Estrategia de cantidad de flecha de salida híbrida SSL

El autor:¿ Qué pasa?, Fecha: 2023-12-06 15:54:12
Las etiquetas:

Resumen general

La Estrategia Quantística de Flechas de Salida Híbrida SSL es una estrategia de negociación cuantitativa a corto plazo basada en promedios móviles e indicadores de precio máximo/mínimo. Utiliza las flechas EXIT del indicador híbrido SSL para determinar los puntos de entrada y salida, con el indicador QQE como filtro, y calcula las posiciones de stop loss y add-on con el indicador ATR. Esta estrategia es adecuada para los inversores que son sensibles a la volatilidad del mercado y tienen un estricto control de riesgos.

Estrategia lógica

Esta estrategia utiliza las flechas EXIT del indicador híbrido SSL para determinar los puntos de entrada. Por encima de las flechas EXIT están los puntos altos de EXIT, y por debajo de ellos están los puntos bajos de EXIT. Se genera una señal de venta cuando el precio de cierre cruza por debajo del punto alto de EXIT, y se genera una señal de compra cuando el precio de cierre cruza por encima del punto bajo de EXIT.

Para mejorar la confiabilidad de la señal, el indicador QQE se introduce como una condición de filtro auxiliar.

Para controlar los riesgos, esta estrategia utiliza los múltiplos de ATR para calcular las posiciones de stop loss y add-on. La stop loss para posiciones cortas es el precio de cierre + ATR × 1.8. La stop loss para posiciones largas es el precio de cierre ATR × 1.8. Las posiciones se suman en tres lotes, con la cantidad de cada lote que es el 10% del monto inicial. Los niveles de precio de adición son: precio de cierre ATR × 0.1, precio de cierre ATR × 0.3, y precio de cierre ATR × 0.7.

Cada lote de posiciones adicionales tiene su propio stop loss. El primer lote de 20% del tamaño de la posición detendrá la pérdida al alcanzar el nivel de stop loss, mientras que las posiciones restantes continúan manteniéndose.

Ventajas

Profitar de las flechas EXIT y controlar eficazmente los riesgos con un stop loss oportuno
El filtro QQE mejora la precisión de la señal
Utilice el indicador ATR para calcular las posiciones dinámicas de stop loss y adicionales basadas en la volatilidad del mercado para un control de riesgos más preciso
Aprovechar al máximo las tendencias a través de posiciones adicionales por lotes

Los riesgos

El stop loss parcial de las posiciones rentables puede exponer a las posiciones restantes a una mayor stop loss.
Las diferencias en la sensibilidad a la volatilidad del mercado entre las flechas EXIT y QQE pueden causar señales contradictorias. Los parámetros deben ajustarse para reducir los conflictos de señales.
Las posiciones adicionales excesivamente agresivas son propensas a perseguir los puntos altos y los puntos bajos.

Direcciones de optimización

Incorporar indicadores fundamentales como la relación P/B, la relación P/E y el rendimiento de los dividendos para los niveles de obtención de beneficios basados en los fundamentos.
Ajustar los parámetros QQE para alinear las señales con las flechas EXIT.
Reducir los ratios adicionales basados en el sentimiento del mercado en mercados variados.
Prueba de conjuntos de parámetros óptimos basados en el aprovechamiento máximo, las relaciones riesgo-beneficio, etc.

Resumen de las actividades

Esta estrategia utiliza las flechas EXIT del indicador híbrido SSL como el núcleo de la señal, con los indicadores QQE y ATR como filtros y para la parada de pérdida. La composición de ganancias se logra a través de posiciones agregadas por lotes. Es una estrategia cuantitativa a corto plazo adecuada para rastrear las tendencias del mercado a corto plazo. La estrategia tiene capacidades de control de descenso y mitigación de riesgos, pero deben tenerse en cuenta riesgos como conflictos de señales y perseguir los tops / romper los fondos.

/*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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