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Quick-Mean-Reversion-Strat.pine
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Quick-Mean-Reversion-Strat.pine
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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © lth_elm
//@version=4
strategy("Mean reversion strategy", overlay=true, margin_long=100, margin_short=100)
// ----- INPUTS -----
// EMA
ema_len = input(200, minval=1, title="EMA Length")
ema = ema(close, ema_len)
plot(ema, title="EMA", color=color.blue)
// RSI
rsi_len = input(14, minval=1, title="RSI Length")
r = rsi(close, rsi_len)
// ATR
tp_sl_mul = input(false, "──── TP/SL multiplicator")
risk = input(title="Risk (%)", type=input.float, minval=0, defval=1)
risk := risk/100
atr_bars = input( title="ATR Bars", defval=14, minval=1)
stop_mult = input(title=" ▪ Stoploss Multiplicator", type=input.float, defval=3)
tp_mult = input(title=" ▪ Takeprofit Multiplicator", type=input.float, defval=5)
tp1_mult = input(title=" ▪ TP1 Multiplicator", type=input.float, defval=0.75)
tp2_mult = input(title=" ▪ TP2 Multiplicator", type=input.float, defval=1.5)
tp_close = input(title="► TPx close (%)", type=input.float, defval=15)
atr = atr(atr_bars)
plot(tp_close, title="TP Close", display=display.none)
plot(tp1_mult, title="TP1 Mult", display=display.none)
plot(tp2_mult, title="TP2 Mult", display=display.none)
// ----- CONDITIONS -----
bullishEng = open <= close[1] and close > open[1] and open[1] > close[1]
bearishEng = open >= close[1] and close < open[1] and open[1] < close[1]
goLong = bullishEng and close < ema and r[1] < 30
goShort = bearishEng and close > ema and r[1] > 70
// ------ GET IN/OUT A TRADE ------
inLongPosition = strategy.position_size > 0
inShortPosition = strategy.position_size < 0
notInTrade = strategy.position_size == 0
// ----- MANAGE TP/SL -----
// For long
float long_stop_level = na
float long_profit_level = na
long_stop_level := (goLong and notInTrade) ? close - atr * stop_mult : long_stop_level[1]
long_profit_level := (goLong and notInTrade) ? close + atr * tp_mult : long_profit_level[1]
// For short
float short_stop_level = na
float short_profit_level = na
short_stop_level := (goShort and notInTrade) ? close + atr * stop_mult : short_stop_level[1]
short_profit_level := (goShort and notInTrade) ? close - atr * tp_mult : short_profit_level[1]
// Execute buy or sell order
if goLong and notInTrade
size = (strategy.equity*risk) / abs(close-long_stop_level)
strategy.entry("long", strategy.long, qty=size, alert_message="entry")
// strategy.exit("exit", "long", stop=long_stop_level, limit=long_profit_level, alert_message="exit")
inLongPosition := true
notInTrade := false
else if goShort and notInTrade
size = (strategy.equity*risk) / abs(close-short_stop_level)
strategy.entry("short", strategy.short, qty=size, when=notInTrade, alert_message="entry")
// strategy.exit("exit", "short", stop=short_stop_level, limit=short_profit_level, alert_message="exit")
inShortPosition := true
notInTrade := false
// ----- MULTIPLE TP -----
// Set multiple takeprofit and the stoploss
ticksConversion(x) =>
strategy.position_size != 0 ? (x / syminfo.mintick) : float(na)
long_sl = abs(strategy.position_avg_price-long_stop_level)
long_tp = abs(strategy.position_avg_price-long_profit_level)
long_tp1 = tp1_mult * long_sl
long_tp2 = tp2_mult * long_sl
if not notInTrade[1] and goLong[1]
strategy.exit("tp1", "long", qty_percent = tp_close, profit = ticksConversion(long_tp1), loss = ticksConversion(long_sl), alert_message="tp1_breakeven")
strategy.exit("tp2", "long", qty_percent = tp_close, profit = ticksConversion(long_tp2), loss = ticksConversion(long_sl), alert_message="tp2")
strategy.exit("exit", "long", qty_percent = 100, profit = ticksConversion(long_tp), loss = ticksConversion(long_sl), alert_message="exit")
short_sl = abs(strategy.position_avg_price-short_stop_level)
short_tp = abs(strategy.position_avg_price-short_profit_level)
short_tp1 = tp1_mult * short_sl
short_tp2 = tp2_mult * short_sl
if not notInTrade[1] and goShort[1]
strategy.exit("tp1", "short", qty_percent = tp_close, profit = ticksConversion(short_tp1), loss = ticksConversion(short_sl), alert_message="tp1_breakeven")
strategy.exit("tp2", "short", qty_percent = tp_close, profit = ticksConversion(short_tp2), loss = ticksConversion(short_sl), alert_message="tp2")
strategy.exit("exit", "short", qty_percent = 100, profit = ticksConversion(short_tp), loss = ticksConversion(short_sl), alert_message="exit")
// Exit or breakeven
longbreakstop = strategy.position_avg_price + 2 * (strategy.position_avg_price*0.001)
shortbreakstop = strategy.position_avg_price - 2 * (strategy.position_avg_price*0.001)
if inLongPosition
if close > ema // or we can keep our atr multiplicator first objective
strategy.close("long", alert_message="exit")
breakeven_level = strategy.position_avg_price + long_tp1 // change if breakeven tpx
if high > breakeven_level
strategy.exit("exit", "long", qty_percent = 100, stop=longbreakstop, limit=long_profit_level, alert_message="exit")
strategy.exit("tp2", "long", qty_percent = tp_close, stop=longbreakstop, profit = ticksConversion(long_tp2), alert_message="tp2")
if inShortPosition
if close < ema // or we can keep our atr multiplicator first objective
strategy.close("short", alert_message="exit")
breakeven_level = strategy.position_avg_price - short_tp1 // change if breakeven tpx
if low < breakeven_level
strategy.exit("exit", "short", qty_percent = 100, stop=shortbreakstop, limit=short_profit_level, alert_message="exit")
strategy.exit("tp2", "short", qty_percent = tp_close, stop=shortbreakstop, profit = ticksConversion(short_tp2), alert_message="tp2")
// ----- Plot TP/SL -----
plot(longbreakstop, color=color.yellow, title="Long Breakeven", display=display.none)
plot(shortbreakstop, color=color.yellow, title="Short Breakeven", display=display.none)
invisible = color.new(color.white, 100)
p_price = plot(strategy.position_avg_price, color=invisible)
p_long_stop = plot(long_stop_level, color=invisible, style=plot.style_linebr, linewidth=1, title="Long SL")
p_long_profit = plot(long_profit_level, color=invisible, style=plot.style_linebr, linewidth=1, title="Long TP")
p_short_stop = plot(short_stop_level, color=invisible, style=plot.style_linebr, linewidth=1, title="Short SL")
p_short_profit = plot(short_profit_level, color=invisible, style=plot.style_linebr, linewidth=1, title="Short TP")
fill(p_long_stop, p_price, color = inLongPosition ? color.red : na)
fill(p_long_profit, p_price, color = inLongPosition ? color.green : na)
fill(p_short_stop, p_price, color = inShortPosition ? color.red : na)
fill(p_short_profit, p_price, color = inShortPosition ? color.green : na)