Estrategia de ruptura del impulso MACD y RSI


Fecha de creación: 2023-11-07 17:13:20 Última modificación: 2023-11-07 17:13:20
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Estrategia de ruptura del impulso MACD y RSI

Descripción general

Esta es una estrategia que utiliza MACD, RSI y indicadores aleatorios para determinar la dirección del movimiento del precio de las acciones y comprar más o vender menos en el punto de ruptura del movimiento. La estrategia utiliza una combinación de varios indicadores para determinar la tendencia, reduciendo la tasa de señales erróneas causadas por un solo indicador, que puede capturar efectivamente la tendencia de la línea media corta en el precio de las acciones.

El principio

La estrategia utiliza el MACD, el RSI y los indicadores aleatorios para determinar la dirección de la tendencia del precio de las acciones. Cuando la línea DIFF del MACD atraviesa la línea DEAL, el RSI es mayor que 50, y la línea rápida del STOCH es mayor que 50, se considera que se forma una tendencia de varios encabezados, y se compra y se compra con todo el capital al precio más alto del día en el día de apertura; Por el contrario, cuando la línea DIFF del MACD atraviesa la línea DEAL, el RSI es menor que 50, y la línea rápida del STOCH es menor que 50, se considera que se forma una tendencia de vacío, y se vende con todo el capital al precio mínimo del día en el día de apertura.

Después de entrar en una posición, si se produce una señal de reversión en cualquiera de los tres indicadores, lo que indica que la tendencia ha cambiado, se debe salir de la posición actual. Al mismo tiempo, también se ha establecido un filtro de condiciones temporales especiales para saltar en marzo de 2020 para evitar el impacto de los mercados extremos.

Las ventajas

  • La combinación de varios indicadores para determinar tendencias puede filtrar de manera efectiva las señales falsas
  • La brecha de entrada permite capturar las primeras etapas de una tendencia
  • El Stop Loss Dinámico es utilizado para bloquear ganancias razonables.
  • La configuración de saltos previene la interferencia de las situaciones extremas
  • La combinación de tendencias y mecanismos de inversión puede reducir el número de transacciones innecesarias

El riesgo

  • Las combinaciones de múltiples indicadores pueden generar un retraso y perder el mejor momento de entrada
  • Las señales de ruptura son fácilmente atrapadas
  • El deterioro dinámico puede ser demasiado radical, deteniéndose Preis
  • El período especial que se omite no es razonable y puede perderse una oportunidad
  • Las señales de retorno podrían ser demasiado sensibles y provocar transacciones excesivas

Mejoramiento:

  • Ajuste de los parámetros del indicador para reducir el retraso
  • Añadir filte y volume para evitar la reclusión
  • El uso de tracker para evitar pérdidas de precios
  • Rango de fechas de optimización y pruebas omitidas
  • Ajuste de los parámetros de la señal de reversión para reducir la frecuencia

Resumir

La estrategia en su conjunto es una estrategia típica de seguimiento de tendencias. Utiliza varios indicadores para determinar la tendencia al entrar en juego y al mismo tiempo utiliza señales de inversión para determinar el final de la tendencia y la salida, lo que permite la combinación de seguimiento de tendencias y conmutación de inversiones. Pero la estrategia en sí misma también tiene algunos problemas de configuración de parámetros irracionales y atrasados, que necesitan ser optimizados y mejorados a través de una gran cantidad de retroalimentación para que los parámetros de la estrategia se ajusten al estado óptimo.

En general, la estrategia es clara, los indicadores y los métodos utilizados son típicos. Si se hace bien en algunos detalles de optimización y control de riesgos, puede ser una estrategia cuantitativa que se pueda aplicar.

Código Fuente de la Estrategia 
/*backtest
start: 2023-10-07 00:00:00
end: 2023-11-06 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// @version=4
// Backtest the power x strategy. The power x strategy is develop by Markus Heitkoetter and Rockwell Trading.
// This script shows the return for a given stock for with the defined date range with a fixed captial of $10,000
strategy("PowerX Test", overlay=true, initial_capital=10000)

// ####################### Start of User Inputs #######################
// From Date Inputs
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 7, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2019, title = "From Year", minval = 1970)
 
// To Date Inputs
toDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2021, title = "To Year", minval = 1970)

// Calculate start/end date and time condition
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true

// Risk/Reward Inputs
riskFactor = input(defval = 1.5, title = "risk", minval = 1)
rewardFactor = input(defval = 3.0, title = "reward", minval = 1)

// Days to ignore due to specail market conditon (ie. covid-19 market crash)
// Calculate start/end skip date and time condition
startSkipDate = timestamp(2020, 3, 1, 00, 00)
finishSkipDate = timestamp(2020, 3, 31, 00, 00)
time_cond_skip = time >= startSkipDate and time <= finishSkipDate

// Long and Short Inputs
hasLong = input(defval = true, title = "test long")
hasShort = input(defval = true, title = "test short")
// ####################### End of User Inputs #######################

// ####################### Start of Indicators #######################
[macdLine, signalLine, histLine] = macd(close, 12, 26, 9)
rsiLine = rsi(close, 7)
stochLine = sma(sma(stoch(close, high, low, 14),3),3)
signal = macdLine > signalLine and rsiLine > 50 and stochLine > 50 ? "buy" : macdLine <= signalLine and rsiLine <= 50 and stochLine <= 50 ? "sell" : "none"

// Average daily range for 7 days
thishigh = security(syminfo.tickerid, 'D', high)
thislow  = security(syminfo.tickerid, 'D', low)
length = 7
adr = (sma(thishigh,length)-sma(thislow,length))
plotchar(adr, "ADR", "")
// ####################### End of Indicators #######################
strategy.initial_capital = 50000
// First day the stock changed momentum.
long = signal == "buy" and signal[1] != "buy" and hasLong
short = signal == "sell" and signal[1] != "sell" and hasShort
sideway = signal == "none" and signal[1] != "none"

if (time_cond and not time_cond_skip)
    // ####################### Start of Long Entry #######################
    // Calculate how many shares to buy based on captial
    qty = round(strategy.initial_capital / high)
    // Note: TradingView uses a broker emulator when running strategies. Order are only filled on the next bar.
    // Enter long on the day after first green bar
    strategy.entry("Long entry", strategy.long, qty = qty, stop = high, when = long)
    strategy.cancel("Long entry", when = not long)
    
    // TODO: Improve the crazy if statments...
    // Handle the case where first green hgih is reached after 2nd green, up to 11 days after
    if (not long and signal == "buy" and strategy.opentrades == 0)
        // reach first green high 11 days after first green
        if (signal[11] != "buy" and signal[10] == "buy" and signal[9] == "buy" and signal[8] == "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[9] and high[2] < high[9] and high [3] < high[9] and high [4] < high[9] and high [5] < high[9] and high[6] < high[9] and high[7] < high[9] and high[8] < high[9])
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[10], stop = high[10])
        // reach first green high 10 days after first green
        if (signal[10] != "buy" and signal[9] == "buy" and signal[8] == "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[8] and high[2] < high[8] and high [3] < high[8] and high [4] < high[8] and high [5] < high[8] and high[6] < high[8] and high[7] < high[8])
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[9], stop = high[9])
        // reach first green high 9 days after first green
        if (signal[9] != "buy" and signal[8] == "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[7] and high[2] < high[7] and high [3] < high[7] and high [4] < high[7] and high [5] < high[7] and high[6] < high[7])
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[8], stop = high[8])
        // reach first green high 8 days after first green
        if (signal[8] != "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[6] and high[2] < high[6] and high [3] < high[6] and high [4] < high[6] and high [5] < high[6])
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[7], stop = high[7])
        // reach first green high 7 days after first green
        if (signal[7] != "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[6] and high[2] < high[6] and high [3] < high[6] and high [4] < high[6] and high [5] < high[6])
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[6], stop = high[6])
        // reach first green high 6 days after first green
        if (signal[6] != "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[5] and high[2] < high[5] and high [3] < high[5] and high [4] < high[5])
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[5], stop = high[5])
        // reach first green high 5 days after first green
        if (signal[5] != "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[4] and high[2] < high[4] and high [3] < high[4])
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[4], stop = high[4])
        // reach first green high 4 days after first green
        if (signal[4] != "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[3] and high[2] < high[3])
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[3], stop = high[3])
        // reach first green high 3 days after first green
        if (signal[3] != "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[2])
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[2], stop = high[2])
        // reach first green high 2 days after first green
        if (signal[2] != "buy" and signal[1] == "buy")
            strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[1], stop = high[1])
            
    // Exit when stopped out or hitted profit target
    // Bracket order for entry 1 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[1] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[1] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 2 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[2] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[2] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 3 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[3] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[3] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 4 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[4] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[4] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 5 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[5] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[5] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 6 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[6] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[6] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 7 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[7] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[7] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 8 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[8] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[8] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 9 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] == "buy" and signal[10] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[9] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[9] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 10 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] == "buy" and signal[10] == "buy" and signal[11] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[10] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[10] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 11 day after 1st green
    if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] == "buy" and signal[10] == "buy" and signal[11] == "buy" and signal[12] != "buy")
        long_stop_level = strategy.position_avg_price - (adr[11] * riskFactor)
        long_profit_level = strategy.position_avg_price + (adr[11] * rewardFactor)
        strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
    // ####################### End of Long Entry #######################

    // ####################### Start of Short Entry #######################
    // Enter short on the day after first red bar
    qty_short = strategy.initial_capital / low
    strategy.entry("Short entry", strategy.short, qty = qty_short, stop = low, when = short)
    strategy.cancel("Short entry", when = not short)
    
    // TODO: Improve the crazy if statments...
    // Handle the case where first red low is reached after 2nd red, up to 11 days after
    if (not short and signal == "sell" and strategy.opentrades == 0)
        // reach first red low 11 days after
        if (signal[11] != "sell" and signal[10] == "sell" and signal[9] == "sell" and signal[8] == "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[10] and low[2] > low[10] and low[3] > low[10] and low[4] > low[10] and low[5] > low[10] and low[6] > low[10] and low[7] > low[10] and low[8] > low[10] and low[9] > low[10])
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[10], stop = low[10])
        // reach first red low 10 days after
        if (signal[10] != "sell" and signal[9] == "sell" and signal[8] == "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[9] and low[2] > low[9] and low[3] > low[9] and low[4] > low[9] and low[5] > low[9] and low[6] > low[9] and low[7] > low[9] and low[8] > low[9])
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[9], stop = low[9])
        // reach first red low 9 days after
        if (signal[9] != "sell" and signal[8] == "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[8] and low[2] > low[8] and low[3] > low[8] and low[4] > low[8] and low[5] > low[8] and low[6] > low[8] and low[7] > low[8])
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[8], stop = low[8])
        // reach first red low 8 days after
        if (signal[8] != "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[7] and low[2] > low[7] and low[3] > low[7] and low[4] > low[7] and low[5] > low[7] and low[6] > low[7])
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[7], stop = low[7])
        // reach first red low 7 days after
        if (signal[7] != "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[6] and low[2] > low[6] and low[3] > low[6] and low[4] > low[6] and low[5] > low[6])
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[6], stop = low[6])
        // reach first red low 6 days after
        if (signal[6] != "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[5] and low[2] > low[5] and low[3] > low[5] and low[4] > low[5])
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[5], stop = low[5])
        // reach first red low 5 days after
        if (signal[5] != "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[4] and low[2] > low[4] and low[3] > low[4])
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[4], stop = low[4])
        // reach first red low 4 days after
        if (signal[4] != "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[3] and low[2] > low[3])
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[3], stop = low[3])
        // reach first red low 3 days after
        if (signal[3] != "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[2])
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[2], stop = low[2])
        // reach first red low 2 days after
        if (signal[2] != "sell" and signal[1] == "sell")
            strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[1], stop = low[1])
            
    // Exit when stop out or profit target is hit
    // Bracket order for entry 1 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[1] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[1] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 2 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[2] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[2] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 3 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[3] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[3] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 4 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[4] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[4] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 5 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[5] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[5] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 6 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[6] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[6] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 7 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[7] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[7] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 8 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[8] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[8] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 9 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] == "sell" and signal[10] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[9] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[9] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 10 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] == "sell" and signal[10] == "sell" and signal[11] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[10] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[10] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // Bracket order for entry 11 day after 1st red
    if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] == "sell" and signal[10] == "sell" and signal[11] == "sell" and signal[12] != "sell")
        long_stop_level = strategy.position_avg_price + (adr[11] * riskFactor)
        long_profit_level = strategy.position_avg_price - (adr[11] * rewardFactor)
        strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
    // ####################### End of Short Entry #######################

// Enxit the day after the trend is lost
if (time_cond and sideway)
    strategy.close("Long entry")
    strategy.close("Short entry")

// Close any open order out side of date range
if (not time_cond)
    strategy.close_all()
if (time_cond_skip)
    strategy.close_all()
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