SSL Hybrid Exit Arrow Quant Strategy
Penulis:ChaoZhang, Tarikh: 2023-12-06 15:54:12Tag:
Ringkasan
Strategi Quant Arrow Keluaran Hibrid SSL adalah strategi perdagangan kuantitatif jangka pendek berdasarkan purata bergerak dan penunjuk harga maksimum / minimum. Ia menggunakan anak panah EXIT dari penunjuk hibrid SSL untuk menentukan titik masuk dan keluar, dengan penunjuk QQE sebagai penapis, dan mengira stop loss dan kedudukan tambahan dengan penunjuk ATR. Strategi ini sesuai untuk pelabur yang sensitif terhadap turun naik pasaran dan mempunyai kawalan risiko yang ketat.
Logika Strategi
Strategi ini menggunakan anak panah EXIT dari penunjuk hibrid SSL untuk menentukan titik masuk. Di atas anak panah EXIT adalah titik tinggi EXIT, dan di bawahnya adalah titik rendah EXIT. Isyarat jual dihasilkan apabila harga penutupan melintasi di bawah titik tinggi EXIT, dan isyarat beli dihasilkan apabila harga penutupan melintasi di atas titik rendah EXIT.
Untuk meningkatkan kebolehpercayaan isyarat, penunjuk QQE diperkenalkan sebagai keadaan penapis tambahan. Isyarat yang dihasilkan oleh anak panah EXIT hanya dilaksanakan apabila penunjuk QQE berada dalam arah yang sama.
Untuk mengawal risiko, strategi ini menggunakan kelipatan ATR untuk mengira stop loss dan kedudukan tambahan. Stop loss untuk kedudukan pendek adalah harga penutupan + ATR × 1.8. Stop loss untuk kedudukan panjang adalah harga penutupan
Setiap kumpulan kedudukan tambahan mempunyai stop loss sendiri. Kumpulan pertama sebanyak 20% daripada saiz kedudukan akan berhenti kehilangan apabila mencapai tahap stop loss, sementara kedudukan yang selebihnya terus dipegang.
Kelebihan
- Keuntungan daripada anak panah EXIT dan kawalan risiko yang berkesan dengan stop loss yang tepat pada masanya
- Penapis QQE meningkatkan ketepatan isyarat
- Menggunakan penunjuk ATR untuk mengira kedudukan stop loss dinamik dan kedudukan tambahan berdasarkan turun naik pasaran untuk kawalan risiko yang lebih tepat
- Manfaatkan sepenuhnya trend melalui kedudukan tambahan berpasangan
Risiko
- Mengambil keuntungan keseluruhan atau stop loss berasaskan asas boleh dianggap.
- Perbezaan dalam kepekaan terhadap turun naik pasaran antara anak panah EXIT dan QQE boleh menyebabkan isyarat bertentangan. Parameter harus diselaraskan untuk mengurangkan konflik isyarat.
- Posisi tambahan yang terlalu agresif cenderung mengejar puncak dan membuang bahagian bawah.
Arahan pengoptimuman
- Menggabungkan penunjuk asas seperti nisbah P / B, nisbah P / E dan hasil dividen untuk tahap mengambil keuntungan berdasarkan asas.
- Sesuaikan parameter QQE untuk menyelaraskan isyarat dengan anak panah EXIT.
- Mengurangkan nisbah tambahan berdasarkan sentimen pasaran di pasaran yang berbeza.
- Uji set parameter optimum berdasarkan penggunaan maksimum, nisbah risiko-balasan, dll.
Ringkasan
Strategi ini menggunakan anak panah EXIT dari penunjuk hibrid SSL sebagai inti isyarat, dengan penunjuk QQE dan ATR sebagai penapis dan untuk stop loss. Pengumpulan keuntungan dicapai melalui kedudukan tambahan yang disatukan. Ini adalah strategi kuantitatif jangka pendek yang sesuai untuk mengesan trend pasaran jangka pendek. Strategi ini mempunyai kawalan penarikan dan keupayaan mengurangkan risiko, tetapi risiko seperti konflik isyarat dan mengejar puncak / menghancurkan bahagian bawah harus diperhatikan. Menggabungkan pengambilan keuntungan berdasarkan asas dan lebih berhati-hati ketika menentukan pasaran berayun dan mengurangkan nisbah tambahan dapat memperluaskan potensi keuntungan strategi ini.
/*backtest
start: 2023-11-28 00:00:00
end: 2023-12-05 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["TradeAmount",2,358374]]
*/
//@version=4
// Strategy based on the SSL Hybrid indicator by Mihkel00
// Designed for the purpose of back testing
// Strategy:
// - Enters both long and short trades based on SSL1 crossing the baseline
// - Stop Loss calculated based on ATR multiplier
// - Take Profit calculated based on 2 ATR multipliers and exits percentage of position on TP1 and TP2
//
// Credits:
// SSL Hybrid Mihkel00 https://www.tradingview.com/u/Mihkel00/
// -------------------------------- SSL HYBRID ---------------------------------
strategy("SSL Exit Arrow Strategy", overlay=true)
show_Baseline = input(title="Show Baseline", type=input.bool, defval=true, group="SSL Hybrid Indicator Settings")
show_SSL1 = input(title="Show SSL1", type=input.bool, defval=true, group="SSL Hybrid Indicator Settings")
show_atr = input(title="Show ATR bands", type=input.bool, defval=false, group="SSL Hybrid Indicator Settings")
//ATR
atrlen = input(14, "ATR Period", group="SSL Hybrid Indicator Settings")
mult = input(1, "ATR Multi", step=0.1, group="SSL Hybrid Indicator Settings")
smoothing = input(title="ATR Smoothing", defval="WMA", options=["RMA", "SMA", "EMA", "WMA"], group="SSL Hybrid Indicator Settings")
ma_function(source, atrlen) =>
if smoothing == "RMA"
rma(source, atrlen)
else
if smoothing == "SMA"
sma(source, atrlen)
else
if smoothing == "EMA"
ema(source, atrlen)
else
wma(source, atrlen)
atr_slen = ma_function(tr(true), atrlen)
////ATR Up/Low Bands
upper_band = atr_slen * mult + close
lower_band = close - atr_slen * mult
////BASELINE / SSL1 / SSL2 / EXIT MOVING AVERAGE VALUES
maType = input(title="SSL1 / Baseline Type", type=input.string, defval="HMA", options=["SMA","EMA","DEMA","TEMA","LSMA","WMA","MF","VAMA","TMA","HMA", "JMA", "Kijun v2", "EDSMA","McGinley"], group="SSL Hybrid Indicator Settings")
len = input(title="SSL1 / Baseline Length", defval=60, group="SSL Hybrid Indicator Settings")
SSL2Type = input(title="SSL2 / Continuation Type", type=input.string, defval="JMA", options=["SMA","EMA","DEMA","TEMA","WMA","MF","VAMA","TMA","HMA", "JMA","McGinley"], group="SSL Hybrid Indicator Settings")
len2 = input(title="SSL 2 Length", defval=5, group="SSL Hybrid Indicator Settings")
//
SSL3Type = input(title="EXIT Type", type=input.string, defval="HMA", options=["DEMA","TEMA","LSMA","VAMA","TMA","HMA","JMA", "Kijun v2", "McGinley", "MF"], group="SSL Hybrid Indicator Settings")
len3 = input(title="EXIT Length", defval=15, group="SSL Hybrid Indicator Settings")
src = input(title="Source", type=input.source, defval=close, group="SSL Hybrid Indicator Settings")
//
tema(src, len) =>
ema1 = ema(src, len)
ema2 = ema(ema1, len)
ema3 = ema(ema2, len)
(3 * ema1) - (3 * ema2) + ema3
kidiv = input(defval=1,maxval=4, title="Kijun MOD Divider", group="SSL Hybrid Indicator Settings")
jurik_phase = input(title="* Jurik (JMA) Only - Phase", type=input.integer, defval=3, group="SSL Hybrid Indicator Settings")
jurik_power = input(title="* Jurik (JMA) Only - Power", type=input.integer, defval=1, group="SSL Hybrid Indicator Settings")
volatility_lookback = input(10, title="* Volatility Adjusted (VAMA) Only - Volatility lookback length", group="SSL Hybrid Indicator Settings")
//MF
beta = input(0.8,minval=0,maxval=1,step=0.1, title="Modular Filter, General Filter Only - Beta", group="SSL Hybrid Indicator Settings")
feedback = input(false, title="Modular Filter Only - Feedback", group="SSL Hybrid Indicator Settings")
z = input(0.5,title="Modular Filter Only - Feedback Weighting",step=0.1, minval=0, maxval=1, group="SSL Hybrid Indicator Settings")
//EDSMA
ssfLength = input(title="EDSMA - Super Smoother Filter Length", type=input.integer, minval=1, defval=20, group="SSL Hybrid Indicator Settings")
ssfPoles = input(title="EDSMA - Super Smoother Filter Poles", type=input.integer, defval=2, options=[2, 3], group="SSL Hybrid Indicator Settings")
//----
//EDSMA
get2PoleSSF(src, length) =>
PI = 2 * asin(1)
arg = sqrt(2) * PI / length
a1 = exp(-arg)
b1 = 2 * a1 * cos(arg)
c2 = b1
c3 = -pow(a1, 2)
c1 = 1 - c2 - c3
ssf = 0.0
ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])
get3PoleSSF(src, length) =>
PI = 2 * asin(1)
arg = PI / length
a1 = exp(-arg)
b1 = 2 * a1 * cos(1.738 * arg)
c1 = pow(a1, 2)
coef2 = b1 + c1
coef3 = -(c1 + b1 * c1)
coef4 = 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])
ma(type, src, len) =>
float result = 0
if type=="TMA"
result := sma(sma(src, ceil(len / 2)), floor(len / 2) + 1)
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
if type=="LSMA"
result := linreg(src, len, 0)
if type=="SMA" // Simple
result := sma(src, len)
if type=="EMA" // Exponential
result := ema(src, len)
if type=="DEMA" // Double Exponential
e = ema(src, len)
result := 2 * e - ema(e, len)
if type=="TEMA" // Triple Exponential
e = ema(src, len)
result := 3 * (e - ema(e, len)) + ema(ema(e, len), len)
if type=="WMA" // Weighted
result := wma(src, len)
if type=="VAMA" // Volatility Adjusted
/// Copyright © 2019 to present, Joris Duyck (JD)
mid=ema(src,len)
dev=src-mid
vol_up=highest(dev,volatility_lookback)
vol_down=lowest(dev,volatility_lookback)
result := mid+avg(vol_up,vol_down)
if type=="HMA" // Hull
result := wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len)))
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 = 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])) * pow(1 - alpha, 2) + pow(alpha, 2) * nz(e2[1])
jma := e2 + nz(jma[1])
result := jma
if type=="Kijun v2"
kijun = avg(lowest(len), highest(len))//, (open + close)/2)
conversionLine = avg(lowest(len/kidiv), highest(len/kidiv))
delta = (kijun + conversionLine)/2
result :=delta
if type=="McGinley"
mg = 0.0
ema = ema(src, len)
mg := na(mg[1]) ? ema : mg[1] + (src - mg[1]) / (len * pow(src/mg[1], 4))
result :=mg
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 = stdev(ssf, len)
scaledFilter = stdev != 0
? ssf / stdev
: 0
alpha = 5 * abs(scaledFilter) / len
edsma = 0.0
edsma := alpha * src + (1 - alpha) * nz(edsma[1])
result := edsma
result
///SSL 1 and SSL2
emaHigh = ma(maType, high, len)
emaLow = ma(maType, low, len)
maHigh = ma(SSL2Type, high, len2)
maLow = ma(SSL2Type, low, len2)
///EXIT
ExitHigh = ma(SSL3Type, high, len3)
ExitLow = ma(SSL3Type, low, len3)
///Keltner Baseline Channel
BBMC = ma(maType, close, len)
useTrueRange = input(true, group="SSL Hybrid Indicator Settings")
multy = input(0.2, step=0.05, title="Base Channel Multiplier", group="SSL Hybrid Indicator Settings")
Keltma = ma(maType, src, len)
range = useTrueRange ? tr : high - low
rangema = ema(range, len)
upperk =Keltma + rangema * multy
lowerk = Keltma - rangema * multy
//Baseline Violation Candle
open_pos = open*1
close_pos = close*1
difference = abs(close_pos-open_pos)
atr_violation = difference > atr_slen
InRange = upper_band > BBMC and lower_band < BBMC
candlesize_violation = atr_violation and InRange
plotshape(candlesize_violation, color=color.new(color.white, transp=0), size=size.tiny,style=shape.diamond, location=location.top, title="Candle Size > 1xATR")
//SSL1 VALUES
Hlv = int(na)
Hlv := close > emaHigh ? 1 : close < emaLow ? -1 : Hlv[1]
sslDown = Hlv < 0 ? emaHigh : emaLow
//SSL2 VALUES
Hlv2 = int(na)
Hlv2 := close > maHigh ? 1 : close < maLow ? -1 : Hlv2[1]
sslDown2 = Hlv2 < 0 ? maHigh : maLow
//EXIT VALUES
Hlv3 = int(na)
Hlv3 := close > ExitHigh ? 1 : close < ExitLow ? -1 : Hlv3[1]
sslExit = Hlv3 < 0 ? ExitHigh : ExitLow
base_cross_Long = crossover(close, sslExit)
base_cross_Short = crossover(sslExit, close)
codiff = base_cross_Long ? 1 : base_cross_Short ? -1 : na
//COLORS
show_color_bar = input(title="Color Bars", type=input.bool, defval=true, group="SSL Hybrid Indicator Settings")
color_bar = close > upperk ? #00c3ff : close < lowerk ? #ff0062 : color.gray
color_ssl1 = close > sslDown ? #00c3ff : close < sslDown ? #ff0062 : na
//PLOTS
plotarrow(codiff, colorup=color.rgb(0, 195, 255, transp=0), colordown=color.rgb(255, 0, 98, transp=0),title="Exit Arrows", maxheight=20, offset=0)
p1 = plot(show_Baseline ? BBMC : na, color=color.new(color_bar, transp=0), linewidth=4, title='MA Baseline')
DownPlot = plot( show_SSL1 ? sslDown : na, title="SSL1", linewidth=3, color=color.new(color_ssl1, transp=10))
barcolor(show_color_bar ? color_bar : na)
up_channel = plot(show_Baseline ? upperk : na, color=color_bar, title="Baseline Upper Channel")
low_channel = plot(show_Baseline ? lowerk : na, color=color_bar, title="Basiline Lower Channel")
fill(up_channel, low_channel, color=color.new(color_bar, transp=90))
////SSL2 Continiuation from ATR
atr_crit = input(0.9, step=0.1, title="Continuation ATR Criteria", group="SSL Hybrid Indicator Settings")
upper_half = atr_slen * atr_crit + close
lower_half = close - atr_slen * atr_crit
buy_inatr = lower_half < sslDown2
sell_inatr = upper_half > sslDown2
sell_cont = close < BBMC and close < sslDown2
buy_cont = close > BBMC and close > sslDown2
sell_atr = sell_inatr and sell_cont
buy_atr = buy_inatr and buy_cont
atr_fill = buy_atr ? color.green : sell_atr ? color.purple : color.white
LongPlot = plot(sslDown2, title="SSL2", linewidth=2, color=color.new(atr_fill, transp=0), style=plot.style_circles, display=display.none)
u = plot(show_atr ? upper_band : na, "+ATR", color=color.new(color.white, transp=80), display=display.none)
l = plot(show_atr ? lower_band : na, "-ATR", color=color.new(color.white, transp=80), display=display.none)
// ---------------------------- QQE MOD INDICATOR ------------------------------
RSI_Period = input(6, title='RSI Length')
SF = input(5, title='RSI Smoothing')
QQE = input(3, title='Fast QQE Factor')
ThreshHold = input(3, title="Thresh-hold")
rsi_src = input(close, title="RSI Source")
Wilders_Period = RSI_Period * 2 - 1
Rsi = rsi(rsi_src, RSI_Period)
RsiMa = ema(Rsi, SF)
AtrRsi = abs(RsiMa[1] - RsiMa)
MaAtrRsi = ema(AtrRsi, Wilders_Period)
dar = ema(MaAtrRsi, Wilders_Period) * QQE
longband = 0.0
shortband = 0.0
trend = 0
DeltaFastAtrRsi = dar
RSIndex = RsiMa
newshortband = RSIndex + DeltaFastAtrRsi
newlongband = RSIndex - DeltaFastAtrRsi
longband := RSIndex[1] > longband[1] and RSIndex > longband[1] ?
max(longband[1], newlongband) : newlongband
shortband := RSIndex[1] < shortband[1] and RSIndex < shortband[1] ?
min(shortband[1], newshortband) : newshortband
cross_1 = cross(longband[1], RSIndex)
trend := cross(RSIndex, shortband[1]) ? 1 : cross_1 ? -1 : nz(trend[1], 1)
FastAtrRsiTL = trend == 1 ? longband : shortband
////////////////////
length = input(50, minval=1, title="Bollinger Length")
bb_mult = input(0.35, minval=0.001, maxval=5, step=0.1, title="BB Multiplier")
basis = sma(FastAtrRsiTL - 50, length)
dev = bb_mult * stdev(FastAtrRsiTL - 50, length)
upper = basis + dev
lower = basis - dev
rsi_ma_color_bar = RsiMa - 50 > upper ? #00c3ff : RsiMa - 50 < lower ? #ff0062 : color.gray
// Zero cross
QQEzlong = 0
QQEzlong := nz(QQEzlong[1])
QQEzshort = 0
QQEzshort := nz(QQEzshort[1])
QQEzlong := RSIndex >= 50 ? QQEzlong + 1 : 0
QQEzshort := RSIndex < 50 ? QQEzshort + 1 : 0
////////////////////////////////////////////////////////////////
RSI_Period2 = input(6, title='RSI Length')
SF2 = input(5, title='RSI Smoothing')
QQE2 = input(1.61, title='Fast QQE2 Factor')
ThreshHold2 = input(3, title="Thresh-hold")
src2 = input(close, title="RSI Source")
Wilders_Period2 = RSI_Period2 * 2 - 1
Rsi2 = rsi(src2, RSI_Period2)
RsiMa2 = ema(Rsi2, SF2)
AtrRsi2 = abs(RsiMa2[1] - RsiMa2)
MaAtrRsi2 = ema(AtrRsi2, Wilders_Period2)
dar2 = ema(MaAtrRsi2, Wilders_Period2) * QQE2
longband2 = 0.0
shortband2 = 0.0
trend2 = 0
DeltaFastAtrRsi2 = dar2
RSIndex2 = RsiMa2
newshortband2 = RSIndex2 + DeltaFastAtrRsi2
newlongband2 = RSIndex2 - DeltaFastAtrRsi2
longband2 := RSIndex2[1] > longband2[1] and RSIndex2 > longband2[1] ?
max(longband2[1], newlongband2) : newlongband2
shortband2 := RSIndex2[1] < shortband2[1] and RSIndex2 < shortband2[1] ?
min(shortband2[1], newshortband2) : newshortband2
cross_2 = cross(longband2[1], RSIndex2)
trend2 := cross(RSIndex2, shortband2[1]) ? 1 : cross_2 ? -1 : nz(trend2[1], 1)
FastAtrRsi2TL = trend2 == 1 ? longband2 : shortband2
// Zero cross
QQE2zlong = 0
QQE2zlong := nz(QQE2zlong[1])
QQE2zshort = 0
QQE2zshort := nz(QQE2zshort[1])
QQE2zlong := RSIndex2 >= 50 ? QQE2zlong + 1 : 0
QQE2zshort := RSIndex2 < 50 ? QQE2zshort + 1 : 0
hcolor2 = RsiMa2 - 50 > ThreshHold2 ? color.silver :
RsiMa2 - 50 < 0 - ThreshHold2 ? color.silver : na
Greenbar1 = RsiMa2 - 50 > ThreshHold2
Greenbar2 = RsiMa - 50 > upper
Redbar1 = RsiMa2 - 50 < 0 - ThreshHold2
Redbar2 = RsiMa - 50 < lower
qqe_line = FastAtrRsi2TL - 50
qqe_blue_bar = Greenbar1 and Greenbar2 == 1
qqe_red_bar = Redbar1 and Redbar2 == 1
// ----------------------------------STRATEGY ----------------------------------
atr_length = input(title="ATR Length", type=input.integer, defval=14, inline="1", group="Strategy Back Test Settings")
atr = atr(atr_length)
// Back test time range
from_date = input(title="From", type=input.time, defval=timestamp("01 Aug 2021 00:00 +0100"), inline="1", group="Date Range")
to_date = input(title="To", type=input.time, defval=timestamp("01 Sep 2021 00:00 +0100"), inline="1", group="Date Range")
in_date = true
// Strategy entry and exit settings
// Should use SSL as a filter for position side
use_ssl_filter = input(title="SSL Flip as Filter", type=input.bool, defval=false, inline="1", group="Entry Settings")
// Should use SSL as a filter for position side
use_qqe_filter = input(title="QQE MOD as Filter (Please add QQE MOD indicator to your chart separately)", type=input.bool, defval=false, inline="2", group="Entry Settings")
// DCA Settings
dca1_atr_multiplier = input(title="DCA1 ATR Multiplier", type=input.float, defval=0.1, step=0.1, inline="3", group="Entry Settings")
dca1_exit_percentage = input(title="DCA1 Exit Percentage", type=input.integer, defval=20, step=1, maxval=100, inline="3", group="Entry Settings")
dca2_atr_multiplier = input(title="DCA2 ATR Multiplier", type=input.float, defval=0.3, step=0.1, inline="4", group="Entry Settings")
dca2_exit_percentage = input(title="DCA2 Exit Percentage", type=input.integer, defval=40, step=1, maxval=100, inline="4", group="Entry Settings")
dca3_atr_multiplier = input(title="DCA3 ATR Multiplier", type=input.float, defval=0.7, step=0.1, inline="5", group="Entry Settings")
dca3_exit_percentage = input(title="DCA3 Exit Percentage", type=input.integer, defval=40, step=1, maxval=100, inline="5", group="Entry Settings")
// Stop-Loss Settings
sl_atr_multiplier = input(title="SL ATR Multiplier", type=input.float, defval=1.8, step=0.1, inline="2", group="Exit Settings")
var long_sl = float(na)
var long_dca1 = float(na)
var long_dca2 = float(na)
var long_dca3 = float(na)
var short_sl = float(na)
var short_dca1 = float(na)
var short_dca2 = float(na)
var short_dca3 = float(na)
is_open_long = strategy.position_size > 0
is_open_short = strategy.position_size < 0
var in_ssl_long = false
var in_ssl_short = false
var ssl_long_entry = false
var ssl_short_entry = false
var ssl_long_exit = false
var ssl_short_exit = false
var did_prev_bar_ssl_flip = false
ssl_long = use_ssl_filter ? close > sslDown : true
ssl_short = use_ssl_filter ? close < sslDown : true
qqe_long = use_qqe_filter ? (qqe_blue_bar and qqe_line > 0) : true
qqe_short = use_qqe_filter ? (qqe_red_bar and qqe_line < 0) : true
ssl_long_entry := ssl_long and qqe_long and codiff == 1
ssl_short_entry := ssl_short and qqe_short and codiff == -1
ssl_long_exit := codiff == -1
ssl_short_exit := codiff == 1
remaining_percent = 100
var total_tokens = strategy.equity * 0.10 / close
dca1_percent = dca1_exit_percentage <= remaining_percent ? dca1_exit_percentage : remaining_percent
remaining_percent -= dca1_percent
entry_1 = total_tokens * (dca1_percent / 100)
dca2_percent = dca2_exit_percentage <= remaining_percent ? dca2_exit_percentage : remaining_percent
remaining_percent -= dca2_percent
entry_2 = total_tokens * (dca2_percent / 100)
dca3_percent = dca3_exit_percentage <= remaining_percent ? dca3_exit_percentage : remaining_percent
remaining_percent -= dca3_percent
entry_3 = total_tokens * (dca3_percent / 100)
if did_prev_bar_ssl_flip
did_prev_bar_ssl_flip := false
position_value = abs(strategy.position_size * close)
if in_ssl_long
label.new(x=bar_index, y=close, xloc=xloc.bar_index, yloc=yloc.abovebar, text=tostring(position_value), style=label.style_label_down, size=size.tiny)
else
label.new(x=bar_index, y=close, xloc=xloc.bar_index, yloc=yloc.belowbar, text=tostring(position_value), style=label.style_label_up, size=size.tiny)
if ssl_long_exit
strategy.cancel("LongEntry1")
strategy.cancel("LongEntry2")
strategy.cancel("LongEntry3")
strategy.close(id="LongEntry1", comment="Close Long1")
strategy.close(id="LongEntry2", comment="Close Long2")
strategy.close(id="LongEntry3", comment="Close Long3")
in_ssl_long := false
in_ssl_short := false
if ssl_short_exit
strategy.cancel("ShortEntry1")
strategy.cancel("ShortEntry2")
strategy.cancel("ShortEntry3")
strategy.close(id="ShortEntry1", comment="Close Short1")
strategy.close(id="ShortEntry2", comment="Close Short2")
strategy.close(id="ShortEntry3", comment="Close Short3")
in_ssl_long := false
in_ssl_short := false
if ssl_long_entry and in_date and not in_ssl_long
strategy.cancel("LongEntry1")
strategy.cancel("LongEntry2")
strategy.cancel("LongEntry3")
strategy.cancel("ShortEntry1")
strategy.cancel("ShortEntry2")
strategy.cancel("ShortEntry3")
if in_ssl_short
strategy.close(id="ShortEntry1", comment="Close Short1")
strategy.close(id="ShortEntry2", comment="Close Short2")
strategy.close(id="ShortEntry3", comment="Close Short3")
in_ssl_long := true
in_ssl_short := false
did_prev_bar_ssl_flip := true
long_sl := close - (atr * sl_atr_multiplier)
long_dca1 := close - (atr * dca1_atr_multiplier)
long_dca2 := close - (atr * dca2_atr_multiplier)
long_dca3 := close - (atr * dca3_atr_multiplier)
strategy.entry("LongEntry1", strategy.long, limit=long_dca1)
strategy.entry("LongEntry2", strategy.long, limit=long_dca2)
strategy.entry("LongEntry3", strategy.long, limit=long_dca3)
strategy.exit("LongExit1", "LongEntry1", stop=long_sl)
strategy.exit("LongExit2", "LongEntry2", stop=long_sl)
strategy.exit("LongExit3", "LongEntry3", stop=long_sl)
if ssl_short_entry and in_date and not in_ssl_short
strategy.cancel("LongEntry1")
strategy.cancel("LongEntry2")
strategy.cancel("LongEntry3")
strategy.cancel("ShortEntry1")
strategy.cancel("ShortEntry2")
strategy.cancel("ShortEntry3")
if in_ssl_long
strategy.close(id="LongEntry1", comment="Close Long1")
strategy.close(id="LongEntry2", comment="Close Long2")
strategy.close(id="LongEntry3", comment="Close Long3")
in_ssl_short := true
in_ssl_long := false
did_prev_bar_ssl_flip := true
short_sl := close + (atr * sl_atr_multiplier)
short_dca1 := close + (atr * dca1_atr_multiplier)
short_dca2 := close + (atr * dca2_atr_multiplier)
short_dca3 := close + (atr * dca3_atr_multiplier)
strategy.entry("ShortEntry1", strategy.short, limit=short_dca1)
strategy.entry("ShortEntry2", strategy.short, limit=short_dca2)
strategy.entry("ShortEntry3", strategy.short, limit=short_dca3)
strategy.exit("ShortExit1", "ShortEntry1", stop=short_sl)
strategy.exit("ShortExit2", "ShortEntry2", stop=short_sl)
strategy.exit("ShortExit3", "ShortEntry3", stop=short_sl)
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