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Bitcoin Regime Filter Strategy

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Sunil Jadhav
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187 views

Bitcoin Regime Filter Strategy

Uploaded by

Sunil Jadhav
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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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/
// © ZenAndTheArtOfTrading / www.PineScriptMastery.com
// @version=5
strategy("Bitcoin Regime Filter Strategy",
overlay=true,
initial_capital=10000,
currency=currency.USDT,
default_qty_type=strategy.percent_of_equity,
default_qty_value=100,
commission_type=strategy.commission.percent,
commission_value=0.1)

// Get user input


res = input.timeframe(title="Timeframe", defval="W")
len = input.int(title="EMA Length", defval=20)
marketTF = input.timeframe(title="Market Timeframe", defval="D")
useRsi = input.bool(title="Use RSI Momentum Filter", defval=false)
rsiMom = input.int(title="RSI Momentum Threshold", defval=70)
startTime = input.time(title="Start Filter", defval=timestamp("01 Jan 2000 13:30
+0000"), group="Time Filter", tooltip="Start date & time to begin searching for
setups")
endTime = input.time(title="End Filter", defval=timestamp("1 Jan 2099 19:30
+0000"), group="Time Filter", tooltip="End date & time to stop searching for
setups")

// Define custom security function


f_sec(_market, _res, _exp) => request.security(_market, _res,
_exp[barstate.isconfirmed ? 0 : 1])

// Define date filter


dateFilter(int st, int et) => time >= st and time <= et

// Get EMA value


ema = ta.ema(close, len)
htfEmaValue = f_sec(syminfo.tickerid, res, ema)

// Get ATR value


atrValue = ta.atr(5)

// Check if price is above or below EMA filter


marketPrice = f_sec(syminfo.tickerid, marketTF, close)
regimeFilter = marketPrice > (htfEmaValue + (atrValue * 0.25))

// Calculate RSI
rsiValue = ta.rsi(close, 7)

// Get bullish momentum filter


bullish = regimeFilter and (rsiValue > rsiMom or not useRsi)

// Check for bearish volatility caution


caution = bullish and ta.highest(high, 7) - low > (atrValue * 1.5)

// Set momentum color


bgCol = color.red
if bullish[1]
bgCol := color.green
if caution[1]
bgCol := color.orange
// Change background color
plotshape(1, color=bgCol, style=shape.square, location=location.bottom,
size=size.auto, title="Momentum Strength")
plot(htfEmaValue, color=close > htfEmaValue ? color.green : color.red, linewidth=2)

// Store trailing ratchet stop loss


var float trailStop = na

// Handle strategy entry


if bullish and strategy.position_size == 0 and dateFilter(startTime, endTime) and
not caution
strategy.entry(id="Buy", direction=strategy.long)
trailStop := na

// Handle trailing stop


temp_trailStop = ta.highest(low, 7) - (caution[1] ? atrValue * 0.2 : atrValue)
if strategy.position_size > 0
if temp_trailStop > trailStop or na(trailStop)
trailStop := temp_trailStop

// Handle strategy exit


if (close < trailStop or close < htfEmaValue)
strategy.close("Buy", comment="Sell")

// Draw stop
plot(strategy.position_size[1] > 0 ? trailStop : na, style=plot.style_linebr,
color=color.red, title="Stop Loss")

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