ChaoZhang
概述
该策略融合SSL通道指标与QQE动量指标,形成较为全面的趋势判断体系。当价格突破SSL通道时,结合QQE指标的多空信号进行进场。同时设置止损止盈 Exit,实现风险管理。
策略原理
该策略主要由以下部分组成:
SSL通道:判断价格趋势方向。
QQE指标:辅助判断趋势动能。
突破Entry:价格突破SSL上下轨时结合QQE信号判断入场。
止损止盈:设置ATR倍数 Exit,控制单笔损益。
分批建仓:分多次逐步建立头寸,获利后移仓。
该策略充分融合了趋势和动量判断,形成既具有趋势跟踪能力又可控制风险的策略系统。
优势分析
相比单一指标策略,该策略有以下优势:
SSL通道判断趋势,QQE识别反转时点,指标配合紧密。
突破入场,可避免追high买入。
止损止盈设定合理,可控制单笔损益。
分批建仓降低风险,获利后移仓固定利润。
参数优化空间大,可调整至最优Solution。
可灵活应用在多品种多周期。
可引入机器学习进行智能优化。
整体稳定性和收益风险比优于单一指标策略。
风险分析
但该策略也存在以下主要风险:
多参数优化难度较大,存在Overfitting风险。
SSL通道及QQE均存在一定滞后性。
多指标组合提高了策略复杂度。
分批建仓会增大滑点成本。
需关注收益最大回撤比指标。
效果随市场环境变化而波动较大。
需验证参数在不同周期及品种中的稳健性。
交易频率较高,影响交易成本。
优化方向
基于以上分析,该策略可考虑以下几点优化:
评估不同品种及周期参数健壮性。
设置动态止损止盈比例。
优化资金管理策略。
构建动态仓位管理模型。
引入机器学习生成更优入场时机。
回测窗口滚动,检验参数稳定性。
评估交易成本影响,调整频率。
优化分批建仓规模比例。
持续优化,使策略与市场保持同步。
总结
本策略在SSL和QQE指标紧密配合下,形成稳定的趋势策略体系。但任何策略都需要不断优化与迭代,保持对市场的敏感度。只有通过持续学习与验证,量化策略才能长期稳定盈利。
策略源码
/*backtest
start: 2023-08-23 00:00:00
end: 2023-09-22 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// Strategy based on the SSL Hybrid indicator by Mihkel00
// Designed for the purpose of back testing
// Strategy:
// - Enters both long and short trades based on SSL1 crossing the baseline
// - Stop Loss calculated based on ATR multiplier
// - Take Profit calculated based on 2 ATR multipliers and exits percentage of position on TP1 and TP2
//
// Credits:
// SSL Hybrid Mihkel00 https://www.tradingview.com/u/Mihkel00/
// -------------------------------- SSL HYBRID ---------------------------------
strategy("SSL Hybrid + QQE Strategy", overlay=true, initial_capital=5000, default_qty_value=10, default_qty_type=strategy.percent_of_equity, commission_type = "percent", commission_value=0.04, max_labels_count=500, calc_on_every_tick=true, pyramiding=10)
show_Baseline = input(title="Show Baseline", type=input.bool, defval=true, group="SSL Hybrid Indicator Settings")
show_SSL1 = input(title="Show SSL1", type=input.bool, defval=true, group="SSL Hybrid Indicator Settings")
show_atr = input(title="Show ATR bands", type=input.bool, defval=false, group="SSL Hybrid Indicator Settings")
//ATR
atrlen = input(14, "ATR Period", group="SSL Hybrid Indicator Settings")
mult = input(1, "ATR Multi", step=0.1, group="SSL Hybrid Indicator Settings")
smoothing = input(title="ATR Smoothing", defval="WMA", options=["RMA", "SMA", "EMA", "WMA"], group="SSL Hybrid Indicator Settings")
ma_function(source, atrlen) =>
if smoothing == "RMA"
rma(source, atrlen)
else
if smoothing == "SMA"
sma(source, atrlen)
else
if smoothing == "EMA"
ema(source, atrlen)
else
wma(source, atrlen)
atr_slen = ma_function(tr(true), atrlen)
////ATR Up/Low Bands
upper_band = atr_slen * mult + close
lower_band = close - atr_slen * mult
////BASELINE / SSL1 / SSL2 / EXIT MOVING AVERAGE VALUES
maType = input(title="SSL1 / Baseline Type", type=input.string, defval="HMA", options=["SMA","EMA","DEMA","TEMA","LSMA","WMA","MF","VAMA","TMA","HMA", "JMA", "Kijun v2", "EDSMA","McGinley"], group="SSL Hybrid Indicator Settings")
len = input(title="SSL1 / Baseline Length", defval=60, group="SSL Hybrid Indicator Settings")
SSL2Type = input(title="SSL2 / Continuation Type", type=input.string, defval="JMA", options=["SMA","EMA","DEMA","TEMA","WMA","MF","VAMA","TMA","HMA", "JMA","McGinley"], group="SSL Hybrid Indicator Settings")
len2 = input(title="SSL 2 Length", defval=5, group="SSL Hybrid Indicator Settings")
//
SSL3Type = input(title="EXIT Type", type=input.string, defval="HMA", options=["DEMA","TEMA","LSMA","VAMA","TMA","HMA","JMA", "Kijun v2", "McGinley", "MF"], group="SSL Hybrid Indicator Settings")
len3 = input(title="EXIT Length", defval=15, group="SSL Hybrid Indicator Settings")
src = input(title="Source", type=input.source, defval=close, group="SSL Hybrid Indicator Settings")
//
tema(src, len) =>
ema1 = ema(src, len)
ema2 = ema(ema1, len)
ema3 = ema(ema2, len)
(3 * ema1) - (3 * ema2) + ema3
kidiv = input(defval=1,maxval=4, title="Kijun MOD Divider", group="SSL Hybrid Indicator Settings")
jurik_phase = input(title="* Jurik (JMA) Only - Phase", type=input.integer, defval=3, group="SSL Hybrid Indicator Settings")
jurik_power = input(title="* Jurik (JMA) Only - Power", type=input.integer, defval=1, group="SSL Hybrid Indicator Settings")
volatility_lookback = input(10, title="* Volatility Adjusted (VAMA) Only - Volatility lookback length", group="SSL Hybrid Indicator Settings")
//MF
beta = input(0.8,minval=0,maxval=1,step=0.1, title="Modular Filter, General Filter Only - Beta", group="SSL Hybrid Indicator Settings")
feedback = input(false, title="Modular Filter Only - Feedback", group="SSL Hybrid Indicator Settings")
z = input(0.5,title="Modular Filter Only - Feedback Weighting",step=0.1, minval=0, maxval=1, group="SSL Hybrid Indicator Settings")
//EDSMA
ssfLength = input(title="EDSMA - Super Smoother Filter Length", type=input.integer, minval=1, defval=20, group="SSL Hybrid Indicator Settings")
ssfPoles = input(title="EDSMA - Super Smoother Filter Poles", type=input.integer, defval=2, options=[2, 3], group="SSL Hybrid Indicator Settings")
//----
//EDSMA
get2PoleSSF(src, length) =>
PI = 2 * asin(1)
arg = sqrt(2) * PI / length
a1 = exp(-arg)
b1 = 2 * a1 * cos(arg)
c2 = b1
c3 = -pow(a1, 2)
c1 = 1 - c2 - c3
ssf = 0.0
ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])
get3PoleSSF(src, length) =>
PI = 2 * asin(1)
arg = PI / length
a1 = exp(-arg)
b1 = 2 * a1 * cos(1.738 * arg)
c1 = pow(a1, 2)
coef2 = b1 + c1
coef3 = -(c1 + b1 * c1)
coef4 = pow(c1, 2)
coef1 = 1 - coef2 - coef3 - coef4
ssf = 0.0
ssf := coef1 * src + coef2 * nz(ssf[1]) + coef3 * nz(ssf[2]) + coef4 * nz(ssf[3])
ma(type, src, len) =>
float result = 0
if type=="TMA"
result := sma(sma(src, ceil(len / 2)), floor(len / 2) + 1)
if type=="MF"
ts=0.,b=0.,c=0.,os=0.
//----
alpha = 2/(len+1)
a = feedback ? z*src + (1-z)*nz(ts[1],src) : src
//----
b := a > alpha*a+(1-alpha)*nz(b[1],a) ? a : alpha*a+(1-alpha)*nz(b[1],a)
c := a < alpha*a+(1-alpha)*nz(c[1],a) ? a : alpha*a+(1-alpha)*nz(c[1],a)
os := a == b ? 1 : a == c ? 0 : os[1]
//----
upper = beta*b+(1-beta)*c
lower = beta*c+(1-beta)*b
ts := os*upper+(1-os)*lower
result := ts
if type=="LSMA"
result := linreg(src, len, 0)
if type=="SMA" // Simple
result := sma(src, len)
if type=="EMA" // Exponential
result := ema(src, len)
if type=="DEMA" // Double Exponential
e = ema(src, len)
result := 2 * e - ema(e, len)
if type=="TEMA" // Triple Exponential
e = ema(src, len)
result := 3 * (e - ema(e, len)) + ema(ema(e, len), len)
if type=="WMA" // Weighted
result := wma(src, len)
if type=="VAMA" // Volatility Adjusted
/// Copyright © 2019 to present, Joris Duyck (JD)
mid=ema(src,len)
dev=src-mid
vol_up=highest(dev,volatility_lookback)
vol_down=lowest(dev,volatility_lookback)
result := mid+avg(vol_up,vol_down)
if type=="HMA" // Hull
result := wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len)))
if type=="JMA" // Jurik
/// Copyright © 2018 Alex Orekhov (everget)
/// Copyright © 2017 Jurik Research and Consulting.
phaseRatio = jurik_phase < -100 ? 0.5 : jurik_phase > 100 ? 2.5 : jurik_phase / 100 + 1.5
beta = 0.45 * (len - 1) / (0.45 * (len - 1) + 2)
alpha = pow(beta, jurik_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])
result := jma
if type=="Kijun v2"
kijun = avg(lowest(len), highest(len))//, (open + close)/2)
conversionLine = avg(lowest(len/kidiv), highest(len/kidiv))
delta = (kijun + conversionLine)/2
result :=delta
if type=="McGinley"
mg = 0.0
ema = ema(src, len)
mg := na(mg[1]) ? ema : mg[1] + (src - mg[1]) / (len * pow(src/mg[1], 4))
result :=mg
if type=="EDSMA"
zeros = src - nz(src[2])
avgZeros = (zeros + zeros[1]) / 2
// Ehlers Super Smoother Filter
ssf = ssfPoles == 2
? get2PoleSSF(avgZeros, ssfLength)
: get3PoleSSF(avgZeros, ssfLength)
// Rescale filter in terms of Standard Deviations
stdev = stdev(ssf, len)
scaledFilter = stdev != 0
? ssf / stdev
: 0
alpha = 5 * abs(scaledFilter) / len
edsma = 0.0
edsma := alpha * src + (1 - alpha) * nz(edsma[1])
result := edsma
result
///SSL 1 and SSL2
emaHigh = ma(maType, high, len)
emaLow = ma(maType, low, len)
maHigh = ma(SSL2Type, high, len2)
maLow = ma(SSL2Type, low, len2)
///EXIT
ExitHigh = ma(SSL3Type, high, len3)
ExitLow = ma(SSL3Type, low, len3)
///Keltner Baseline Channel
BBMC = ma(maType, close, len)
useTrueRange = input(true, group="SSL Hybrid Indicator Settings")
multy = input(0.2, step=0.05, title="Base Channel Multiplier", group="SSL Hybrid Indicator Settings")
Keltma = ma(maType, src, len)
range = useTrueRange ? tr : high - low
rangema = ema(range, len)
upperk =Keltma + rangema * multy
lowerk = Keltma - rangema * multy
//Baseline Violation Candle
open_pos = open*1
close_pos = close*1
difference = abs(close_pos-open_pos)
atr_violation = difference > atr_slen
InRange = upper_band > BBMC and lower_band < BBMC
candlesize_violation = atr_violation and InRange
plotshape(candlesize_violation, color=color.new(color.white, transp=0), size=size.tiny,style=shape.diamond, location=location.top, title="Candle Size > 1xATR")
//SSL1 VALUES
Hlv = int(na)
Hlv := close > emaHigh ? 1 : close < emaLow ? -1 : Hlv[1]
sslDown = Hlv < 0 ? emaHigh : emaLow
//SSL2 VALUES
Hlv2 = int(na)
Hlv2 := close > maHigh ? 1 : close < maLow ? -1 : Hlv2[1]
sslDown2 = Hlv2 < 0 ? maHigh : maLow
//EXIT VALUES
Hlv3 = int(na)
Hlv3 := close > ExitHigh ? 1 : close < ExitLow ? -1 : Hlv3[1]
sslExit = Hlv3 < 0 ? ExitHigh : ExitLow
base_cross_Long = crossover(close, sslExit)
base_cross_Short = crossover(sslExit, close)
codiff = base_cross_Long ? 1 : base_cross_Short ? -1 : na
//COLORS
show_color_bar = input(title="Color Bars", type=input.bool, defval=true, group="SSL Hybrid Indicator Settings")
color_bar = close > upperk ? #00c3ff : close < lowerk ? #ff0062 : color.gray
color_ssl1 = close > sslDown ? #00c3ff : close < sslDown ? #ff0062 : na
//PLOTS
plotarrow(codiff, colorup=color.rgb(0, 195, 255, transp=0), colordown=color.rgb(255, 0, 98, transp=0),title="Exit Arrows", maxheight=20, offset=0, display=display.none)
p1 = plot(show_Baseline ? BBMC : na, color=color.new(color_bar, transp=0), linewidth=4, title='MA Baseline')
DownPlot = plot( show_SSL1 ? sslDown : na, title="SSL1", linewidth=3, color=color.new(color_ssl1, transp=10))
barcolor(show_color_bar ? color_bar : na)
up_channel = plot(show_Baseline ? upperk : na, color=color_bar, title="Baseline Upper Channel")
low_channel = plot(show_Baseline ? lowerk : na, color=color_bar, title="Basiline Lower Channel")
fill(up_channel, low_channel, color=color.new(color_bar, transp=90))
////SSL2 Continiuation from ATR
atr_crit = input(0.9, step=0.1, title="Continuation ATR Criteria", group="SSL Hybrid Indicator Settings")
upper_half = atr_slen * atr_crit + close
lower_half = close - atr_slen * atr_crit
buy_inatr = lower_half < sslDown2
sell_inatr = upper_half > sslDown2
sell_cont = close < BBMC and close < sslDown2
buy_cont = close > BBMC and close > sslDown2
sell_atr = sell_inatr and sell_cont
buy_atr = buy_inatr and buy_cont
atr_fill = buy_atr ? color.green : sell_atr ? color.purple : color.white
LongPlot = plot(sslDown2, title="SSL2", linewidth=2, color=color.new(atr_fill, transp=0), style=plot.style_circles, display=display.none)
u = plot(show_atr ? upper_band : na, "+ATR", color=color.new(color.white, transp=80), display=display.none)
l = plot(show_atr ? lower_band : na, "-ATR", color=color.new(color.white, transp=80), display=display.none)
// ---------------------------- QQE MOD INDICATOR ------------------------------
RSI_Period = input(6, title='RSI Length')
SF = input(5, title='RSI Smoothing')
QQE = input(3, title='Fast QQE Factor')
ThreshHold = input(3, title="Thresh-hold")
rsi_src = input(close, title="RSI Source")
Wilders_Period = RSI_Period * 2 - 1
Rsi = rsi(rsi_src, RSI_Period)
RsiMa = ema(Rsi, SF)
AtrRsi = abs(RsiMa[1] - RsiMa)
MaAtrRsi = ema(AtrRsi, Wilders_Period)
dar = ema(MaAtrRsi, Wilders_Period) * QQE
longband = 0.0
shortband = 0.0
trend = 0
DeltaFastAtrRsi = dar
RSIndex = RsiMa
newshortband = RSIndex + DeltaFastAtrRsi
newlongband = RSIndex - DeltaFastAtrRsi
longband := RSIndex[1] > longband[1] and RSIndex > longband[1] ?
max(longband[1], newlongband) : newlongband
shortband := RSIndex[1] < shortband[1] and RSIndex < shortband[1] ?
min(shortband[1], newshortband) : newshortband
cross_1 = cross(longband[1], RSIndex)
trend := cross(RSIndex, shortband[1]) ? 1 : cross_1 ? -1 : nz(trend[1], 1)
FastAtrRsiTL = trend == 1 ? longband : shortband
////////////////////
length = input(50, minval=1, title="Bollinger Length")
bb_mult = input(0.35, minval=0.001, maxval=5, step=0.1, title="BB Multiplier")
basis = sma(FastAtrRsiTL - 50, length)
dev = bb_mult * stdev(FastAtrRsiTL - 50, length)
upper = basis + dev
lower = basis - dev
rsi_ma_color_bar = RsiMa - 50 > upper ? #00c3ff : RsiMa - 50 < lower ? #ff0062 : color.gray
// Zero cross
QQEzlong = 0
QQEzlong := nz(QQEzlong[1])
QQEzshort = 0
QQEzshort := nz(QQEzshort[1])
QQEzlong := RSIndex >= 50 ? QQEzlong + 1 : 0
QQEzshort := RSIndex < 50 ? QQEzshort + 1 : 0
////////////////////////////////////////////////////////////////
RSI_Period2 = input(6, title='RSI Length')
SF2 = input(5, title='RSI Smoothing')
QQE2 = input(1.61, title='Fast QQE2 Factor')
ThreshHold2 = input(3, title="Thresh-hold")
src2 = input(close, title="RSI Source")
Wilders_Period2 = RSI_Period2 * 2 - 1
Rsi2 = rsi(src2, RSI_Period2)
RsiMa2 = ema(Rsi2, SF2)
AtrRsi2 = abs(RsiMa2[1] - RsiMa2)
MaAtrRsi2 = ema(AtrRsi2, Wilders_Period2)
dar2 = ema(MaAtrRsi2, Wilders_Period2) * QQE2
longband2 = 0.0
shortband2 = 0.0
trend2 = 0
DeltaFastAtrRsi2 = dar2
RSIndex2 = RsiMa2
newshortband2 = RSIndex2 + DeltaFastAtrRsi2
newlongband2 = RSIndex2 - DeltaFastAtrRsi2
longband2 := RSIndex2[1] > longband2[1] and RSIndex2 > longband2[1] ?
max(longband2[1], newlongband2) : newlongband2
shortband2 := RSIndex2[1] < shortband2[1] and RSIndex2 < shortband2[1] ?
min(shortband2[1], newshortband2) : newshortband2
cross_2 = cross(longband2[1], RSIndex2)
trend2 := cross(RSIndex2, shortband2[1]) ? 1 : cross_2 ? -1 : nz(trend2[1], 1)
FastAtrRsi2TL = trend2 == 1 ? longband2 : shortband2
// Zero cross
QQE2zlong = 0
QQE2zlong := nz(QQE2zlong[1])
QQE2zshort = 0
QQE2zshort := nz(QQE2zshort[1])
QQE2zlong := RSIndex2 >= 50 ? QQE2zlong + 1 : 0
QQE2zshort := RSIndex2 < 50 ? QQE2zshort + 1 : 0
hcolor2 = RsiMa2 - 50 > ThreshHold2 ? color.silver :
RsiMa2 - 50 < 0 - ThreshHold2 ? color.silver : na
// plot(FastAtrRsi2TL - 50, title='QQE Line', color=color.white, transp=0, linewidth=2)
// plot(RsiMa2 - 50, color=hcolor2, transp=50, title='Histo2', style=plot.style_columns)
Greenbar1 = RsiMa2 - 50 > ThreshHold2
Greenbar2 = RsiMa - 50 > upper
Redbar1 = RsiMa2 - 50 < 0 - ThreshHold2
Redbar2 = RsiMa - 50 < lower
qqe_line = FastAtrRsi2TL - 50
qqe_blue_bar = Greenbar1 and Greenbar2 == 1
qqe_red_bar = Redbar1 and Redbar2 == 1
// plot(Greenbar1 and Greenbar2 == 1 ? RsiMa2 - 50 : na, title="QQE Up", style=plot.style_columns, color=#00c3ff, transp=0)
// plot(Redbar1 and Redbar2 == 1 ? RsiMa2 - 50 : na, title="QQE Down", style=plot.style_columns, color=#ff0062, transp=0)
// ----------------------------------STRATEGY ----------------------------------
atr_length = input(title="ATR Length", type=input.integer, defval=14, inline="1", group="Strategy Back Test Settings")
atr = atr(atr_length)
// Back test time range
from_date = input(title="From", type=input.time, defval=timestamp("01 Aug 2021 00:00 +0100"), inline="1", group="Date Range")
to_date = input(title="To", type=input.time, defval=timestamp("01 Sep 2021 00:00 +0100"), inline="1", group="Date Range")
in_date = true
// Strategy exit settings
// Stop-Loss Settings
use_tp_sl = input(title="Use TP & SL", type=input.bool, defval=true, inline="1", group="Exit Settings")
sl_atr_multiplier = input(title="SL ATR Multiplier", type=input.float, defval=1.6, step=0.1, inline="2", group="Exit Settings")
move_sl_on_tp = input(title="Move SL on TP1", type=input.bool, defval=true, inline="2", group="Exit Settings")
// Take Profit Settings
tp1_atr_multiplier = input(title="TP1 ATR Multiplier", type=input.float, defval=1.8, step=0.1, inline="3", group="Exit Settings")
tp1_exit_percentage = input(title="TP1 Exit Percentage", type=input.integer, defval=20, step=1, maxval=100, inline="3", group="Exit Settings")
tp2_atr_multiplier = input(title="TP2 ATR Multiplier", type=input.float, defval=2.2, step=0.1, inline="4", group="Exit Settings")
tp2_exit_percentage = input(title="TP2 Exit Percentage", type=input.integer, defval=30, step=1, maxval=100, inline="4", group="Exit Settings")
tp3_atr_multiplier = input(title="TP3 ATR Multiplier", type=input.float, defval=2.6, step=0.1, inline="5", group="Exit Settings")
tp3_exit_percentage = input(title="TP3 Exit Percentage", type=input.integer, defval=30, step=1, maxval=100, inline="5", group="Exit Settings")
tp4_atr_multiplier = input(title="TP4 ATR Multiplier", type=input.float, defval=4, step=0.1, inline="6", group="Exit Settings")
tp4_exit_percentage = input(title="TP4 Exit Percentage", type=input.integer, defval=10, step=1, maxval=100, inline="6", group="Exit Settings")
tp5_atr_multiplier = input(title="TP5 ATR Multiplier", type=input.float, defval=8, step=0.1, inline="7", group="Exit Settings")
tp5_exit_percentage = input(title="TP5 Exit Percentage", type=input.integer, defval=10, step=1, maxval=100, inline="7", group="Exit Settings")
var long_sl = close - (atr * sl_atr_multiplier)
var long_tp1 = close + (atr * tp1_atr_multiplier)
var long_tp2 = close + (atr * tp2_atr_multiplier)
var long_tp3 = close + (atr * tp3_atr_multiplier)
var long_tp4 = close + (atr * tp4_atr_multiplier)
var long_tp5 = close + (atr * tp5_atr_multiplier)
var short_sl = close + (atr * sl_atr_multiplier)
var short_tp1 = close - (atr * tp1_atr_multiplier)
var short_tp2 = close - (atr * tp2_atr_multiplier)
var short_tp3 = close - (atr * tp3_atr_multiplier)
var short_tp4 = close - (atr * tp4_atr_multiplier)
var short_tp5 = close - (atr * tp5_atr_multiplier)
var is_long_sl_moved = false
var is_short_sl_moved = false
is_open_long = strategy.position_size > 0
is_open_short = strategy.position_size < 0
var in_ssl_long = false
var in_ssl_short = false
var start_trading = false
var ssl_long_entry = false
var ssl_short_entry = false
var did_prev_bar_ssl_flip = false
// Ensure crossover occurrs before entering first position. This ensures first entry after chosen start date is an actual entry and not just entering on start date
if not ssl_long_entry and not ssl_short_entry and in_date and not start_trading
start_trading := crossover(close, sslDown) or crossunder(close, sslDown)
if in_date and start_trading
ssl_long_entry := close > sslDown and qqe_blue_bar and qqe_line > 0
ssl_short_entry := close < sslDown and qqe_red_bar and qqe_line < 0
remaining_percent = 100
var total_tokens = float(na)
total_tokens := strategy.equity * 0.10 / close
tp1_percent = tp1_exit_percentage <= remaining_percent ? tp1_exit_percentage : remaining_percent
remaining_percent -= tp1_percent
entry_1 = total_tokens * (tp1_percent / 100)
tp2_percent = tp2_exit_percentage <= remaining_percent ? tp2_exit_percentage : remaining_percent
remaining_percent -= tp2_percent
entry_2 = total_tokens * (tp2_percent / 100)
tp3_percent = tp3_exit_percentage <= remaining_percent ? tp3_exit_percentage : remaining_percent
remaining_percent -= tp3_percent
entry_3 = total_tokens * (tp3_percent / 100)
tp4_percent = tp4_exit_percentage <= remaining_percent ? tp4_exit_percentage : remaining_percent
remaining_percent -= tp4_percent
entry_4 = total_tokens * (tp4_percent / 100)
tp5_percent = tp5_exit_percentage <= remaining_percent ? tp5_exit_percentage : remaining_percent
remaining_percent -= tp5_percent
entry_5 = total_tokens * (tp5_percent / 100)
if not is_long_sl_moved and high >= long_tp1 and move_sl_on_tp and use_tp_sl
is_long_sl_moved := true
strategy.exit("LongExit2", "LongEntry2", stop=strategy.position_avg_price, limit=long_tp2)
strategy.exit("LongExit3", "LongEntry3", stop=strategy.position_avg_price, limit=long_tp3)
strategy.exit("LongExit4", "LongEntry4", stop=strategy.position_avg_price, limit=long_tp4)
strategy.exit("LongExit5", "LongEntry5", stop=strategy.position_avg_price, limit=long_tp5)
if not is_short_sl_moved and low <= short_tp1 and move_sl_on_tp and use_tp_sl
is_short_sl_moved := true
strategy.exit("ShortExit2", "ShortEntry2", stop=strategy.position_avg_price, limit=short_tp2)
strategy.exit("ShortExit3", "ShortEntry3", stop=strategy.position_avg_price, limit=short_tp3)
strategy.exit("ShortExit4", "ShortEntry4", stop=strategy.position_avg_price, limit=short_tp4)
strategy.exit("ShortExit5", "ShortEntry5", stop=strategy.position_avg_price, limit=short_tp5)
if did_prev_bar_ssl_flip
did_prev_bar_ssl_flip := false
position_value = abs(strategy.position_size * close)
if in_ssl_long
label.new(x=bar_index, y=close, xloc=xloc.bar_index, yloc=yloc.abovebar, text=tostring(position_value), style=label.style_label_down, size=size.tiny)
else
label.new(x=bar_index, y=close, xloc=xloc.bar_index, yloc=yloc.belowbar, text=tostring(position_value), style=label.style_label_up, size=size.tiny)
if ssl_long_entry and in_date and not in_ssl_long
in_ssl_long := true
in_ssl_short := false
did_prev_bar_ssl_flip := true
long_sl := close - (atr * sl_atr_multiplier)
long_tp1 := close + (atr * tp1_atr_multiplier)
long_tp2 := close + (atr * tp2_atr_multiplier)
long_tp3 := close + (atr * tp3_atr_multiplier)
long_tp4 := close + (atr * tp4_atr_multiplier)
long_tp5 := close + (atr * tp5_atr_multiplier)
strategy.entry("LongEntry1", strategy.long, qty=entry_1)
strategy.entry("LongEntry2", strategy.long, qty=entry_2)
strategy.entry("LongEntry3", strategy.long, qty=entry_3)
strategy.entry("LongEntry4", strategy.long, qty=entry_4)
strategy.entry("LongEntry5", strategy.long, qty=entry_5)
if use_tp_sl
strategy.exit("LongExit1", "LongEntry1", stop=long_sl, limit=long_tp1)
strategy.exit("LongExit2", "LongEntry2", stop=long_sl, limit=long_tp2)
strategy.exit("LongExit3", "LongEntry3", stop=long_sl, limit=long_tp3)
strategy.exit("LongExit4", "LongEntry4", stop=long_sl, limit=long_tp4)
strategy.exit("LongExit5", "LongEntry5", stop=long_sl, limit=long_tp5)
is_long_sl_moved := false
if ssl_short_entry and in_date and not in_ssl_short
in_ssl_short := true
in_ssl_long := false
did_prev_bar_ssl_flip := true
short_sl := close + (atr * sl_atr_multiplier)
short_tp1 := close - (atr * tp1_atr_multiplier)
short_tp2 := close - (atr * tp2_atr_multiplier)
short_tp3 := close - (atr * tp3_atr_multiplier)
short_tp4 := close - (atr * tp4_atr_multiplier)
short_tp5 := close - (atr * tp5_atr_multiplier)
strategy.entry("ShortEntry1", strategy.short, qty=entry_1)
strategy.entry("ShortEntry2", strategy.short, qty=entry_2)
strategy.entry("ShortEntry3", strategy.short, qty=entry_3)
strategy.entry("ShortEntry4", strategy.short, qty=entry_4)
strategy.entry("ShortEntry5", strategy.short, qty=entry_5)
if use_tp_sl
strategy.exit("ShortExit1", "ShortEntry1", stop=short_sl, limit=short_tp1)
strategy.exit("ShortExit2", "ShortEntry2", stop=short_sl, limit=short_tp2)
strategy.exit("ShortExit3", "ShortEntry3", stop=short_sl, limit=short_tp3)
strategy.exit("ShortExit4", "ShortEntry4", stop=short_sl, limit=short_tp4)
strategy.exit("ShortExit5", "ShortEntry5", stop=short_sl, limit=short_tp5)
is_short_sl_moved := false
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