Bitcoin Regime Pyramid Strategy

//This  expands on the Bitcoin Momentum Strategy by demonstrating how to enable pyramiding. For those who don't know, "pyramiding" is the practice of opening multiple positions in the same direction as your original trade and is typically used to increase your average position size as a trade moves in your favor.

//Update 20th June 2023: I changed the security function  call to reflect the latest 'best practice' for non-repainting code as mentioned in the Trading View Docs: https://www.tradingview.com/pine-script-docs/en/v5/concepts/Repainting.html#repainting-request-security-calls

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

// @version=5
strategy("Bitcoin Regime Pyramid Strategy", 
     overlay=true, 
     initial_capital=10000, 
     currency=currency.USDT,
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=100,
     commission_type=strategy.commission.percent,
     commission_value=0.1)
                 
// Get user input
res         = input.timeframe(title="Timeframe", defval="W")
len         = input.int(title="EMA Length", defval=20)
marketTF    = input.timeframe(title="Market Timeframe", defval="D")
useRsi      = input.bool(title="Use RSI Momentum Filter", defval=false)
rsiMom      = input.int(title="RSI Momentum Threshold", defval=70)
startTime   = input.time(title="Start Filter", defval=timestamp("01 Jan 2000 13:30 +0000"), group="Time Filter", tooltip="Start date & time to begin searching for setups")
endTime     = input.time(title="End Filter", defval=timestamp("1 Jan 2099 19:30 +0000"), group="Time Filter", tooltip="End date & time to stop searching for setups")
pyramid     = input.bool(title="Pyramid?", defval=false)
pyramidAmt  = input.float(title="Pyramid After X%", defval=10)

// Define custom security function
f_sec(_market, _res, _exp) => request.security(_market, _res, _exp[barstate.isrealtime ? 1 : 0])[barstate.isrealtime ? 0 : 1]

// Define date filter
dateFilter(int st, int et) => time >= st and time <= et

// Get EMA value
ema = ta.ema(close, len)
htfEmaValue = f_sec(syminfo.tickerid, res, ema)

// Get ATR value
atrValue = ta.atr(5)

// Check if price is above or below EMA filter
marketPrice = f_sec(syminfo.tickerid, marketTF, close)
regimeFilter = marketPrice > (htfEmaValue + (atrValue * 0.25))

// Calculate RSI
rsiValue = ta.rsi(close, 7)

// Get bullish momentum filter
bullish = regimeFilter and (rsiValue > rsiMom or not useRsi)

// Check for bearish volatility caution
caution = bullish and ta.highest(high, 7) - low > (atrValue * 1.5)

// Set momentum color
bgCol = color.red
if bullish[1]
    bgCol := color.green
if caution[1]
    bgCol := color.orange

// Change background color
plotshape(1, color=bgCol, style=shape.square, location=location.bottom, size=size.auto, title="Momentum Strength")
plot(htfEmaValue, color=close > htfEmaValue ? color.green : color.red, linewidth=2)

// Store trailing ratchet stop loss
var float trailStop = na

// Handle strategy entry
if bullish and strategy.position_size == 0 and dateFilter(startTime, endTime) and not caution
    strategy.entry(id="Buy", direction=strategy.long)

// Handle scale-in pyramiding
if strategy.position_size > 0 and dateFilter(startTime, endTime)
    dist = (close - strategy.position_avg_price) / strategy.position_avg_price
    if bullish and not caution and dist >= (pyramidAmt / 100)
        strategy.entry(id="Buy", direction=strategy.long)
        //strategy.entry(id="Buy2", direction=strategy.long)

// Handle trailing stop
temp_trailStop = ta.highest(low, 7) - (caution[1] ? atrValue * 0.2 : atrValue)
if strategy.position_size > 0
    if temp_trailStop > trailStop or na(trailStop)
        trailStop := temp_trailStop

// Handle strategy exit
if (close < trailStop or close < htfEmaValue)
    strategy.close("Buy", comment="Sell")
    trailStop := na

//strategy.exit(id="Pyramid Exit", from_entry="Buy2", stop=trailStop)

// Draw stop
plot(strategy.position_size[1] > 0 ? trailStop : na, style=plot.style_linebr, color=color.red, title="Stop Loss")