RePaNoCHa quantitative Handelsstrategie

Erstellungsdatum: 2023-09-25 18:29:33 zuletzt geändert: 2023-09-25 18:29:33

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Die RePaNoCHa-Strategie ist eine quantitative Handelsstrategie, die mehrere Indikatoren und Risikomanagementmechanismen integriert. Sie gibt hauptsächlich Kauf- und Verkaufssignale aus, indem sie die Trendrichtung und potenzielle Wendepunkte beurteilt. Die Strategie verfügt gleichzeitig über mobile Stop-Loss-, feste Stop-Loss- und Stop-Stop-Einstellungen, um Gewinne zu sichern und Risiken zu kontrollieren.

Strategieprinzip

Die Strategie umfasst mehrere Kennzahlen:

T3-Durchschnittswert: Maß für die Richtung der Preisentwicklung.
Indikator für die durchschnittliche Bandbreite: Identifizieren Sie Preisschwankungen und legen Sie Zielzonen fest.
Der ADX-Indikator beurteilt die Tendenz als schwach.
SAR-Indikator: Zeigt potenzielle Wendepunkte.
Der RSI-Indikator: Überkauf- und Überverkaufszonen.
Der MACD-Indikator zeigt die Preisbewegung.

Wenn mehrere der oben genannten Indikatoren einheitliche Signale geben, beginnt die Strategie, einen Trend zu beurteilen, der ein Kauf- und Verkaufssignal erzeugt. Nach dem Einstieg verwendet die Strategie einen linearen, beweglichen Stop-Loss, der einen bestimmten Prozentsatz des Höchst-/Tiefstpreises verfolgt und mit zunehmender Gewinnspanne schrittweise nach oben bewegt, um die Gewinne zu sperren.

Konkret wird ein Mehrwertsignal erzeugt, wenn der Preis über dem Zielbereich liegt, T3 steigt, ADX-Bewertung, SAR-Bewertung, RSI über der Mittellinie, MACD-Positiv. Gegenteilige Bedingungen erzeugen ein Leerwertsignal. Stop- und Stop-Loss-Sätze werden jeweils auf 1% und 3% des Einstiegspreises festgelegt.

Analyse der Stärken

Mehrfache Indikatoren, um die Genauigkeit zu verbessern

Die Gefahr einer Fehleinschätzung eines einzelnen Indikators kann dadurch vermieden werden, dass mehrere Indikatoren berücksichtigt werden, z. B. Trends, Überkaufen, Überverkaufen und Umkehrungen.

Mobile Stop-Loss-Mechanismen sind flexibel zu verfolgen und Gewinne zu sichern

Die mobile Stop-Loss-Distanz wird mit der Gewinneveränderung angepasst, um die Preisschwankungen besser zu verfolgen und Gewinne zu lockern.

Fixed Stop-Loss-Kontrolle für maximale Verluste

Die Festsetzung eines Stop-Loss-Prozentsatzes begrenzt den maximalen Verlust pro Einheit und verhindert eine Ausweitung der Verluste.

Benutzerdefinierte Parameterkombinationen

Die Parameter des Indikators sind frei anpassbar und können je nach Handelsart angepasst werden.

Risikoanalyse

Mehrindikator-Kombinationen machen Entscheidungen schwieriger

Zu viele Kennzahlen können zu einer Ausschluss von Kennzahlen führen, was die Entscheidungsfindung erschwert und die Wirksamkeit der Kennzahlen sorgfältig beurteilen muss.

Marktausbrüche werden gedeckt oder eingestellt.

In Zeiten starker Preisschwankungen kann ein Stop leicht eingeschaltet werden oder häufig ausgelöst werden.

Häufige Transaktionen erhöhen die Kosten

Kurze Linien erhöhen die Handelsfrequenz und die Kosten für die Gleitpunkte und beeinträchtigen die tatsächlichen Gewinne.

Parameter sind schwierig zu optimieren

Es ist sehr schwierig, die verschiedenen Kombinationen von Kennzahlen zu testen und zu optimieren, und es müssen ausreichend historische Daten unterstützt werden.

Optimierungsrichtung

Beurteilung der tatsächlichen Wirkung der Indikatoren und Vermeidung von Redundanz

Durch Kontrolltests werden die tatsächlichen Beiträge der einzelnen Indikatoren zur Signalsteigerung untersucht und überflüssige Indikatoren entfernt.

Optimierung der mobilen Stop-Loss-Algorithmen

Verschiedene Stop-Loss-Trailing-Algorithmen werden getestet, um eine bessere Methode zu finden, um die Gewinne von Stop-Loss zu verfolgen.

Berücksichtigung der Festplatten-Slipping-Punkte und Gebühren

Einführung von Rückmessungen der tatsächlichen Transaktionskosten und Unterstützung bei der Entscheidungsfindung.

Optimierung der Zeitabschnittsparameter

Optimierung der Parameter für die Hoch- und die Niedrig-Schwankungszeit, um die Strategie-Stabilität zu verbessern.

Zusammenfassen

Die RePaNoCHa-Strategie ermöglicht durch die Integration mehrerer Indikatoren und Stop-Loss-Mechanismen eine relativ stabile Quantifizierung von Handelsentscheidungen und Gewinn- und Verlustmanagement. Die Handelsfrequenz ist jedoch höher und die Optimierung der Parameter ist komplexer.

Strategiequellcode

/*backtest
start: 2022-09-18 00:00:00
end: 2023-09-24 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

strategy(title = "RePaNoCHa V4 [Backtest]", overlay = true, initial_capital = 1000, pyramiding = 100,
   calc_on_order_fills = false, calc_on_every_tick = false, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_value = 0.075)

//study(title="RePaNoCHa V4 [Alerts]", overlay=true)

// 
// Copyright by XaviZ v1.0 26/07/2019 
//
// Script for automatic trading with Alerts (Use Backtest to customize your own settings)
//
// LG --> Long (green:not confirmed) (lime: confirmed)
// ST --> Short (maroon: not confirmed) (red: confirmed)
// TS --> Trailing Stop
// xL --> Close Long Position
// xS --> Close Short Position
// SL --> Stop Loss
//
// The trailing stop closes the trade if the price changes direction by a specified percentage or offset. 
// There is no ideal distance because markets and price are always changing and we know that is impossible to exit on the top or bottom. 
// This script interpolate the trailing Stop Offset with profit, higher profit --> higher Trailing Stop Offset. Despite this, it's difficult to catch the price but not impossible.
// It has a TS delay too. It take a snapshot every X seconds, if the TS is activated the alert is triggered, otherwise the price keeps fluctuating until a new snapshot. 
//
// Thanks...
//
// BTC: 3LEUP3WjQctdbFjBavcmRGUVRBje8bptCd
// ETH: 0x518AAD4746912ae506c82B747488306186c4d546
// 

// INITIAL SETTINGS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

Position = input("BOTH", "POSITIONS", options = ["BOTH","LONG","SHORT"])
src = input(hlc3, "SOURCE", type = input.source)

// T3
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

T3_len = input(3, "T3 LENGTH", minval = 2)
a1 = input(0.4, "T3 VOLUME FACTOR", step = 0.1, minval = 0.1)

T3(_src,_T3_len,_a1)=>
    e1=ema(_src, _T3_len)
    e2=ema(e1,_T3_len)
    e3=ema(e2,_T3_len)
    e4=ema(e3,_T3_len)
    e5=ema(e4,_T3_len)
    e6=ema(e5,_T3_len)
    c1=-_a1*_a1*_a1
    c2=3*_a1*_a1+3*_a1*_a1*_a1
    c3=-6*_a1*_a1-3*_a1-3*_a1*_a1*_a1
    c4=1+3*_a1+_a1*_a1*_a1+3*_a1*_a1
    _T3=c1*e6+c2*e5+c3*e4+c4*e3
    _T3

T3_Rising = T3(src,T3_len,a1) > T3(src,T3_len,a1)[1]
T3_Falling = T3(src,T3_len,a1) < T3(src,T3_len,a1)[1]

T3_color = T3_Rising ? color.green : T3_Falling ? color.red : color.yellow

plot(T3(src,T3_len,a1), color=T3_color, linewidth = 3, title= "T3")

// RANGE FILTER
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

per = input(defval=23, title="SAMPLING PERIOD", minval=1)
mult = input(defval=1.5, title="RANGE MULTIPLIER", minval=0.1, step = 0.1)

Range_filter(_src, _per, _mult)=>
    var float _upward = 0.0
    var float _downward = 0.0
    wper      = (_per*2) - 1
    avrng     = ema(abs(_src - _src[1]), _per)
    _smoothrng = ema(avrng, wper)*_mult
    _filt  = _src
    _filt := _src > nz(_filt[1]) ? ((_src-_smoothrng) < nz(_filt[1]) ? nz(_filt[1]) : (_src-_smoothrng)) : ((_src+_smoothrng) > nz(_filt[1]) ? nz(_filt[1]) : (_src+_smoothrng))
    _upward := _filt > _filt[1] ? nz(_upward[1]) + 1 : _filt < _filt[1] ? 0 : nz(_upward[1])
    _downward := _filt < _filt[1] ? nz(_downward[1]) + 1 : _filt > _filt[1] ? 0 : nz(_downward[1])
    [_smoothrng,_filt,_upward,_downward]

[smoothrng, filt, upward, downward] = Range_filter(src, per, mult)

hband = filt + smoothrng
lband = filt - smoothrng

filtcolor = upward > 0 ? color.lime : downward > 0 ? color.red : color.orange
filtplot = plot(filt, color = filtcolor, linewidth = 3, title="Range Filter", editable = false)

hbandplot = plot(hband, color = color.aqua, transp = 60, title = "High Target", editable = false)
lbandplot = plot(lband, color = color.aqua, transp = 60, title = "Low Target", editable = false)

fill(hbandplot, filtplot, color = color.aqua, title = "High Target Range", editable = false)
fill(lbandplot, filtplot, color = color.aqua, title = "Low Target Range", editable = false)

// ADX MasaNakamura version
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

ADX_len = input(12, title="ADX LENGTH", type=input.integer, minval = 1)
th = input(8, title="ADX THRESHOLD", type=input.integer, minval = 0)

calcADX(_ADX_len)=>
    var float SmoothedTrueRange = 0.0
    var float SmoothedDirectionalMovementPlus = 0.0
    var float SmoothedDirectionalMovementMinus = 0.0
    TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1])))
    DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0
    DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0
    SmoothedTrueRange := nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/_ADX_len) + TrueRange
    SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/_ADX_len) + DirectionalMovementPlus
    SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/_ADX_len) + DirectionalMovementMinus
    _DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
    _DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
    DX = abs(_DIPlus-_DIMinus) / (_DIPlus+_DIMinus)*100
    _ADX = sma(DX, _ADX_len)
    [_DIPlus,_DIMinus,_ADX]
 
[DIPlus, DIMinus, ADX] = calcADX(ADX_len)

macol = DIPlus > DIMinus and ADX > th ? color.lime : DIPlus < DIMinus and ADX > th ? color.red : color.orange
barcolor(color = macol, title = "ADX")

// SAR
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

Sst = input (0.07, "SAR STAR", step=0.01, minval = 0.01)
Sinc = input (0.05, "SAR INC", step=0.01, minval = 0.01)
Smax = input (0.15, "SAR MAX", step=0.05, minval = 0.01)

CalcSARwithoutSAR(_Sst, _Sinc, _Smax)=>
    P = 1
    EP = max(high, high[1])
    _SAR = min(low, low[1])
    AF = _Sst
    EPnew = 0.0
    AFnew = _Sst
    if nz(P[1]) == 0
        P := 1
    else
        if (P[1] == 1)
            EPnew := max(high, EP[1])
        else
            EPnew := min(low, EP[1]) 
    
        if EPnew != EP[1]
            AFnew := min(_Smax, AF[1] + _Sinc)
        else
            AFnew := AF[1]
        
    if nz(P[1]) == 0
        P := 1
    else 
        if P[1] == 1 and _SAR[1] + AF[1] * (EPnew - _SAR[1]) <= low
            P := 1
            _SAR := _SAR[1] + AFnew * (EPnew - _SAR[1])
            EP := EPnew
            AF := AFnew
        else        
            if P[1] == 1 and _SAR[1] + AF[1] * (EPnew - _SAR[1]) > low
                if low >= _SAR[1]
                    P := 1
                    _SAR := low
                    EP := EPnew
                    AF := AFnew
                else
                    P := -1
                    _SAR := max(high, EP[1])
                    EP := min(low, low[1])
                    AF := _Sst
            else 
                if P[1] == -1 and _SAR[1] - AF[1] * (_SAR[1] - EPnew) >= high
                    P := -1
                    _SAR := _SAR[1] - AFnew * (_SAR[1] - EPnew)
                    EP := EPnew
                    AF := AFnew
                else
                    if P[1] == -1 and _SAR[1] - AF[1] * (_SAR[1] - EPnew) < high
                        if high <= _SAR[1]
                            P := -1
                            _SAR := high
                            EP := EPnew
                            AF := AFnew
                        else
                            P := 1
                            _SAR := min(low, EP[1])
                            EP := max(high, high[1])
                            AF := _Sst
    _SAR

SAR = CalcSARwithoutSAR(Sst, Sinc, Smax)
plot(SAR, color = macol, style = plot.style_cross, title = "SAR") 

// RSI 
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

RSI_len = input(14, "RSI LENGHT", minval = 1)
RSI_obos = input(52,title="RSI CENTER LINE", type=input.integer, minval = 1)

RSI(len)=>
    up_rsi = rma(max(change(close), 0), len)
    down_rsi = rma(-min(change(close), 0), len)
    rsi = down_rsi == 0 ? 100 : up_rsi == 0 ? 0 : 100 - (100 / (1 + up_rsi / down_rsi))
    rsi

// MACD
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

fast_length = input(title="MACD FAST LENGTH", type=input.integer, minval = 1, defval=10)
slow_length = input(title="MACD SLOW LENGTH", type=input.integer, minval = 1, defval=19)
signal_length = input(title="MACD SIGNAL SMOOTHING", type=input.integer, minval = 1, maxval = 50, defval = 9)
sma_source = input(title="MACD SIMPLE MA(Oscillator)", type=input.bool, defval=false)

MACD(_src,_fast_length,_slow_length)=>
    fast_ma = sma_source ? sma(_src, _fast_length) : ema(_src, _fast_length)
    slow_ma = sma_source ? sma(_src, _slow_length) : ema(_src, _slow_length)
    macd = fast_ma - slow_ma
    signal = sma_source ? sma(macd, signal_length) : ema(macd, signal_length)
    _hist = macd - signal
    _hist

hist = MACD(src,fast_length,slow_length)
    
// STRATEGY
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

var bool longCond = na
var bool shortCond = na
longCond := (high > hband and upward > 0) and not (DIPlus < DIMinus and ADX > th) and (SAR < close) and (T3_Rising) and (RSI(RSI_len) > RSI_obos) and (hist > 0) and (timenow > time + 10000)
shortCond := (low < lband and downward > 0) and not (DIPlus > DIMinus and ADX > th) and (SAR > close) and (T3_Falling) and (RSI(RSI_len) < RSI_obos) and (hist < 0) and (timenow > time + 10000)

var bool XlongCond = na
var bool XshortCond = na
XlongCond := (low < hband and downward > 0) and (DIPlus > DIMinus and ADX > th) and (SAR > close) and (T3_Falling) and (timenow > time + 10000)
XshortCond := (high > lband and upward > 0) and (DIPlus < DIMinus and ADX > th) and (SAR < close) and (T3_Rising) and (timenow > time + 10000)

var int CondIni_long = 0
CondIni_long := longCond ? 1 : shortCond ? -1 : CondIni_long[1]

var int CondIni_short = 0
CondIni_short := longCond ? 1 : shortCond ? -1 : CondIni_short[1]

longCondition = (longCond and CondIni_long[1] == -1)
shortCondition = (shortCond and CondIni_short[1] == 1)

var int CondIniX = 0
CondIniX := XlongCond ? 1 : XshortCond ? -1 : CondIniX[1]
XlongCondition = XlongCond and CondIniX[1] == -1
XshortCondition = XshortCond and CondIniX[1] == 1

// Get the price of the last opened long or short

var float last_open_longCondition = na
var float last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])

// Check if your last postion was a long or a short

var int last_longCondition = na
var int last_shortCondition = na
last_longCondition := longCondition ? time : nz(last_longCondition[1])
last_shortCondition := shortCondition ? time : nz(last_shortCondition[1])

in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition

var int last_XlongCondition = na
var int last_XshortCondition = na
last_XlongCondition := XlongCondition ? time : nz(last_XlongCondition[1])
last_XshortCondition := XshortCondition ? time : nz(last_XshortCondition[1])

in_longConditionX = last_longCondition > last_XlongCondition
in_shortConditionX = last_shortCondition > last_XshortCondition

// TRAILING STOP
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

isTSl = Position == "SHORT" ? na : true
isTSs = Position == "LONG" ? na : true
tsi = input(0.5, "TRAILING STOP ACTIVATION %", type = input.float, step = 0.1) 
ts_low_profit = input(0.25, "TRAILING STOP OFFSET % --> WHEN PROFIT=0.5% (MINIMUM)", type = input.float, step = 0.05, minval = 0.01)
ts_high_profit = input(1.0, "TRAILING STOP OFFSET % --> WHEN PROFIT=10% (LINEAR_EXTRAPOLATION)", type = input.float, step = 0.1, minval = 0.1)
delay = input(120, "TRAILING STOP DELAY (SECONDS BETWEEN SNAPSHOTS)", type = input.integer, minval = 30, maxval = 300, step = 30)*1000

// Dynamic Trailing Stop linear extrapolation / interpolation according with profit

ts_dynamic(x)=> 
    ts_dynamic = 0.0
    ts_dynamic := max(((((ts_high_profit-ts_low_profit)/9.5)*(x-0.5)) + ts_low_profit), ts_low_profit)

long_profit = abs(((high-last_open_longCondition)/last_open_longCondition)*100)
short_profit = abs(((low-last_open_shortCondition)/last_open_shortCondition)*100)

var float ts = 0.0
ts := in_longCondition ? ts_dynamic(long_profit) : ts_dynamic(short_profit)

// Time between snapshots

round = (floor(timenow/(delay)))*(delay)

var bool ts_delay = 0
if timenow < (time + (timeframe.multiplier*60000) - 60000)
    ts_delay := (timenow >= round + (delay)-7500) ? 1 : 0
else
    if timenow > (time + (timeframe.multiplier*60000) - 60000) 
       or ((in_longCondition and high > ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))) and (close < (last_open_longCondition*(1+(tsi/100))))) 
       or ((in_shortCondition and low < (last_open_shortCondition*(1-(tsi/100)))) and (close > (last_open_shortCondition*(1-(tsi/100)))))
        ts_delay := 1

// TS Conditions

var bool long_ts = na
var bool short_ts = na

if high > ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))
    long_ts := isTSl and high >= (close*(1+(ts/100))) and high >= (last_open_longCondition*(1+(tsi/100))) and (high >= hband*(1+(ts/100))) and in_longCondition and in_longConditionX and not longCondition
else
    if high <= ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))
        long_ts := isTSl and high >= (close*(1+(ts/100))) and high >= (last_open_longCondition*(1+(tsi/100))) and close >= (last_open_longCondition*(1+(tsi/100))) and (high >= hband*(1+(ts/100)))
           and in_longCondition and in_longConditionX and not longCondition

if (timenow > (time + (timeframe.multiplier*60000) - 60000)) and high < (close*(1+(ts/100))) and (high > ((last_open_longCondition*(1+(tsi/100)))*(1+(ts/100)))) and (high >= hband*(1+(ts/100)))
    long_ts := isTSl and in_longCondition and in_longConditionX and not longCondition

if low < ((last_open_shortCondition*(1-(tsi/100)))*(1-(ts/100)))      
    short_ts := isTSs and low <= (close*(1-(ts/100))) and low <= (last_open_shortCondition*(1-(tsi/100))) and (low <= lband*(1-(ts/100))) and in_shortCondition and in_shortConditionX and not shortCondition
else
    if low >= ((last_open_shortCondition*(1-(tsi/100)))*(1-(ts/100)))
        short_ts := isTSs and low <= (close*(1-(ts/100))) and low <= (last_open_shortCondition*(1-(tsi/100))) and close <= (last_open_shortCondition*(1-(tsi/100))) and (low <= lband*(1-(ts/100)))
           and in_shortCondition and in_shortConditionX and not shortCondition

if (timenow > (time + (timeframe.multiplier*60000) - 60000)) and low > (close*(1-(ts/100))) and (low < ((last_open_shortCondition*(1-(tsi/100)))*(1-(ts/100)))) and (low <= lband*(1-(ts/100)))
    short_ts := isTSs and in_shortCondition and in_shortConditionX and not shortCondition
    
// Ts Antiliquidation. For pumps on same candle of entry.

last_open_long = max(SAR[1],hband)
last_open_short = min(SAR[1],lband)

ts_antiliq_long_profit = abs(((high-last_open_long)/last_open_long)*100)
ts_antiliq_short_profit = abs(((low-last_open_short)/last_open_short)*100)

ts_antiliq = in_longCondition ? ts_dynamic(ts_antiliq_long_profit) : ts_dynamic(ts_antiliq_short_profit)

var bool long_ts_antiliq = na
var bool short_ts_antiliq = na

Act_ts_antiliq = input(2.0, "TRAILING STOP ANTI-LIQUIDATION ACTIVATION % ", type = input.float, step = 0.1)

long_ts_antiliq := isTSl and longCondition and high > ((last_open_long*(1+(Act_ts_antiliq/100)))*(1+(ts_antiliq/100))) and high > last_open_long*(1+(Act_ts_antiliq/100)) and (DIPlus > DIMinus and ADX > th) 
   and high >= (close*(1+(ts_antiliq/100))) and in_longCondition and in_longConditionX

short_ts_antiliq := isTSs and shortCondition and low < ((last_open_short*(1-(Act_ts_antiliq/100)))*(1-(ts_antiliq/100))) and low < last_open_short*(1-(Act_ts_antiliq/100)) and (DIPlus < DIMinus and ADX > th) 
   and low <= (close*(1-(ts_antiliq/100))) and in_shortCondition and in_shortConditionX
    
// Get the time of the last ts close

var int last_long_ts = na
var int last_short_ts = na
last_long_ts := long_ts ? time : nz(last_long_ts[1])
last_short_ts := short_ts ? time : nz(last_short_ts[1])

Final_Long_ts = (long_ts and last_longCondition > nz(last_long_ts[1]))
Final_Short_ts = (short_ts and last_shortCondition > nz(last_short_ts[1]))

var int last_long_ts_antiliq = na
var int last_short_ts_antiliq = na
last_long_ts_antiliq := long_ts_antiliq ? time : nz(last_long_ts_antiliq[1])
last_short_ts_antiliq := short_ts_antiliq ? time : nz(last_short_ts_antiliq[1])

Final_Long_ts_antiliq = (long_ts_antiliq and last_longCondition > nz(last_long_ts_antiliq[1]))
Final_Short_ts_antiliq = (short_ts_antiliq and last_shortCondition > nz(last_short_ts_antiliq[1]))

// STOP LOSS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

Act_sl = input(false, "STOP LOSS")
isSLl = Position == "SHORT" ? na : true
isSLs = Position == "LONG" ? na : true
sl = input(3.0, "STOP LOSS %", type = input.float, step = 0.1)

long_sl = Act_sl and isSLl and low <= ((1-(sl/100))*last_open_longCondition) and not (open < ((1-(sl/100))*last_open_longCondition)) and in_longCondition and not longCondition
short_sl = Act_sl and isSLs and high >= ((1+(sl/100))*last_open_shortCondition) and not (open > ((1+(sl/100))*last_open_shortCondition)) and in_shortCondition and not shortCondition

// Get the time of the last sl close

var int last_long_sl = na
var int last_short_sl = na
last_long_sl := long_sl ? time : nz(last_long_sl[1])
last_short_sl := short_sl ? time : nz(last_short_sl[1])

// Sl counter

var int CondIni_long_sl = 0
CondIni_long_sl := long_sl or Final_Long_ts ? 1 : longCondition ? -1 : CondIni_long_sl[1]

var int CondIni_short_sl = 0
CondIni_short_sl := short_sl or Final_Short_ts ? 1 : shortCondition ? -1 : CondIni_short_sl[1]

Final_Long_sl = long_sl and CondIni_long_sl[1] == -1 and in_longConditionX and not XlongCondition and not Final_Long_ts
Final_Short_sl = short_sl and CondIni_short_sl[1] == -1 and in_shortConditionX and not XshortCondition and not Final_Short_ts

// Final Long & Short Counter

if Final_Long_ts or Final_Long_sl or XlongCondition
    CondIni_long := -1

if Final_Short_ts or Final_Short_sl or XshortCondition
    CondIni_short := 1

// SIGNALS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

// long & short

Final_longCondition_notconfirmed = Position == "SHORT" ? na : longCondition and (DIPlus > DIMinus and ADX > th)
Final_shortCondition_notconfirmed = Position == "LONG" ? na : shortCondition and (DIPlus < DIMinus and ADX > th)

//plotshape(Final_longCondition_notconfirmed, title = "Long Signal", text = "LG", style=shape.triangleup, location=location.belowbar, color = #2E8B57, transp = 0, size=size.tiny)
//plotshape(Final_shortCondition_notconfirmed, title = "Short Signal", text = "ST", style=shape.triangledown, location=location.abovebar, color = #B22222, transp = 0, size=size.tiny)

Final_longCondition = Position == "SHORT" ? na : longCondition[1] and not (shortCondition and (DIPlus < DIMinus and ADX > th))
Final_shortCondition = Position == "LONG" ? na : shortCondition[1] and not (longCondition and (DIPlus > DIMinus and ADX > th))

//plotshape(Final_longCondition, title = "Long Signal", text = "LG", style=shape.triangleup, location=location.belowbar, color = color.lime, transp = 0, size=size.tiny)
//plotshape(Final_shortCondition, title = "Short Signal", text = "ST", style=shape.triangledown, location=location.abovebar, color = color.red, transp = 0, size=size.tiny)

// Xlong & Xshort

var int CondIni_Xlong = 0
CondIni_Xlong := Final_Long_ts or XlongCondition or Final_shortCondition ? 1 : Final_longCondition ? -1 : CondIni_Xlong[1]

var int CondIni_Xshort = 0
CondIni_Xshort := Final_Short_ts or XshortCondition or Final_longCondition ? 1 : Final_shortCondition ? -1 : CondIni_Xshort[1]

var bool Final_XlongCondition = na
var bool Final_XshortCondition = na

Final_XlongCondition := Position == "SHORT" ? na : 
   ((shortCondition and last_longCondition > last_shortCondition[1]) or (XlongCondition and last_longCondition > last_XlongCondition[1])) and CondIni_Xlong[1] == -1 
   and not Final_shortCondition_notconfirmed and not Final_shortCondition
Final_XshortCondition := Position == "LONG" ? na : 
   ((longCondition and last_shortCondition > last_longCondition[1]) or (XshortCondition and last_shortCondition > last_XshortCondition[1])) and CondIni_Xshort[1] == -1 
   and not Final_longCondition_notconfirmed and not Final_longCondition
   
F_XLONG = Final_XlongCondition[1] and not Final_shortCondition and not Final_shortCondition_notconfirmed and not Final_longCondition_notconfirmed
F_XSHORT = Final_XshortCondition[1] and not Final_longCondition and not Final_longCondition_notconfirmed and not Final_shortCondition_notconfirmed

//plotshape(F_XLONG, title = "xL Signal", text = "xL", style=shape.triangledown, location=location.abovebar, color = color.orange, transp = 0, size=size.tiny)
//plotshape(F_XSHORT, title = "xS Signal", text = "xS", style=shape.triangleup, location=location.belowbar, color = color.aqua, transp = 0, size=size.tiny)

// Ts

//plotshape(Final_Long_ts, text ="TS", title="Trailing Stop Long", style=shape.triangledown, location=location.abovebar, color = color.red, editable = false, transp = 0) 
//plotshape(Final_Short_ts, text ="TS", title="Trailing Stop Short", style=shape.triangleup, location=location.belowbar, color = color.lime, editable = false, transp = 0) 

//lts = iff(Final_Long_ts, high*(1-(ts/100)), na), plot(lts, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
//sts = iff(Final_Short_ts, low*(1+(ts/100)), na), plot(sts, style = plot.style_cross, linewidth=3, color = color.white, editable = false)

// Ts anti-liquidation

//plotshape(Final_Long_ts_antiliq, text ="TSA", title="Trailing Stop Long Antiliq", style=shape.triangledown, location=location.abovebar, color = color.red, editable = false, transp = 0) 
//plotshape(Final_Short_ts_antiliq, text ="TSA", title="Trailing Stop Short Antiliq", style=shape.triangleup, location=location.belowbar, color = color.lime, editable = false, transp = 0) 

//lts_antiliq = iff(Final_Long_ts_antiliq, high*(1-(ts_antiliq/100)), na), plot(lts_antiliq, style = plot.style_cross, linewidth=3, color = color.white, editable = false)
//sts_antiliq = iff(Final_Short_ts_antiliq, low*(1+(ts_antiliq/100)), na), plot(sts_antiliq, style = plot.style_cross, linewidth=3, color = color.white, editable = false)

// Sl

//plotshape(Final_Long_sl, text ="SL", title="Stop Loss Long", style=shape.triangledown, location=location.abovebar, color = color.fuchsia, editable = false, transp = 0) 
//plotshape(Final_Short_sl, text ="SL", title="Stop Loss Short", style=shape.triangleup, location=location.belowbar, color = color.fuchsia, editable = false, transp = 0) 

//lsl = iff(Final_Long_sl, (1-(sl/100))*last_open_longCondition, na), plot(lsl, style = plot.style_cross, linewidth=2, color = color.white, editable = false)
//ssl = iff(Final_Short_sl, (1+(sl/100))*last_open_shortCondition, na), plot(ssl, style = plot.style_cross, linewidth=2, color = color.white, editable = false)

// Levels

plot(isTSl and in_longCondition == 1 ? (last_open_longCondition*(1+(tsi/100))) : na, "Long Trailing", color = color.white, style=3, linewidth=1, editable = false)
plot(isTSs and in_shortCondition == 1 ? (last_open_shortCondition*(1-(tsi/100))) : na, "Short Trailing", color = color.white, style=3, linewidth=1, editable = false)

//plot(isTSl and longCondition and high > last_open_long*(1+(Act_ts_antiliq/100)) and (DIPlus > DIMinus and ADX > th) ? 
//   last_open_long*(1+(Act_ts_antiliq/100)) : na, "Long TSA", color = color.lime, style=3, linewidth=2, editable = false)
//plot(isTSs and shortCondition and low < last_open_short*(1-(Act_ts_antiliq/100)) and (DIPlus < DIMinus and ADX > th) ? 
//   last_open_short*(1-(Act_ts_antiliq/100)) : na, "Short TSA", color = color.red, style=3, linewidth=2, editable = false)

// Weekend

Weekend = input(true, "SHOW WEEKEND")
W_color = Weekend and (dayofweek == dayofweek.sunday or dayofweek == dayofweek.saturday) ? color.teal : na
bgcolor(W_color, title = "WEEKEND")

// ALERTS
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

// or Final_longCondition_notconfirmed (green signals)
//alertcondition(
//   Final_longCondition,  
//   title="Long Alert", 
//   message = "LONG"
//   )
   
// or Final_shortCondition_notconfirmed (maroon signals)
//alertcondition(
//   Final_shortCondition, 
//   title="Short Alert", 
//   message = "SHORT"
//   )

//alertcondition(
//   (Final_Long_ts and ts_delay)
//   or F_XLONG 
//   or Final_Long_sl 
//   or (Final_Long_ts_antiliq and close >= (last_open_long*(1+(Act_ts_antiliq/100)))), 
//   title="XLong TS/XL/SL Alert", 
//   message = "XLONG TS/XL/SL"
//   )

//alertcondition(
//   (Final_Short_ts and ts_delay) 
//   or F_XSHORT 
//   or Final_Short_sl 
//   or (Final_Short_ts_antiliq and close <= (last_open_short*(1-(Act_ts_antiliq/100)))), 
//   title="XShort TS/XL/SL Alert", 
//   message = "XSHORT TS/XL/SL"
//   )

// BOT SYNTAX (DERIBIT EXAMPLE)
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

// message = "LONG | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=1 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=short t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL b=long q=50% t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=long sl=-3.1% p=-3%"
// message = "SHORT | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=1 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=long t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL b=short q=50% t=market | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=short sl=3% p=3.1%"
// message = "XSHORT/TS/SL | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=short t=market"
// message = "XLONG/TS/SL | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=order | delay=2 | e=DERIBIT a=ACCOUNT s=BTC-PERPETUAL c=position b=long t=market"
//
// Using t=limit on entries --> comission_value = 0.025

// BACKTESTING
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░

BT_Final_longCondition = Position == "SHORT" ? na : longCondition
BT_Final_shortCondition = Position == "LONG" ? na : shortCondition

testStartYear = input(2019, "BACKTEST START YEAR", minval = 1, maxval = 2222) 
testStartMonth = input(01, "BACKTEST START MONTH", minval = 1, maxval = 12)
testStartDay = input(01, "BACKTEST START DAY", minval = 1, maxval = 31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

if (BT_Final_longCondition)
    strategy.entry("long", strategy.long, when = time >= testPeriodStart)
if (BT_Final_shortCondition) 
    strategy.entry("short", strategy.short, when = time >= testPeriodStart)
    
pips_corection = input(2, "(TICKS/PIPS CORRECTION)")

strategy.exit("Tsl", "long", trail_points = (abs((last_open_longCondition*(1+(tsi/100)))-last_open_longCondition)*pips_corection),
   trail_offset = (high*(ts/100))*pips_corection, loss = Act_sl ? (abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)*pips_corection) : na) 
strategy.exit("Tss", "short", trail_points = (abs((last_open_shortCondition*(1-(tsi/100)))-last_open_shortCondition)*pips_corection),
   trail_offset = (low*(ts/100))*pips_corection, loss = Act_sl ? (abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)*pips_corection) : na) 

strategy.close_all(when = Final_XlongCondition or Final_XshortCondition or Final_Long_sl or Final_Short_sl)

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