The RePaNoCHa strategy integrates multiple indicators and risk management techniques for quantitative trading. It generates buy and sell signals primarily by identifying trend direction and potential reversal points. The strategy also incorporates trailing stop loss, fixed stop loss and take profit to lock in profits and control risks.
The strategy integrates the following indicators:
T3 Moving Average: To gauge price trend.
Average Range Filter: To identify price fluctuation zones.
ADX: To determine trend strength.
SAR: To mark potential reversal points.
RSI: To identify overbought/oversold levels.
MACD: To display price momentum.
When the indicators give aligned signals, the strategy determines a trend has started and produces entry signals. After entering, it uses a linear trailing stop loss to follow a percentage of the highest/lowest price, gradually moving up as profits increase to lock in gains. Fixed percentage stop loss is also used to limit max loss per trade.
Specifically, when price is above range upper band, T3 rising, ADX bullish, SAR bullish, RSI above midpoint, MACD positive, long signal is generated. The opposite conditions generate short signal. Take profit and stop loss are fixed at 1% and 3% of entry price. Trailing stop distance is linearly set based on current profit relative to entry price.
Multiple indicators improve accuracy Combining trend, momentum, reversal indicators avoids single indicator pitfalls.
Flexible trailing stop locks in profits
Trailing stop level adjusts with changing profits to better follow price fluctuations and secure gains.
Fixed stop controls max loss The fixed stop loss percentage limits maximum loss per trade and prevents loss expansion.
Customizable parameters Indicators parameters can be freely tuned for optimizing across different trading products.
Increased decision difficulty with more indicators Too many indicators may cause contradiction and increased difficulty in decision making. Indicator effectiveness needs proper evaluation.
Whipsaw and stop loss trigger during high volatility Sharp volatile moves can cause whipsaw and frequent stop loss triggering, rendering take profit useless.
Increased trading costs from higher frequency More short-term signals increase trade frequency and slippage costs, impacting actual profitability.
Difficult optimization with multiple parameters Testing various parameter combinations of indicators makes optimization challenging and requires sufficient history.
Evaluate actual indicator effects to avoid redundancy Compare test results to examine the actual incremental benefits of each indicator and remove redundant ones.
Optimize trailing stop algorithms
Test different trailing stop algorithms to find better ways to trail profits.
Account for real slippage and commissions Incorporate actual trading costs into backtest to aid entry decision making.
Separate parameter optimization by volatility Optimize parameters separately for high/low volatility sessions to improve robustness.
The RePaNoCHa strategy realizes relatively stable automated trading decisions and profit management through integrating multiple indicators and stop mechanisms. But its high trading frequency and complex optimization process needs further improvement. More real-world factors should be introduced into backtests, and techniques like benchmark testing should be adopted to simplify the model and reduce overfitting risks, in order to achieve consistent long-term returns from its relatively active trading approach.
/*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)