Momentum-Breakout-Strategie
Schriftsteller:ChaoZhang, Datum: 2023-11-07 17:13:20Tags:
Übersicht
Dies ist eine Strategie, die MACD-, RSI- und Stochastische Indikatoren verwendet, um die Kursdynamikrichtung zu bestimmen, und macht lange oder kurze Einträge an Momentum-Breakout-Punkten.
Grundsätze
Die Strategie verwendet MACD, RSI und Stochastic Indikatoren, um die Trendrichtung der Preise zu bestimmen. Wenn die MACD
Wenn nach dem Eintreten einer Position einer der drei Indikatoren ein Umkehrsignal erzeugt, bedeutet dies, dass der Trend umgekehrt ist und die aktuelle Position verlassen sollte.
Vorteile
- Durch die Kombination mehrerer Indikatoren kann man falsche Signale effektiv filtern
- Die Nutzung von Ausbrüchen kann das frühe Stadium von Trends erfassen
- Die Verwendung von dynamischen Take Profit und Stop Loss kann vernünftige Gewinne erzielen
- Überspringen von Zeiträumen verhindert Störungen durch extreme Märkte
- Die Kombination von Trendfolgungs- und Umkehrmechanismen kann unnötige Transaktionen reduzieren
Risiken
- Mehrfache Indikatorenkombinationen können zu Verzögerungen führen, da der beste Einstiegszeitpunkt fehlt
- Breakout-Signale sind anfällig dafür, eingeschlossen zu werden.
- Dynamische Stopps können zu aggressiv sein und durch Preis gestoppt werden
- Überspringen von Sonderzeiten kann Gelegenheiten verpassen, wenn sie falsch konfiguriert sind
- Umkehrsignale können zu empfindlich sein, was zu einem Überhandel führt
Verbesserungsrichtlinien:
- Anpassung der Indikatorparameter zur Verringerung der Verzögerung
- Fügen Sie Filter wie Lautstärke hinzu, um Fallen zu vermeiden
- Verwenden Sie Tracker-Stopps, um Preis-Stopps zu verhindern
- Optimieren und testen übersprungener Datumsbereiche
- Parameter für die Umkehrung des Signals zur Verringerung der Frequenz
Zusammenfassung
Insgesamt handelt es sich um eine typische Trendfollowing-Strategie. Sie verwendet mehrere Indikatoren, um den Trend für Eintritte zu bestimmen, und Umkehrsignale, um Trendende für Ausgänge zu beurteilen, und kombiniert sowohl Trendfollowing- als auch Umkehrmechanismen.
Zusammenfassend ist die Logik dieser Strategie klar, und die verwendeten Indikatoren sind auch typisch. Es funktioniert gut in einigen Details der Optimierung und Risikokontrolle und kann eine real-wertstaugliche Quant-Strategie sein. Aber es gibt immer noch einige Lücken von Perfektion, die weitere Tests und Optimierungen erfordern, um das Rendite-/Drawdown-Verhältnis der Strategie auf ein professionelles Niveau zu bringen. Mit kontinuierlicher Optimierung und Aktualisierungen kann diese Strategie langfristig nachverfolgt werden.
/*backtest
start: 2023-10-07 00:00:00
end: 2023-11-06 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// @version=4
// Backtest the power x strategy. The power x strategy is develop by Markus Heitkoetter and Rockwell Trading.
// This script shows the return for a given stock for with the defined date range with a fixed captial of $10,000
strategy("PowerX Test", overlay=true, initial_capital=10000)
// ####################### Start of User Inputs #######################
// From Date Inputs
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 7, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2019, title = "From Year", minval = 1970)
// To Date Inputs
toDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2021, title = "To Year", minval = 1970)
// Calculate start/end date and time condition
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
// Risk/Reward Inputs
riskFactor = input(defval = 1.5, title = "risk", minval = 1)
rewardFactor = input(defval = 3.0, title = "reward", minval = 1)
// Days to ignore due to specail market conditon (ie. covid-19 market crash)
// Calculate start/end skip date and time condition
startSkipDate = timestamp(2020, 3, 1, 00, 00)
finishSkipDate = timestamp(2020, 3, 31, 00, 00)
time_cond_skip = time >= startSkipDate and time <= finishSkipDate
// Long and Short Inputs
hasLong = input(defval = true, title = "test long")
hasShort = input(defval = true, title = "test short")
// ####################### End of User Inputs #######################
// ####################### Start of Indicators #######################
[macdLine, signalLine, histLine] = macd(close, 12, 26, 9)
rsiLine = rsi(close, 7)
stochLine = sma(sma(stoch(close, high, low, 14),3),3)
signal = macdLine > signalLine and rsiLine > 50 and stochLine > 50 ? "buy" : macdLine <= signalLine and rsiLine <= 50 and stochLine <= 50 ? "sell" : "none"
// Average daily range for 7 days
thishigh = security(syminfo.tickerid, 'D', high)
thislow = security(syminfo.tickerid, 'D', low)
length = 7
adr = (sma(thishigh,length)-sma(thislow,length))
plotchar(adr, "ADR", "")
// ####################### End of Indicators #######################
strategy.initial_capital = 50000
// First day the stock changed momentum.
long = signal == "buy" and signal[1] != "buy" and hasLong
short = signal == "sell" and signal[1] != "sell" and hasShort
sideway = signal == "none" and signal[1] != "none"
if (time_cond and not time_cond_skip)
// ####################### Start of Long Entry #######################
// Calculate how many shares to buy based on captial
qty = round(strategy.initial_capital / high)
// Note: TradingView uses a broker emulator when running strategies. Order are only filled on the next bar.
// Enter long on the day after first green bar
strategy.entry("Long entry", strategy.long, qty = qty, stop = high, when = long)
strategy.cancel("Long entry", when = not long)
// TODO: Improve the crazy if statments...
// Handle the case where first green hgih is reached after 2nd green, up to 11 days after
if (not long and signal == "buy" and strategy.opentrades == 0)
// reach first green high 11 days after first green
if (signal[11] != "buy" and signal[10] == "buy" and signal[9] == "buy" and signal[8] == "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[9] and high[2] < high[9] and high [3] < high[9] and high [4] < high[9] and high [5] < high[9] and high[6] < high[9] and high[7] < high[9] and high[8] < high[9])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[10], stop = high[10])
// reach first green high 10 days after first green
if (signal[10] != "buy" and signal[9] == "buy" and signal[8] == "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[8] and high[2] < high[8] and high [3] < high[8] and high [4] < high[8] and high [5] < high[8] and high[6] < high[8] and high[7] < high[8])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[9], stop = high[9])
// reach first green high 9 days after first green
if (signal[9] != "buy" and signal[8] == "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[7] and high[2] < high[7] and high [3] < high[7] and high [4] < high[7] and high [5] < high[7] and high[6] < high[7])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[8], stop = high[8])
// reach first green high 8 days after first green
if (signal[8] != "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[6] and high[2] < high[6] and high [3] < high[6] and high [4] < high[6] and high [5] < high[6])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[7], stop = high[7])
// reach first green high 7 days after first green
if (signal[7] != "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[6] and high[2] < high[6] and high [3] < high[6] and high [4] < high[6] and high [5] < high[6])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[6], stop = high[6])
// reach first green high 6 days after first green
if (signal[6] != "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[5] and high[2] < high[5] and high [3] < high[5] and high [4] < high[5])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[5], stop = high[5])
// reach first green high 5 days after first green
if (signal[5] != "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[4] and high[2] < high[4] and high [3] < high[4])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[4], stop = high[4])
// reach first green high 4 days after first green
if (signal[4] != "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[3] and high[2] < high[3])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[3], stop = high[3])
// reach first green high 3 days after first green
if (signal[3] != "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[2])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[2], stop = high[2])
// reach first green high 2 days after first green
if (signal[2] != "buy" and signal[1] == "buy")
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[1], stop = high[1])
// Exit when stopped out or hitted profit target
// Bracket order for entry 1 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] != "buy")
long_stop_level = strategy.position_avg_price - (adr[1] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[1] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 2 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] != "buy")
long_stop_level = strategy.position_avg_price - (adr[2] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[2] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 3 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] != "buy")
long_stop_level = strategy.position_avg_price - (adr[3] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[3] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 4 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] != "buy")
long_stop_level = strategy.position_avg_price - (adr[4] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[4] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 5 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] != "buy")
long_stop_level = strategy.position_avg_price - (adr[5] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[5] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 6 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] != "buy")
long_stop_level = strategy.position_avg_price - (adr[6] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[6] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 7 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] != "buy")
long_stop_level = strategy.position_avg_price - (adr[7] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[7] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 8 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] != "buy")
long_stop_level = strategy.position_avg_price - (adr[8] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[8] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 9 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] == "buy" and signal[10] != "buy")
long_stop_level = strategy.position_avg_price - (adr[9] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[9] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 10 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] == "buy" and signal[10] == "buy" and signal[11] != "buy")
long_stop_level = strategy.position_avg_price - (adr[10] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[10] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 11 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] == "buy" and signal[10] == "buy" and signal[11] == "buy" and signal[12] != "buy")
long_stop_level = strategy.position_avg_price - (adr[11] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[11] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// ####################### End of Long Entry #######################
// ####################### Start of Short Entry #######################
// Enter short on the day after first red bar
qty_short = strategy.initial_capital / low
strategy.entry("Short entry", strategy.short, qty = qty_short, stop = low, when = short)
strategy.cancel("Short entry", when = not short)
// TODO: Improve the crazy if statments...
// Handle the case where first red low is reached after 2nd red, up to 11 days after
if (not short and signal == "sell" and strategy.opentrades == 0)
// reach first red low 11 days after
if (signal[11] != "sell" and signal[10] == "sell" and signal[9] == "sell" and signal[8] == "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[10] and low[2] > low[10] and low[3] > low[10] and low[4] > low[10] and low[5] > low[10] and low[6] > low[10] and low[7] > low[10] and low[8] > low[10] and low[9] > low[10])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[10], stop = low[10])
// reach first red low 10 days after
if (signal[10] != "sell" and signal[9] == "sell" and signal[8] == "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[9] and low[2] > low[9] and low[3] > low[9] and low[4] > low[9] and low[5] > low[9] and low[6] > low[9] and low[7] > low[9] and low[8] > low[9])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[9], stop = low[9])
// reach first red low 9 days after
if (signal[9] != "sell" and signal[8] == "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[8] and low[2] > low[8] and low[3] > low[8] and low[4] > low[8] and low[5] > low[8] and low[6] > low[8] and low[7] > low[8])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[8], stop = low[8])
// reach first red low 8 days after
if (signal[8] != "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[7] and low[2] > low[7] and low[3] > low[7] and low[4] > low[7] and low[5] > low[7] and low[6] > low[7])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[7], stop = low[7])
// reach first red low 7 days after
if (signal[7] != "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[6] and low[2] > low[6] and low[3] > low[6] and low[4] > low[6] and low[5] > low[6])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[6], stop = low[6])
// reach first red low 6 days after
if (signal[6] != "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[5] and low[2] > low[5] and low[3] > low[5] and low[4] > low[5])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[5], stop = low[5])
// reach first red low 5 days after
if (signal[5] != "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[4] and low[2] > low[4] and low[3] > low[4])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[4], stop = low[4])
// reach first red low 4 days after
if (signal[4] != "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[3] and low[2] > low[3])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[3], stop = low[3])
// reach first red low 3 days after
if (signal[3] != "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[2])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[2], stop = low[2])
// reach first red low 2 days after
if (signal[2] != "sell" and signal[1] == "sell")
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[1], stop = low[1])
// Exit when stop out or profit target is hit
// Bracket order for entry 1 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] != "sell")
long_stop_level = strategy.position_avg_price + (adr[1] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[1] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 2 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] != "sell")
long_stop_level = strategy.position_avg_price + (adr[2] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[2] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 3 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] != "sell")
long_stop_level = strategy.position_avg_price + (adr[3] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[3] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 4 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] != "sell")
long_stop_level = strategy.position_avg_price + (adr[4] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[4] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 5 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] != "sell")
long_stop_level = strategy.position_avg_price + (adr[5] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[5] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 6 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] != "sell")
long_stop_level = strategy.position_avg_price + (adr[6] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[6] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 7 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] != "sell")
long_stop_level = strategy.position_avg_price + (adr[7] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[7] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 8 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] != "sell")
long_stop_level = strategy.position_avg_price + (adr[8] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[8] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 9 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] == "sell" and signal[10] != "sell")
long_stop_level = strategy.position_avg_price + (adr[9] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[9] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 10 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] == "sell" and signal[10] == "sell" and signal[11] != "sell")
long_stop_level = strategy.position_avg_price + (adr[10] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[10] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 11 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] == "sell" and signal[10] == "sell" and signal[11] == "sell" and signal[12] != "sell")
long_stop_level = strategy.position_avg_price + (adr[11] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[11] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// ####################### End of Short Entry #######################
// Enxit the day after the trend is lost
if (time_cond and sideway)
strategy.close("Long entry")
strategy.close("Short entry")
// Close any open order out side of date range
if (not time_cond)
strategy.close_all()
if (time_cond_skip)
strategy.close_all()
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