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jma-dwma-by-multigrain.md

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Name

jma-dwma-by-multigrain

Author

ChaoZhang

Strategy Description

This crossover system was originally conceptualized by Jurik Research and made public to the world on their website.

The indicator consists of the faster Jurik Moving Average ( JMA ) and the slower Double Weighted Moving Average (DWMA). A long signal is shown when the JMA line crosses above the DWMA line (indicating a possible reversal in trend). A short signal is shown when the JMA line crosses below the DWMA line. Take profit signals are shown when the JMA line reverses directions. Alerts for signals are included in this indicator.

The default settings are not optimized for any timeframe. Both JMA and DWMA lines are defaulted to hidden.

Credit to @everget for the re-creation of the Jurik Moving Average in pinecsript.

backtest

IMG

Strategy Arguments

Argument Default Description
v_input_bool_1 true Enable longs?
v_input_bool_2 true Enable shorts?
v_input_source_1_close 0 (?JMA)JMA Source: close
v_input_int_1 7 JMA Length
v_input_int_2 50 JMA Phase
v_input_float_1 true JMA Power
v_input_source_2_close 0 (?DWMA)DWMA Source: close
v_input_int_3 10 DWMA Length

Source (PineScript)

/*backtest
start: 2022-04-07 00:00:00
end: 2022-05-06 23:59:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © multigrain
// @version=5

indicator('jma + dwma by multigrain', 'jma + dwma', overlay=true)

//NAME            TYPE               DEFVAL     TITLE               MIN     MAX         GROUP       
longs           = input.bool        (true,      'Enable longs?')
shorts          = input.bool        (true,     'Enable shorts?')

jmaSrc          = input.source      (close,     'JMA Source',                           group='JMA')
jmaLen          = input.int         (7,         'JMA Length',       0,      100,        group='JMA')
jmaPhs          = input.int         (50,        'JMA Phase',        -100,   100,        group='JMA')
jmaPwr          = input.float       (1,         'JMA Power',        0.1,                group='JMA')

dwmaSrc         = input.source      (close,     'DWMA Source',                          group='DWMA')
dwmaLen         = input.int         (10,        'DWMA Length',      1,      100,        group='DWMA')

// Jurik Moving Average
f_jma(_src, _length, _phase, _power) =>
    phaseRatio  = _phase < -100 ? 0.5 : _phase > 100 ? 2.5 : _phase / 100 + 1.5
    beta        = 0.45 * (_length - 1) / (0.45 * (_length - 1) + 2)
    alpha       = math.pow(beta, _power)
    jma         = 0.0
    e0          = 0.0
    e0          := (1 - alpha) * _src + alpha * nz(e0[1])
    e1          = 0.0
    e1          := (_src - e0) * (1 - beta) + beta * nz(e1[1])
    e2          = 0.0
    e2          := (e0 + phaseRatio * e1 - nz(jma[1])) * math.pow(1 - alpha, 2) + math.pow(alpha, 2) * nz(e2[1])
    jma         := e2 + nz(jma[1])
    jma

// Double Weighted Moving Average
f_dwma(_src, _length) =>
    ta.wma(ta.wma(_src, _length), _length)


// Calculations
jma             = f_jma             (jmaSrc,    jmaLen,     jmaPhs,     jmaPwr)
dwma            = f_dwma            (dwmaSrc,   dwmaLen)
long            = ta.crossover      (jma,       dwma) 
long_tp         = ta.pivothigh      (jma,       1,          1)              and jma > dwma
short_tp        = ta.pivotlow       (jma,       1,          1)              and jma < dwma
short           = ta.crossunder     (jma,       dwma)
if longs
    strategy.entry("Buy", strategy.long, when=long)
    strategy.close("Buy", when=long_tp)
if shorts
    strategy.entry("Sell", strategy.short, when=short)
    strategy.close("Sell", when=short_tp)

Detail

https://www.fmz.com/strategy/361844

Last Modified

2022-05-09 00:17:15