcondition(ta.crossunder(avpchange,gma) and barstate.isconfirmed, title="Sell Signal", message="Go Short! {{exchange}}:{{ticker}}")
hr = hour(time_close, 'UTC-8')
mi = minute(time_close, 'UTC-8')
if buy_signal
strategy.entry("call", strategy.long)
if sell_signal
strategy.entry("put", strategy.short)
if strategy.position_size > 0 and sell_signal and rsiS and cS
strategy.close(id="call")
//call_price := 0.0
if strategy.position_size < 0 and buy_signal and rsiL and cL
strategy.close(id="put")
if(strategy.position_size > 0)
strategy.exit(id='call', limit=longTake,stop = longStop)
if(strategy.position_size < 0)
strategy.exit(id='put', limit=shortTake,stop = shortStop)