- Square
- Backtest Engine
Backtest Engine
Author:
Zer3192, Date: 2022-08-27 18:13:05
Tags:
/*backtest
start: 2021-05-08 00:00:00
end: 2022-05-07 23:59:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/
// Backtester v5 © gjfsdrtytru {
// On lines 31-37, use the variable longCondition to trigger your long entry, closeLong to trigger close long, etc.
// TP/SL are built into the script. There are also some inputs for bot commands in the settings UI if you want to set up a trading bot.
// No user input is required beyond line 49. Just define your strategy and let the engine do the rest!
// Thanks to Wunderbit Trading who helped in the making of this script with their open-source code and tutorials.
//@version=5
strategy(
title = "Backtester v5",
shorttitle = "Backtest",
overlay = true,
calc_on_order_fills = true,
default_qty_type = strategy.percent_of_equity,
default_qty_value = 100,
initial_capital = 10000) // }
// Start code here...
sma1 = ta.sma(close,50)
sma2 = ta.sma(close,200)
plot(sma1,"Fast MA",color.blue)
plot(sma2,"Slow MA",color.red)
// Define Entry/Close Conditions {
i_long = input(true,"Long orders",group="Orders",tooltip="Toogle on/off long orders")
i_short = input(true,"Short orders",group="Orders",tooltip="Toogle on/off short orders")
longCondition = false
closeLong = false
shortCondition = false
closeShort = false
if i_long
longCondition := ta.crossover(sma1,sma2) // Enter your conditions here
closeLong := ta.crossunder(sma1,sma2) // Enter your conditions here
if i_short
shortCondition := ta.crossunder(sma1,sma2) // Enter your conditions here
closeShort := ta.crossover(sma1,sma2) // Enter your conditions here
// }
// Bot Web-link Alert - {{strategy.order.comment}} {
// LONG COMMENTS
botLong = input("Long Entry", title="Entry Long Command", group="Bot Commands",tooltip="Long entry bot command")
botLongClose = input("Long Closed", title="Exit Long Command", group="Bot Commands",tooltip="Long close bot command")
// SHORT COMMENTS
botShort = input("Short Entry", title="Entry Short Command",group="Bot Commands",tooltip="Short entry bot command")
botShortClose = input("Short Closed", title="Exit Short Command", group="Bot Commands",tooltip="Short close bot command")
// }
// BACKTEST ENGINE [NO USER INPUT REQUIRED] ////////////////// {
// Time period {
testStartYear = input.int(2018, title="Backtest Start Year", minval=2010,maxval=2100,group="Backtest Period")
testStartMonth = input.int(1, title="Backtest Start Month", minval=1, maxval=12, group="Backtest Period")
testStartDay = input.int(1, title="Backtest Start Day", minval=1, maxval=31, group="Backtest Period")
testPeriodLen = input.int(9999, title="Backtest Period (days)", minval=1, group="Backtest Period",tooltip="Days until strategy ends") * 86400000 // convert days into UNIX time
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testPeriodStop = testPeriodStart + testPeriodLen
testPeriod() =>
time >= testPeriodStart and time <= testPeriodStop ? true : false
// }
// Calculate TP/SL {
// User inputs
i_longTP = input.float(title="Long Take Profit (%)" ,minval=0.0, step=1, defval=0,group="Take Profit/Stop Loss") * 0.01
i_longSL = input.float(title="Long Stop Loss (%)" ,minval=0.0, step=1, defval=0,group="Take Profit/Stop Loss") * 0.01
i_shortTP = input.float(title="Short Take Profit (%)",minval=0.0, step=1, defval=0,group="Take Profit/Stop Loss") * 0.01
i_shortSL = input.float(title="Short Stop Loss (%)" ,minval=0.0, step=1, defval=0,group="Take Profit/Stop Loss") * 0.01
// 0% TP/SL = OFF (a value of 0 turns off TP/SL feature)
longTP = i_longTP == 0 ? 1000 : i_longTP
longSL = i_longSL == 0 ? 1 : i_longSL
shortTP = i_shortTP == 0 ? 1 : i_shortTP
shortSL = i_shortSL == 0 ? 1000 : i_shortSL
// Determine TP/SL price based on percentage given
longTP := strategy.position_avg_price * (1 + longTP)
longSL := strategy.position_avg_price * (1 - longSL)
shortTP := strategy.position_avg_price * (1 - shortTP)
shortSL := strategy.position_avg_price * (1 + shortSL)
// }
// Anti-overlap {
isEntry_Long = false
isEntry_Long := nz(isEntry_Long[1], false)
isExit_Long = false
isExit_Long := nz(isExit_Long[1], false)
isEntry_Short = false
isEntry_Short := nz(isEntry_Short[1], false)
isExit_Short = false
isExit_Short := nz(isExit_Short[1], false)
entryLong = not isEntry_Long and longCondition
exitLong = not isExit_Long and closeLong
entryShort = not isEntry_Short and shortCondition
exitShort = not isExit_Short and closeShort
if (entryLong)
isEntry_Long := true
isExit_Long := false
if (exitLong)
isEntry_Long := false
isExit_Long := true
if (entryShort)
isEntry_Short := true
isExit_Short := false
if (exitShort)
isEntry_Short := false
isExit_Short := true
// }
// Order Execution {
// Entries
if testPeriod()
strategy.entry("Long" ,strategy.long ,when=entryLong ,comment=botLong)
strategy.entry("Short",strategy.short,when=entryShort,comment=botShort)
// TP/SL
if (strategy.position_size > 0)
strategy.exit(from_entry="Long", id="Long SL/TP", qty_percent=100,limit=longTP, stop=longSL)
strategy.close(id ="Long", when=exitLong, qty_percent=100,comment=botLongClose)
if (strategy.position_size < 0)
strategy.exit(from_entry="Short", id="Short TP/SL", qty_percent=100,limit=shortTP,stop=shortSL)
strategy.close(id ="Short", when=exitShort, qty_percent=100,comment=botShortClose)
// }
// Draw Entry, TP and SL Levels {
// Long positions
plot(strategy.position_size > 0 ? strategy.position_avg_price : na, style=plot.style_linebr, color=color.blue, title="Long Entry")
plot(strategy.position_size > 0 ? i_longTP == 0 ? na : longTP : na, style=plot.style_linebr, color=color.green, title="Long TP")
plot(strategy.position_size > 0 ? i_longSL == 0 ? na : longSL : na, style=plot.style_linebr, color=color.red, title="Long SL")
// Short positions
plot(strategy.position_size < 0 ? strategy.position_avg_price : na, style=plot.style_linebr, color=color.blue, title="Short Entry")
plot(strategy.position_size < 0 ? i_shortTP == 0 ? na : shortTP : na, style=plot.style_linebr, color=color.green, title="Short TP")
plot(strategy.position_size < 0 ? i_shortSL == 0 ? na : shortSL : na, style=plot.style_linebr, color=color.red, title="Short SL")
// }
// }
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