Adaptive Moving Average Crossover Volatiliti Tracking Quantitative Trading Strategy

/*backtest
start: 2024-05-14 00:00:00
end: 2025-05-12 08:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

//@version=5
// © ArrowTrade x:ArrowTrade

// --- STRATEGY DEFINITION ---
strategy(
     title="Arrow's Flexible MA Cross Strategy [API Ready]", // Added branding
     shorttitle="ArrowFlex",                  // Added branding
     overlay=true,
     initial_capital=1000, // Example capital, user should adjust
     commission_type=strategy.commission.percent,
     commission_value=0.036, // Example commission, user MUST adjust to their broker/exchange
     slippage=2,             // Example slippage (in ticks), user should adjust based on asset/broker
     process_orders_on_close=true, // Calculates/executes on bar close. Set to false for intrabar (use with caution & specific logic)
     pyramiding=0,           // No pyramiding allowed (one entry per direction)
     default_qty_type=strategy.fixed // Defaulting to fixed quantity
     // Removed default_qty_value from here
     )

// ================================================================================
//  Strategy Description (for TradingView Public Library & Users)
// ================================================================================
// © ArrowTrade
//
// A configurable Moving Average Crossover strategy designed for flexibility and
// API integration.
//
// Features:
// - MA Crossover Entries: Uses configurable Fast/Slow MA crossovers for signals.
// - Trend Filter: Optional longer-term MA filter to trade only with the trend.
// - Volatility Filter: Optional ATR filter to avoid low-volatility periods.
// - Volume Filter: Optional Volume filter to confirm entries with sufficient volume.
// - Stop Loss Options:
//     - Initial Volatility Stop (ATR-based)
//     - ATR Trailing Stop
//     - Break-Even Stop (activated by TP1 hit or ATR distance)
// - Take Profit Options:
//     - Two independent TP levels (percentage-based).
//     - Configurable partial close percentage at TP1.
// - Position Sizing: Fixed quantity per trade (adjustable).
//
// Intended Use:
// While configurable for various styles (scalping to trend-following by adjusting
// parameters), this strategy is built with API automation in mind. The clear
// entry and exit logic facilitates integration with external execution platforms
// via webhooks or other methods. Parameters can be tightened (shorter MAs,
// tighter stops/TPs, specific filters) for higher-frequency signals suitable
// for scalping.
//
// Disclaimer:
// Backtesting results are hypothetical and do not guarantee future performance.
// Market conditions change constantly. Always perform your own due diligence,
// forward testing, and rigorous risk management before trading live with any
// strategy. Ensure you adjust inputs like commission, slippage, and position
// size to accurately reflect your specific broker/exchange and risk profile.
// ================================================================================


// === INPUTS (Grouped and Ordered by Importance/Function) ===

// --- 1. Core Signal & Trend Filter ---
grp_signal = "1. Core Signal & Trend Filter"
signalSource   = input.source(high, title="Signal Source", group=grp_signal, tooltip="Price source for calculating the signal MAs (e.g., close, hl2, ohlc4). 'hlc3' or 'ohlc4' can provide smoother signals.")
signalMaType   = input.string("EMA", title="Signal MA Type", options=["EMA", "SMA", "WMA", "HMA", "VWMA"], group=grp_signal, tooltip="Type of Moving Average used for the fast/slow signal lines (EMA reacts faster, SMA smoother, HMA reduces lag).")
signalFastLen  = input.int(12, title="Fast MA Period", minval=2, maxval=100, step=1, group=grp_signal, tooltip="Period for the shorter-term signal MA. Shorter periods lead to more frequent signals (potentially more noise/scalping).")
signalSlowLen  = input.int(25, title="Slow MA Period", minval=3, maxval=200, step=1, group=grp_signal, tooltip="Period for the longer-term signal MA. Must be greater than Fast MA Period. Defines the crossover signal.")
useTrendFilter = input.bool(true, title="Enable Trend Filter", group=grp_signal, tooltip="If enabled, entry signals are only taken in the direction of the longer-term trend defined by the Trend MA.")
trendMaType    = input.string("EMA", title="Trend MA Type", options=["EMA", "SMA", "WMA", "HMA", "VWMA"], group=grp_signal, tooltip="Type of Moving Average used for the trend filter.")
trendMaLen     = input.int(100, title="Trend MA Period", minval=50, maxval=500, step=10, group=grp_signal, tooltip="Period for the Trend MA. Significantly longer than signal MAs typically. Higher values filter more aggressively.")
trendMaSource  = input.source(hl2, title="Trend MA Source", group=grp_signal, tooltip="Price source for the Trend MA calculation.")

// --- 2. Risk Management: Stop Loss ---
grp_stop = "2. Risk Management: Stop Loss"
useVolatilityStop    = input.bool(true, title="Enable Initial Volatility Stop", group=grp_stop, tooltip="Sets the initial stop loss based on Average True Range (ATR) at the time of entry.")
volStopAtrPeriod     = input.int(7, title="   Initial Stop ATR Period", minval=1, maxval=50, step=1, group=grp_stop, tooltip="ATR lookback period for calculating the initial stop distance.")
volStopAtrMultiplier = input.float(5, title="   Initial Stop ATR Multiplier", minval=0.5, maxval=10, step=0.1, group=grp_stop, tooltip="Multiplier for the ATR value to determine stop distance (Stop = Entry +/- ATR * Multiplier). Lower values = tighter initial stop.")
useTrailingStop      = input.bool(true, title="Enable ATR Trailing Stop", group=grp_stop, tooltip="If enabled, the stop loss will trail behind price based on current ATR, potentially locking in profits. Can override the initial/BE stop if it moves favorably.")
trailAtrPeriod       = input.int(15, title="   Trailing ATR Period", minval=1, maxval=50, step=1, group=grp_stop, tooltip="ATR lookback period for calculating the trailing distance.")
trailAtrMultiplier   = input.float(4.0, title="   Trailing ATR Multiplier", minval=0.5, maxval=10, step=0.1, group=grp_stop, tooltip="Multiplier for the current ATR to determine trailing distance. Lower values trail tighter.")
useBreakEvenStop     = input.bool(false, title="Enable Break-Even Stop", group=grp_stop, tooltip="If enabled, moves the stop loss to entry price (plus a small profit buffer) once a certain condition is met.")
beActivationChoice   = input.string("TP1 Reached", title="   BE Activation Condition", options=["TP1 Reached", "ATR Distance Moved"], group=grp_stop, tooltip="When should the Break-Even Stop activate? When TP1 is hit, or when price moves a certain ATR distance from entry?")
beActivationAtrMult  = input.float(1.5, title="   BE Activation ATR Multiplier", minval=0.1, maxval=5, step=0.1, group=grp_stop, tooltip="Used only if 'ATR Distance Moved' is selected. BE activates if price moves (Entry +/- ATR * Multiplier). Uses 'Initial Stop ATR Period'.")
beProfitTicks        = input.int(2, title="   BE Profit Buffer (Ticks)", minval=0, maxval=50, step=1, group=grp_stop, tooltip="Moves the stop to Entry Price +/- this many ticks (e.g., to cover commissions). Set to 0 for exact entry price.")

// --- 3. Risk Management: Take Profit ---
grp_tp = "3. Risk Management: Take Profit (TP)"
useTp1        = input.bool(true, title="Enable TP1", group=grp_tp, tooltip="Enable the first Take Profit level.")
tp1Pct        = input.float(1.5, title="   TP1 Target (%)", minval=0.1, maxval=20, step=0.1, group=grp_tp, tooltip="First TP target as a percentage distance from the entry price. Should be less than TP2 %.")
tp1QtyPercent = input.int(50, title="   TP1 Close Quantity (%)", minval=1, maxval=100, step=5, group=grp_tp, tooltip="Percentage of the original position size to close when TP1 is hit.")
useTp2        = input.bool(true, title="Enable TP2", group=grp_tp, tooltip="Enable the second (final) Take Profit level.")
tp2Pct        = input.float(3.0, title="   TP2 Target (%)", minval=0.2, maxval=30, step=0.1, group=grp_tp, tooltip="Second TP target as a percentage distance from the entry price. Closes the remaining position.")

// --- 4. Additional Filters ---
grp_filters = "4. Additional Filters"
useAtrFilter        = input.bool(true, title="Enable ATR Volatility Filter", group=grp_filters, tooltip="If enabled, avoids entries during periods of very low volatility (ATR below a moving average of ATR). Helps filter choppy/sideways markets.")
atrFilterPeriod     = input.int(14, title="   ATR Filter Period", minval=1, maxval=50, step=1, group=grp_filters, tooltip="Lookback period for calculating the current ATR and its average for the filter.")
atrFilterMultiplier = input.float(0.5, title="   ATR Filter Threshold Multiplier", minval=0.1, maxval=5, step=0.1, group=grp_filters, tooltip="Entry requires current ATR to be >= (Average ATR * Multiplier). Lower values filter more aggressively.")
useVolumeFilter     = input.bool(true, title="Enable Volume Filter", group=grp_filters, tooltip="If enabled, requires the volume of the entry bar to be above a moving average of volume. Acts as confirmation.")
volumeLookback      = input.int(30, title="   Volume MA Period", minval=2, maxval=100, step=1, group=grp_filters, tooltip="Lookback period for calculating the average volume.")
volumeMultiplier    = input.float(1.0, title="   Min Volume Ratio (vs Avg)", minval=0.1, maxval=5, step=0.1, group=grp_filters, tooltip="Entry requires current volume to be >= (Average Volume * Multiplier). Values >= 1 require above-average volume.")

// --- 5. Position Sizing ---
grp_size = "5. Position Sizing"
// Define the quantity input with its own default value
qtyValue = input.float(0.01, title="Position Size (Fixed Qty)", minval=0.0001, step=0.0001, group=grp_size, tooltip="Fixed quantity (contracts/shares/lots) per trade. Adjust based on your account size, risk tolerance, and the asset being traded. Can be overridden by API.")


// === FUNCTIONS ===
f_ma(maType, src, len) =>
    float result = na
    if maType == "SMA"
        result := ta.sma(src, len)
    else if maType == "EMA"
        result := ta.ema(src, len)
    else if maType == "WMA"
        result := ta.wma(src, len)
    else if maType == "HMA"
        result := ta.hma(src, len)
    else if maType == "VWMA"
        result := ta.vwma(src, len)
    result

// === CORE CALCULATIONS ===

// Parameter Sanity Check
if signalSlowLen <= signalFastLen and barstate.islast
    runtime.error("Signal Slow MA Period must be greater than Fast MA Period!")

// 1. Moving Averages
float fastMA = f_ma(signalMaType, signalSource, signalFastLen)
float slowMA = f_ma(signalMaType, signalSource, signalSlowLen)
float trendMA = useTrendFilter ? f_ma(trendMaType, trendMaSource, trendMaLen) : na

// 2. ATR Values
float atrValueStop = ta.atr(volStopAtrPeriod)
float atrValueTrail = ta.atr(trailAtrPeriod)
float atrValueFilter = ta.atr(atrFilterPeriod)
float atrValueBE = ta.atr(volStopAtrPeriod)

// 3. Filter Conditions
bool trendFilterOK_L = not useTrendFilter or (not na(trendMA) and signalSource > trendMA)
bool trendFilterOK_S = not useTrendFilter or (not na(trendMA) and signalSource < trendMA)
float avgAtrFilter = ta.sma(atrValueFilter, atrFilterPeriod)
bool volatilityFilterOK = not useAtrFilter or (not na(atrValueFilter) and not na(avgAtrFilter) and atrValueFilter >= avgAtrFilter * atrFilterMultiplier)
float avgVolume = ta.sma(volume, volumeLookback)
bool volumeFilterOK = not useVolumeFilter or (not na(volume) and not na(avgVolume) and volume >= avgVolume * volumeMultiplier)
bool finalFilterOK_L = trendFilterOK_L and volatilityFilterOK and volumeFilterOK
bool finalFilterOK_S = trendFilterOK_S and volatilityFilterOK and volumeFilterOK

// 4. Entry Signals
bool longCross = not na(fastMA) and not na(slowMA) and ta.crossover(fastMA, slowMA)
bool shortCross = not na(fastMA) and not na(slowMA) and ta.crossunder(fastMA, slowMA)
bool longEntrySignal = longCross and finalFilterOK_L
bool shortEntrySignal = shortCross and finalFilterOK_S

// === STRATEGY EXECUTION LOGIC ===

// --- State Variables (persisted between bars) ---
var float entryPriceVar = na
var float initialStopPrice = na
var float currentStopPrice = na
var float trailStopLevel = na
var bool isBEActive = false
var bool tp1Reached = false
var float qtyToCloseTp1_Var = na

// --- Position Status ---
bool inLong = strategy.position_size > 0
bool inShort = strategy.position_size < 0
bool inTrade = strategy.position_size != 0

// --- Reset State Variables on Trade Exit ---
if not inTrade and inTrade[1]
    entryPriceVar := na
    initialStopPrice := na
    currentStopPrice := na
    trailStopLevel := na
    isBEActive := false
    tp1Reached := false
    qtyToCloseTp1_Var := na

// --- Handle New Entries ---
if longEntrySignal and not inTrade
    strategy.entry("Long Entry", strategy.long, qty=qtyValue) // Use qtyValue from input

if shortEntrySignal and not inTrade
    strategy.entry("Short Entry", strategy.short, qty=qtyValue) // Use qtyValue from input


// --- Manage Stops and Take Profits for Open Positions ---
if inTrade
    // Initialize state on the bar immediately AFTER entry
    if na(entryPriceVar)
        entryPriceVar := strategy.position_avg_price
        float positionQty = strategy.position_size

        if not na(positionQty) and tp1QtyPercent > 0 and useTp1
            qtyToCloseTp1_Var := math.abs(positionQty * tp1QtyPercent / 100)
        else
            qtyToCloseTp1_Var := 0.0

        if useVolatilityStop and not na(atrValueStop)
            initialStopPrice := entryPriceVar + (inLong ? -1 : 1) * atrValueStop * volStopAtrMultiplier
            currentStopPrice := initialStopPrice
        else
            initialStopPrice := na
            currentStopPrice := na

        if useTrailingStop and not na(atrValueTrail)
            trailStopLevel := entryPriceVar + (inLong ? -1 : 1) * atrValueTrail * trailAtrMultiplier
        else
            trailStopLevel := na

        isBEActive := false
        tp1Reached := false

    // --- Calculations within the trade (if entry price is set) ---
    if not na(entryPriceVar)

        // 1. Calculate TP Levels for the current bar
        float tp1LevelL = na, float tp2LevelL = na, float tp1LevelS = na, float tp2LevelS = na
        if useTp1
            tp1LevelL := entryPriceVar * (1 + tp1Pct / 100)
            tp1LevelS := entryPriceVar * (1 - tp1Pct / 100)
        if useTp2
            tp2LevelL := entryPriceVar * (1 + tp2Pct / 100)
            tp2LevelS := entryPriceVar * (1 - tp2Pct / 100)

        // 2. Check and Activate Break-Even Stop
        if useBreakEvenStop and not isBEActive and not na(currentStopPrice)
            float beTriggerL = na, float beTriggerS = na
            if beActivationChoice == "TP1 Reached" and useTp1
                if not na(tp1LevelL)
                    beTriggerL := tp1LevelL
                if not na(tp1LevelS)
                    beTriggerS := tp1LevelS
            else if beActivationChoice == "ATR Distance Moved" and not na(atrValueBE)
                beTriggerL := entryPriceVar + atrValueBE * beActivationAtrMult
                beTriggerS := entryPriceVar - atrValueBE * beActivationAtrMult

            float beTargetLevel = entryPriceVar + (inLong ? 1 : -1) * beProfitTicks * syminfo.mintick

            if not na(beTriggerL) and not na(beTargetLevel) and inLong and high >= beTriggerL and beTargetLevel > currentStopPrice
                currentStopPrice := beTargetLevel
                isBEActive := true
            if not na(beTriggerS) and not na(beTargetLevel) and inShort and low <= beTriggerS and beTargetLevel < currentStopPrice
                currentStopPrice := beTargetLevel
                isBEActive := true

        // 3. Update Trailing Stop
        if useTrailingStop and not na(currentStopPrice) and not na(atrValueTrail)
            float newTrailStopL = low - atrValueTrail * trailAtrMultiplier
            float newTrailStopS = high + atrValueTrail * trailAtrMultiplier
            float prevTrail = trailStopLevel[1]
            float calculatedNewTrail = na

            if inLong
                calculatedNewTrail := na(prevTrail) ? newTrailStopL : math.max(prevTrail, newTrailStopL)
                if not na(calculatedNewTrail)
                    trailStopLevel := calculatedNewTrail
                if not na(trailStopLevel) and trailStopLevel > currentStopPrice
                    currentStopPrice := trailStopLevel
            if inShort
                calculatedNewTrail := na(prevTrail) ? newTrailStopS : math.min(prevTrail, newTrailStopS)
                if not na(calculatedNewTrail)
                    trailStopLevel := calculatedNewTrail
                if not na(trailStopLevel) and trailStopLevel < currentStopPrice
                    currentStopPrice := trailStopLevel

        // --- Execute Exits ---

        // 4. Apply Stop Loss Exit
        if not na(currentStopPrice)
            bool isTrailingActiveNow = useTrailingStop and not na(trailStopLevel) and currentStopPrice == trailStopLevel
            string stop_comment = isBEActive ? "BE Stop" : (isTrailingActiveNow ? "Trail Stop" : "Vol Stop")
            if inLong
                strategy.exit("SL Exit L", from_entry="Long Entry", stop=currentStopPrice, comment=stop_comment + " L")
            if inShort
                strategy.exit("SL Exit S", from_entry="Short Entry", stop=currentStopPrice, comment=stop_comment + " S")

        // 5. Apply Take Profit Exits
        // TP1 Exit (Partial Quantity)
        if useTp1 and not tp1Reached and not na(qtyToCloseTp1_Var) and qtyToCloseTp1_Var > 0
            if inLong and not na(tp1LevelL)
                strategy.exit("TP1 Exit L", from_entry="Long Entry", qty=qtyToCloseTp1_Var, limit=tp1LevelL, comment="TP1 Hit L")
                if high >= tp1LevelL
                    tp1Reached := true
            if inShort and not na(tp1LevelS)
                strategy.exit("TP1 Exit S", from_entry="Short Entry", qty=qtyToCloseTp1_Var, limit=tp1LevelS, comment="TP1 Hit S")
                if low <= tp1LevelS
                    tp1Reached := true

        // TP2 Exit (Remaining Quantity)
        if useTp2
            if inLong and not na(tp2LevelL)
                strategy.exit("TP2 Exit L", from_entry="Long Entry", limit=tp2LevelL, comment="TP2 Hit L")
            if inShort and not na(tp2LevelS)
                strategy.exit("TP2 Exit S", from_entry="Short Entry", limit=tp2LevelS, comment="TP2 Hit S")


// === PLOTTING ===

// 1. Moving Averages
plot(fastMA, "Fast MA", color=color.new(color.aqua, 0), linewidth=1)
plot(slowMA, "Slow MA", color=color.new(color.fuchsia, 0), linewidth=1)
plot(useTrendFilter and not na(trendMA) ? trendMA : na, "Trend MA", color=color.new(color.gray, 0), linewidth=2, style=plot.style_cross)

// 2. Active Stop Loss Level
color stopColor = color.new(color.red, 0)
bool isTrailingActivePlot = useTrailingStop and not na(trailStopLevel) and not na(currentStopPrice) and currentStopPrice == trailStopLevel
if isBEActive
    stopColor := color.new(color.orange, 0)
else if isTrailingActivePlot
    stopColor := color.new(color.blue, 0)
plot(inTrade and not na(currentStopPrice) ? currentStopPrice : na, "Active Stop Loss", stopColor, style=plot.style_linebr, linewidth=2)

// 3. Take Profit Levels
float plot_tp1LevelL = na, float plot_tp1LevelS = na, float plot_tp2LevelL = na, float plot_tp2LevelS = na
if not na(entryPriceVar)
    if useTp1
        plot_tp1LevelL := entryPriceVar * (1 + tp1Pct / 100)
        plot_tp1LevelS := entryPriceVar * (1 - tp1Pct / 100)
    if useTp2
        plot_tp2LevelL := entryPriceVar * (1 + tp2Pct / 100)
        plot_tp2LevelS := entryPriceVar * (1 - tp2Pct / 100)
plot(inTrade and useTp1 and not na(inLong ? plot_tp1LevelL : plot_tp1LevelS) ? (inLong ? plot_tp1LevelL : plot_tp1LevelS) : na, "TP1 Level", color=color.new(color.green, 30), style=plot.style_linebr, linewidth=1)
plot(inTrade and useTp2 and not na(inLong ? plot_tp2LevelL : plot_tp2LevelS) ? (inLong ? plot_tp2LevelL : plot_tp2LevelS) : na, "TP2 Level", color=color.new(color.green, 0), style=plot.style_linebr, linewidth=1)

// 4. Entry Signal Markers
plotshape(longEntrySignal, title="Long Entry Signal", location=location.belowbar, color=color.new(color.green, 0), style=shape.triangleup, size=size.small)
plotshape(shortEntrySignal, title="Short Entry Signal", location=location.abovebar, color=color.new(color.red, 0), style=shape.triangledown, size=size.small)

// 5. Background Color Filters
bgcolor(useTrendFilter and not na(trendMA) and inTrade ? (inLong ? color.new(color.blue, 90) : color.new(color.red, 90)) : na, title="Trend Filter Active")
bgcolor(useAtrFilter and not volatilityFilterOK ? color.new(color.gray, 85) : na, title="Low Volatility Filter Active")
bgcolor(useVolumeFilter and not volumeFilterOK ? color.new(color.yellow, 90) : na, title="Low Volume Filter Active")