Estrategia de negociación cuantitativa del canal SSL y la tendencia de onda
El autor:¿ Qué pasa?, Fecha: 2024-02-19 11:47:38Las etiquetas:
Resumen general
Esta estrategia se basa principalmente en el indicador SSL Channel y el indicador Wave Trend, combinado con otros indicadores auxiliares, para implementar una estrategia de negociación cuantitativa relativamente completa.
Estrategia lógica
Esta estrategia tiene seis condiciones de entrada, de las cuales las dos primeras son condiciones fundamentales, concretamente:
- La línea de base de SSL Hybrid es azul (bullish) o roja (bearish)
- Crossover del canal SSL hacia arriba (bullish) o hacia abajo (bearish)
- Tendencia de ola cruzada hacia arriba (bullish) o hacia abajo (bearish)
- altura de la vela de entrada no superior al umbral
- Candela de entrada dentro de las bandas de Bollinger
- Objetivo de rentabilidad no afecta a la EMA
Cuando estas 6 condiciones se cumplen al mismo tiempo, la estrategia será larga o corta.
La estrategia también tiene un mecanismo sólido de gestión de riesgos y dinero, que incluye la configuración de stop loss, el control del tamaño de la posición y el control de extracción máxima. Al mismo tiempo, la estrategia dibuja líneas auxiliares en el gráfico, que pueden ver visualmente el stop loss y obtener ganancias para cada operación, así como el beneficio y pérdida específicos. Esto es muy útil tanto para el análisis como para la optimización de la estrategia.
Análisis de ventajas
La mayor ventaja de esta estrategia es que el indicador de canal SSL es muy preciso para determinar la dirección de la tendencia. Cuando se combina con la tendencia de onda y otros indicadores para la confirmación, puede reducir en gran medida las señales falsas. Al mismo tiempo, las estrictas condiciones de entrada también pueden evitar operaciones innecesarias, reduciendo así el número de operaciones y reduciendo los costos de transacción.
Además, el sólido mecanismo de gestión de riesgos y capital de la estrategia también es una ventaja significativa. Las estrategias de stop loss y take profit preestablecidas pueden controlar efectivamente la pérdida máxima de una sola operación. Junto con el control del tamaño de la posición, puede mantener el descenso máximo de la cuenta dentro de un rango aceptable.
Análisis de riesgos
El mayor riesgo de esta estrategia es que las estrictas condiciones de entrada puedan perder algunas oportunidades comerciales, afectando a la rentabilidad.
Además, la eficacia de la tendencia de la ola y de otros indicadores en la determinación de las tendencias del mercado también se verá afectada por anomalías tales como falsas rupturas en el mercado. En este punto es necesario ajustar los parámetros u añadir otros indicadores para su confirmación.
En general, los riesgos de esta estrategia siguen siendo controlables. A través de la puesta a punto de parámetros y la optimización, la estrategia puede hacerse más adaptable a diferentes entornos de mercado.
Direcciones de optimización
Hay varias direcciones de optimización para esta estrategia:
-
Optimizar los parámetros de tendencia de onda para determinar los puntos de inversión de tendencia con mayor precisión
-
Añadir otros indicadores de confirmación, como el KDJ, el MACD, etc., para evitar el impacto de las falsas rupturas.
-
Los parámetros se pueden ajustar y optimizar para diferentes productos y plazos para mejorar la estabilidad de la estrategia
-
Añadir algoritmos de aprendizaje automático para entrenar modelos con datos históricos y optimizar parámetros en tiempo real
-
Utilice factores de alta frecuencia y otros algoritmos para aumentar la frecuencia y la rentabilidad de las operaciones estratégicas
Se espera que, mediante la aplicación de estas medidas de optimización, la rentabilidad y la estabilidad de la estrategia aumenten.
Conclusión
En resumen, esta estrategia integra múltiples indicadores y mecanismos de entrada estrictos para garantizar una alta tasa de ganancia mientras se logra un buen control del riesgo.
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © kevinmck100
// @credits
// - Wave Trend: Indicator: WaveTrend Oscillator [WT] by @LazyBear
// - SSL Channel: SSL channel by @ErwinBeckers
// - SSL Hybrid: SSL Hybrid by @Mihkel00
// - Keltner Channels: Keltner Channels Bands by @ceyhun
// - Candle Height: Candle Height in Percentage - Columns by @FreeReveller
// - NNFX ATR: NNFX ATR by @sueun123
//
// Strategy: Based on the YouTube video "This Unique Strategy Made 47% Profit in 2.5 Months [SSL + Wave Trend Strategy Tested 100 Times]" by TradeSmart.
// @description
//
// Strategy incorporates the following features:
//
// - Risk management: Configurable X% loss per stop loss
// Configurable R:R ratio
//
// - Trade entry: Based on strategy conditions below
//
// - Trade exit: Based on strategy conditions below
//
// - Backtesting: Configurable backtesting range by date
//
// - Chart drawings: Each entry condition indicator can be turned on and off
// TP/SL boxes drawn for all trades. Can be turned on and off
// Trade exit information labels. Can be turned on and off
// NOTE: Trade drawings will only be applicable when using overlay strategies
//
// - Alerting: Alerts on LONG and SHORT trade entries
//
// - Debugging: Includes section with useful debugging techniques
//
// Strategy conditions:
//
// - Trade entry: LONG: C1: SSL Hybrid baseline is BLUE
// C2: SSL Channel crosses up (green on top)
// C3: Wave Trend crosses up (represented by pink candle body)
// C4: Entry candle height is not greater than configured threshold
// C5: Entry candle is inside Keltner Channel (wicks or body depending on configuration)
// C6: Take Profit target does not touch EMA (represents resistance)
//
// SHORT: C1: SSL Hybrid baseline is RED
// C2: SSL Channel crosses down (red on top)
// C3: Wave Trend crosses down (represented by orange candle body)
// C4: Entry candle height is not greater than configured threshold
// C5: Entry candle is inside Keltner Channel (wicks or body depending on configuration)
// C6: Take Profit target does not touch EMA (represents support)
//
// - Trade exit: Stop Loss: Size configurable with NNFX ATR multiplier
// Take Profit: Calculated from Stop Loss using R:R ratio
//@version=5
INITIAL_CAPITAL = 1000
DEFAULT_COMMISSION = 0.02
MAX_DRAWINGS = 500
IS_OVERLAY = true
strategy("SSL + Wave Trend Strategy", overlay = IS_OVERLAY, initial_capital = INITIAL_CAPITAL, currency = currency.NONE, max_labels_count = MAX_DRAWINGS, max_boxes_count = MAX_DRAWINGS, max_lines_count = MAX_DRAWINGS, default_qty_type = strategy.cash, commission_type = strategy.commission.percent, commission_value = DEFAULT_COMMISSION)
// =============================================================================
// INPUTS
// =============================================================================
// ----------------------
// Trade Entry Conditions
// ----------------------
useSslHybrid = input.bool (true, "Use SSL Hybrid Condition", group = "Strategy: Entry Conditions", inline = "SC1")
useKeltnerCh = input.bool (true, "Use Keltner Channel Condition ", group = "Strategy: Entry Conditions", inline = "SC2")
keltnerChWicks = input.bool (true, "Keltner Channel Include Wicks", group = "Strategy: Entry Conditions", inline = "SC2")
useEma = input.bool (true, "Target not touch EMA Condition", group = "Strategy: Entry Conditions", inline = "SC3")
useCandleHeight = input.bool (true, "Use Candle Height Condition", group = "Strategy: Entry Conditions", inline = "SC4")
candleHeight = input.float (1.0, "Candle Height Threshold ", group = "Strategy: Entry Conditions", inline = "SC5", minval = 0, step = 0.1, tooltip = "Percentage difference between high and low of a candle. Expressed as a decimal. Lowering this value will filter out trades on volatile candles.")
// ---------------------
// Trade Exit Conditions
// ---------------------
slAtrMultiplier = input.float (1.7, "Stop Loss ATR Multiplier ", group = "Strategy: Exit Conditions", inline = "EC1", minval = 0, step = 0.1, tooltip = "Size of StopLoss is determined by multiplication of ATR value. Take Profit is derived from this also by multiplying the StopLoss value by the Risk:Reward multiplier.")
// ---------------
// Risk Management
// ---------------
riskReward = input.float (2.5, "Risk : Reward 1 :", group = "Strategy: Risk Management", inline = "RM1", minval = 0, step = 0.1, tooltip = "Used to determine Take Profit level. Take Profit will be Stop Loss multiplied by this value.")
accountRiskPercent = input.float (1, "Portfolio Risk % ", group = "Strategy: Risk Management", inline = "RM2", minval = 0, step = 0.1, tooltip = "Percentage of portfolio you lose if trade hits SL.\n\nYou then stand to gain\n Portfolio Risk % * Risk : Reward\nif trade hits TP.")
// ----------
// Date Range
// ----------
startYear = input.int (2022, "Start Date ", group = "Strategy: Date Range", inline = "DR1", minval = 1900, maxval = 2100)
startMonth = input.int (1, "", group = "Strategy: Date Range", inline = "DR1", options = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12])
startDate = input.int (1, "", group = "Strategy: Date Range", inline = "DR1", options = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31])
endYear = input.int (2100, "End Date ", group = "Strategy: Date Range", inline = "DR2", minval = 1900, maxval = 2100)
endMonth = input.int (1, "", group = "Strategy: Date Range", inline = "DR2", options = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12])
endDate = input.int (1, "", group = "Strategy: Date Range", inline = "DR2", options = [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31])
// ----------------
// Display Settings
// ----------------
showTpSlBoxes = input.bool (true, "Show TP / SL Boxes", group = "Strategy: Drawings", inline = "D1", tooltip = "Show or hide TP and SL position boxes.\n\nNote: TradingView limits the maximum number of boxes that can be displayed to 500 so they may not appear for all price data under test.")
showLabels = input.bool (false, "Show Trade Exit Labels", group = "Strategy: Drawings", inline = "D2", tooltip = "Useful labels to identify Profit/Loss and cumulative portfolio capital after each trade closes.\n\nAlso note that TradingView limits the max number of 'boxes' that can be displayed on a chart (max 500). This means when you lookback far enough on the chart you will not see the TP/SL boxes. However you can check this option to identify where trades exited.")
// ------------------
// Indicator Settings
// ------------------
// Indicator display options
showSslHybrid = input.bool (true, "Show SSL Hybrid", group = "Indicators: Drawings", inline = "ID1")
showSslChannel = input.bool (true, "Show SSL Channel", group = "Indicators: Drawings", inline = "ID2")
showEma = input.bool (true, "Show EMA", group = "Indicators: Drawings", inline = "ID3")
showKeltner = input.bool (true, "Show Keltner Channel", group = "Indicators: Drawings", inline = "ID4")
showWaveTrend = input.bool (true, "Show Wave Trend Flip Candles", group = "Indicators: Drawings", inline = "ID5")
showAtrSl = input.bool (true, "Show ATR Stop Loss Bands", group = "Indicators: Drawings", inline = "ID6")
// Wave Trend Settings
n1 = input.int (10, "Channel Length ", group = "Indicators: Wave Trend", inline = "WT1")
n2 = input.int (21, "Average Length ", group = "Indicators: Wave Trend", inline = "WT2")
obLevel1 = input.int (60, "Over Bought Level 1 ", group = "Indicators: Wave Trend", inline = "WT3")
obLevel2 = input.int (53, "Over Bought Level 2 ", group = "Indicators: Wave Trend", inline = "WT4")
osLevel1 = input.int (-60, "Over Sold Level 1 ", group = "Indicators: Wave Trend", inline = "WT5")
osLevel2 = input.int (-53, "Over Sold Level 2 ", group = "Indicators: Wave Trend", inline = "WT6")
// SSL Channel Settings
sslChLen = input.int (10, "Period ", group = "Indicators: SSL Channel", inline = "SC1")
// SSL Hybrid Settings
// Show/hide Inputs
show_color_bar = input.bool (false, "Show Color Bars", group = "Indicators: SSL Hybrid", inline = "SH2")
// Baseline Inputs
maType = input.string ("HMA", "Baseline Type ", group = "Indicators: SSL Hybrid", inline = "SH3", options=["SMA", "EMA", "DEMA", "TEMA", "LSMA", "WMA", "MF", "VAMA", "TMA", "HMA", "JMA", "Kijun v2", "EDSMA", "McGinley"])
len = input.int (60, "Baseline Length ", group = "Indicators: SSL Hybrid", inline = "SH4")
src = input.source (close, "Source ", group = "Indicators: SSL Hybrid", inline = "SH5")
kidiv = input.int (1, "Kijun MOD Divider ", group = "Indicators: SSL Hybrid", inline = "SH6", maxval=4)
jurik_phase = input.int (3, "* Jurik (JMA) Only - Phase ", group = "Indicators: SSL Hybrid", inline = "SH7")
jurik_power = input.int (1, "* Jurik (JMA) Only - Power ", group = "Indicators: SSL Hybrid", inline = "SH8")
volatility_lookback = input.int (10, "* Volatility Adjusted (VAMA) Only - Volatility lookback length", group = "Indicators: SSL Hybrid", inline = "SH9")
//Modular Filter Inputs
beta = input.float (0.8, "Modular Filter, General Filter Only - Beta ", group = "Indicators: SSL Hybrid", inline = "SH10", minval=0, maxval=1, step=0.1)
feedback = input.bool (false, "Modular Filter Only - Feedback", group = "Indicators: SSL Hybrid", inline = "SH11")
z = input.float (0.5, "Modular Filter Only - Feedback Weighting ", group = "Indicators: SSL Hybrid", inline = "SH12", step=0.1, minval=0, maxval=1)
//EDSMA Inputs
ssfLength = input.int (20, "EDSMA - Super Smoother Filter Length ", group = "Indicators: SSL Hybrid", inline = "SH13", minval=1)
ssfPoles = input.int (2, "EDSMA - Super Smoother Filter Poles ", group = "Indicators: SSL Hybrid", inline = "SH14", options=[2, 3])
///Keltner Baseline Channel Inputs
useTrueRange = input.bool (true, "Use True Range?", group = "Indicators: SSL Hybrid", inline = "SH15")
multy = input.float (0.2, "Base Channel Multiplier ", group = "Indicators: SSL Hybrid", inline = "SH16", step=0.05)
// EMA Settings
emaLength = input.int (200, "EMA Length ", group = "Indicators: EMA", inline = "E1", minval = 1)
// Keltner Channel Settings
kcLength = input.int (20, "Length ", group = "Indicators: Keltner Channel", inline = "KC1", minval=1)
kcMult = input.float (1.5, "Multiplier ", group = "Indicators: Keltner Channel", inline = "KC2")
kcSrc = input.source (close, "Source ", group = "Indicators: Keltner Channel", inline = "KC3")
alen = input.int (10, "ATR Length ", group = "Indicators: Keltner Channel", inline = "KC4", minval=1)
// Candle Height in Percentage Settings
chPeriod = input.int (20, "Period ", group = "Indicators: Candle Height", inline = "CH1")
// NNFX ATR Settings
nnfxAtrLength = input.int (14, "Length ", group = "Indicators: NNFX ATR (Stop Loss Settings)", inline = "ATR1", minval = 1)
nnfxSmoothing = input.string ("RMA", "Smoothing ", group = "Indicators: NNFX ATR (Stop Loss Settings)", inline = "ATR3", options = ["RMA", "SMA", "EMA", "WMA"])
// =============================================================================
// INDICATORS
// =============================================================================
// ----------
// Wave Trend
// ----------
ap = hlc3
esa = ta.ema(ap, n1)
d = ta.ema(math.abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * d)
tci = ta.ema(ci, n2)
wt1 = tci
wt2 = ta.sma(wt1, 4)
// Show Wave Trend crosses on chart as colour changes (pink bullish, orange bearish)
wtBreakUp = ta.crossover (wt1, wt2)
wtBreakDown = ta.crossunder (wt1, wt2)
barColour = showWaveTrend ? wtBreakUp ? color.fuchsia : wtBreakDown ? color.orange : na : na
barcolor(color = barColour)
// -----------
// SSL Channel
// -----------
smaHigh = ta.sma(high, sslChLen)
smaLow = ta.sma(low, sslChLen)
var int sslChHlv = na
sslChHlv := close > smaHigh ? 1 : close < smaLow ? -1 : sslChHlv[1]
sslChDown = sslChHlv < 0 ? smaHigh : smaLow
sslChUp = sslChHlv < 0 ? smaLow : smaHigh
plot(showSslChannel ? sslChDown : na, "SSL Channel Down", linewidth=1, color=color.new(color.red, 30))
plot(showSslChannel ? sslChUp : na, "SSL Channel Up", linewidth=1, color=color.new(color.lime, 30))
// ----------
// SSL Hybrid
// ----------
//EDSMA
get2PoleSSF(src, length) =>
PI = 2 * math.asin(1)
arg = math.sqrt(2) * PI / length
a1 = math.exp(-arg)
b1 = 2 * a1 * math.cos(arg)
c2 = b1
c3 = -math.pow(a1, 2)
c1 = 1 - c2 - c3
ssf = 0.0
ssf:= c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])
ssf
get3PoleSSF(src, length) =>
PI = 2 * math.asin(1)
arg = PI / length
a1 = math.exp(-arg)
b1 = 2 * a1 * math.cos(1.738 * arg)
c1 = math.pow(a1, 2)
coef2 = b1 + c1
coef3 = -(c1 + b1 * c1)
coef4 = math.pow(c1, 2)
coef1 = 1 - coef2 - coef3 - coef4
ssf = 0.0
ssf := coef1 * src + coef2 * nz(ssf[1]) + coef3 * nz(ssf[2]) + coef4 * nz(ssf[3])
ssf
ma(type, src, len) =>
float result = 0
if type == "TMA"
result := ta.sma(ta.sma(src, math.ceil(len / 2)), math.floor(len / 2) + 1)
result
if type == "MF"
ts = 0.
b = 0.
c = 0.
os = 0.
//----
alpha = 2 / (len + 1)
a = feedback ? z * src + (1 - z) * nz(ts[1], src) : src
//----
b := a > alpha * a + (1 - alpha) * nz(b[1], a) ? a : alpha * a + (1 - alpha) * nz(b[1], a)
c := a < alpha * a + (1 - alpha) * nz(c[1], a) ? a : alpha * a + (1 - alpha) * nz(c[1], a)
os := a == b ? 1 : a == c ? 0 : os[1]
//----
upper = beta * b + (1 - beta) * c
lower = beta * c + (1 - beta) * b
ts := os * upper + (1 - os) * lower
result := ts
result
if type == "LSMA"
result := ta.linreg(src, len, 0)
result
if type == "SMA" // Simple
result := ta.sma(src, len)
result
if type == "EMA" // Exponential
result := ta.ema(src, len)
result
if type == "DEMA" // Double Exponential
e = ta.ema(src, len)
result := 2 * e - ta.ema(e, len)
result
if type == "TEMA" // Triple Exponential
e = ta.ema(src, len)
result := 3 * (e - ta.ema(e, len)) + ta.ema(ta.ema(e, len), len)
result
if type == "WMA" // Weighted
result := ta.wma(src, len)
result
if type == "VAMA" // Volatility Adjusted
/// Copyright © 2019 to present, Joris Duyck (JD)
mid = ta.ema(src, len)
dev = src - mid
vol_up = ta.highest(dev, volatility_lookback)
vol_down= ta.lowest(dev, volatility_lookback)
result := mid + math.avg(vol_up, vol_down)
result
if type == "HMA" // Hull
result := ta.wma(2 * ta.wma(src, len / 2) - ta.wma(src, len), math.round(math.sqrt(len)))
result
if type == "JMA" // Jurik
/// Copyright © 2018 Alex Orekhov (everget)
/// Copyright © 2017 Jurik Research and Consulting.
phaseRatio = jurik_phase < -100 ? 0.5 : jurik_phase > 100 ? 2.5 : jurik_phase / 100 + 1.5
beta = 0.45 * (len - 1) / (0.45 * (len - 1) + 2)
alpha = math.pow(beta, jurik_power)
jma = 0.0
e0 = 0.0
e0 := (1 - alpha) * src + alpha * nz(e0[1])
e1 = 0.0
e1 := (src - e0) * (1 - beta) + beta * nz(e1[1])
e2 = 0.0
e2 := (e0 + phaseRatio * e1 - nz(jma[1])) * math.pow(1 - alpha, 2) + math.pow(alpha, 2) * nz(e2[1])
jma := e2 + nz(jma[1])
result := jma
result
if type == "Kijun v2"
kijun = math.avg(ta.lowest(len), ta.highest(len)) //, (open + close)/2)
conversionLine = math.avg(ta.lowest(len / kidiv), ta.highest(len / kidiv))
delta = (kijun + conversionLine) / 2
result := delta
result
if type == "McGinley"
mg = 0.0
mg := na(mg[1]) ? ta.ema(src, len) : mg[1] + (src - mg[1]) / (len * math.pow(src / mg[1], 4))
result := mg
result
if type == "EDSMA"
zeros = src - nz(src[2])
avgZeros = (zeros + zeros[1]) / 2
// Ehlers Super Smoother Filter
ssf = ssfPoles == 2 ? get2PoleSSF(avgZeros, ssfLength) : get3PoleSSF(avgZeros, ssfLength)
// Rescale filter in terms of Standard Deviations
stdev = ta.stdev(ssf, len)
scaledFilter= stdev != 0 ? ssf / stdev : 0
alpha = 5 * math.abs(scaledFilter) / len
edsma = 0.0
edsma := alpha * src + (1 - alpha) * nz(edsma[1])
result := edsma
result
result
///Keltner Baseline Channel
BBMC = ma(maType, close, len)
Keltma = ma(maType, src, len)
range_1 = useTrueRange ? ta.tr : high - low
rangema = ta.ema(range_1, len)
upperk = Keltma + rangema * multy
lowerk = Keltma - rangema * multy
//COLORS
color_bar = close > upperk ? #00c3ff : close < lowerk ? #ff0062 : color.gray
//PLOTS
p1 = plot(showSslHybrid ? BBMC : na, color=color.new(color_bar, 0), linewidth=4, title="MA Baseline")
barcolor(show_color_bar ? color_bar : na)
// ---
// EMA
// ---
ema = ta.ema(close, emaLength)
plot(showEma ? ema : na, "EMA Trend Line", color.white)
// ----------------
// Keltner Channels
// ----------------
kcMa = ta.ema(kcSrc, kcLength)
KTop2 = kcMa + kcMult * ta.atr(alen)
KBot2 = kcMa - kcMult * ta.atr(alen)
upperPlot = plot(showKeltner ? KTop2 : na, color=color.new(color.blue, 0), title="Upper", style = plot.style_stepline)
lowerPlot = plot(showKeltner ? KBot2 : na, color=color.new(color.blue, 0), title="Lower", style = plot.style_stepline)
// ---------------------------
// Candle Height in Percentage
// ---------------------------
percentHL = (high - low) / low * 100
percentRed = open > close ? (open - close) / close * 100 : 0
percentGreen= open < close ? (close - open) / open * 100 : 0
// --------
// NNFX ATR
// --------
function(source, length) =>
if nnfxSmoothing == "RMA"
ta.rma(source, nnfxAtrLength)
else
if nnfxSmoothing == "SMA"
ta.sma(source, nnfxAtrLength)
else
if nnfxSmoothing == "EMA"
ta.ema(source, nnfxAtrLength)
else
ta.wma(source, nnfxAtrLength)
formula(number, decimals) =>
factor = math.pow(10, decimals)
int(number * factor) / factor
nnfxAtr = formula(function(ta.tr(true), nnfxAtrLength), 5) * slAtrMultiplier
//Sell
longSlAtr = nnfxAtrLength ? close - nnfxAtr : close + nnfxAtr
shortSlAtr = nnfxAtrLength ? close + nnfxAtr : close - nnfxAtr
plot(showAtrSl ? longSlAtr : na, "Long SL", color = color.new(color.red, 35), linewidth = 1, trackprice = true, editable = true, style = plot.style_stepline)
plot(showAtrSl ? shortSlAtr : na, "Short SL", color = color.new(color.red, 35), linewidth = 1, trackprice = true, editable = true, style = plot.style_stepline)
// =============================================================================
// FUNCTIONS
// =============================================================================
percentAsPoints(pcnt) =>
math.round(pcnt / 100 * close / syminfo.mintick)
calcStopLossPrice(pointsOffset, isLong) =>
priceOffset = pointsOffset * syminfo.mintick
if isLong
close - priceOffset
else
close + priceOffset
calcProfitTrgtPrice(pointsOffset, isLong) =>
calcStopLossPrice(-pointsOffset, isLong)
printLabel(barIndex, msg) => label.new(barIndex, close, msg)
printTpSlHitBox(left, right, slHit, tpHit, entryPrice, slPrice, tpPrice) =>
if showTpSlBoxes
box.new (left = left, top = entryPrice, right = right, bottom = slPrice, bgcolor = slHit ? color.new(color.red, 60) : color.new(color.gray, 90), border_width = 0)
box.new (left = left, top = entryPrice, right = right, bottom = tpPrice, bgcolor = tpHit ? color.new(color.green, 60) : color.new(color.gray, 90), border_width = 0)
line.new(x1 = left, y1 = entryPrice, x2 = right, y2 = entryPrice, color = color.new(color.yellow, 20))
line.new(x1 = left, y1 = slPrice, x2 = right, y2 = slPrice, color = color.new(color.red, 20))
line.new(x1 = left, y1 = tpPrice, x2 = right, y2 = tpPrice, color = color.new(color.green, 20))
printTpSlNotHitBox(left, right, entryPrice, slPrice, tpPrice) =>
if showTpSlBoxes
box.new (left = left, top = entryPrice, right = right, bottom = slPrice, bgcolor = color.new(color.gray, 90), border_width = 0)
box.new (left = left, top = entryPrice, right = right, bottom = tpPrice, bgcolor = color.new(color.gray, 90), border_width = 0)
line.new(x1 = left, y1 = entryPrice, x2 = right, y2 = entryPrice, color = color.new(color.yellow, 20))
line.new(x1 = left, y1 = slPrice, x2 = right, y2 = slPrice, color = color.new(color.red, 20))
line.new(x1 = left, y1 = tpPrice, x2 = right, y2 = tpPrice, color = color.new(color.green, 20))
printTradeExitLabel(x, y, posSize, entryPrice, pnl) =>
if showLabels
labelStr = "Position Size: " + str.tostring(math.abs(posSize), "#.##") + "\nPNL: " + str.tostring(pnl, "#.##") + "\nCapital: " + str.tostring(strategy.equity, "#.##") + "\nEntry Price: " + str.tostring(entryPrice, "#.##")
label.new(x = x, y = y, text = labelStr, color = pnl > 0 ? color.new(color.green, 60) : color.new(color.red, 60), textcolor = color.white, style = label.style_label_down)
// =============================================================================
// STRATEGY LOGIC
// =============================================================================
// See strategy description at top for details on trade entry/exit logis
// ----------
// CONDITIONS
// ----------
// Trade entry and exit variables
var tradeEntryBar = bar_index
var profitPoints = 0.
var lossPoints = 0.
var slPrice = 0.
var tpPrice = 0.
var inLong = false
var inShort = false
// Exit calculations
slAmount = nnfxAtr
slPercent = math.abs((1 - (close - slAmount) / close) * 100)
tpPercent = slPercent * riskReward
tpPoints = percentAsPoints(tpPercent)
tpTarget = calcProfitTrgtPrice(tpPoints, wtBreakUp)
inDateRange = true
// Condition 1: SSL Hybrid blue for long or red for short
bullSslHybrid = useSslHybrid ? close > upperk : true
bearSslHybrid = useSslHybrid ? close < lowerk : true
// Condition 2: SSL Channel crosses up for long or down for short
bullSslChannel = ta.crossover(sslChUp, sslChDown)
bearSslChannel = ta.crossover(sslChDown, sslChUp)
// Condition 3: Wave Trend crosses up for long or down for short
bullWaveTrend = wtBreakUp
bearWaveTrend = wtBreakDown
// Condition 4: Entry candle heignt <= 0.6 on Candle Height in Percentage
candleHeightValid = useCandleHeight ? percentGreen <= candleHeight and percentRed <= candleHeight : true
// Condition 5: Entry candle is inside Keltner Channel
withinCh = keltnerChWicks ? high < KTop2 and low > KBot2 : open < KTop2 and close < KTop2 and open > KBot2 and close > KBot2
insideKeltnerCh = useKeltnerCh ? withinCh : true
// Condition 6: TP target does not touch 200 EMA
bullTpValid = useEma ? not (close < ema and tpTarget > ema) : true
bearTpValid = useEma ? not (close > ema and tpTarget < ema) : true
// Combine all entry conditions
goLong = inDateRange and bullSslHybrid and bullSslChannel and bullWaveTrend and candleHeightValid and insideKeltnerCh and bullTpValid
goShort = inDateRange and bearSslHybrid and bearSslChannel and bearWaveTrend and candleHeightValid and insideKeltnerCh and bearTpValid
// Entry decisions
openLong = (goLong and not inLong)
openShort = (goShort and not inShort)
flippingSides = (goLong and inShort) or (goShort and inLong)
enteringTrade = openLong or openShort
inTrade = inLong or inShort
// Risk calculations
riskAmt = strategy.equity * accountRiskPercent / 100
entryQty = math.abs(riskAmt / slPercent * 100) / close
if openLong
if strategy.position_size < 0
printTpSlNotHitBox(tradeEntryBar + 1, bar_index + 1, strategy.position_avg_price, slPrice, tpPrice)
printTradeExitLabel(bar_index + 1, math.max(tpPrice, slPrice), strategy.position_size, strategy.position_avg_price, strategy.openprofit)
strategy.entry("Long", strategy.long, qty = entryQty, alert_message = "Long Entry")
enteringTrade := true
inLong := true
inShort := false
alert(message="BUY Trade Entry Alert", freq=alert.freq_once_per_bar_close)
if openShort
if strategy.position_size > 0
printTpSlNotHitBox(tradeEntryBar + 1, bar_index + 1, strategy.position_avg_price, slPrice, tpPrice)
printTradeExitLabel(bar_index + 1, math.max(tpPrice, slPrice), strategy.position_size, strategy.position_avg_price, strategy.openprofit)
strategy.entry("Short", strategy.short, qty = entryQty, alert_message = "Short Entry")
enteringTrade := true
inShort := true
inLong := false
alert(message="SELL Trade Entry Alert", freq=alert.freq_once_per_bar_close)
if enteringTrade
profitPoints := percentAsPoints(tpPercent)
lossPoints := percentAsPoints(slPercent)
slPrice := calcStopLossPrice(lossPoints, openLong)
tpPrice := calcProfitTrgtPrice(profitPoints, openLong)
tradeEntryBar := bar_index
strategy.exit("TP/SL", profit = profitPoints, loss = lossPoints, comment_profit = "TP Hit", comment_loss = "SL Hit", alert_profit = "TP Hit Alert", alert_loss = "SL Hit Alert")
// =============================================================================
// DRAWINGS
// =============================================================================
// -----------
// TP/SL Boxes
// -----------
slHit = (inShort and high >= slPrice) or (inLong and low <= slPrice)
tpHit = (inLong and high >= tpPrice) or (inShort and low <= tpPrice)
exitTriggered = slHit or tpHit
entryPrice = strategy.closedtrades.entry_price (strategy.closedtrades - 1)
pnl = strategy.closedtrades.profit (strategy.closedtrades - 1)
posSize = strategy.closedtrades.size (strategy.closedtrades - 1)
// Print boxes for trades closed at profit or loss
if (inTrade and exitTriggered)
inShort := false
inLong := false
// printTpSlHitBox(tradeEntryBar + 1, bar_index, slHit, tpHit, entryPrice, slPrice, tpPrice)
// printTradeExitLabel(bar_index, math.max(tpPrice, slPrice), posSize, entryPrice, pnl)
// Print TP/SL box for current open trade
if barstate.islastconfirmedhistory and strategy.position_size != 0
printTpSlNotHitBox(tradeEntryBar + 1, bar_index + 1, strategy.position_avg_price, slPrice, tpPrice)
// =============================================================================
// DEBUGGING
// =============================================================================
// Data window plots
plotchar(goLong, "Enter Long", "")
plotchar(goShort, "Enter Short", "")
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