EVWMA VWAP MACD Strategy [QuantNomad]

本页源码来自 TradingView 公开发布的开源脚本，版权归原作者所有， 请遵循其原始许可（Pine 脚本常见 CC BY-NC-SA / MPL-2.0 / MIT）。 本项目仅用于研究检索与许可范围内的移植。

Pine Script

//@version=4
strategy("EVWMA VWAP MACD Strategy [QuantNomad]", shorttitle="EVWMA_VWAP_MACD[QN]", overlay=false)
 
// Inputs
sum_length     = input(30, title = "EVWMA Length",       type = input.integer)
signal_length1 = input(5,  title = "Signal Smoothing 1", type = input.integer)
signal_length2 = input(20, title = "Signal Smoothing 2", type = input.integer)
 
// Calculate EVWMA
vol_period = sum(volume, sum_length)
 
evwma = 0.0
evwma := ((vol_period - volume) * nz(evwma[1], close) + volume * close) / (vol_period)
 
// Calculate MACD
diff = vwap - evwma
macd   = ema(diff, signal_length1)
signal = ema(diff, signal_length2)
hist = macd - signal
 
// Plot 
plot(hist,   title="Histogram", style=plot.style_columns, color=(hist>=0 ? (hist[1] < hist ? #26A69A : #B2DFDB) : (hist[1] < hist ? #FFCDD2 : #EF5350) ), transp=0 )
plot(macd,   title="MACD",   color= #0094ff, transp=0)
plot(signal, title="Signal", color= #ff6a00, transp=0)
 
// Strategy
strategy.entry("short",  false, when = crossunder(macd, signal))
strategy.entry("long",   true,  when = crossover(macd, signal) )

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