BB-strategy

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © juliangonzaconde
//@version=4
strategy(title="BB-strategy", calc_on_every_tick=true,max_labels_count=500, max_bars_back = 1000, overlay=true, pyramiding=5, default_qty_value=3,initial_capital=100000, currency=currency.EUR)
bbSource = input(title="BB source", type=input.source, defval=close)
smaLength = input(title="Bollinger Bands SMA length", type=input.integer, defval=20)
stdLength = input(title="Bollinger Bands StdDev length", type=input.integer, defval=2)
longTrailPerc = input(title="Trail Long Loss (%) (min: 0.0)", type=input.float, minval=0.0, step=0.1, defval=4.0) * 0.01
shortTrailPerc = input(title="Trail Short Loss (%) (min: 0.0)", type=input.float, minval=0.0, step=0.1, defval=4.0) * 0.01
maxOrders= input(title="Maximum orders (min: 1, max: 3)", type=input.integer,minval=1, maxval=3, defval=2)
posSize= input(title="Position size (min: 1, max: 100)", type=input.integer, minval=1, maxval=100, defval=2)
rsiChosen= input(title="Use RSI", type=input.bool, defval=false)
rsiSource = input(title="RSI source", type=input.source, defval=close)
rsiPeriod= input(title="RSI period", type=input.integer, minval=1, maxval=1000, defval=14)
rsiBuy = input(title="RSI value for buy", type=input.integer, minval=1, maxval=99, defval=30)
rsiSell = input(title="RSI value for sell", type=input.integer, minval=1, maxval=99, defval=70)
macdChosen= input(title="Use MACD", type=input.bool, defval=false)
macdVariation= input(title="Use MACD variation (Use MACD must be selected)", type=input.bool, defval=false)
macdSource = input(title="MACD source", type=input.source, defval=close)
fastLen= input(title="MACD fast length", type=input.integer, minval=1, maxval=1000, defval=12)
slowLen= input(title="MACD slow length", type=input.integer, minval=1, maxval=1000, defval=26)
signLen= input(title="MACD signal length", type=input.integer, minval=1, maxval=1000, defval=9)
longMaxTpChosen= input(title="Use maximum TP long", type=input.bool, defval=true)
longMaxTp= input(title="Maximum take profit long (%) (min: 0.5, max: 30.0)", type=input.float, minval=0.5, step=0.1, defval=3.0 ,maxval=30.0) * 0.01
shortMaxTpChosen= input(title="Use maximum TP short", type=input.bool, defval=true)
shortMaxTp= input(title="Maximum take profit short (%) (min: 0.5, max: 30.0)", type=input.float, minval=0.5, step=0.1, defval=3.0 ,maxval=30.0) * 0.01
rsiValue= rsi(rsiSource, rsiPeriod)
[macdLine, signalLine, histLine] = macd(macdSource, fastLen, slowLen, signLen)
plot(macdLine, color=color.red)
plot(signalLine, color=color.green)
plot(histLine, color=color.yellow, style=plot.style_histogram)
[middle, upper, lower] = bb(bbSource, smaLength, stdLength)
var idsLong = array.new_string(maxOrders,na)
var idsShort = array.new_string(maxOrders,na)
var stopLong = array.new_float(maxOrders, 0.0)
var stopShort = array.new_float(maxOrders,999999.0)
var longPartialClose = array.new_bool(maxOrders,false)
var shortPartialClose = array.new_bool(maxOrders,false)
var opTp = array.new_float(maxOrders, 0.0)
var opTpShort = array.new_float(maxOrders, 0.0)
canBuyMacd = true
if macdVariation
    canBuyMacd := histLine[2]<histLine[1] and histLine[1] < histLine
    if not macdChosen
        canBuyMacd := true
else
    canBuyMacd := histLine[2]<0 and histLine[1] >= 0 and histLine >= 0
    if not macdChosen
        canBuyMacd := true
canSellMacd = true
if macdVariation
    canSellMacd := histLine[2]> histLine[1] and histLine[1]> histLine
    if not macdChosen
        canSellMacd := true
else
    canSellMacd := histLine[2]>0 and histLine[1] <= 0 and histLine <= 0
    if not macdChosen
        canSellMacd := true
canBuyRsi = true
if rsiChosen
    if rsiValue > rsiBuy
        canBuyRsi := false
        
canSellRsi = true
if rsiChosen
    if rsiValue < rsiSell
        canSellRsi := false
canBuy = false
int index = na
for i = 0 to (maxOrders - 1)
    val=array.get(idsLong,i)
    if val==na
        canBuy := true
        index := i
canSell = false
int indexSell= na
for i = 0 to (maxOrders - 1)
    val=array.get(idsShort,i)
    if val==na
        canSell := true
        indexSell := i
bool isLong = close[2] < lower[2] and close[1] > close[2] and close > close[1] and canBuy and close[3] > close[2] and close < middle and (canBuyRsi and canBuyMacd)
bool isShort = close[2] > upper[2] and close[1] < close[2] and close < close[1] and canSell and close[3] < close[2] and close > middle and (canSellRsi and canSellMacd)
longStopPrice = 0.0
    
shortStopPrice = 0.0
tp=0.0
id = ""
if (isLong)
    
    id := tostring(time)
    strategy.entry(id=id, long=true, qty=posSize)
    array.set(idsLong, index, id)
    stopValue = close * (1 - longTrailPerc)
    longStopPrice := stopValue
    array.set(stopLong, index, longStopPrice)
    tp := close * (1 + longMaxTp)
    array.set(opTp,index,tp)
    
    
for i = 0 to (maxOrders - 1)
    stopValue = close * (1 - longTrailPerc)
    longStopPrice := max(stopValue, array.get(stopLong,i))
    array.set(stopLong,i,longStopPrice)
    if ((longMaxTpChosen and array.get(opTp,i)<= close) or close >= upper or close <= array.get(stopLong,i)) and array.get(idsLong,i) != na
        id := array.get(idsLong,i) 
        strategy.close(id=id, qty=posSize)
        array.set(idsLong,i,na)
        array.set(stopLong,i,0.0)
        array.set(longPartialClose,i,false)
    if close > middle and array.get(idsLong,i) != na and not array.get(longPartialClose,i)
        id := array.get(idsLong,i)
        x=array.get(idsLong,i)
        
        strategy.close(id=id, qty=posSize/2)
        array.set(longPartialClose,i,true)
        
if (isShort)
    id := tostring(time)
    strategy.entry(id=id, long=false, qty=posSize)
    array.set(idsShort, indexSell, id)
    stopValue = close * (1 + shortTrailPerc)
    shortStopPrice := stopValue
    array.set(stopShort, indexSell, shortStopPrice)
    tp := close * (1 - shortMaxTp)
    array.set(opTpShort,indexSell,tp)
    
for i = 0 to (maxOrders - 1)
    stopValue = close * (1 + shortTrailPerc)
    shortStopPrice := min(stopValue, array.get(stopShort,i))
    array.set(stopShort,i,shortStopPrice)
    if ((shortMaxTpChosen and array.get(opTpShort,i) >= close) or close <= lower or close >= array.get(stopShort,i)) and array.get(idsShort,i) != na
        id := array.get(idsShort,i)
        strategy.close(id=id, qty=posSize)
        array.set(idsShort,i,na)
        array.set(stopShort,i,999999.0)
        array.set(shortPartialClose,i,false)
    if close < middle and not array.get(shortPartialClose,i) and array.get(idsShort,i) != na
        id := array.get(idsShort,i)
        strategy.close(id=id, qty=posSize/2)
        array.set(shortPartialClose,i,true)
        
plot(middle, color=color.yellow)
plot(upper, color=color.yellow)
plot(lower, color=color.yellow)
Expand (174 lines)