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Monthly Returns in PineScript Strategies

Author: ChaoZhang, Date: 2022-05-06 23:19:37
Tags: Pivot

I'm not 100% satisfied with the strategy performance output I receive from TradingView. Quite often I want to see something that is not available by default. I usually export raw trades/metrics from TradingView and then do additional analysis manually. But with tables, you can build additional metrics and tools for your strategies quite easily.

This script will just show a table with monthly/yearly performance of your script. Quite a lot of traders/investors used to look at returns like that. Also, it might help you to identify periods of time when your strategy performed good/bad than expected and try to analyze that better. The script is very simple and I believe you can easily apply it to your own strategies.

Disclaimer Please remember that past performance may not be indicative of future results. Due to various factors, including changing market conditions, the strategy may no longer perform as well as in historical backtesting. This post and the script don’t provide any financial advice.

Reassessment img

/*backtest
start: 2021-05-05 00:00:00
end: 2022-05-04 23:59:00
period: 12h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//strategy("Monthly Returns in PineScript Strategies", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 25, calc_on_every_tick = true, commission_type = strategy.commission.percent, commission_value = 0.1)

// Inputs 
leftBars  = input(2,"leftBars")
rightBars = input(2,"rightBars")
prec      = input(2, title = "Return Precision")

// Pivot Points 
swh = pivothigh(leftBars, rightBars)
swl = pivotlow(leftBars, rightBars)

hprice = 0.0
hprice := not na(swh) ? swh : hprice[1]

lprice = 0.0
lprice := not na(swl) ? swl : lprice[1]

le = false
le := not na(swh) ? true : (le[1] and high > hprice ? false : le[1])

se = false
se := not na(swl) ? true : (se[1] and low < lprice ? false : se[1])

if (le)
	strategy.entry("PivRevLE", strategy.long, comment="PivRevLE")

if (se)
	strategy.entry("PivRevSE", strategy.short, comment="PivRevSE")

plot(hprice, color = color.green, linewidth = 2)
plot(lprice, color = color.red,   linewidth = 2)
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