ChaoZhang
概述
这是一个利用MACD、RSI和随机指标判断股价动量方向,在动量突破点进行买入做多或卖出做空的策略。该策略通过组合使用多个指标判断趋势,降低了单一指标造成的错误信号率,可以有效捕捉股价中的中短线趋势。
原理
该策略使用MACD、RSI和随机指标判断股价的趋势方向。当MACD的DIFF线上穿DEAL线,RSI大于50,STOCH的快线也大于50时,判断为多头趋势形成,则在次日开盘时以全部资金按当日最高价买入做多;反之,当MACD的DIFF线下穿DEAL线,RSI小于50,STOCH的快线也小于50时,判断为空头趋势形成,则在次日开盘时以全部资金按当日最低价卖出做空。交易的止盈止损根据过去7天的波动范围计算,盈亏比例可自定义设置。
进入仓位后,如果三个指标中的任意一个发生反向信号,则说明趋势发生转变,应退出当前仓位。同时,还设置了特殊的时间条件过滤,在2020年3月全面跳过,避免受到极端市场的影响。
优势
- 组合多个指标判断趋势,可以有效过滤假信号
- 利用突破入场,可以抓住趋势的初期阶段
- 采用动态止盈止损,可以锁定合理利润
- 设置跳过期间,可以防止极端行情的干扰
- 结合趋势和反转机制,可以减少不必要的交易次数
风险
- 多指标组合可能产生滞后,错过最佳入场时机
- 突破信号容易被套牢
- 动态止损可能过于激进,被 Preis止损
- 跳过的特殊期间设置不合理,也可能错过机会
- 反转信号可能过于敏感,导致过频交易
优化方法:
- 调整指标参数,缩短滞后
- 加入filte和volume等条件,避免套牢
- 采用tracker止损,防止被preis
- 优化和测试跳过的日期范围
- 调整反转信号的参数,降低频率
总结
该策略整体来说是一个典型的趋势跟踪策略。它同时利用多种指标判断趋势来入场,又利用反转信号来判断趋势结束而退出,实现了趋势跟踪与反转切换的结合。但策略本身也存在一些参数设置不合理和滞后的问题,这需要通过大量回测来优化和改进,才能使策略参数都调整到最佳状态。
总的来说,该策略思路清晰,使用的指标和方法也较为典型。在一些细节优化和风险控制方面做得好,可以成为一个可实际应用的量化策略。但离完美还有一定差距,仍需要进一步测试和优化,才能使策略的收益回撤比达到专业水平。如果能持续优化和更新,该策略可以成为一个值得长期跟踪的策略品种。
策略源码
/*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()