Combinaison de stratégies de trading quantitatives de tendance et de volatilité
Date de création:
2024-01-04 17:32:26
Dernière modification:
2024-01-04 17:32:26
Copier:
1
Nombre de clics:
670
ChaoZhang
1
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Abonnés
Aperçu
La stratégie de choc à deux tendances est une stratégie de négociation quantitative qui combine tendance et choc. Elle utilise une combinaison de deux indicateurs pour identifier la direction et la force de la tendance et pour trouver le meilleur moment d’entrée lorsque la tendance est en chute libre.
Principe de stratégie
La stratégie utilise principalement deux indicateurs publics: Trend Surfers et l’oscillateur de tendance de Mawreez.
Trend Surfers est un indicateur de suivi de la tendance. Il permet de déterminer le mouvement des prix en calculant les prix les plus élevés et les plus bas d’une période donnée et de donner une position de stop-loss recommandée. Par exemple, lorsque le prix franchit le plus haut de la dernière ligne 168 K, c’est un signal de hausse; lorsque le prix tombe sous le plus bas de la dernière ligne 168 K, c’est un signal de baisse.
L’oscillateur de tendance de Mawreez est un indicateur de choc bidirectionnel. Il est similaire au MACD et détermine la direction et la force de la tendance par la différence de DI. La courbe de l’indicateur est positive au-dessus de l’axe 0 et est négative au-dessous.
Les règles de négociation de cette stratégie sont les suivantes:
Entrée à plusieurs têtes: les surfeurs de tendance franchissent la ligne supérieure et l’indicateur de l’oscillateur de tendance de Mawreez est un achat à la hausse Entrée à vide: les surfeurs de tendance sont vendus après avoir dépassé la ligne de basse et l’indicateur de l’oscillateur de tendance de Mawreez est à la baisse
La méthode de stop loss est la suivante:
Analyse des avantages
Cette stratégie, qui combine des indicateurs de tendance et de choc, permet de capturer à la fois les tendances et de trouver de meilleurs prix d’entrée dans les chocs, avec les avantages suivants:
- Les filtres à double indice permettent d’éviter les fausses percées
- Combinaison de tendances et de secousses pour capturer facilement les prix dans la zone de secousse avec une mise en place de coupe basse ou une mise en place légère de coupe haute
- Le risque est bien maîtrisé grâce à la multiplication des arrêts
Analyse des risques
Cette stratégie comporte aussi des risques:
- Portfolio à double indice, facile à rater
- Les indicateurs de tendance et les indicateurs de choc peuvent être en conflit
- Le stop-loss fixe peut être arrêté prématurément.
Les risques peuvent être évités par les mesures suivantes:
- Laxation appropriée des paramètres de l’indicateur pour réduire le taux de fluctuation
- Augmentation des règles de jugement des tendances pour éviter les conflits d’indicateurs
- Adaptation dynamique de la position d’arrêt
Direction d’optimisation
Il y a encore de la place pour optimiser cette stratégie:
- Tester différentes combinaisons de paramètres et paramètres périodiques pour trouver le paramètre optimal
- Augmentation de la volatilité, des règles de jugement auxiliaires comme le volume des transactions
- Indicateurs et paramètres d’optimisation dynamique avec l’apprentissage automatique
Résumer
L’utilisation intégrée du suivi de la tendance et des indicateurs de choc permet d’identifier la direction de la tendance, de saisir les occasions de choc et d’améliorer encore la rentabilité de la stratégie grâce à l’optimisation des paramètres et des règles. La stratégie a de bonnes perspectives de développement.
Code source de la stratégie
/*backtest
start: 2023-12-27 00:00:00
end: 2024-01-03 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © myn
//@version=5
strategy('Strategy Myth-Busting #8 - TrendSurfers+TrendOsc - [MYN]', max_bars_back=5000, overlay=true, pyramiding=0, initial_capital=20000, currency='USD', default_qty_type=strategy.percent_of_equity, default_qty_value=100.0, commission_value=0.075, use_bar_magnifier = false)
/////////////////////////////////////
//* Put your strategy logic below *//
/////////////////////////////////////
//cAe9It4ynO4
// Strategies
// Trend Surfers - Premium Indicator
// Mawreez' Trend Oscillator Indicator
// Trading Setup / Rules
// Long Condition
// Trend Surfers Trailing stop line goes below (Crosses) lowest low
// Bullish Candle (red)
// Mawreeze Trend Oscilator Indicator is green
// Short Condition
// Trend Surfers Trailing stop line goes above (Crosses) highest high
// Bearish Candle (red)
// Mawreeze Trend Oscilator Indicator is red
// Stop loss middle between high and low Risk 1:2
//@version=5
//strategy(shorttitle='Trend Surfers - Breakout', title='Trend Surfers - Premium Breakout', overlay=true, calc_on_every_tick=false, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type='percent', commission_value=0.04)
// Risk for position and pyramid
maxriskval = input.float(2, 'Max % risk', tooltip='Risk % over total equity / Position', group='Risk Management')
pairnumber = input.int(title='How many pairs', defval=1, tooltip='How many pairs are you trading with the strategy?', group='Risk Management')
// Emtry Exit
highPeriod = input.int(title='Highest High Period', defval=168, tooltip='Highest High of X bars - This will trigger a Long Entry when close is above. (Thin Green Line)', group='Entry Condition')
lowPeriod = input.int(title='Lowest Low Period', defval=168, tooltip='Lowest low of X bars - This will trigger a Short Entry when close is under. (Thin Red Line)', group='Entry Condition')
// Stoploss
trailingAtrPeriod = input.int(title='Trailing ATR Pediod', defval=10, tooltip='Average True Range for the Trailing Stop. (Thick Green Line) ', group='Exit Condition')
trailingAtrMultiplier = input.float(title='Trailing ATR Multiplier', defval=8, group='Exit Condition')
fixAtrPeriod = input.int(title='Fix ATR Pediod', defval=10, tooltip='Average True Range for the Fix Stoloss. (Thick Yellow Line)', group='Exit Condition')
fixAtrMultiplier = input.float(title='Fix ATR Multiplier', defval=2, group='Exit Condition')
// Pair info
pair = syminfo.basecurrency + syminfo.currency
// High Low Variable
highestHigh = ta.highest(high, highPeriod)[1]
lowestLow = ta.lowest(low, lowPeriod)[1]
trailingAtr = ta.atr(trailingAtrPeriod) * trailingAtrMultiplier
// Trade Condition
longConditionTrendSurfers = ta.crossover(close, highestHigh)
shortConditionTrendSurfers = ta.crossunder(close, lowestLow)
// Risk Variable
fixAtr = ta.atr(fixAtrPeriod) * fixAtrMultiplier
stopvaluelong = close[1] - fixAtr[1]
stopvalueshort = close[1] + fixAtr[1]
// Position size Long
maxpossize = strategy.equity / close
positionsizelong = maxriskval / 100 * strategy.equity / (close - stopvaluelong)
stopperclong = (close - stopvaluelong) / close * 100
leveragelong = math.max(1, math.ceil(positionsizelong / maxpossize)) * 2
posperclong = positionsizelong * close / strategy.equity * 100 / leveragelong / pairnumber
realposlong = posperclong / 100 * strategy.equity * leveragelong / close
// Position size Short
positionsizeshort = maxriskval / 100 * strategy.equity / (stopvalueshort - close)
stoppercshort = (close - stopvalueshort) / close * 100
leverageshort = math.max(1, math.ceil(positionsizeshort / maxpossize)) * 2
pospercshort = positionsizeshort * close / strategy.equity * 100 / leverageshort / pairnumber
realposshort = pospercshort / 100 * strategy.equity * leverageshort / close
// Alert Message
entry_long_message = '\nGo Long for ' + pair + 'NOW!' + '\nPosition Size % =' + str.tostring(posperclong) + '\nLeverage' + str.tostring(leveragelong) + '\nStoploss Price =' + str.tostring(stopvaluelong) + '\nClose any Short position that are open for ' + pair + '!' + '\n\nVisit TrendSurfersSignals.com' + '\nFor automated premium signals (FREE)'
entry_short_message = '\nGo Short for ' + pair + 'NOW!' + '\nPosition Size % =' + str.tostring(pospercshort) + '\nLeverage' + str.tostring(leverageshort) + '\nStoploss Price =' + str.tostring(stopvalueshort) + '\nClose any Long position that are open for ' + pair + '!' + '\n\nVisit TrendSurfersSignals.com' + '\nFor automated premium signals (FREE)'
exit_short_message = '\nExit Short for ' + pair + 'NOW!' + '\n\nVisit TrendSurfersSignals.com' + '\nFor automated premium signals (FREE)'
exit_long_message = '\nExit Long for ' + pair + 'NOW!' + '\n\nVisit TrendSurfersSignals.com' + '\nFor automated premium signals (FREE)'
// Order
// if longCondition
// strategy.entry('Long', strategy.long, stop=highestHigh, comment='Long', qty=realposlong, alert_message=entry_long_message)
// if shortCondition
// strategy.entry('Short', strategy.short, stop=lowestLow, comment='Short', qty=realposshort, alert_message=entry_short_message)
// Stoploss Trailing
longTrailing = close - trailingAtr
shortTrailing = close + trailingAtr
var longTrailingStop = 0.0
var shortTrailingStop = 999999.9
trailingStopLine = 0.0
trailingStopLine := na
fixedStopLine = 0.0
fixedStopLine := na
var inTrade = 0
if longConditionTrendSurfers or shortConditionTrendSurfers
if 0 == inTrade
if longConditionTrendSurfers
inTrade := 1
inTrade
else
inTrade := -1
inTrade
if 1 == inTrade and (shortConditionTrendSurfers or low <= math.max(fixedStopLine[1], longTrailingStop))
inTrade := 0
inTrade
if -1 == inTrade and (longConditionTrendSurfers or high >= math.min(fixedStopLine[1], shortTrailingStop))
inTrade := 0
inTrade
longTrailingStop := if 1 == inTrade
stopValue = longTrailing
math.max(stopValue, longTrailingStop[1])
else
0
shortTrailingStop := if -1 == inTrade
stopValue = shortTrailing
math.min(stopValue, shortTrailingStop[1])
else
999999
// Fix Stoploss
firstPrice = 0.0
firstFixAtr = 0.0
firstPrice := na
firstFixAtr := na
if 0 != inTrade
firstPrice := ta.valuewhen(inTrade != inTrade[1] and 0 != inTrade, close, 0)
firstFixAtr := ta.valuewhen(inTrade != inTrade[1] and 0 != inTrade, fixAtr, 0)
if 1 == inTrade
fixedStopLine := firstPrice - firstFixAtr
trailingStopLine := longTrailingStop
trailingStopLine
else
fixedStopLine := firstPrice + firstFixAtr
trailingStopLine := shortTrailingStop
trailingStopLine
// if strategy.position_size > 0
// strategy.exit(id='L Stop', stop=math.max(fixedStopLine, longTrailingStop), alert_message=exit_long_message)
// if strategy.position_size < 0
// strategy.exit(id='S Stop', stop=math.min(fixedStopLine, shortTrailingStop), alert_message=exit_short_message)
// Plot
plot(highestHigh, color=color.new(color.green, 0), linewidth=1, title='Highest High')
plot(lowestLow, color=color.new(color.red, 0), linewidth=1, title='Lowest Low')
plot(trailingStopLine, color=color.new(color.lime, 0), linewidth=2, offset=1, title='Trailing Stop')
plot(fixedStopLine, color=color.new(color.orange, 0), linewidth=2, offset=1, title='Fixed Stop')
// Trend Surfers Trailing stop line goes above (Crossesover) highest high
// Bearish Candle (red)
// Mawreeze Trend Oscilator Indicator is red
trendSurfersShortEntry = trailingStopLine > highestHigh and close < close[1]
trendSurfersLongEntry = trailingStopLine < lowestLow and close > close[1]
//@version=5
// Taken from the TradingView house rules regarding scripts:
// "All open source scripts that do not mention a specific open source license
// in their comments are licensed under the Mozilla Public License 2.0.
// Following the Mozilla License, any script reusing open source code originally
// published by someone else must also be open source, unless specific
// permission is granted by the original author."
//indicator('Mawreez\' Trend Oscillator', precision=3)
len = input.int(title='DI Length', minval=1, defval=14)
sens = input.float(title='Sensitivity', defval=25)
// Lag-free smoothing of a given series
smooth(series, len) =>
f28 = ta.ema(series, len)
f30 = ta.ema(f28, len)
vC = f28 * 1.5 - f30 * 0.5
f38 = ta.ema(vC, len)
f40 = ta.ema(f38, len)
v10 = f38 * 1.5 - f40 * 0.5
f48 = ta.ema(v10, len)
f50 = ta.ema(f48, len)
f48 * 1.5 - f50 * 0.5
// Constructing the +DI and -DI
up = ta.change(high)
down = -ta.change(low)
plus_dm = up > 0 and up > down ? up : 0
minus_dm = down > 0 and down > up ? down : 0
range_1 = ta.rma(ta.tr, len)
plus_di = smooth(ta.rma(plus_dm, len) / range_1, 3)
minus_di = smooth(ta.rma(minus_dm, len) / range_1, 3)
// Constructing and plotting the modified ADX
adj_adx = 100 * math.abs(plus_di - minus_di) / (plus_di + minus_di) - sens
adj_adx := (minus_di > plus_di ? -1 : 1) * (adj_adx < 0 ? 0 : adj_adx)
//plot(smooth(adj_adx, 3), color=plus_di > minus_di ? color.green : color.red, style=plot.style_columns)
trendOscShortEntry = plus_di < minus_di
trendOscLongEntry = plus_di > minus_di
//////////////////////////////////////
//* Put your strategy rules below *//
/////////////////////////////////////
longCondition = trendSurfersLongEntry and trendOscLongEntry
shortCondition = trendSurfersShortEntry and trendOscShortEntry
//define as 0 if do not want to use
closeLongCondition = 0
closeShortCondition = 0
// ADX
//░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
adxEnabled = input.bool(defval = false , title = "Average Directional Index (ADX)", tooltip = "", group ="ADX" )
adxlen = input(14, title="ADX Smoothing", group="ADX")
adxdilen = input(14, title="DI Length", group="ADX")
adxabove = input(25, title="ADX Threshold", group="ADX")
adxdirmov(len) =>
adxup = ta.change(high)
adxdown = -ta.change(low)
adxplusDM = na(adxup) ? na : (adxup > adxdown and adxup > 0 ? adxup : 0)
adxminusDM = na(adxdown) ? na : (adxdown > adxup and adxdown > 0 ? adxdown : 0)
adxtruerange = ta.rma(ta.tr, len)
adxplus = fixnan(100 * ta.rma(adxplusDM, len) / adxtruerange)
adxminus = fixnan(100 * ta.rma(adxminusDM, len) / adxtruerange)
[adxplus, adxminus]
adx(adxdilen, adxlen) =>
[adxplus, adxminus] = adxdirmov(adxdilen)
adxsum = adxplus + adxminus
adx = 100 * ta.rma(math.abs(adxplus - adxminus) / (adxsum == 0 ? 1 : adxsum), adxlen)
adxsig = adxEnabled ? adx(adxdilen, adxlen) : na
isADXEnabledAndAboveThreshold = adxEnabled ? (adxsig > adxabove) : true
//Backtesting Time Period (Input.time not working as expected as of 03/30/2021. Giving odd start/end dates
//░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
useStartPeriodTime = input.bool(true, 'Start', group='Date Range', inline='Start Period')
startPeriodTime = input(timestamp('1 Jan 2019'), '', group='Date Range', inline='Start Period')
useEndPeriodTime = input.bool(true, 'End', group='Date Range', inline='End Period')
endPeriodTime = input(timestamp('31 Dec 2030'), '', group='Date Range', inline='End Period')
start = useStartPeriodTime ? startPeriodTime >= time : false
end = useEndPeriodTime ? endPeriodTime <= time : false
calcPeriod = true
// Trade Direction
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tradeDirection = input.string('Long and Short', title='Trade Direction', options=['Long and Short', 'Long Only', 'Short Only'], group='Trade Direction')
// Percent as Points
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
per(pcnt) =>
strategy.position_size != 0 ? math.round(pcnt / 100 * strategy.position_avg_price / syminfo.mintick) : float(na)
// Take profit 1
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp1 = input.float(title='Take Profit 1 - Target %', defval=100, minval=0.0, step=0.5, group='Take Profit', inline='Take Profit 1')
q1 = input.int(title='% Of Position', defval=100, minval=0, group='Take Profit', inline='Take Profit 1')
// Take profit 2
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp2 = input.float(title='Take Profit 2 - Target %', defval=100, minval=0.0, step=0.5, group='Take Profit', inline='Take Profit 2')
q2 = input.int(title='% Of Position', defval=100, minval=0, group='Take Profit', inline='Take Profit 2')
// Take profit 3
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp3 = input.float(title='Take Profit 3 - Target %', defval=100, minval=0.0, step=0.5, group='Take Profit', inline='Take Profit 3')
q3 = input.int(title='% Of Position', defval=100, minval=0, group='Take Profit', inline='Take Profit 3')
// Take profit 4
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
tp4 = input.float(title='Take Profit 4 - Target %', defval=100, minval=0.0, step=0.5, group='Take Profit')
/// Stop Loss
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
stoplossPercent = input.float(title='Stop Loss (%)', defval=999, minval=0.01, group='Stop Loss') * 0.01
slLongClose = close < strategy.position_avg_price * (1 - stoplossPercent)
slShortClose = close > strategy.position_avg_price * (1 + stoplossPercent)
/// Leverage
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
leverage = input.float(1, 'Leverage', step=.5, group='Leverage')
contracts = math.min(math.max(.000001, strategy.equity / close * leverage), 1000000000)
/// Trade State Management
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
isInLongPosition = strategy.position_size > 0
isInShortPosition = strategy.position_size < 0
/// ProfitView Alert Syntax String Generation
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
alertSyntaxPrefix = input.string(defval='CRYPTANEX_99FTX_Strategy-Name-Here', title='Alert Syntax Prefix', group='ProfitView Alert Syntax')
alertSyntaxBase = alertSyntaxPrefix + '\n#' + str.tostring(open) + ',' + str.tostring(high) + ',' + str.tostring(low) + ',' + str.tostring(close) + ',' + str.tostring(volume) + ','
/// Trade Execution
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
longConditionCalc = (longCondition and isADXEnabledAndAboveThreshold)
shortConditionCalc = (shortCondition and isADXEnabledAndAboveThreshold)
if calcPeriod
if longConditionCalc and tradeDirection != 'Short Only' and isInLongPosition == false
strategy.entry('Long', strategy.long, qty=contracts)
alert(message=alertSyntaxBase + 'side:long', freq=alert.freq_once_per_bar_close)
if shortConditionCalc and tradeDirection != 'Long Only' and isInShortPosition == false
strategy.entry('Short', strategy.short, qty=contracts)
alert(message=alertSyntaxBase + 'side:short', freq=alert.freq_once_per_bar_close)
//Inspired from Multiple %% profit exits example by adolgo https://www.tradingview.com/script/kHhCik9f-Multiple-profit-exits-example/
strategy.exit('TP1', qty_percent=q1, profit=per(tp1))
strategy.exit('TP2', qty_percent=q2, profit=per(tp2))
strategy.exit('TP3', qty_percent=q3, profit=per(tp3))
strategy.exit('TP4', profit=per(tp4))
strategy.close('Long', qty_percent=100, comment='SL Long', when=slLongClose)
strategy.close('Short', qty_percent=100, comment='SL Short', when=slShortClose)
strategy.close_all(when=closeLongCondition or closeShortCondition, comment='Close Postion')
/// Dashboard
// ░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░
// Inspired by https://www.tradingview.com/script/uWqKX6A2/ - Thanks VertMT
showDashboard = input.bool(group="Dashboard", title="Show Dashboard", defval=false)
f_fillCell(_table, _column, _row, _title, _value, _bgcolor, _txtcolor) =>
_cellText = _title + "\n" + _value
table.cell(_table, _column, _row, _cellText, bgcolor=_bgcolor, text_color=_txtcolor, text_size=size.auto)
// Draw dashboard table
if showDashboard
var bgcolor = color.new(color.black,0)
// Keep track of Wins/Losses streaks
newWin = (strategy.wintrades > strategy.wintrades[1]) and (strategy.losstrades == strategy.losstrades[1]) and (strategy.eventrades == strategy.eventrades[1])
newLoss = (strategy.wintrades == strategy.wintrades[1]) and (strategy.losstrades > strategy.losstrades[1]) and (strategy.eventrades == strategy.eventrades[1])
varip int winRow = 0
varip int lossRow = 0
varip int maxWinRow = 0
varip int maxLossRow = 0
if newWin
lossRow := 0
winRow := winRow + 1
if winRow > maxWinRow
maxWinRow := winRow
if newLoss
winRow := 0
lossRow := lossRow + 1
if lossRow > maxLossRow
maxLossRow := lossRow
// Prepare stats table
var table dashTable = table.new(position.bottom_right, 1, 15, border_width=1)
if barstate.islastconfirmedhistory
// Update table
dollarReturn = strategy.netprofit
f_fillCell(dashTable, 0, 0, "Start:", str.format("{0,date,long}", strategy.closedtrades.entry_time(0)) , bgcolor, color.white) // + str.format(" {0,time,HH:mm}", strategy.closedtrades.entry_time(0))
f_fillCell(dashTable, 0, 1, "End:", str.format("{0,date,long}", strategy.opentrades.entry_time(0)) , bgcolor, color.white) // + str.format(" {0,time,HH:mm}", strategy.opentrades.entry_time(0))
_profit = (strategy.netprofit / strategy.initial_capital) * 100
f_fillCell(dashTable, 0, 2, "Net Profit:", str.tostring(_profit, '##.##') + "%", _profit > 0 ? color.green : color.red, color.white)
_numOfDaysInStrategy = (strategy.opentrades.entry_time(0) - strategy.closedtrades.entry_time(0)) / (1000 * 3600 * 24)
f_fillCell(dashTable, 0, 3, "Percent Per Day", str.tostring(_profit / _numOfDaysInStrategy, '#########################.#####')+"%", _profit > 0 ? color.green : color.red, color.white)
_winRate = ( strategy.wintrades / strategy.closedtrades ) * 100
f_fillCell(dashTable, 0, 4, "Percent Profitable:", str.tostring(_winRate, '##.##') + "%", _winRate < 50 ? color.red : _winRate < 75 ? #999900 : color.green, color.white)
f_fillCell(dashTable, 0, 5, "Profit Factor:", str.tostring(strategy.grossprofit / strategy.grossloss, '##.###'), strategy.grossprofit > strategy.grossloss ? color.green : color.red, color.white)
f_fillCell(dashTable, 0, 6, "Total Trades:", str.tostring(strategy.closedtrades), bgcolor, color.white)
f_fillCell(dashTable, 0, 8, "Max Wins In A Row:", str.tostring(maxWinRow, '######') , bgcolor, color.white)
f_fillCell(dashTable, 0, 9, "Max Losses In A Row:", str.tostring(maxLossRow, '######') , bgcolor, color.white)