50 EMA + 200 EMA + VMC Cipher Long Strategy

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © krosenfeld7

//@version=4
strategy("50 EMA + 200 EMA + VMC Cipher Long Strategy", overlay = true, pyramiding = 0, 
         margin_long = 100, margin_short = 100, 
         default_qty_type = strategy.percent_of_equity, 
         default_qty_value = 20, initial_capital = 2000, 
         process_orders_on_close = true)

// Set the starting point for backtesting
start = input(title = "Backtesting Start", type = input.time,
     defval = timestamp("1 Jan 2015"))
maxTimeOpen = input(title = "Order Expiration", type = input.integer,
     defval = 100, minval = 1)
tpSlStrategy = input(title = "Take Profit Strategy", type = input.string,
     defval = "Percent", options = ["Percent", "ATR"])
trailingStop = input(title = "Trailing Stop", type = input.string,
     defval = "Fixed", options = ["Fixed", "Trail"])

// ATR For Stop Loss
atrLength = input(title = "ATR SL Length", defval = 14,
     minval = 1)
atrMultiplier = input(title = "ATR Multiplier", type = input.float, 
     defval = 1, minval = 0.1)
riskLevel = input(title = "Risk Level", type = input.float, 
     defval = 1, minval = 0.1)

longProfitPercent = input(title = "Take Profit %",
     type = input.float, minval = 0.0, step = 0.1, defval = 10) / 100
longLossPercent = input(title = "Stop Loss %",
     type = input.float, minval = 0.0, step = 0.1, defval = 10) / 100

// Algorithm / Strategy Goes here
// Set long variables to execute positions below
// EMA section
len1 = input(50, minval=1, title="Short EMA Length")
src1 = input(close, title="Short EMA Source")
len2 = input(200, minval=1, title="Long EMA Length")
src2 = input(close, title="Long EMA Source")
lookback = input(title = "Pullback Lookback", defval = 10, minval = 1)
ema50  = ema(src1, len1)
ema200 = ema(src2, len2)

plot(ema50, title="Short EMA", color=color.blue, linewidth = 3)
plot(ema200, title="Long EMA", color=color.white, linewidth = 3)

emaLong  = close > ema200
emaShort = close < ema200

emaLongPullback  = low[1]  > ema50 and low  < ema50
emaShortPullback = high[1] < ema50 and high > ema50

emaLong  := barssince(emaLongPullback) < lookback and emaLong
emaShort := barssince(emaShortPullback) < lookback and emaShort

// Money flow section

rsiMFIperiod = input(60, title = 'MFI Period', type = input.integer)
rsiMFIMultiplier = input(150, title = 'MFI Area multiplier', type = input.float)
rsiMFIPosY = input(2.5, title = 'MFI Area Y Pos', type = input.float)

f_rsimfi(_period, _multiplier, _tf) => security(syminfo.tickerid, _tf, sma(((close - open) / (high - low)) * _multiplier, _period) - rsiMFIPosY)

rsiMFI = f_rsimfi(rsiMFIperiod, rsiMFIMultiplier, timeframe.period)

plot(rsiMFI, color = color.new(rsiMFI < 0 ? color.red : color.green, transp=100))

rsiMFILong  = rsiMFI > 0
rsiMFIShort = rsiMFI < 0

wtChannelLen = input(9, title = 'WT Channel Length', type = input.integer)
wtAverageLen = input(12, title = 'WT Average Length', type = input.integer)
wtMASource = input(hlc3, title = 'WT MA Source', type = input.source)
wtMALen = input(3, title = 'WT MA Length', type = input.integer)

f_wavetrend(src, chlen, avg, malen, tf) =>
    tfsrc = security(syminfo.tickerid, tf, src)
    esa = ema(tfsrc, chlen)
    de = ema(abs(tfsrc - esa), chlen)
    ci = (tfsrc - esa) / (0.015 * de)
    wt1 = security(syminfo.tickerid, tf, ema(ci, avg))
    wt2 = security(syminfo.tickerid, tf, sma(wt1, malen))
    [wt1, wt2]

[wt1, wt2] = f_wavetrend(wtMASource, wtChannelLen, wtAverageLen, wtMALen, timeframe.period)

wtLong  = wt1 < 0 and wt2 < 0
wtShort = wt1 > 0 and wt2 > 0

wtCrossUp   = crossover(wt1, wt2)
wtCrossDown = crossunder(wt1, wt2)

plot(wt1, color = color.new(wtCrossUp ? color.green : color.blue,  transp=100))
plot(wt2, color = color.new(wtCrossDown ? color.red : color.blue, transp=100))

wtLong  := wtCrossUp and wtLong
wtShort := wtCrossDown and wtShort

// Computing Strategy
long  = emaLong  and rsiMFILong  and wtLong
short = emaShort and rsiMFIShort and wtShort

// End Algorithm

longExitPrice = 0.0
longStopPrice = 0.0

// Calculating exact prices for stop loss and exit prices
longExitPercentPrice = strategy.position_avg_price * (1 + 
     (longProfitPercent * riskLevel))
longStopPercentPrice = strategy.position_avg_price * (1 - 
     longLossPercent)

// Profit & Loss via ATR
atr = atr(atrLength)

atr := valuewhen(strategy.position_size == 0, atr, 0)

longExitAtrPrice = strategy.position_avg_price + (atr * 
     atrMultiplier * riskLevel)
longStopAtrPrice = strategy.position_avg_price - (atr * 
     atrMultiplier)

if tpSlStrategy == "Percent"
    longExitPrice := longExitPercentPrice
    
    if trailingStop == "Fixed"
        longStopPrice := longStopPercentPrice
    else if trailingStop == "Trail"
        stopValue      = close * (1 - longLossPercent)
        longStopPrice := (strategy.position_size > 0) ? 
             max(stopValue, longStopPrice[1]) : 0

else if tpSlStrategy == "ATR"
    if strategy.position_size > 0
        longExitPrice := longExitAtrPrice
        
    if trailingStop == "Fixed"
        longStopPrice := longStopAtrPrice
    else if trailingStop == "Trail"
        stopValue      = close - (atr * atrMultiplier)
        longStopPrice := (strategy.position_size > 0) ? 
             max(stopValue, longStopPrice[1]) : 0

// Plotting profit / loss targets
plot(series = (strategy.position_size > 0) ? longExitPrice : na, 
     color = color.green, style = plot.style_linebr, 
     linewidth = 3, title = "Long Target")
plot(series = (strategy.position_size > 0) ? longStopPrice : na, 
     color = color.red, style = plot.style_linebr, 
     linewidth = 3, title = "Long Stop Loss")

// Submit entry orders
if time >= start
    strategy.entry(id = "Long", long = strategy.long, 
         comment = "Long Open", when = long)

// Submit exit orders
strategy.exit(id = "Long", limit = longExitPrice, stop = longStopPrice, 
     comment = "Long Close", when = strategy.position_size > 0)
strategy.close(id = "Long", comment = "Expired: >" + tostring(maxTimeOpen), 
     when = (barssince(change(strategy.opentrades)) + 1) >= maxTimeOpen)