Bollinger %B Candles Strategy

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © HeWhoMustNotBeNamed
//@version=4
strategy("Bollinger %B Candles Strategy", overlay=false, initial_capital = 10000, default_qty_type = strategy.percent_of_equity, default_qty_value = 10, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01)
BBLength = input(100, minval=1, step=1)
StdDev = 10
useMovingAverage = input(true)
MAType = input(title="Moving Average Type", defval="rma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
lookbackPeriod = input(22, minval=10, step=10)
colorByPreviousClose = input(true)
delaySignalBars = input(2, minval=2)
AtrMAType = input(title="Moving Average Type", defval="hma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
AtrLength = input(10)
AtrMult = input(4)
wicks = input(false)
considerYearlyHighLow = input(false)
considerNewLongTermHighLows = input(false)
shortHighLowPeriod = 100
longHighLowPeriod = 200
tradeDirection = input(title="Trade Direction", defval=strategy.direction.all, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
backtestYears = input(10, minval=1, step=1)
//////////////////////////////////// Calculate new high low condition //////////////////////////////////////////////////
f_calculateNewHighLows(shortHighLowPeriod, longHighLowPeriod, considerNewLongTermHighLows)=>
    newHigh = highest(shortHighLowPeriod) == highest(longHighLowPeriod) or not considerNewLongTermHighLows
    newLow = lowest(shortHighLowPeriod) == lowest(longHighLowPeriod) or not considerNewLongTermHighLows
    [newHigh,newLow]
//////////////////////////////////// Calculate Yearly High Low //////////////////////////////////////////////////
f_getYearlyHighLowCondition(considerYearlyHighLow)=>
    yhigh = security(syminfo.tickerid, '12M', high[1]) 
    ylow = security(syminfo.tickerid, '12M', low[1]) 
    yhighlast = yhigh[365]
    ylowlast = ylow[365]
    yhighllast = yhigh[2 * 365]
    ylowllast = ylow[2 * 365]
    
    yearlyTrendUp = na(yhigh)? true : na(yhighlast)? close > yhigh : na(yhighllast)? close > max(yhigh,yhighlast) : close > max(yhigh, min(yhighlast, yhighllast))
    yearlyHighCondition = (  (na(yhigh) or na(yhighlast) ? true : (yhigh > yhighlast) ) and ( na(yhigh) or na(yhighllast) ? true : (yhigh > yhighllast))) or yearlyTrendUp or not considerYearlyHighLow
    yearlyTrendDown = na(ylow)? true : na(ylowlast)? close < ylow : na(ylowllast)? close < min(ylow,ylowlast) : close < min(ylow, max(ylowlast, ylowllast))
    yearlyLowCondition = (  (na(ylow) or na(ylowlast) ? true : (ylow < ylowlast) ) and ( na(ylow) or na(ylowllast) ? true : (ylow < ylowllast))) or yearlyTrendDown or not considerYearlyHighLow
    
    label_x = time+(60*60*24*1000*1)
    [yearlyHighCondition,yearlyLowCondition]
f_getMovingAverage(source, MAType, length)=>
    ma = sma(source, length)
    if(MAType == "ema")
        ma := ema(source,length)
    if(MAType == "hma")
        ma := hma(source,length)
    if(MAType == "rma")
        ma := rma(source,length)
    if(MAType == "vwma")
        ma := vwma(source,length)
    if(MAType == "wma")
        ma := wma(source,length)
    ma
inDateRange = time >= timestamp(syminfo.timezone, year(timenow) - backtestYears, 01, 01, 0, 0)
[yearlyHighCondition,yearlyLowCondition] = f_getYearlyHighLowCondition(considerYearlyHighLow)
[newHighS,newLowS] = f_calculateNewHighLows(shortHighLowPeriod, longHighLowPeriod, considerNewLongTermHighLows)
[middleclose, upperclose, lowerclose] = bb(close, BBLength, StdDev)
[middleopen, upperopen, loweropen] = bb(open, BBLength, StdDev)
[middlehigh, upperhigh, lowerhigh] = bb(high, BBLength, StdDev)
[middlelow, upperlow, lowerlow] = bb(low, BBLength, StdDev)
percentBClose = (close - lowerclose)*100/(upperclose-lowerclose)
percentBOpen = (open - loweropen)*100/(upperopen-loweropen)
percentBHigh = (high - lowerhigh)*100/(upperhigh-lowerhigh)
percentBLow = (low - lowerlow)*100/(upperlow-lowerlow)
percentBMAClose = f_getMovingAverage(percentBClose, MAType, lookbackPeriod)
percentBMAOpen = f_getMovingAverage(percentBOpen, MAType, lookbackPeriod)
percentBMAHigh = f_getMovingAverage(percentBHigh, MAType, lookbackPeriod)
percentBMALow = f_getMovingAverage(percentBLow, MAType, lookbackPeriod)
newOpen = useMovingAverage? percentBMAOpen : percentBOpen
newClose = useMovingAverage? percentBMAClose : percentBClose
newHigh = useMovingAverage? percentBMAHigh : percentBHigh
newLow = useMovingAverage? percentBMALow : percentBLow
truerange = max(newHigh, newClose[1]) - min(newLow, newClose[1])
averagetruerange = f_getMovingAverage(truerange, AtrMAType, AtrLength)
atr = averagetruerange * AtrMult
longStop = newClose - atr
longStopPrev = nz(longStop[1], longStop)
longStop := (wicks ? newLow[1] : newClose[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop = newClose + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (wicks ? newHigh[1] : newClose[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (wicks ? newHigh : newClose) > shortStopPrev ? 1 : dir == 1 and (wicks ? newLow : newClose) < longStopPrev ? -1 : dir
trailingStop = dir == 1? longStop : shortStop
candleColor = colorByPreviousClose ?
                 (newClose[1] < newClose ? color.green : newClose[1] > newClose ? color.red : color.silver) : 
                 (newOpen < newClose ? color.green : newOpen > newClose ? color.red : color.silver)
plotcandle(newOpen, newHigh, newLow, newClose, title='PercentBCandle', color = candleColor)
plot(trailingStop, title="TrailingStop", style=plot.style_linebr, linewidth=1, color= dir == 1 ? color.green : color.red)
buyCondition = lowest(dir,delaySignalBars)==1 and yearlyHighCondition and newHighS
exitBuyCondition = highest(dir,delaySignalBars) == -1
sellCondition = highest(dir,delaySignalBars) == -1 and yearlyLowCondition and newLowS
exitSellCondition = lowest(dir,delaySignalBars) == 1
strategy.risk.allow_entry_in(tradeDirection)
barcolor(buyCondition? color.lime : sellCondition ? color.orange : color.silver)
strategy.entry("Buy", strategy.long, when=buyCondition and inDateRange, oca_name="oca_buy", oca_type=strategy.oca.none)
strategy.close("Buy", when=exitBuyCondition)
strategy.entry("Sell", strategy.short, when=sellCondition and inDateRange, oca_name="oca_sell", oca_type=strategy.oca.none)
strategy.close("Sell", when=exitSellCondition)
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