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strategy-template.pine
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strategy-template.pine
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//@version=3
// BEGIN UNCOMMENT FOR BACKTESTING
strategy(title="Strategy Template", shorttitle="STRAT-TMPLT", overlay=true,
pyramiding=0, default_qty_value=100, commission_value=0.1, commission_type=strategy.commission.percent, initial_capital=1000)
strategyEntry(name, direction, myCondition) =>
if direction==1 and name=="Long"
strategy.entry("Long", 1, when= myCondition)
if direction==0 and name=="Short"
strategy.entry("Short", 0, when= myCondition)
strategyClose(name, myCondition) =>
if name=="Long"
strategy.close("Long", when= myCondition)
if name=="Short"
strategy.close("Short", when= myCondition)
isStrategy = true, isStudy = false
// END UNCOMMENT FOR BACKTESTING
// BEGIN UNCOMMENT FOR ALERTS
// study(title="[Autoview][Alerts] Simple Template 1.0", shorttitle="[AL] Simple Template 1.0", overlay=true)
// strategyEntry(RUNNING, AS, STUDY) => RUNNING=='false' ? false : false
// strategyClose(ALERTS, NOT_STRATEGY) => ALERTS== 'false' ? false : false
// isStrategy = false, isStudy = true
// END UNCOMMENT FOR ALERTS
// Name: Pine Strategy Template 1.02
// Author: TensorTom
// Previous fork by: MrBit (yatrader2)
// Based on work by: JustUncleL and CryptoRox
// Revision: R0.02
// Date: 4/10/2019
//
//////////////////////////////////////////////////////////////////////////////////////////
// INPUTS
useRenko = input(false, title="This a RENKO Chart?")
// WARNING: Using Heikin-Ashi may result in inaccurate backtest results
useHeikin = input(false, title="Use Heikin-Ashi Candles? (BT WILL BE UNRELIABLE)")
// Use Alternate Anchor TF for MAs
anchor = input(0,minval=0,maxval=1440,title="Alternate TimeFrame Multiplier (0=none)")
// If have anchor specified, calculate the base multiplier.
//mult = isintraday ? anchor==0 or interval<=0 or interval>=anchor or anchor>1440? 1 : round(anchor/interval) : 1
//mult := isdwm? 1 : mult // Only available Daily or less
mult = anchor>0 ? anchor : 1
open_ = useHeikin ? security(heikinashi(tickerid), period, open) : security(tickerid, period, open)
close_ = useHeikin ? security(heikinashi(tickerid), period, close) : security(tickerid, period, close)
high_ = useRenko? max(close_,open_) : useHeikin ? security(heikinashi(tickerid), period, high) : security(tickerid, period, high)
low_ = useRenko? min(close_,open_) : useHeikin ? security(heikinashi(tickerid), period, low) : security(tickerid, period, low)
uPrice = input(title="Price", defval="close", options=["close", "high", "low"])
src= uPrice=="close" ? close_ : uPrice=="high" ? high_ : uPrice=="low" ? low_ : na
// This is superced by the design of specifying Open and Close setting in strategy
// fastExit = input(false,title="Use Opposite Trade as a Close Signal")
fastExit = false
isLong = input(true,title="Allow Longs")
isShort = input(true,title="Allow Shorts")
flipTrade = input(false,title="Flip/Invert Strategy")
clrBars = input(false,title="Colour Candles to Trade Order state")
// CONSTANTS
AQUA = #00FFFFFF
BLUE = #0000FFFF
RED = #FF0000FF
LIME = #00FF00FF
GRAY = #808080FF
DARKRED = #8B0000FF
DARKGREEN = #006400FF
//////////////////////////////////////////////////////////////////////////////////////////
// BEGIN ACTUAL STRATEGY
// Strategy specific inputs
quick = input(14, title="Quick Period", step=1, minval=1)
slow = input(28, title="Slow Period", step=1, minval=1)
// UPDATE WITH ACTUAL STRATEGY HERE
openLong = crossover(sma(src, quick*mult), sma(src, slow*mult))
closeLong = crossunder(sma(src, quick*mult), sma(src, slow*mult))
openShort = closeLong
closeShort = openLong
// END ACTUAL STRATEGY
//////////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////////////
//* Period selector for backtesting and optionally alerts
// A switch to control background coloring of the test period
testPeriodforAlerts = input(title="Limit Alerts to Test Period", type=bool, defval=false)
testPeriodBackground = input(title="Color Test Period?", type=bool, defval=false)
// Autoset Backtest Period
autolen = input(title="Auto set backtest Start", defval=true)
custom_candle_start = 0
timecondition_hourly = n > round(76.5633 * pow((interval / 60), 2) - 1745.19 * (interval / 60) + 10649)
timecondition_daily = n > round(1000 / interval) // Only for bitcoin, need a separate quadratic fit for other securities
autolen_timePeriod = autolen ? (interval >= 60 and interval <= 720 and timecondition_hourly) or (interval < 60 and timecondition_daily) : false
// Or set a specifc period
testStartMonth = input(1, "Backtest Start Month",minval=1,maxval=12)
testStartYear = input(2019, "Backtest Start Year",minval=1980)
// testStartDay = input(1, "Backtest Start Day",minval=1,maxval=31)
testStartDay = 1
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopMonth = input(title="Backtest Stop Month", type=integer, defval=12, step=1, minval=1, maxval=12)
testStopYear = input(title="Backtest Stop Year", type=integer, defval=2019, step=1, minval=2013, maxval=2020)
//testStopDay = input(title="Backtest Stop Day", type=integer, defval=31, step=1, minval=1, maxval=31)
testStopDay=31
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
// See if we are in the the time period (or we are not using it)
testPeriod() =>
// Are we running as a strategy or as a Study with testPeriod restriction?
isStrategy or testPeriodforAlerts ?
autolen ? autolen_timePeriod :
time >= testPeriodStart and time <= testPeriodStop ? true : false
: true // Not a strategy or not using testPeriod so it is "always" the period
// Color the period (or don't)
testPeriodBackgroundColor = testPeriodBackground and testPeriod() ? #000055 : na
bgcolor(testPeriodBackgroundColor, transp=90)
//////////////////////////////////////////////////////////////////////////////////////////
// Generate Buy Sell signals,
buy = 0
buy := openLong and testPeriod() ? nz(buy[1])>0?buy[1]+1 :1 : 0
sell= 0
sell := openShort and testPeriod() ? nz(sell[1])>0?sell[1]+1 :1 : 0
//////////////////////////
//* Trade State Engine *//
//////////////////////////
// Keep track of current trade state
longClose = false, longClose := nz(longClose[1],false)
shortClose = false, shortClose := nz(shortClose[1],false)
tradeState = 0, tradeState := nz(tradeState[1])
tradeState := tradeState==0 ? buy==1 and (barstate.isconfirmed or barstate.ishistory) and isLong and not longClose and not shortClose? 1 :
sell==1 and (barstate.isconfirmed or barstate.ishistory) and isShort and not longClose and not shortClose? -1 :
tradeState : tradeState
///////////////////////////////////////////////////////
//Handle Entry Conditions, when state changes direction.
longCondition = false
shortCondition = false
longCondition := change(tradeState) and tradeState==1
shortCondition := change(tradeState) and tradeState==-1
if flipTrade
temp = longCondition
longCondition := shortCondition
shortCondition := temp
//end if
// Exit on Sell signal
longExitC = closeLong and testPeriod() ? 1 : 0
shortExitC = closeShort and testPeriod() ? 1 : 0
// Exit condition for no SL.
longExit = change(longExitC) and longExitC==1 and tradeState==1
shortExit = change(shortExitC) and shortExitC==1 and tradeState==-1
// -- debugs
//plotchar(tradeState,"tradeState at Event",location=location.bottom, color=na)
//plotchar(longCondition, title="longCondition",color=na)
//plotchar(shortCondition, title="shortCondition",color=na)
//plotchar(tradeState, title="tradeState",color=na)
// -- /debugs
/////////////////////////////////////
//======[ Deal Entry Prices ]======//
/////////////////////////////////////
last_open_longCondition = na
last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])
//////////////////////////////////
//======[ Position State ]======//
//////////////////////////////////
in_longCondition = tradeState == 1
in_shortCondition = tradeState == -1
/////////////////////////////////
//======[ Trailing Stop ]======//
/////////////////////////////////
isTS = input(false, "Trailing Stop")
ts = input(3.0, "Trailing Stop (%)", minval=0,step=0.1, type=float) /100
last_high = na
last_low = na
last_high_short = na
last_low_long = na
last_high := not in_longCondition ? na : in_longCondition and (na(last_high[1]) or high_ > nz(last_high[1])) ? high_ : nz(last_high[1])
last_high_short := not in_shortCondition ? na : in_shortCondition and (na(last_high[1]) or high_ > nz(last_high[1])) ? high_ : nz(last_high[1])
last_low := not in_shortCondition ? na : in_shortCondition and (na(last_low[1]) or low_ < nz(last_low[1])) ? low_ : nz(last_low[1])
last_low_long := not in_longCondition ? na : in_longCondition and (na(last_low[1]) or low_ < nz(last_low[1])) ? low_ : nz(last_low[1])
long_ts = isTS and in_longCondition and not na(last_high) and (low_ <= last_high - last_high * ts) //and (last_high >= last_open_longCondition + last_open_longCondition * tsi)
short_ts = isTS and in_shortCondition and not na(last_low) and (high_ >= last_low + last_low * ts) //and (last_low <= last_open_shortCondition - last_open_shortCondition * tsi)
///////////////////////////////
//======[ Take Profit ]======//
///////////////////////////////
isTP = input(false, "Take Profit")
tp = input(3.0, "Take Profit (%)",minval=0,step=0.1,type=float) / 100
ttp = input(1.0, "Trailing Profit (%)",minval=0,step=0.1,type=float) / 100
ttp := ttp>tp ? tp : ttp
long_tp = isTP and in_longCondition and (last_high >= last_open_longCondition + last_open_longCondition * tp) and (low_ <= last_high - last_high * ttp)
short_tp = isTP and in_shortCondition and (last_low <= last_open_shortCondition - last_open_shortCondition * tp) and (high_ >= last_low + last_low * ttp)
/////////////////////////////
//======[ Stop Loss ]======//
/////////////////////////////
isSL = input(false, "Stop Loss")
sl = input(3.0, "Stop Loss (%)", minval=0,step=0.1, type=float) / 100
long_sl = isSL and in_longCondition and (low_ <= last_open_longCondition - last_open_longCondition * sl)
short_sl = isSL and in_shortCondition and (high_ >= last_open_shortCondition + last_open_shortCondition * sl)
////////////////////////////////////
//======[ Stop on Opposite ]======//
////////////////////////////////////
// fastExit is superced by the design of specifying Open and Close setting in strategy
long_sos = (fastExit or (not isTS and not isSL)) and longExit and in_longCondition
short_sos = (fastExit or (not isTS and not isSL)) and shortExit and in_shortCondition
/////////////////////////////////
//======[ Close Signals ]======//
/////////////////////////////////
// Create a single close for all the different closing conditions, all conditions here are non-repainting
longClose := isLong and (long_tp or long_sl or long_ts or long_sos) and not longCondition
shortClose := isShort and (short_tp or short_sl or short_ts or short_sos) and not shortCondition
///////////////////////////////
//======[ Plot Colors ]======//
///////////////////////////////
longCloseCol = na
shortCloseCol = na
longCloseCol := long_tp ? green : long_sl ? maroon : long_ts ? purple : long_sos ? orange :longCloseCol[1]
shortCloseCol := short_tp ? green : short_sl ? maroon : short_ts ? purple : short_sos ? orange : shortCloseCol[1]
//
tpColor = isTP and in_longCondition ? lime : isTP and in_shortCondition ? lime : na
slColor = isSL and in_longCondition ? red : isSL and in_shortCondition ? red : na
//////////////////////////////////
//======[ Strategy Plots ]======//
//////////////////////////////////
plot(isTS and in_longCondition?
last_high - last_high * ts : na, "Long Trailing", fuchsia, style=2, linewidth=2,offset=1)
plot(isTP and in_longCondition and last_high < last_open_longCondition + last_open_longCondition * tp ?
last_open_longCondition + last_open_longCondition * tp : na, "Long TP Active", tpColor, style=3,join=false, linewidth=2,offset=1)
plot(isTP and in_longCondition and last_high >= last_open_longCondition + last_open_longCondition * tp ?
last_high - last_high * ttp : na, "Long Trailing", black, style=2, linewidth=2,offset=1)
plot(isSL and in_longCondition and last_low_long > last_open_longCondition - last_open_longCondition * sl ?
last_open_longCondition - last_open_longCondition * sl : na, "Long SL", slColor, style=3,join=false, linewidth=2,offset=1)
//
plot(isTS and in_shortCondition?
last_low + last_low * ts : na, "Short Trailing", fuchsia, style=2, linewidth=2,offset=1)
plot(isTP and in_shortCondition and last_low > last_open_shortCondition - last_open_shortCondition * tp ?
last_open_shortCondition - last_open_shortCondition * tp : na, "Short TP Active", tpColor, style=3,join=false, linewidth=2,offset=1)
plot(isTP and in_shortCondition and last_low <= last_open_shortCondition - last_open_shortCondition * tp ?
last_low + last_low * ttp : na, "Short Trailing", black, style=2, linewidth=2,offset=1)
plot(isSL and in_shortCondition and last_high_short < last_open_shortCondition + last_open_shortCondition * sl ?
last_open_shortCondition + last_open_shortCondition * sl : na, "Short SL", slColor, style=3,join=false, linewidth=2,offset=1)
//
bclr = not clrBars ? na : tradeState==0 ? GRAY :
in_longCondition ? close<last_open_longCondition? DARKGREEN : LIME :
in_shortCondition ? close>last_open_shortCondition? DARKRED : RED : GRAY
barcolor(bclr,title="Trade State Bar Colouring")
///////////////////////////////
//======[ Alert Plots ]======//
///////////////////////////////
plotshape(longCondition and isStudy?close:na, title="Long", color=green, textcolor=green, transp=0,
style=shape.triangleup, location=location.belowbar, size=size.small,text="LONG",offset=0)
plotshape(longClose and isStudy?close:na, title="Long Close", color=longCloseCol, textcolor=white, transp=0,
style=shape.labeldown, location=location.abovebar, size=size.small,text="Long\nClose",offset=0)
plotshape(shortCondition and isStudy?close:na, title="Short", color=red, textcolor=red, transp=0,
style=shape.triangledown, location=location.abovebar, size=size.small,text="SHORT",offset=0)
plotshape(shortClose and isStudy?close:na, title="Short Close", color=shortCloseCol, textcolor=white, transp=0,
style=shape.labelup, location=location.belowbar, size=size.small,text="Short\nClose",offset=0)
// Autoview alert syntax - This assumes you are trading coins BUY and SELL on Binance Exchange
// WARNING*** Only use Autoview to automate a strategy after you've sufficiently backtested and forward tested the strategy.
// You can learn more about the syntax here:
// http://autoview.with.pink/#syntax and you can watch this video here: https://www.youtube.com/watch?v=epN5Tjinuxw
// For the opens you will want to trigger BUY orders on LONGS (eg ETHBTC) with alert option "Once Per Bar Close"
// and SELL orders on SHORTS (eg BTCUSDT)
// b=buy q=0.001 e=binance s=ethbtc t=market ( LONG )
// or b=sell q=0.001 e=binance s=btcusdt t=market ( SHORT )
alertcondition(longCondition and isStudy, "Open Long", "LONG")
alertcondition(shortCondition and isStudy, "Open Short", "SHORT")
// For the closes you will want to trigger these alerts on condition with alert option "Once Per Bar"
// (NOTE: with Renko you can only use "Once Per Bar Close" option)
// b=sell q=99% e=binance s=ethbtc t=market ( CLOSE LONGS )
// or b=buy q=99% e=binance s=btcusdt t=market ( CLOSE SHORTS )
// This gets it as it happens and typically results in a better exit live than in the backtest.
// It works really well for counteracting some market slippage
alertcondition(longClose and isStudy, "Close Longs", "CLOSE LONGS")
alertcondition(shortClose and isStudy, "Close Shorts", "CLOSE SHORTS")
////////////////////////////////////////////
//======[ Strategy Entry and Exits ]======//
////////////////////////////////////////////
if testPeriod() and isLong and isStrategy
strategyEntry("Long", 1, longCondition)
strategyClose("Long", longClose)
if testPeriod() and isShort and isStrategy
strategyEntry("Short", 0, shortCondition)
strategyClose("Short", shortClose)
// --- Debugs
//plotchar(longExit,title="longExit",location=location.bottom,color=na)
//plotchar(longCondition,title="longCondition",location=location.bottom,color=na)
//plotchar(in_longCondition,title="in_longCondition",location=location.bottom,color=na)
//plotchar(longClose,title="longClose",location=location.bottom,color=na,color=na)
//plotchar(buy,title="buy",location=location.bottom,color=na)
// --- /Debugs
///////////////////////////////////
//======[ Reset Variables ]======//
///////////////////////////////////
if longClose or not in_longCondition
last_high := na
last_high_short := na
if shortClose or not in_shortCondition
last_low := na
last_low_long := na
if longClose or shortClose
tradeState := 0
in_longCondition := false
in_shortCondition := false
plotchar(tradeState,"tradeState at EOF",location=location.bottom, color=na)
// EOF