The AlphaTrend strategy is a trading strategy that uses various indicators to determine entry and exit points for trades. Here's a breakdown of what the strategy does:
Indicator Calculation:
Calculates the Exponential Moving Average (EMA) with a time period of 200. Calculates the Relative Strength Index (RSI) with a time period of 14.
Calculates the Money Flow Index (MFI) with a time period of 14.
Calculates the True Range (TR) and Average True Range (ATR) using the TRANGE and SMA functions.
Alpha Trend Calculation: Iterates over a range of alpha coefficients. Calculates the alpha trend values using the alpha_trend function, which takes the DataFrame (df), ATR, coefficient (coeff), and MFI threshold as inputs. Adds the calculated alpha trend values to the DataFrame with corresponding column names. Entry Trend Calculation: Determines entry points for long and short trades based on specific conditions. Uses the crossed_above and crossed_below functions from the qtpylib library to check for crosses above and below the alpha trend values. Performs grouping and cumulative counting operations on the DataFrame to identify the order of occurrence for entry conditions. Updates the "enter_long" and "enter_short" columns in the DataFrame based on the defined conditions. Exit Trend Calculation: Determines exit points for long and short trades based on specific conditions. Uses the crossed_above and crossed_below functions to check for crosses above and below the alpha trend values. Performs grouping and cumulative counting operations to identify the order of occurrence for exit conditions. Updates the "exit_long" and "exit_short" columns in the DataFrame based on the defined conditions. Leverage Calculation: Contains a method that calculates the leverage for a trade. Takes parameters such as pair, current_time, current_rate, proposed_leverage, max_leverage, and side. Returns a leverage value of 2 in this case. Stop Loss Calculation: Contains a method that calculates the stop loss for a trade. Takes parameters such as pair, trade, current_time, current_rate, and current_profit. Calculates the stop loss based on defined profit thresholds (PF_1, PF_2) and corresponding stop loss levels (SL_1, SL_2). Returns the stop loss value based on the calculated values. Overall, the AlphaTrend strategy uses indicators like EMA, RSI, MFI, ATR, and custom calculations to generate entry and exit signals for trading. It also includes methods to calculate leverage and stop loss levels for trades.
Calculates the Money Flow Index (MFI) with a time period of 14.
Calculates the True Range (TR) and Average True Range (ATR) using the TRANGE and SMA functions.
Alpha Trend Calculation: Iterates over a range of alpha coefficients. Calculates the alpha trend values using the alpha_trend function, which takes the DataFrame (df), ATR, coefficient (coeff), and MFI threshold as inputs. Adds the calculated alpha trend values to the DataFrame with corresponding column names. Entry Trend Calculation: Determines entry points for long and short trades based on specific conditions. Uses the crossed_above and crossed_below functions from the qtpylib library to check for crosses above and below the alpha trend values. Performs grouping and cumulative counting operations on the DataFrame to identify the order of occurrence for entry conditions. Updates the "enter_long" and "enter_short" columns in the DataFrame based on the defined conditions. Exit Trend Calculation: Determines exit points for long and short trades based on specific conditions. Uses the crossed_above and crossed_below functions to check for crosses above and below the alpha trend values. Performs grouping and cumulative counting operations to identify the order of occurrence for exit conditions. Updates the "exit_long" and "exit_short" columns in the DataFrame based on the defined conditions. Leverage Calculation: Contains a method that calculates the leverage for a trade. Takes parameters such as pair, current_time, current_rate, proposed_leverage, max_leverage, and side. Returns a leverage value of 2 in this case. Stop Loss Calculation: Contains a method that calculates the stop loss for a trade. Takes parameters such as pair, trade, current_time, current_rate, and current_profit. Calculates the stop loss based on defined profit thresholds (PF_1, PF_2) and corresponding stop loss levels (SL_1, SL_2). Returns the stop loss value based on the calculated values. Overall, the AlphaTrend strategy uses indicators like EMA, RSI, MFI, ATR, and custom calculations to generate entry and exit signals for trading. It also includes methods to calculate leverage and stop loss levels for trades.
stoploss: -0.99 timeframe: 5m hash(sha256): ad2cf59f56d15453a19253ed9493d9281baf1b25397c538ebbe9f4bccdd84f50
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last change: 2024-05-03 03:11:13