MACD、RSI モメンタムブレイクアウト戦略
作成日:
2023-11-07 17:13:20
最終変更日:
2023-11-07 17:13:20
コピー:
2
クリック数:
626
ChaoZhang
1
フォロー
1617
フォロワー
概要
これは,MACD,RSI,およびランダムな指標を使用して,株価の動向の方向を判断し,動向の突破点で買多または空売りを行う戦略である.この戦略は,複数の指標を使用してトレンドを判断し,単一の指標による誤信号率を低減し,株価の中短線トレンドを効果的に捉える.
原則
この戦略は,MACDのDIFF線がDEAL線を横切って,RSIが50より大きく,STOCHの快線も50より大きく,多頭トレンドとして判断され,翌日の開場時に当日の最高価格で全資金で買入され,その逆で,MACDのDIFF線がDEAL線を横切って,RSIが50より小さく,STOCHの快線も50より小さいとき,空頭トレンドとして判断され,次日開場時に当日の最低価格で全資金で売り出され,空頭取引が行われる.ストップローズは,過去7日の波動範囲に基づいて計算され,自負率は設定できます.
ポジションに入ってから,3つの指標のうち任意の1つが逆転信号が発生した場合,トレンドが変化したことを示し,現在のポジションから退出するべきである.また,特別な時間条件のフィルターが設定され,2020年3月に全面的にスキップされ,極端な市場の影響を受けないようにする.
利点
- 複数の指標を組み合わせてトレンドを判断し,偽信号を効果的にフィルターします.
- 突破口を利用してトレンドの初期段階を把握できます.
- ダイナミックストップ・ストップ・ロスを採用して,合理的な利益をロックできます.
- 設定をスキップする間,極端な動作の干渉を防ぐ
- トレンドと逆転の組み合わせにより,不必要な取引を減らすことができます.
リスク
- 複数の指標の組み合わせにより,入場のタイミングが遅れてしまう可能性
- 突破信号は閉じ込められやすい
- ダイナミック・ストップは激進的になり, Preisによってストップされる.
- 特別期間をスキップすると,不合理に設定され,チャンスを逃す可能性があります.
- 逆転信号が過度に敏感になり,取引頻度が高くなる
改善方法:
- 指数パラメータを調整し,遅滞を縮める
- フィルトやボリュームなどの条件を追加して,閉じ込められずに済む
- トラッカーの使用により,preis
- オプティマイゼーションとテストのスキップされた日付範囲
- 逆転信号のパラメータを調整し,周波数を下げる
要約する
この戦略は全体的に典型的なトレンド追跡戦略である.複数の指標を使ってトレンドを判断して入場すると同時に,反転信号を使ってトレンドを判断して終了することを実現する.しかし,戦略自体にもいくつかのパラメータ設定が不合理で遅滞している問題がある.これは,大量の反測によって最適化され,改善され,戦略のパラメータを最適状態に調整するために必要である.
全体として,この戦略の考え方は明確であり,使用した指標と方法も比較的典型である.いくつかの細部最適化とリスク管理の面でうまく行われ,実用的な量化戦略になることができる.しかし,完璧にはまだ一定の差があり,戦略の収益撤収比を専門レベルにするためにさらなるテストと最適化が必要である.継続的に最適化と更新できれば,この戦略は,長期的に追跡に値する戦略の品種になることができる.
ストラテジーソースコード
/*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()