HMK-2 | PCA-1 + Rejim + Chebyshev + VWAP (Input'lu, v6)
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คำอธิบาย
📌 HMK-2 | PCA-1 + Regime + Chebyshev + VWAP Strategy
1️⃣ Core Structure
Instead of relying on a single indicator, this system uses the Z-Score normalized average of three oscillators (RSI, MFI, ROC).
Signal (PCA-1):
RSI(14), MFI(14), ROC(5) → each is converted into a z-score.
Their average becomes the “composite signal,” our PCA-1 value.
Trend direction: If the Z-score EMA is rising → trend UP. If falling → trend DOWN.
2️⃣ Side Filters
Regime Filter (ADX + EMA)
ADX is calculated manually.
If ADX > 20 → trend exists → a 50-period EMA of this value smooths it.
This turns “trend regime” into a probability between 0–1.
Chebyshev Filter
A return series is checked against mean ± k*sigma bands.
If the return is within this band → valid signal. Extreme moves are filtered out.
VWAP Filter
Long trades: price must be above VWAP.
Short trades: price must be below VWAP.
Trades are only taken on the correct side of institutional cost averages.
3️⃣ Entry Conditions
Long:
PCA-1 signal crosses above threshold.
Trend Up + Regime OK + Chebyshev OK + Above VWAP.
Short:
PCA-1 signal crosses below threshold.
Trend Down + Regime OK + Chebyshev OK + Below VWAP.
4️⃣ Exit Mechanism
Main Exit: ATR-based stop/target.
Stop = entry price – ATR × (SL factor).
Take profit = entry price + ATR × (TP factor).
Additional Exit:
If price crosses to the opposite side of VWAP.
If PCA-1 signal crosses zero.
👉 Prevents trades from being locked, makes exits adaptive.
5️⃣ Labels / Visualization
AL / SHORT → entry points.
SAT / COVER → exit points.
VWAP line plotted in blue.
🧩 Strategy Features
Optimizable parameters:
Z-window (zWin)
Threshold
Chebyshev factor
ATR stop/target multipliers
This system works with:
Disciplined core (PCA-1 signal)
Triple protection (Regime + Chebyshev + VWAP)
Adaptive exits (ATR + VWAP/signal cross)
👉 Not a “single-indicator robot,” but a multi-filtered trade direction engine.
💡 Final Note
This is a base model of the system — open for further development.
I’ve shared the logic to give you a roadmap.
If you spot errors, fix them → that’s how you’ll improve it.
Don’t waste time asking me questions — refine and build it better yourselves.
Wishing you profitable trades. Stay well 🙏
รูป Preview
Pine Script Source
// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Servet2662
//@version=6
strategy("HMK-2 | PCA-1 + Rejim + Chebyshev + VWAP (Input'lu, v6)", overlay=true, pyramiding=0, default_qty_type=strategy.percent_of_equity, default_qty_value=10)
// --- INPUTLAR ---
zWin = input.int(20, "Z-Pencere", minval=5, maxval=200, step=1)
thr = input.float(0.20, "Eşik (Threshold)", step=0.05, minval=0.0, maxval=2.0)
retLen = input.int(5, "Getiri Periyodu", minval=1, maxval=50)
muLen = input.int(100, "Chebyshev Ortalama Periyodu", minval=20, maxval=500)
kCheb = input.float(2.0, "Chebyshev Katsayı", step=0.1, minval=0.5, maxval=5.0)
adxLen = input.int(14, "ADX Periyodu", minval=5, maxval=50)
probLen= input.int(50, "Rejim EMA Periyodu", minval=5, maxval=200)
atrLen = input.int(14, "ATR Periyodu", minval=5, maxval=50)
slATR = input.float(2.0, "Stop (ATR çarpanı)", step=0.1, minval=0.5, maxval=10.0)
tpATR = input.float(2.0, "Hedef (ATR çarpanı)", step=0.1, minval=0.5, maxval=10.0)
// --- Z-SCORE FONK ---
zscore(src, len) =>
ma = ta.sma(src, len)
sd = ta.stdev(src, len)
sd != 0 ? (src - ma) / sd : 0.0
// --- GÖSTERGELER ---
rsi14 = ta.rsi(close, 14)
mfi14 = ta.mfi(hlc3, 14)
roc5 = ta.roc(close, 5)
// PCA-1
zRSI = zscore(rsi14, zWin)
zMFI = zscore(mfi14, zWin)
zROC = zscore(roc5, zWin)
signal = (zRSI + zMFI + zROC) / 3.0
// Trend filtresi
emaZ = ta.ema(close, zWin)
trendUp = emaZ > emaZ[1]
trendDn = emaZ < emaZ[1]
// --- ADX MANUEL ---
f_adx(len) =>
up = ta.change(high)
down = -ta.change(low)
plusDM = (up > down and up > 0) ? up : 0.0
minusDM = (down > up and down > 0) ? down : 0.0
tr1 = high - low
tr2 = math.abs(high - close[1])
tr3 = math.abs(low - close[1])
tr = math.max(tr1, math.max(tr2, tr3))
trRma = ta.rma(tr, len)
plusDMRma = ta.rma(plusDM, len)
minusDMRma= ta.rma(minusDM, len)
plusDI = trRma != 0 ? 100 * plusDMRma / trRma : 0.0
minusDI = trRma != 0 ? 100 * minusDMRma / trRma : 0.0
den = plusDI + minusDI
dx = den != 0 ? 100 * math.abs(plusDI - minusDI) / den : 0.0
ta.rma(dx, len)
adxVal = f_adx(adxLen)
regimeTrend = adxVal > 20 ? 1.0 : 0.0
probTrend = ta.ema(regimeTrend, probLen)
regOK_Long = probTrend > 0.50
regOK_Short = probTrend > 0.50
// --- CHEBYSHEV ---
ret = (close - close[retLen]) / close[retLen]
mu = ta.sma(ret, muLen)
sigma = ta.stdev(ret, muLen)
upper = mu + kCheb * sigma
lower = mu - kCheb * sigma
chebOK = (sigma > 0) and (ret < upper) and (ret > lower)
// --- VWAP ---
vwap = ta.vwap
aboveVWAP = close >= vwap
belowVWAP = close <= vwap
// --- GİRİŞ KOŞULLARI ---
longEntry = ta.crossover(signal, thr) and trendUp and regOK_Long and chebOK and aboveVWAP
shortEntry = ta.crossunder(signal, -thr) and trendDn and regOK_Short and chebOK and belowVWAP
// --- EMİRLER ---
if (longEntry and strategy.position_size <= 0)
strategy.entry("Long", strategy.long)
if (shortEntry and strategy.position_size >= 0)
strategy.entry("Short", strategy.short)
// --- ÇIKIŞ: ATR SL/TP ---
atr = ta.atr(atrLen)
if strategy.position_size > 0
strategy.exit("Long Exit", "Long", stop=strategy.position_avg_price - slATR*atr, limit=strategy.position_avg_price + tpATR*atr)
if strategy.position_size < 0
strategy.exit("Short Exit","Short", stop=strategy.position_avg_price + slATR*atr, limit=strategy.position_avg_price - tpATR*atr)
// --- EK ÇIKIŞ (VWAP kırılımı veya sıfır kesişim) ---
if strategy.position_size > 0 and (ta.crossunder(close, vwap) or ta.crossunder(signal, 0.0))
strategy.close("Long", comment="VWAP/Sinyal Çıkış")
if strategy.position_size < 0 and (ta.crossover (close, vwap) or ta.crossover (signal, 0.0))
strategy.close("Short", comment="VWAP/Sinyal Çıkış")
// --- ETİKETLER ---
plotshape(longEntry, title="AL", style=shape.labelup, text="AL", location=location.belowbar, color=color.new(color.green,0), textcolor=color.white, size=size.tiny)
plotshape(shortEntry, title="SHORT", style=shape.labeldown, text="SHORT", location=location.abovebar, color=color.new(color.red,0), textcolor=color.white, size=size.tiny)
closedLong = strategy.position_size == 0 and strategy.position_size[1] > 0
closedShort = strategy.position_size == 0 and strategy.position_size[1] < 0
plotshape(closedLong, title="SAT", style=shape.labeldown, text="SAT", location=location.abovebar, color=color.new(color.orange,0), textcolor=color.white, size=size.tiny)
plotshape(closedShort, title="COVER", style=shape.labelup, text="COVER", location=location.belowbar, color=color.new(color.blue,0), textcolor=color.white, size=size.tiny)
// --- ÇİZGİ ---
plot(vwap, title="VWAP", color=color.new(color.blue, 0), linewidth=2)