AMACD All Moving Average Convergence Divergence

/*backtest
start: 2022-04-09 00:00:00
end: 2022-05-08 23:59:00
period: 30m
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/
// © EltAlt

//@version=5

//  -----------------------------------------------------------------------------
//
//  Authors:  @EltAlt
//  Revision: v3.00
//  Date:     09-May-2022
//
//  Description
//  =============================================================================
//  This indicator displays the Moving Average Convergane and Divergence (MACD) of individually configured Fast, Slow and Signal Moving 
//  Averages. Buy and sell alerts can be set based on moving average crossovers, consecutive convergence/divergence of the moving averages,
//  and directional changes in the histogram moving averages. 
//
//  The Fast, Slow and Signal Moving Averages can be set to:
//  Simple Moving Average (SMA)
//  Exponential Moving Average (EMA)
//  Weighted Moving Average (WMA)
//  Volume-Weighted Moving Average (VWMA)
//  Hull Moving Average (HMA) 
//  Exponentially Weighted Moving Average (RMA) (SMMA)
//  Linear regression curve Moving Average (LSMA)
//  Double EMA (DEMA)
//  Double SMA (DSMA)
//  Double WMA (DWMA)
//  Double RMA (DRMA)
//  Triple EMA (TEMA)
//  Triple SMA (TSMA)
//  Triple WMA (TWMA)
//  Triple RMA (TRMA)
//  Symmetrically Weighted Moving Average (SWMA) ** length does not apply **
//  Arnaud Legoux Moving Average (ALMA)
//  Variable Index Dynamic Average (VIDYA)
//  Fractal Adaptive Moving Average (FRAMA)
//
//  If you have a strategy that can buy based on External Indicators you can use the 'Backtest Signal' which plots the values set in
//  the 'Long / Short Signals' section.
//  'Backtest Signal' is plotted to display.none, so change the Style Settings for the chart if you need to see it for testing.
//
//  =============================================================================
//
//  I would gladly accept any suggestions to improve the script.
//  If you encounter any problems please share them with me.
//
//  Thanks to Smartcryptotrade for "MACD Alert [All MA in one] [Smart Crypto Trade (SCT)]" which gave me the initial starting point.
//
//  Changlog
//  =============================================================================
//
//  2.01 • Added separate sources for the fast and slow moving averages.
//       • Added SWMA, because it's "All" moving averages. Interesting that SWMA doesn't take a length, so length will not apply.
//       • Consolidated MA functions for doubles and triples in to the calcMA function.
//       • Neatened up the inputs.
//  2.02 • Renamed to "AMACD - All Moving Average Convergence Divergence".
//       • Added ta.rising and ta.falling, which simplified things a lot, why didn't you tell me about these functions! :)
//       • Added a price plot with display=display.none for testing, color is green when above moving averages, red below and blue when
//         interacting.
//       • First Public release.
//  2.03 • Added a case for no signal smoothing, when signal length = 1.
//       • Re-wrote calcMA as a switch, much more pleasing on the eye.
//       • Removed all the security fluff which I'd never even read, "terms of the Mozilla Public License 2.0" is more comprehensive anyway.
//       • Added check boxes to quickly disable some of the default plots.
//  3.00 • Added options to generate open and close for both long and short positions. So if you are in a long position and your criteria
//         for a negative signal is met it will close your long, if another negative signal is generated it will open a short. If you're 
//         just trading the crossover this will keep you permanently trading short or long, as it's only when there are two or more 
//         consecutive signals are generated that will move you from longs to shorts. 
//       • Plots a Green Triangle for Open Long, a Green Square for Close Long, a Red Triangle for Open Short and a Red Square for 
//         Close Short.
//       • To do this I needed to track the sate of open deals. Could have done this with variables but thought plotting it may help, 
//         so "Deal State" plots a 1 if it's in a long, 0 if no deals are open and -1 if it's in a short, to display.none. Enable it 
//         in Stlye Settings if you need it for testing.  
//       • If you'd prefer that it just worked as it did before with simple Buy / Sell signals, which makes sense if you're just trading 
//         the crossover, disable the 'Generate Close Signals for Long / Short Positions' setting.
//       • Now that it can generate Open Long, Close Long, Open Short and Close Short signals I added a 'Long / Short Signals' section in 
//         settings, where you can specify what signals your backtester is expecting for each state.
//       • Moving averages are now plotted to display.none as well in case you want to see the price and the moving averages for testing.
//         You're much better off running my other script 'Any Ribbon' on the top pane to show the moving averages ribbon, but these 
//         options enable you to show them here if you want to.
//       • Added the option to buy / sell based on the moving average crossing zero, thanks Bu Bader!
//
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
//
//
// ============ "AMACD - All Moving Average Convergence Divergence"

indicator(title='AMACD - All Moving Average Convergence Divergence',
          shorttitle='AMACD',
          overlay = false, 
          timeframe='', 
          timeframe_gaps=true)


// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// ============ Inputs

FastType =   input.string('EMA', title='Fast Moving Average Type',   group='Moving Averages', options=['EMA', 'SMA', 'WMA', 'VWMA', 'HMA', 'RMA', 'LSMA', 'Double EMA', 'Double SMA', 'Double WMA', 'Double RMA', 'Triple EMA', 'Triple SMA', 'Triple WMA', 'Triple RMA', 'SWMA', 'ALMA', 'VIDYA', 'FRAMA'])
FastSource = input       (close, title='Fast Source', inline='Fast', group='Moving Averages')
FastLength = input.int   (12,    title='Fast Length', inline='Fast', group='Moving Averages', minval=2, maxval=1000)

SlowType   = input.string ('SMA', title='Slow Moving Average Type',   group='Moving Averages', options=['EMA', 'SMA', 'WMA', 'VWMA', 'HMA', 'RMA', 'LSMA', 'Double EMA', 'Double SMA', 'Double WMA', 'Double RMA', 'Triple EMA', 'Triple SMA', 'Triple WMA', 'Triple RMA', 'SWMA', 'ALMA', 'VIDYA', 'FRAMA'])
SlowSource = input        (close, title='Slow Source', inline='Slow', group='Moving Averages')
SlowLength = input.int    (26,    title='Slow Length', inline='Slow', group='Moving Averages', minval=2, maxval=1000)

SignalType   = input.string('SMA', title='Signal Moving Average Type',         inline='Signal', group='Moving Averages', options=['EMA', 'SMA', 'WMA', 'VWMA', 'HMA', 'RMA', 'LSMA', 'Double EMA', 'Double SMA', 'Double WMA', 'Double RMA', 'Triple EMA', 'Triple SMA', 'Triple WMA', 'Triple RMA', 'SWMA', 'ALMA', 'VIDYA', 'FRAMA'])
SignalLength = input.int   (9,     title='Signal Length', minval=1, maxval=1000, inline='Signal', group='Moving Averages')

offset_alma = input       (0.85, title='ALMA Offset', inline='1', group='Alma')
sigma_alma  = input.float (6,    title='ALMA Sigma',  inline='1', group='Alma')

FC = input.int(1,   minval=1, title='FRAMA lower shift limit (FC)', inline='1', group='Frama')
SC = input.int(198, minval=1, title='FRAMA upper shift limit (SC)', inline='1', group='Frama')

backtestBuyCrossover    = input.bool (true,  inline='1', group='Buy / Sell Moving Averages', title='Buy Moving Average Crossover')
backtestSellCrossover   = input.bool (true,  inline='1', group='Buy / Sell Moving Averages', title='Sell Moving Average Crossover')
backtestMACrossUpZero   = input.bool (false, inline='2', group='Buy / Sell Moving Averages', title='Buy Moving Average Crossing Zero')
backtestMACrossDownZero = input.bool (false, inline='2', group='Buy / Sell Moving Averages', title='Sell Moving Average Crossing Zero')

backtestBuyHistMA  = input.bool  (false,       inline='1', group='Buy / Sell Histogram Moving Averages', title='Buy Histogram MA Positive')
backtestSellHistMA = input.bool  (false,       inline='1', group='Buy / Sell Histogram Moving Averages', title='Sell Histogram MA Negative')
MAHistLength       = input.int   (5, minval=2, inline='2', group='Buy / Sell Histogram Moving Averages', title='Histogram MA Length')
MAHistType         = input.string('EMA',       inline='2', group='Buy / Sell Histogram Moving Averages', title='Histogram MA Type', options=['EMA', 'VWMA', 'SMA', 'WMA', 'HMA', 'RMA', 'ALMA', 'Double EMA', 'Double SMA', 'Double WMA', 'Double RMA', 'Triple EMA', 'Triple SMA', 'Triple WMA', 'Triple RMA', 'LSMA', 'VIDYA', 'FRAMA'])

backtestBuyRisingHist        = input.bool (false,       title='Buy MA Histogram Rising',                inline='1', group='Buy / Sell Histogram Rising / Falling')
backtestBuyRisingHistBelow   = input.bool (false,       title='Buy Histogram Rising Only Below Zero',   inline='1', group='Buy / Sell Histogram Rising / Falling')
risingHistLength             = input.int  (1, minval=1, title='Consecutive Rising Bars to Trigger Buy',             group='Buy / Sell Histogram Rising / Falling')
backtestSellFallingHist      = input.bool (false,       title='Sell MA Histogram Falling',              inline='2', group='Buy / Sell Histogram Rising / Falling')
backtestSellFallingHistAbove = input.bool (false,       title='Sell Histogram Falling Only Above Zero', inline='2', group='Buy / Sell Histogram Rising / Falling')
fallingHistLength            = input.int  (1, minval=1, title='Consecutive Falling Bars to Trigger Sell',           group='Buy / Sell Histogram Rising / Falling')

// Signal options
generateClose    = input.bool (true, inline='0', group='Long / Short Signals', title='Generate Close Signals for Long / Short Positions')
longOpenSignal   = input.int  (1,    inline='1', group='Long / Short Signals', title='Open Long = ')
longCloseSignal  = input.int  (2,    inline='1', group='Long / Short Signals', title='Close Long = ')
shortOpenSignal  = input.int  (-1,   inline='2', group='Long / Short Signals', title='Open Short = ')
shortCloseSignal = input.int  (-2,   inline='2', group='Long / Short Signals', title='Close Short = ')

// Plot options
plotAlerts = input.bool(true, title='Plot Alerts',                   inline='1', group='Plot Options')
plotMA     = input.bool(true, title='Plot Moving Average',           inline='1', group='Plot Options')
plotSig    = input.bool(true, title='Plot Signal',                   inline='1', group='Plot Options')
plotH      = input.bool(true, title='Plot Histogram',                inline='2', group='Plot Options')
plotHMA    = input.bool(true, title='Plot Histogram Moving Average', inline='2', group='Plot Options')

col_macd       = input(#2962FF, 'MACD Line  ',           group='Color Settings', inline='MACD')
col_signal     = input(#FF6D00, ' Signal Line  ',        group='Color Settings', inline='MACD')
col_grow_above = input(#26A69A, 'Histogram Above  Grow', group='Color Settings', inline='Above')
col_fall_above = input(#B2DFDB, 'Fall',                  group='Color Settings', inline='Above')
col_grow_below = input(#FFCDD2, 'Histogram Below  Grow', group='Color Settings', inline='Below')
col_fall_below = input(#FF5252, 'Fall',                  group='Color Settings', inline='Below')

var int dealstate = 0

// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// ============ Functions

getCMO(src, length) =>
    mom     = ta.change(src)
    upSum   = math.sum(math.max(mom, 0), length)
    downSum = math.sum(-math.min(mom, 0), length)
    out     = (upSum - downSum) / (upSum + downSum)
    out

vidya(src, length) =>
    alpha  = 2 / (length + 1)
    cmo    = math.abs(getCMO(src, length))
    vidya  = 0.0
    vidya := src * alpha * cmo + nz(vidya[1]) * (1 - alpha * cmo)
    vidya

frama(x, y, z, v) =>
    // x = source , y = length , z = FC , v = SC
    HL        = (ta.highest(high, y) - ta.lowest(low, y)) / y
    HL1       = (ta.highest(high, y / 2) - ta.lowest(low, y / 2)) / (y / 2)
    HL2       = (ta.highest(high, y / 2)[y / 2] - ta.lowest(low, y / 2)[y / 2]) / (y / 2)
    D         = (math.log(HL1 + HL2) - math.log(HL)) / math.log(2)
    dim       = HL1 > 0 and HL2 > 0 and HL > 0 ? D : nz(D[1])
    w         = math.log(2 / (v + 1))
    alpha     = math.exp(w * (dim - 1))
    alpha1    = alpha > 1 ? 1 : alpha < 0.01 ? 0.01 : alpha
    oldN      = (2 - alpha1) / alpha1
    newN      = (v - z) * (oldN - 1) / (v - 1) + z
    newalpha  = 2 / (newN + 1)
    newalpha1 = newalpha < 2 / (v + 1) ? 2 / (v + 1) : newalpha > 1 ? 1 : newalpha
    frama     = 0.0
    frama    := (1 - newalpha1) * nz(frama[1]) + newalpha1 * x
    frama

calcMA(_type, _src, _length) =>
    switch _type 
        'EMA'        => ta.ema(_src, _length)
        'SMA'        => ta.sma(_src, _length)
        'WMA'        => ta.wma(_src, _length)
        'VWMA'       => ta.vwma(_src, _length)
        'HMA'        => ta.hma(_src, _length)
        'RMA'        => ta.rma(_src, _length)
        'LSMA'       => ta.linreg(_src, _length, 0)
        'Double EMA' => 2 * ta.ema(_src, _length) - ta.ema(ta.ema(_src, _length), _length)
        'Double SMA' => 2 * ta.sma(_src, _length) - ta.sma(ta.sma(_src, _length), _length)
        'Double WMA' => 2 * ta.wma(_src, _length) - ta.wma(ta.wma(_src, _length), _length)
        'Double RMA' => 2 * ta.rma(_src, _length) - ta.rma(ta.rma(_src, _length), _length)
        'Triple EMA' => 3 * (ta.ema(_src, _length) - ta.ema(ta.ema(_src, _length), _length)) + ta.ema(ta.ema(ta.ema(_src, _length), _length), _length)
        'Triple SMA' => 3 * (ta.sma(_src, _length) - ta.sma(ta.sma(_src, _length), _length)) + ta.sma(ta.sma(ta.sma(_src, _length), _length), _length)
        'Triple WMA' => 3 * (ta.wma(_src, _length) - ta.wma(ta.wma(_src, _length), _length)) + ta.wma(ta.wma(ta.wma(_src, _length), _length), _length)
        'Triple RMA' => 3 * (ta.rma(_src, _length) - ta.rma(ta.rma(_src, _length), _length)) + ta.rma(ta.rma(ta.rma(_src, _length), _length), _length)
        'SWMA'       => ta.swma(_src)        // No Length for SWMA
        'ALMA'       => ta.alma(_src, _length, offset_alma, sigma_alma)
        'VIDYA'      => vidya(_src, _length)
        'FRAMA'      => frama(_src, _length, FC, SC)


// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// ============ Calculations

MA_fast = calcMA(FastType, FastSource, FastLength)
MA_slow = calcMA(SlowType, SlowSource, SlowLength)

macd   = MA_fast - MA_slow
signal = SignalLength > 1 ? calcMA(SignalType, macd, SignalLength) : 0
hist   = macd - signal
histMA = calcMA(MAHistType, hist, MAHistLength)


// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// ============ Logic

longSignal  = ta.crossover(hist, 0)
shortSignal = ta.crossunder(hist, 0)

MACrossUpZero   = ta.crossover(macd, 0)
MACrossDownZero = ta.crossover(macd, 0)

longHistMA  = histMA > histMA[1]
shortHistMA = histMA < histMA[1]

risingHist  = ta.rising  (hist, risingHistLength)  and (hist < 0 or not backtestBuyRisingHistBelow)
fallingHist = ta.falling (hist, fallingHistLength) and (hist > 0 or not backtestSellFallingHistAbove)

bool openLong   = false
bool closeLong  = false
bool openShort  = false
bool closeShort = false

if ((backtestBuyCrossover      and longSignal)
     or (backtestBuyHistMA     and longHistMA and not longHistMA[1])
     or (backtestBuyRisingHist and risingHist and not risingHist[1])
     or (backtestMACrossUpZero and MACrossUpZero))
    if (dealstate[1] == -1) and generateClose
        closeShort := true
        dealstate := 0
    else
        openLong := true
        dealstate := 1

if ((backtestSellCrossover       and shortSignal)
     or (backtestSellHistMA      and shortHistMA and not shortHistMA[1])
     or (backtestSellFallingHist and fallingHist and not fallingHist[1])
     or (backtestMACrossDownZero and MACrossDownZero))
    if (dealstate[1] == 1) and generateClose
        closeLong := true
        dealstate := 0
    else
        openShort := true
        dealstate := -1


// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// ============ Plot
plot(plotH   ? hist   : na, title='Histogram', style=plot.style_columns, color=hist >= 0 ? hist[1] < hist ? col_grow_above : col_fall_above : hist[1] < hist ? col_grow_below : col_fall_below, linewidth=2)
plot(plotHMA ? histMA : na, title='Histogram Moving Average', color=histMA > histMA[1] ? col_grow_above : col_fall_below, linewidth=2)
plot(plotMA  ? macd   : na, title='Moving Average', color=col_macd, linewidth=2)
plot(plotSig ? signal : na, title='Signal', color=col_signal, linewidth=2)

plot(openLong ? longOpenSignal : closeLong ? longCloseSignal : openShort ? shortOpenSignal : closeShort ? shortCloseSignal : 0, 'Backtest Signal', color=openLong or closeShort ? color.lime : openShort or closeLong? color.red : color.gray, display=display.none)

plot(close, title='Price', display=display.none, color = (low > MA_fast and low > MA_slow ? true : false) ? color.lime : (high < MA_fast and high < MA_slow ? true : false) ? color.red : color.blue)
plot(MA_fast, title= 'Fast Moving Average', display=display.none, color = color.red)
plot(MA_slow, title= 'Slow Moving Average', display=display.none, color = color.green)
plot(dealstate, title='Deal State', display=display.none, color = (dealstate > 0 ? color.lime : dealstate < 0 ? color.red : color.gray))

// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// ============ Alerts

alertcondition (openLong,   title='AMACD Open Long!',   message='Buy signal, put your JSON here to open deals or start bots.')
alertcondition (openShort,  title='AMACD Open Short!',  message='Sell signal, put your JSON here to close deals or stop bots.')
alertcondition (closeShort, title='AMACD Close Short!', message='Buy signal, put your JSON here to open deals or start bots.')
alertcondition (closeLong,  title='AMACD Close Long!',  message='Sell signal, put your JSON here to close deals or stop bots.')

//plotshape (plotAlerts ? openLong and longOpenSignal     : na, style=shape.triangleup,   color=color.lime, location=location.bottom, size=size.tiny, title='Open Long')
//plotshape (plotAlerts ? closeLong and longCloseSignal   : na, style=shape.square,       color=color.lime, location=location.bottom, size=size.tiny, title='Close Long')
//plotshape (plotAlerts ? openShort and shortOpenSignal   : na, style=shape.triangledown, color=color.red,  location=location.bottom, size=size.tiny, title='Open Short')
//plotshape (plotAlerts ? closeShort and shortCloseSignal : na, style=shape.square,       color=color.red,  location=location.bottom, size=size.tiny, title='Close Short')

if openLong and longOpenSignal
    strategy.entry("Enter Long", strategy.long)
else if openShort and shortOpenSignal
    strategy.entry("Enter Short", strategy.short)
    
strategy.close("Enter Long",when=(closeLong and longCloseSignal),comment="Long_OK")
strategy.close("Enter Short",when=(closeShort and shortCloseSignal),comment="Short_OK")