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اشارے کی تصدیق خودکار تجارتی حکمت عملی

مصنف:چاؤ ژانگ، تاریخ: 2023-09-28 11:57:23
ٹیگز:

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/*backtest
start: 2023-09-20 00:00:00
end: 2023-09-27 00:00:00
period: 10m
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/
// © Xaviz

//@version=4
strategy(title = "888 BOT #backtest", shorttitle = "888💹", overlay = true, initial_capital = 10000, pyramiding = 10, currency = "USD",
   default_qty_type = strategy.percent_of_equity, default_qty_value = 0, commission_value = 0.04)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Inputs
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Source input
src                 = input(hlc3,       title = "  SOURCE",                             type = input.source)

// ————— JMA inputs
Act_JMA             = input(true,       title = "JURIK MOVING AVERAGE",                 type = input.bool)
JMA_length          = input(30,         title = "  JMA LENGTH",                         type = input.integer,   minval = 0)
phase               = input(40,         title = "  JMA PHASE",                          type = input.integer,   minval = 0)
power               = input(2.5,        title = "  JMA POWER",                          type = input.float,     minval = 0,     step = 0.5)

// ————— Range Filter inputs
Act_RF              = input(true,       title = "RANGE FILTER",                         type = input.bool)
per                 = input(20,         title = "  SAMPLING PERIOD",                    type = input.integer,   minval = 1)
mult                = input(1.7,        title = "  RANGE MULTIPLIER",                   type = input.float,     minval = 0.1,   step = 0.1)

// ————— ADX inputs
Act_ADX             = input(true,       title = "AVERAGE DIRECTIONAL INDEX",            type = input.bool)
ADX_options         = input("CLASSIC",  title = "  ADX OPTION",                                                                                 options = ["CLASSIC", "MASANAKAMURA"])
ADX_len             = input(22,         title = "  ADX LENGTH",                         type = input.integer,   minval = 1)
th                  = input(20,         title = "  ADX THRESHOLD",                      type = input.float,     minval = 0,     step = 0.5)

// ————— SAR inputs
Act_SAR             = input(true,       title = "PARABOLIC SAR",                        type = input.bool)
Sst                 = input (0.25,      title = "  SAR STAR",                           type = input.float,     minval = 0.01,  step = 0.01)
Sinc                = input (0.25,      title = "  SAR INC",                            type = input.float,     minval = 0.01,  step = 0.01)
Smax                = input (0.13,      title = "  SAR MAX",                            type = input.float,     minval = 0.01,  step = 0.01)

// ————— RSI with volume inputs
Act_RSI             = input(true,       title = "RSI VOLUME WEIGHTED",                  type = input.bool)
RSI_len             = input(34,         title = "  RSI LENGHT",                         type = input.integer,   minval = 1)
RSI_obos            = input(45,         title = "  RSI CENTER LINE",                    type = input.integer,   minval = 1)

// ————— MACD / MAC-Z inputs
Act_MACD            = input(true,       title = "MA CONVERGENCE/DIVERGENCE",            type = input.bool)
MACD_options        = input("MAC-Z",    title = "  MACD OPTION",                                                                                options = ["MACD", "MAC-Z"])
fastLength          = input(45,         title = "  MACD FAST MA LENGTH",                type = input.integer,   minval = 1)
slowLength          = input(47,         title = "  MACD SLOW MA LENGTH",                type = input.integer,   minval = 1)
signalLength        = input(13,         title = "  MACD SIGNAL LENGTH",                 type = input.integer,   minval = 1)
lengthz             = input(9,          title = "  Z-VWAP LENGTH",                      type = input.integer,   minval = 1)
lengthStdev         = input(14,         title = "  STDEV LENGTH",                       type = input.integer,   minval = 1)

// ————— Volume inputs for entries condition and for calculate quantities later
Act_Vol             = input(true,       title = "VOLUME CONDITION",                     type = input.bool)
volume_f            = input(1.4,        title = "  VOLUME FACTOR",                      type = input.float,     minval = 0,     step = 0.1)
sma_length          = input(61,         title = "  SMA VOLUME LENGTH",                  type = input.integer,   minval = 1)

// ————— First take profit input
tp_long0            = input(1.7,        title = "  TAKE PROFIT LONG %",                 type = input.float,     minval = 0,     step = 0.1) 
tp_short0           = input(1.8,        title = "  TAKE PROFIT SHORT %",                type = input.float,     minval = 0,     step = 0.1) 

// ————— Stop Loss input
Act_sl              = input(true,       title = "ACTIVATE STOP LOSS 🧻",                type = input.bool)
SL_options          = input("NORMAL",   title = "  STOP LOSS OPTION",                                                                           options = ["NORMAL", "ATR", "BOTH"])
sl0                 = input(3.7,        title = "  STOP LOSS %",                        type = input.float,     minval = 0,     step = 0.1)

// ————— ATR Inputs
atrPeriod           = input(13,         title = "  ATR SL PERIOD",                      type = input.integer,   minval = 0)
multiplierPeriod    = input(7.0,        title = "  ATR SL MULTIPLIER",                  type = input.float,     minval = 0,     step = 0.1)

// ————— Risk input
Risk                = input(3.5,        title = "  % RISK ALLOWED",                     type = input.float,     minval = 0,     step = 0.5)

// ————— Confirmed Stop loss
Act_Conf_SL         = input(false,      title = "STOP LOSS CONFIRMED",                  type = input.bool)

// ————— Bollinger Bands inputs
Act_BB              = input(true,       title = "ACTIVATE BOLLINGER BANDS RE-ENTRY 🚀", type = input.bool)
BB_length           = input(20,         title = "  BB LENGTH",                          type = input.integer,   minval = 1)
BB_mult             = input(1.9,        title = "  BB MULTIPLIER",                      type = input.float,     minval = 0.001, step = 0.1)
bbBetterPrice       = input(0.5,        title = "  % MINIMUM BETTER PRICE",             type = input.float,     minval = 0.1,   step = 0.1)
Act_divide          = input(false,      title = "ACTIVATE DIVIDE TP",                   type = input.bool)

// ————— Backtest input
Act_BT              = input(true,       title = "BACKTEST 💹",                          type = input.bool)
backtest_time       = input(180,        title = "  BACKTEST DAYS",                      type = input.integer,   minval = 1)*24*60*60*1000
entry_Type          = input("% EQUITY", title = "  ENTRY TYPE",                                                                                 options = ["CONTRACTS","CASH","% EQUITY"])
et_Factor           = (entry_Type == "CONTRACTS") ? 1 : (entry_Type == "% EQUITY") ? (100/(strategy.equity/close)) : close
quanTity            = input(8.0,        title = "  QUANTITY (LEVERAGE 1X)",             type = input.float,     minval = 0,     step = 0.5) / et_Factor
Max_Lev             = input(8,          title = "  MAXIMUM LEVERAGE",                   type = input.integer,   minval = 1,     maxval = 8)   

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Variables
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Long/Short
var bool    longCond                    = na,   var bool    shortCond                   = na
var int     CondIni_long                = 0,    var int     CondIni_short               = 0
var bool    _Final_longCondition        = na,   var bool    _Final_shortCondition       = na
var float   last_open_longCondition     = na,   var float   last_open_shortCondition    = na
var float   last_dynamic_Leverage_long  = na,   var float   last_dynamic_Leverage_short = na
var int     last_longCondition          = na,   var int     last_shortCondition         = na
var int     last_Final_longCondition    = na,   var int     last_Final_shortCondition   = na
var int     nLongs                      = na,   var int     nShorts                     = na

// ————— Take profit
var bool    long_tp                     = na,   var bool    short_tp                    = na
var int     last_long_tp                = na,   var int     last_short_tp               = na
var bool    Final_Long_tp               = na,   var bool    Final_Short_tp              = na

// ————— Stop Loss
var int     CondIni_long_sl             = 0,    var int     CondIni_short_sl            = 0
var bool    Final_Long_sl0              = na,   var bool    Final_Short_sl0             = na
var bool    Final_Long_sl               = na,   var bool    Final_Short_sl              = na
var int     last_long_sl                = na,   var int     last_short_sl               = na

// ————— Indicators
var bool    JMA_longCond                = na,   var bool    JMA_shortCond               = na
var bool    RF_longCond                 = na,   var bool    RF_shortCond                = na
var bool    ADX_longCond                = na,   var bool    ADX_shortCond               = na
var bool    SAR_longCond                = na,   var bool    SAR_shortCond               = na
var bool    RSI_longCond                = na,   var bool    RSI_shortCond               = na
var bool    MACD_longCond               = na,   var bool    MACD_shortCond              = na
var bool    VOL_longCond                = na,   var bool    VOL_shortCond               = na
var bool    JMA_XlongCond               = na,   var bool    JMA_XshortCond              = na
var bool    RF_XlongCond                = na,   var bool    RF_XshortCond               = na
var bool    ADX_XlongCond               = na,   var bool    ADX_XshortCond              = na
var bool    SAR_XlongCond               = na,   var bool    SAR_XshortCond              = na
var int     CondIni_long_BB             = 0,    var int     CondIni_short_BB            = 0
var bool    Final_long_BB               = na,   var bool    Final_short_BB              = na
var int     last_long_BB                = na,   var int     last_short_BB               = na

// ————— Average Price
var float   sum_long                    = 0.0,  var float   sum_short                   = 0.0
var float   Position_Price              = 0.0

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Jurik Moving Average
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— JMA calculation
JMA(_JMA_length, _phase, _power, _src) =>
    phaseRatio      = _phase < -100 ? 0.5 : _phase > 100 ? 2.5 : _phase / 100 + 1.5
    beta            = 0.45 * (_JMA_length - 1) / (0.45 * (_JMA_length - 1) + 2)
    alpha           = pow(beta, _power)
    jma             = 0.0
    e0              = 0.0
    e0              := (1 - alpha) * _src + alpha * nz(e0[1])
    e1              = 0.0
    e1              := (_src - e0) * (1 - beta) + beta * nz(e1[1])
    e2              = 0.0
    e2              := (e0 + phaseRatio * e1 - nz(jma[1])) * pow(1 - alpha, 2) + pow(alpha, 2) * nz(e2[1])
    jma             := e2 + nz(jma[1])
    
// ————— Defining JMA trend
JMA_Rising          = JMA(JMA_length, phase, power, src) > JMA(JMA_length, phase, power, src)[1]
JMA_Falling         = JMA(JMA_length, phase, power, src) < JMA(JMA_length, phase, power, src)[1]

// ————— JMA Plotting
JMA_color           = JMA_Rising ? color.lime : JMA_Falling ? #e91e63 : color.orange
plot(Act_JMA ? JMA(JMA_length, phase, power, src) : na, color=JMA_color, linewidth = 2, title= "JMA")

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Range Filter
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Range Filter calculation
Range_filter(_src, _per, _mult) =>
    float _upward   = 0.0
    float _downward = 0.0
    wper            = (_per*2) - 1
    avrng           = ema(abs(_src - _src[1]), _per)
    _smoothrng      = ema(avrng, wper) * _mult
    _filt           = _src
    _filt           := _src  > nz(_filt[1]) ? ((_src-_smoothrng) < nz(_filt[1]) ? nz(_filt[1]) : (_src-_smoothrng)) : ((_src+_smoothrng) > nz(_filt[1]) ? nz(_filt[1]) : (_src+_smoothrng))
    _upward         := _filt > _filt[1]     ? nz(_upward[1])   + 1 : _filt < _filt[1] ? 0 : nz(_upward[1])
    _downward       := _filt < _filt[1]     ? nz(_downward[1]) + 1 : _filt > _filt[1] ? 0 : nz(_downward[1])
    [_smoothrng,_filt,_upward,_downward]
    
// ————— Defining variables for include in future conditions
[smoothrng, filt, upward, downward] = Range_filter(src, per, mult)

// ————— Defining high and low bands
hband               = filt + smoothrng
lband               = filt - smoothrng

// ————— Range Filter Plotting
filtcolor           = upward > 0 ? color.lime : downward > 0 ? color.red : color.orange
filtplot            = plot(Act_RF ? filt  : na, color = filtcolor,  linewidth = 1,                  title = "RF")
hbandplot           = plot(Act_RF ? hband : na, color = filtcolor,                  transp = 50,    title = "RF High Target")
lbandplot           = plot(Act_RF ? lband : na, color = filtcolor,                  transp = 50,    title = "RF Low Target")
fill(hbandplot, lbandplot,                      color = filtcolor,                                  title = "RF Target Range")

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— ADX
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Classic ADX calculating
calcADX(_len) =>
    up              = change(high)
	down            = -change(low)
	plusDM          = na(up)   ? na : (up > down and up > 0   ? up   : 0)
    minusDM         = na(down) ? na : (down > up and down > 0 ? down : 0)
	truerange       = rma(tr, _len)
	_plus           = fixnan(100 * rma(plusDM, _len)  / truerange)
	_minus          = fixnan(100 * rma(minusDM, _len) / truerange)
	sum             = _plus + _minus
	_adx            = 100 * rma(abs(_plus - _minus) / (sum == 0 ? 1 : sum), _len)
    [_plus,_minus,_adx]

// ————— Masanakamura ADX calculating
calcADX_Masanakamura(_len) =>
    SmoothedTrueRange                   = 0.0
    SmoothedDirectionalMovementPlus     = 0.0
    SmoothedDirectionalMovementMinus    = 0.0
    TrueRange                           = max(max(high - low, abs(high - nz(close[1]))), abs(low - nz(close[1])))
    DirectionalMovementPlus             = high - nz(high[1]) > nz(low[1]) - low ? max(high - nz(high[1]), 0) : 0
    DirectionalMovementMinus            = nz(low[1]) - low > high - nz(high[1]) ? max(nz(low[1]) - low, 0)   : 0
    SmoothedTrueRange                   := nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1]) /_len) + TrueRange
    SmoothedDirectionalMovementPlus     := nz(SmoothedDirectionalMovementPlus[1])  - (nz(SmoothedDirectionalMovementPlus[1])  / _len) + DirectionalMovementPlus
    SmoothedDirectionalMovementMinus    := nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1]) / _len) + DirectionalMovementMinus
    DIP                                 = SmoothedDirectionalMovementPlus  / SmoothedTrueRange * 100
    DIM                                 = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
    DX                                  = abs(DIP-DIM) / (DIP+DIM)*100
    adx                                 = sma(DX, _len)
    [DIP,DIM,adx]

 // ————— Defining variables for include in future conditions   
[DIPlusC,DIMinusC,ADXC] = calcADX(ADX_len) 
[DIPlusM,DIMinusM,ADXM] = calcADX_Masanakamura(ADX_len)
DIPlus                  = ADX_options == "CLASSIC" ? DIPlusC    : DIPlusM
DIMinus                 = ADX_options == "CLASSIC" ? DIMinusC   : DIMinusM
ADX                     = ADX_options == "CLASSIC" ? ADXC       : ADXM

// ————— Plotting ADX bar colors
ADX_color = DIPlus > DIMinus and ADX > th ? color.green : DIPlus < DIMinus and ADX > th ? color.red : color.orange
barcolor(color = Act_ADX ? ADX_color : na, title = "ADX")

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— SAR
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— SAR calculation from TV
SAR = sar(Sst, Sinc, Smax)

// ————— SAR Plotting
plot(Act_SAR ? SAR : na, color = ADX_color, style = plot.style_circles, title = "SAR") 

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— RSI with Volume
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— RSI with volume calculation
WiMA(_src, W_length) => 
    var float MA_s  = 0.0
    MA_s            :=(_src + nz(MA_s[1] * (W_length-1)))/W_length
    MA_s
RSI_Volume(fv, _length) =>	
	up              = iff(fv > fv[1], abs(fv - fv[1]) * volume, 0)
	dn              = iff(fv < fv[1], abs(fv - fv[1]) * volume, 0)
	upt             = WiMA(up,_length)
	dnt             = WiMA(dn,_length)
	100 * (upt / (upt + dnt))

// ————— Defining variable for include in conditions
RSI_V               = RSI_Volume(src, RSI_len)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— MACD
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— MAC-Z calculation
calc_zvwap(pds) =>
	mean            = sum(volume * close, pds) / sum(volume, pds)
	vwapsd          = sqrt(sma(pow(close - mean, 2), pds))
	(close - mean ) / vwapsd

zscore              = calc_zvwap(lengthz)
fastMA              = sma(src, fastLength)
slowMA              = sma(src, slowLength)
macd                = fastMA - slowMA
macz                = zscore + macd / stdev(src, lengthStdev)
signal              = sma(macz, signalLength)
histmacz            = macz - signal

// ————— MACD calculation
[_,_,histmacd]      = macd(src,  fastLength, slowLength, signalLength)

hist                = MACD_options == "MACD" ? histmacd : histmacz

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Strategy
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— All indicators with long conditions and enable/disable option
JMA_longCond        := (Act_JMA     ? (JMA_Rising)                                  : VOL_longCond) 
RF_longCond         := (Act_RF      ? (high > hband and upward > 0)                 : JMA_longCond)
ADX_longCond        := (Act_ADX     ? (DIPlus > DIMinus and ADX > th)               : RF_longCond)
SAR_longCond        := (Act_SAR     ? (SAR < close)                                 : ADX_longCond)
RSI_longCond        := (Act_RSI     ? (RSI_V > RSI_obos)                            : SAR_longCond)
MACD_longCond       := (Act_MACD    ? (hist > 0)                                    : RSI_longCond)
VOL_longCond        := (Act_Vol     ? (volume > sma(volume,sma_length) * volume_f)  : MACD_longCond)

// ————— All indicators with short conditions and enable/disable option
JMA_shortCond       := (Act_JMA     ? (JMA_Falling)                                 : VOL_shortCond) 
RF_shortCond        := (Act_RF      ? (low < lband and downward > 0)                : JMA_shortCond)
ADX_shortCond       := (Act_ADX     ? (DIPlus < DIMinus and ADX > th)               : RF_shortCond)
SAR_shortCond       := (Act_SAR     ? (SAR > close)                                 : ADX_shortCond)
RSI_shortCond       := (Act_RSI     ? (RSI_V < RSI_obos)                            : SAR_shortCond)
MACD_shortCond      := (Act_MACD    ? (hist < 0)                                    : RSI_shortCond)
VOL_shortCond       := (Act_Vol     ? (volume > sma(volume,sma_length) * volume_f)  : MACD_shortCond)

// ————— Defining long/short condition from indicators + volume
longCond            := JMA_longCond  and RF_longCond  and ADX_longCond  and SAR_longCond  and RSI_longCond  and MACD_longCond  and VOL_longCond
shortCond           := JMA_shortCond and RF_shortCond and ADX_shortCond and SAR_shortCond and RSI_shortCond and MACD_shortCond and VOL_shortCond

// ————— Avoiding confirmed long/short simultaneity
CondIni_long        := longCond[1] ? 1 : shortCond[1] ? -1 : nz(CondIni_long[1])
CondIni_short       := longCond[1] ? 1 : shortCond[1] ? -1 : nz(CondIni_short[1])

// ————— Confirmed long/short conditions
longCondition       = (longCond[1]  and nz(CondIni_long[1])  == -1)
shortCondition      = (shortCond[1] and nz(CondIni_short[1]) == 1)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Position Price
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Last opened long/short price on unconfirmed/confirmed conditions
last_open_longCondition     := longCondition  or Final_long_BB[1]  ? close[1] : nz(last_open_longCondition[1])
last_open_shortCondition    := shortCondition or Final_short_BB[1] ? close[1] : nz(last_open_shortCondition[1])

// ————— Check if your last position was a confirmed long or a short
last_longCondition          := longCondition  or Final_long_BB[1]  ? time : nz(last_longCondition[1])
last_shortCondition         := shortCondition or Final_short_BB[1] ? time : nz(last_shortCondition[1])
in_longCondition            = last_longCondition  > last_shortCondition
in_shortCondition           = last_shortCondition > last_longCondition

// ————— Check if your last position was a confirmed final long or short without BB
last_Final_longCondition    := longCondition  ? time : nz(last_Final_longCondition[1])
last_Final_shortCondition   := shortCondition ? time : nz(last_Final_shortCondition[1])

// ————— Counting long & short iterations
nLongs                      := nz(nLongs[1])
nShorts                     := nz(nShorts[1])

// ————— Longs Counter
if longCondition or Final_long_BB
    nLongs                  := nLongs + 1
    nShorts                 := 0
    sum_long                := nz(last_open_longCondition) + nz(sum_long[1])
    sum_short               := 0.0
    
// ————— Shorts Counter
if shortCondition or Final_short_BB
    nLongs                  := 0
    nShorts                 := nShorts + 1
    sum_short               := nz(last_open_shortCondition) + nz(sum_short[1])
    sum_long                := 0.0

// ————— Calculating and Plotting the price average
Position_Price              := nz(Position_Price[1])
Position_Price              := longCondition or Final_long_BB ? sum_long/nLongs : shortCondition or Final_short_BB ? sum_short/nShorts : na
plot((nLongs > 1) or (nShorts > 1) ? Position_Price : na, title = "Average Price", color = in_longCondition ? color.aqua : color.orange, linewidth = 2, style = plot.style_cross)
    
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Take Profit
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Take Profit divided by n entries
tp_long             = (Act_divide and (nLongs  > 1) ? tp_long0  / nLongs  : tp_long0)  / 100
tp_short            = (Act_divide and (nShorts > 1) ? tp_short0 / nShorts : tp_short0) / 100

// ————— First TP Conditions
long_tp             := high > (fixnan(Position_Price) * (1 + tp_long))  and in_longCondition
short_tp            := low  < (fixnan(Position_Price) * (1 - tp_short)) and in_shortCondition

// ————— Get the time of the last tp close
last_long_tp        := long_tp  ? time : nz(last_long_tp[1])
last_short_tp       := short_tp ? time : nz(last_short_tp[1])

// ————— Final Take profit condition (never after the stop loss)
Final_Long_tp       := (long_tp  and last_longCondition  > nz(last_long_tp[1])  and last_longCondition  > nz(last_long_sl[1]))
Final_Short_tp      := (short_tp and last_shortCondition > nz(last_short_tp[1]) and last_shortCondition > nz(last_short_sl[1]))

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ———————————————————— Stop Loss
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Stop Loss ATR calculation
ATR_SL_Long         = low  - atr(atrPeriod) * multiplierPeriod
ATR_SL_Short        = high + atr(atrPeriod) * multiplierPeriod
longStopPrev        = nz(ATR_SL_Long[1], ATR_SL_Long)
shortStopPrev       = nz(ATR_SL_Short[1], ATR_SL_Short)
ATR_SL_Long         := close[1] > longStopPrev  ? max(ATR_SL_Long, longStopPrev)   : ATR_SL_Long
ATR_SL_Short        := close[1] < shortStopPrev ? min(ATR_SL_Short, shortStopPrev) : ATR_SL_Short

// ————— Calculating Sl according Risk and Initial Capital
sl = in_longCondition ?      
     min(sl0, (((Risk / (100 / (strategy.equity / close)))*100) / (quanTity * max(1, last_dynamic_Leverage_long)  * max(1, nLongs)))) : 
     min(sl0, (((Risk / (100 / (strategy.equity / close)))*100) / (quanTity * max(1, last_dynamic_Leverage_short) * max(1, nShorts))))
      
// ————— Stop Loss long conditions
Normal_long_sl      = Act_Conf_SL ?  ((SL_options == "NORMAL") ? ((Act_sl and in_longCondition  and close <= ((1 - (sl / 100)) * (fixnan(Position_Price))))) : na) :
                                     ((SL_options == "NORMAL") ? ((Act_sl and in_longCondition  and low   <= ((1 - (sl / 100)) * (fixnan(Position_Price))))) : na)
ATR_long_sl         = Act_Conf_SL ?  ((SL_options == "ATR") ?    ((Act_sl and in_longCondition  and close <= (ATR_SL_Long))) : na) :
                                     ((SL_options == "ATR") ?    ((Act_sl and in_longCondition  and low   <= (ATR_SL_Long))) : na)
Both_long_sl        = Act_Conf_SL ?  ((SL_options == "BOTH") ?   ((Act_sl and in_longCondition  and close <= ((1 - (sl / 100)) * (fixnan(Position_Price)))) or 
                                                                 ((Act_sl and in_longCondition  and close <= (ATR_SL_Long)))) : na) :
                                     ((SL_options == "BOTH") ?   ((Act_sl and in_longCondition  and low   <= ((1 - (sl / 100)) * (fixnan(Position_Price)))) or 
                                                                 ((Act_sl and in_longCondition  and low   <= (ATR_SL_Long)))) : na)

// ————— Stop Loss short conditions
Normal_short_sl     = Act_Conf_SL ?  ((SL_options == "NORMAL") ? ((Act_sl and in_shortCondition and close >= ((1 + (sl / 100)) * (fixnan(Position_Price))))) : na) :
                                     ((SL_options == "NORMAL") ? ((Act_sl and in_shortCondition and high  >= ((1 + (sl / 100)) * (fixnan(Position_Price))))) : na)
ATR_short_sl        = Act_Conf_SL ?  ((SL_options == "ATR") ?    ((Act_sl and in_shortCondition and close >= (ATR_SL_Short))) : na) :
                                     ((SL_options == "ATR") ?    ((Act_sl and in_shortCondition and high  >= (ATR_SL_Short))) : na)
Both_short_sl       = Act_Conf_SL ?  ((SL_options == "BOTH") ?   ((Act_sl and in_shortCondition and close >= ((1 + (sl/100)) * (fixnan(Position_Price)))) or 
                                                                 ((Act_sl and in_shortCondition and close >= (ATR_SL_Short)))) : na) :
                                     ((SL_options == "BOTH") ?   ((Act_sl and in_shortCondition and high  >= ((1 + (sl/100)) * (fixnan(Position_Price)))) or 
                                                                 ((Act_sl and in_shortCondition and high  >= (ATR_SL_Short)))) : na)

// ————— Get the time of the last sl close
last_long_sl        := Normal_long_sl  or ATR_long_sl  or Both_long_sl  ? time : nz(last_long_sl[1])
last_short_sl       := Normal_short_sl or ATR_short_sl or Both_short_sl ? time : nz(last_short_sl[1])

// ————— Final Stop Loss condition
Final_Long_sl       := (Normal_long_sl  or ATR_long_sl  or Both_long_sl)  and last_longCondition  > nz(last_long_sl[1])  and last_longCondition  > nz(last_long_tp[1])  and not Final_Long_tp
Final_Short_sl      := (Normal_short_sl or ATR_short_sl or Both_short_sl) and last_shortCondition > nz(last_short_sl[1]) and last_shortCondition > nz(last_short_tp[1]) and not Final_Short_tp

//Plottin ATR SL
plot(Act_sl and (SL_options != "NORMAL") ? in_longCondition ? ATR_SL_Long[1] : ATR_SL_Short[1] : na, title = "ATR SL", color = color.purple)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  Bollinger Bands Re-entry
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

BB_basis            = sma(src, BB_length)
BB_dev              = BB_mult  * stdev(src, BB_length)
BB_upper            = BB_basis + BB_dev
BB_lower            = BB_basis - BB_dev
u_BB                = plot(Act_BB ? BB_upper : na,  title = "Upper Bollinger Band",      color = #009688, linewidth = 2)
l_BB                = plot(Act_BB ? BB_lower : na,  title = "Lower Bollinger Band",      color = #f06292, linewidth = 2)
fill(u_BB, l_BB,                                    title = "Bollinger Band Background", color = in_longCondition ? #009688 : #f06292, transp = 95)

// ————— Initial Bollinger Bands conditions
BB_long             = Act_BB and in_longCondition  and not (DIPlus < DIMinus and ADX > th) and (close <= BB_lower) and (close < last_open_longCondition  * (1 - (bbBetterPrice / 100)))
BB_short            = Act_BB and in_shortCondition and not (DIPlus > DIMinus and ADX > th) and (close >= BB_upper) and (close > last_open_shortCondition * (1 + (bbBetterPrice / 100)))

// ————— Get the time of the last BB close
last_long_BB        := BB_long  ? time : nz(last_long_BB[1])
last_short_BB       := BB_short ? time : nz(last_short_BB[1])

// ————— Final Bollinger Bands condition for long
Final_long_BB       := BB_long and last_Final_longCondition > nz(last_long_BB[1]) and 
                       last_longCondition > nz(last_long_tp[1]) and 
                       last_longCondition > nz(last_long_sl[1]) and not Final_Long_sl

// ————— Final Bollinger Bands condition for short                 
Final_short_BB      := BB_short and last_Final_shortCondition > nz(last_short_BB[1]) and 
                       last_shortCondition > nz(last_short_tp[1]) and 
                       last_shortCondition > nz(last_short_sl[1]) and not Final_Short_sl

// ————— Final confirmed Re-entries on long & short conditions
Final_Long_BB = Final_long_BB[1]
Final_Short_BB = Final_short_BB[1]

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  Signal Plotting
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— TP Long Levels
tplLevel            = (in_longCondition and 
                      (last_longCondition > nz(last_long_tp[1])) and 
                      (last_longCondition > nz(last_long_sl[1])) and not Final_Long_sl[1]) ? 
                      (nLongs > 1) ? 
                      (fixnan(Position_Price) * (1 + tp_long)) : (last_open_longCondition * (1 + tp_long)) : na

plot(tplLevel,            title = "Long TP Level",       style = plot.style_circles,                                   color = color.lime,  linewidth = 2)

tpsLevel            = (in_shortCondition and 
                      (last_shortCondition > nz(last_short_tp[1])) and 
                      (last_shortCondition > nz(last_short_sl[1])) and not Final_Short_sl[1]) ? 
                      (nShorts > 1) ? 
                      (fixnan(Position_Price) * (1 - tp_short)) : (last_open_shortCondition * (1 - tp_short)) : na

plot(tpsLevel,            title = "Short TP Level",      style = plot.style_circles,                                   color = color.red,   linewidth = 2)

// ————— Weekend
W_color             = (dayofweek == dayofweek.sunday or dayofweek == dayofweek.saturday) ? color.white : na
bgcolor(W_color,          title = "Weekend",    transp = 95)

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  Re-entry Conditions
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Re-entry on long after tp, sl or Xlong
if Final_Long_tp or Final_Long_sl
    CondIni_long    := -1
    sum_long        := 0.0
    nLongs          := na
    
// ————— Re-entry on short after tp, sl or Xshort
if Final_Short_tp or Final_Short_sl
    CondIni_short   := 1
    sum_short       := 0.0
    nShorts         := na
    
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  Backtest
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //

// ————— Defining new final unconfirmed long conditions
_longCondition      = (longCond and not in_longCondition) or 
                      (longCond and Final_Long_tp) or 
                      (longCond and Final_Long_sl) or
                      (longCond and not longCondition and (last_long_tp >= nz(last_longCondition))) or 
                      (longCond and not longCondition and (last_long_sl >= nz(last_longCondition)))
   
// ————— Defining new final unconfirmed short conditions
_shortCondition     = (shortCond and not in_shortCondition) or 
                      (shortCond and Final_Short_tp) or 
                      (shortCond and Final_Short_sl) or 
                      (shortCond and not shortCondition and (last_short_tp >= nz(last_shortCondition))) or 
                      (shortCond and not shortCondition and (last_short_sl >= nz(last_shortCondition)))

// ————— Test period declaration
testPeriod = time >= timenow - backtest_time

// ————— Volume Factor for determine quantities
Volume_Factor_Leverage      = min(Max_Lev, max(1, round(volume / sma(volume, sma_length))))
last_dynamic_Leverage_long  := _longCondition ? Volume_Factor_Leverage  : nz(last_dynamic_Leverage_long[1])
last_dynamic_Leverage_short := _shortCondition ? Volume_Factor_Leverage : nz(last_dynamic_Leverage_short[1])

// ————— Entering long positions
if (_longCondition)
    strategy.entry("long", strategy.long, qty = Volume_Factor_Leverage * quanTity, when = Act_BT and testPeriod)
if (Final_long_BB)
    strategy.entry("long", strategy.long, qty = last_dynamic_Leverage_long * quanTity, when = Act_BT and testPeriod)
   
// ————— Entering short positions
if (_shortCondition) 
    strategy.entry("short", strategy.short, qty = Volume_Factor_Leverage * quanTity, when = Act_BT and testPeriod)
if (Final_short_BB) 
    strategy.entry("short", strategy.short, qty = last_dynamic_Leverage_short * quanTity, when = Act_BT and testPeriod)

// ————— Closing positions with first long TP
strategy.exit("Tpl", "long", 

   profit   = (abs((last_open_longCondition  * (1 + tp_long)) - last_open_longCondition) / syminfo.mintick), 

   limit    = nLongs >= 1 ? strategy.position_avg_price * (1 + tp_long) : na,

   loss     = Act_Conf_SL == false ? 
             (iff(Act_sl and (SL_options == "NORMAL"), (abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick), 
             iff(Act_sl  and (SL_options == "ATR"), (abs(ATR_SL_Long-last_open_longCondition)/syminfo.mintick), 
             iff(Act_sl  and (SL_options == "BOTH") and ((abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick) < 
             (abs(ATR_SL_Long-last_open_longCondition)/syminfo.mintick)), (abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick),
             iff(Act_sl  and (SL_options == "BOTH") and ((abs((last_open_longCondition*(1-(sl/100)))-last_open_longCondition)/syminfo.mintick) > 
             (abs(ATR_SL_Long-last_open_longCondition)/syminfo.mintick)), (abs(ATR_SL_Long-last_open_longCondition)/syminfo.mintick), na))))) : na,

   stop     = Act_Conf_SL == false and nLongs >= 1 ? 
             (iff(Act_sl and (SL_options == "NORMAL"), ((1-(sl/100))*strategy.position_avg_price),
             iff(Act_sl  and (SL_options == "ATR"), ATR_SL_Long, 
             iff(Act_sl  and (SL_options == "BOTH") and (((1-(sl/100))*strategy.position_avg_price) > ATR_SL_Long), ((1-(sl/100))*strategy.position_avg_price), 
             iff(Act_sl  and (SL_options == "BOTH") and (((1-(sl/100))*strategy.position_avg_price) < ATR_SL_Long), ATR_SL_Long, na))))) : na)

// Canceling long exit orders to avoid simultaneity with re-entry
strategy.cancel("Tpl", when = Final_long_BB)

// ————— Closing positions with first short TP
strategy.exit("Tps", "short",

   profit   = (abs((last_open_shortCondition * (1 - tp_short)) - last_open_shortCondition) / syminfo.mintick), 

   limit    = nShorts >= 1 ? strategy.position_avg_price*(1-(tp_short)) : na,

   loss     = Act_Conf_SL == false ? 
             (iff(Act_sl and (SL_options == "NORMAL"), (abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick), 
             iff(Act_sl  and (SL_options == "ATR"), (abs(ATR_SL_Short-last_open_shortCondition)/syminfo.mintick), 
             iff(Act_sl  and (SL_options == "BOTH") and ((abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick) < 
             (abs(ATR_SL_Short-last_open_shortCondition)/syminfo.mintick)), (abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick),
             iff(Act_sl  and (SL_options == "BOTH") and ((abs((last_open_shortCondition*(1+(sl/100)))-last_open_shortCondition)/syminfo.mintick) > 
             (abs(ATR_SL_Short-last_open_shortCondition)/syminfo.mintick)), (abs(ATR_SL_Short-last_open_shortCondition)/syminfo.mintick), na))))) : na,

   stop     = Act_Conf_SL == false and nShorts >= 1 ? 
             (iff(Act_sl and (SL_options == "NORMAL"), ((1+(sl/100))*strategy.position_avg_price),
             iff(Act_sl  and (SL_options == "ATR"), ATR_SL_Short, 
             iff(Act_sl  and (SL_options == "BOTH") and (((1+(sl/100))*strategy.position_avg_price) < ATR_SL_Short), ((1+(sl/100))*strategy.position_avg_price),
             iff(Act_sl  and (SL_options == "BOTH") and (((1+(sl/100))*strategy.position_avg_price) > ATR_SL_Short), ATR_SL_Short, na))))) : na)

// Canceling short exit orders to avoid simultaneity with re-entry
strategy.cancel("Tps", when = Final_short_BB)

// ————— Closing all positions with Xlong/Xshort
strategy.close_all(when = (Final_Long_sl and Act_Conf_SL) or (Final_Short_sl and Act_Conf_SL))

// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- //
// ————————————————————  by Xaviz

---

• ولیمز VIX فکسنگ حکمت عملی
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• متحرک اوسط سپورٹ اور مزاحمت بریک آؤٹ کی حکمت عملی
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