The strategy judges the market momentum change based on the formation of simulated bricks and long or short on the brick direction.
The core logic is to simulate brick formation by calculating the ATR and closing price relationship. Specifically, two variables Brick1 and Brick2 are defined.
Brick1 is calculated by: if closing price exceeds Brick1 previous value + ATR, Brick1 = Brick1 previous value + ATR; if closing price is below Brick1 previous - ATR, Brick1 is Brick1 previous - ATR value; otherwise, Brick1 inherits Brick1 previous value.
Brick2 is calculated by: if Brick1 is not equal to Brick1 previous value, then Brick2 = Brick1 previous value; otherwise, inherit Brick2 previous value.
This simulates the brick formation. When Brick1 rises more than an ATR, an upward brick forms; when Brick1 falls more than an ATR, a downward brick forms. Brick2 just records the position of the previous brick.
When Brick1 and Brick2 go up across, it means the brick expands upward, judged as long. When Brick1 and Brick2 go down across, it means the brick shrinks downward, judged as short.
Solutions include parameter optimization to find optimal ATR cycle, adjust stop profit loss strategy to reduce loss from invalid signals, properly increase transaction varieties to reduce cost impact on returns.
The strategy judges short-term trends and momentum in the markets through dynamically simulating brick crossover, with intuitive visualization. There is much room for optimization through parameter tuning and signal filtering to further enhance stability.
/*backtest start: 2023-02-12 00:00:00 end: 2024-02-18 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 ///Component Code Start testStartYear = input(2017, "Backtest Start Year") testStartMonth = input(01, "Backtest Start Month") testStartDay = input(1, "Backtest Start Day") testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, 0, 0) testStopYear = input(2025, "Backtest Stop Year") testStopMonth = input(1, "Backtest Stop Month") testStopDay = input(1, "Backtest Stop Day") testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0) /// A switch to control background coloring of the test period testPeriodBackground = input(title="Color Background?", type=input.bool, defval=false) testPeriodBackgroundColor = testPeriodBackground and time >= testPeriodStart and time <= testPeriodStop ? #00FF00 : na bgcolor(testPeriodBackgroundColor, transp=97) testPeriod() => true /// Component Code Stop //Zack_the_Lego (original AUTHOR) made into strategy by mkonsap strategy("Flex Renko Emulator", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100) margin = input(true, title="Margin?") Margin = margin ? margin : false res = input(type=input.resolution, defval="D", title="Resolution of ATR") xATR = atr(14) //TF = x78tf ? "78" : "39" BrickSize = security(syminfo.tickerid, res, xATR) //Brick1 = close > nz(Brick1[1]) + BrickSize ? nz(Brick1[1]) + BrickSize : close < //nz(Brick1[1]) - BrickSize ? //nz(Brick1[1]) - BrickSize //: nz(Brick1[1])) Brick1() => s1 = 0.0 s1 := close > nz(s1[1]) + BrickSize ? nz(s1[1]) + BrickSize : close < nz(s1[1]) - BrickSize ? nz(s1[1]) - BrickSize : nz(s1[1]) s1 Brick2() => s2 = 0.0 Brick1_1 = Brick1() s2 := Brick1() != Brick1()[1] ? Brick1_1[1] : nz(s2[1]) s2 colorer = Brick1() > Brick2() ? color.green : color.red p1 = plot(Brick1(), color=colorer, linewidth=4, title="Renko") p2 = plot(Brick2(), color=colorer, linewidth=4, title="Renko") fill(p1, p2, color=color.purple, transp=50) mylong = crossover(Brick1(), Brick2()) myshort = crossunder(Brick1(), Brick2()) last_long = float(na) last_short = float(na) last_long := mylong ? time : nz(last_long[1]) last_short := myshort ? time : nz(last_short[1]) in_long = last_long > last_short ? 2 : 0 in_short = last_short > last_long ? 2 : 0 mylong2 = crossover(Brick1(), Brick2()) myshort2 = crossunder(Brick1(), Brick2()) last_long2 = float(na) last_short2 = float(na) last_long2 := mylong2 ? time : nz(last_long2[1]) last_short2 := myshort2 ? time : nz(last_short2[1]) in_long2 = last_long2 > last_short2 ? 0 : 0 in_short2 = last_short2 > last_long2 ? 0 : 0 condlongx = in_long + in_long2 condlong = crossover(condlongx, 1.9) condlongclose = crossunder(condlongx, 1.9) condshortx = in_short + in_short2 condshort = crossover(condshortx, 1.9) condshortclose = crossunder(condshortx, 1.9) // === STRATEGY - LONG POSITION EXECUTION WITH CLOSE ORDERS === //enterLong() => crossover(condlongx, 1.9) and testPeriod() and strategy.position_size <= 0 //exitLong() => crossunder(condlongx, 1.9) and testPeriod() and strategy.position_size > 0 //strategy.entry(id = "Long", long = true, when = enterLong()) //strategy.close(id = "Long", when = exitLong()) // === STRATEGY - SHORT POSITION EXECUTION WITH CLOSE ORDER=== //enterShort() => crossover(condshortx, 1.9) and testPeriod() and strategy.position_size >= 0 and Margin //exitShort() => crossunder(condshortx, 1.9) and testPeriod() and strategy.position_size < 0 //strategy.entry(id = "Short", long = false, when = enterShort()) //strategy.close(id = "Short", when = exitShort()) //END ///STRATEGY ONLY LONG AND SHORT///// if crossover(condlongx, 1.9) and testPeriod() and strategy.position_size <= 0 strategy.entry("Long", strategy.long, comment="Long") if crossover(condshortx, 1.9) and testPeriod() and strategy.position_size >= 0 strategy.close("Long", when=not Margin) if crossover(condshortx, 1.9) and testPeriod() and strategy.position_size >= 0 strategy.entry("Short", strategy.short, comment="Short", when=Margin) /////// END ////template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6