Booz Strategy

////////////////////////////////////////////////////////////////////////////////
// Booz Strategy
// Developed for Godstime
// Version 1.1
// 11/28/2021
////////////////////////////////////////////////////////////////////////////////
//@version=4
strategy("Booz Strategy", "", true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, margin_long=0, margin_short=0)
// ----------------------------- Inputs ------------------------------------- //
source_ma_type = input("EMA", "Source MA Type", options=["SMA", "EMA"])
source_ma_length = input(50, "Source MA Length")
fast_ma_length = input(20, "Fast MA Length")
slow_ma_length = input(50, "Slow MA Length")        
use_trend_filter = input(true, "Trend Filter")
trend_filter_ma_type = input("EMA", "Trend Filter MA Type", options=["SMA", "EMA"])
trend_filter_ma_length = input(200, "Trend Filter MA Period")
show_mas = input(true, "Show MAs")
swing_trading_mode = input(false, "Swing Trading")
// -------------------------- Calculations ---------------------------------- //
fast_ma = ema(close, fast_ma_length)
slow_ma = ema(close, slow_ma_length)
source_ma = source_ma_type == "EMA"? ema(close, source_ma_length): 
                                     sma(close, source_ma_length)
trend_filter_ma = trend_filter_ma_type == "EMA"? ema(close, trend_filter_ma_length): 
                                                 sma(close, trend_filter_ma_length)
// --------------------------- Conditions ----------------------------------- //
uptrend = not use_trend_filter or close > trend_filter_ma
buy_cond = crossover(fast_ma, slow_ma) and uptrend
downtrend = not use_trend_filter or close < trend_filter_ma
sell_cond = crossunder(fast_ma, slow_ma) and downtrend
// ---------------------------- Plotting ------------------------------------ //
bgcolor(use_trend_filter and downtrend? color.red: use_trend_filter? color.green: na)
plot(show_mas? fast_ma: na, "Fast MA", color.green)
plot(show_mas? slow_ma: na, "Slow MA", color.red)
plot(show_mas? source_ma: na, "Source MA", color.purple)
plot(show_mas? trend_filter_ma: na, "Trend Filter MA", color.blue)
// ---------------------------- Trading  ------------------------------------ //
// Inputs
sl_perc = input(1.0, "Stop Loss (in %)", group="Backtest Control")/100
tp_perc = input(1.0, "Take Profit (in %)", group="Backtest Control")/100
leverage = input(10, "Leverage", maxval=100, group="Backtest Control")
bt_start_time = input(timestamp("2021 01 01"), "Backtest Start Time", input.time, group="Backtest Control")
bt_end_time = input(timestamp("2021 12 31"), "Backtest End Time", input.time, group="Backtest Control")
// Trading Window
in_trading_window = time >= bt_start_time and time <= bt_end_time
trade_qty = (strategy.equity * leverage) / close 
// Long Side
strategy.entry("Long Entry", strategy.long, trade_qty, when=buy_cond and in_trading_window)
long_tp = strategy.position_avg_price * (1 + tp_perc)
long_sl = strategy.position_avg_price * (1 - sl_perc)
if not swing_trading_mode
    strategy.exit("Long Exit", "Long Entry", limit=long_tp, stop=long_sl)
// Short Side
strategy.entry("Short Entry", strategy.short, trade_qty, when=sell_cond and in_trading_window)
short_tp = strategy.position_avg_price * (1 - tp_perc)
short_sl = strategy.position_avg_price * (1 + sl_perc)
if not swing_trading_mode
    strategy.exit("Short Exit", "Short Entry", limit=short_tp, stop=short_sl)
// End of trading window close
strategy.close_all(when=not in_trading_window)
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