Стратегия прорыва импульса

Автор:Чао Чжан, Дата: 2023-11-07 17:13:20
Тэги:

Обзор

Это стратегия, которая использует индикаторы MACD, RSI и Stochastic для определения направления импульса цен и делает длинные или короткие входы в моменты прорыва импульса. Объединяя несколько индикаторов для оценки тенденции, она уменьшает частоту ложных сигналов отдельных индикаторов и может эффективно улавливать среднесрочные тенденции цен.

Принцип

Стратегия использует индикаторы MACD, RSI и Stochastic для определения направления тренда цен. Когда линия MACD DIFF пересекает линию DEAL, RSI больше 50, а быстрая линия STOCH также больше 50, она рассматривается как формирование бычьего тренда, поэтому она будет длинной на следующий день с открытием цены со всем капиталом на самой высокой цене дня; наоборот, когда линия MACD DIFF пересекает линию DEAL, RSI меньше 50, а быстрая линия STOCH также меньше 50, она рассматривается как формирование медвежьей тенденции, поэтому она будет короткой на следующий день с открытием цены капитала со всеми диапазонами на самой низкой цене дня. Прибыль и остановка потери рассчитываются на основе колебаний цен за последние 7 дней, и соотношение прибыли / потери можно настроить.

После входа в позицию, если какой-либо из трех индикаторов генерирует обратный сигнал, это означает, что тенденция изменилась и должна выйти из текущей позиции.

Преимущества

Объединение нескольких индикаторов для оценки тенденции может эффективно отфильтровать ложные сигналы
Использование прорывов может зафиксировать раннюю стадию тенденций
Использование динамического получения прибыли и остановки потери может обеспечить разумную прибыль
Пропускные периоды могут предотвратить вмешательство экстремальных рынков
Сочетание механизмов следования тренду и механизмов обратного движения может уменьшить ненужные сделки

Риски

Комбинация нескольких индикаторов может вызвать задержку, отсутствие лучшего времени входа
Сигналы прорыва склонны к попаданию в ловушку.
Динамические остановки могут быть слишком агрессивными и остановлены Preis
Пропуск специальных периодов может привести к упущению возможностей, если он будет настроен неправильно.
Сигналы отклонения могут быть слишком чувствительными, что может привести к чрезмерной торговле.

Направления улучшения:

Настройка параметров индикатора для уменьшения задержки
Добавьте фильтры типа громкости, чтобы избежать ловушек
Используйте следящие остановки, чтобы предотвратить остановки Preis
Оптимизировать и протестировать пропущенные диапазоны дат
Параметры сигналов обратной настройки для снижения частоты

Резюме

В целом, это типичная стратегия, следующая за трендом. Она использует несколько индикаторов для определения тренда для входов и сигналов отклонения для оценки окончаний тренда для выходов, сочетая как механизмы отклонения, так и механизмы отклонения.

В общем, логика этой стратегии ясна, и используемые индикаторы также типичны. Она хорошо работает в некоторых деталях оптимизации и контроля рисков, и может быть применимой в реальном мире квантовой стратегией. Но все еще есть некоторые пробелы от совершенства, требующие дальнейшего тестирования и оптимизации, чтобы получить соотношение возврата / вывода стратегии до профессионального уровня. С постоянной оптимизацией и обновлениями эта стратегия может стать одной из тех, которые стоит отслеживать в долгосрочной перспективе.

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

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

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

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

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

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

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

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

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

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

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

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

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

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