Built-in Kelly ratio for positio…: Free TradingView Strategy (Pine Script)

Add It to Your TradingView Chart

1Copy the scriptPress Copy script above, or the copy button on the code below.
2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
3Paste over the templateCreate a new strategy, select all of the template text and paste. Press Save and give it a name.
4Add it to the chartPress Add to chart. The trades and results appear in the Strategy Tester tab; adjust the settings with the gear icon.

Source Code

88 lines of Pine Script v4 from Built-in Kelly ratio for dynamic position sizing.pine, published under GPL-3.0. Keep the author's credit and licence lines when you reuse it.

Built-in Kelly ratio for dynamic position sizing.pine

//@version=4
strategy("Built-in Kelly ratio for position sizing", overlay=true, initial_capital=10000, default_qty_type=strategy.cash, default_qty_value=10000, currency="USD", commission_type=strategy.commission.percent, commission_value=0.1)
c = close
useKelly = input(true, "Kelly Ratio Position Sizing")
krp = strategy.wintrades / strategy.closedtrades
krw =  strategy.grossprofit / strategy.wintrades
krl = strategy.grossloss / strategy.losstrades
kr = ((krp - (1-krp) / (krw/krl)) * 100) / 100
qty = 10000.0
if useKelly
    qty := 10000.0 / c
    if kr > 0
        qty := (strategy.equity * kr) / c
    
i_startTime = input(defval = timestamp("01 Mar 1900 00:00 +0000"), title = "Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Mar 2221 00:00 +0000"), title = "End Time", type = input.time)
inDateRange = time >= i_startTime and time <= i_endTime
length = input(20, minval=1)
mult = input(1.0, "Multiplier")
src = input(close, title="Source")
exp = input(true, "Use Exponential MA")
BandsStyle = input("Average True Range", options = ["Average True Range", "True Range", "Range"], title="Bands Style")
atrlength = input(10, "ATR Length")
esma(source, length)=>
    s = sma(source, length)
    e = ema(source, length)
    exp ? e : s
ma = esma(src, length)
rangema = BandsStyle == "True Range" ? rma(tr(true), length) : BandsStyle == "Average True Range" ? atr(atrlength) : rma(high - low, length)
upper = ma + rangema * mult
lower = ma - rangema * mult
crossUpper = crossover(src, upper)
crossLower = crossunder(src, lower)
bprice = 0.0
bprice := crossUpper ? high+syminfo.mintick : nz(bprice[1])
sprice = 0.0
sprice := crossLower ? low -syminfo.mintick : nz(sprice[1])
crossBcond = false
crossBcond := crossUpper ? true
     : na(crossBcond[1]) ? false : crossBcond[1]
crossScond = false
crossScond := crossLower ? true
     : na(crossScond[1]) ? false : crossScond[1]
cancelBcond = crossBcond and (src < ma or high >= bprice )
cancelScond = crossScond and (src > ma or low <= sprice )
if inDateRange
    if useKelly
        if (cancelBcond)
            strategy.cancel("Long")
        if (crossUpper)
            strategy.entry("Long", strategy.long, qty, stop=bprice, comment="Long")
        if (cancelScond)
            strategy.cancel("Short")
        if (crossLower)
            strategy.entry("Short", strategy.short, qty, stop=sprice, comment="Short")
    else
        if (cancelBcond)
            strategy.cancel("Long")
        if (crossUpper)
            strategy.entry("Long", strategy.long, stop=bprice, comment="Long")
        if (cancelScond)
            strategy.cancel("Short")
        if (crossLower)
            strategy.entry("Short", strategy.short, stop=sprice, comment="Short")
usetp = input(false, "use Take Profit")
usesl = input(false, "use Stop Loss")
tp = input(10.0, "take profit") / 100
sl = input(1.0, "stop loss") / 100
avg = strategy.position_avg_price
longprofit = avg*tp/syminfo.mintick
longloss = avg*sl/syminfo.mintick
shortprofit = avg*tp/syminfo.mintick
shortloss = avg*sl/syminfo.mintick
if usetp and not usesl
    strategy.exit("Long Exit", "Long", profit=longprofit)
    strategy.exit("Short Exit", "Short", profit=shortprofit)
if usesl and not usetp
    strategy.exit("Long Exit", "Long", loss=longloss)
    strategy.exit("Short Exit", "Short", loss=shortloss)
if usetp and usesl
    strategy.exit("Long Exit", "Long", profit=longprofit, loss=longloss)
    strategy.exit("Short Exit", "Short", profit=shortprofit, loss=shortloss)
plotchar(krp * 100, "% profitable", "")
plotchar(krw, "avg win", "")
plotchar(krl, "avg loss", "")
plotchar(strategy.equity, "Equity", "")
plotchar(qty*c, "Quantity", "")
Expand (97 lines)

Overview

Long and short orders are cancelled if price returns through the average or reaches the stored stop price. Optional Kelly sizing scales quantity from closed-trade win rate and average win versus loss when the ratio is positive. Take profit and stop loss are both off by default, so there is no protective exit unless those inputs are enabled. A start and end time limits when orders are allowed.

Kelly ratio position sizing from closed trades
SMA or EMA center line
ATR, true range, or high-low bands
Stop entries on band crosses
Optional percentage take profit and stop loss

Details

Published by

hasnocool on GitHub

Type

Strategy, Pine Script v4

Draws

On the price chart

Markets

Any symbol

Timeframes

Any timeframe

Risk Notes

The strategy enters trades without a stop loss

File

Built-in Kelly ratio for dynamic position sizing.pine

Repository

github.com/hasnocool/tradingview-pine-scripts. See its other scripts in the library

Topics

analysisbtcusdtcryptocurrencydatapandaspythonsimulationtradingtradingview

Settings

The inputs you can change from the gear icon on the chart. Defaults are the author's.

Setting	Type	Default	Variable
Kelly Ratio Position Sizing	`bool`	`true`	`useKelly`
Start Time	`time`	`timestamp("01 Mar 1900 00:00 +0000")`	`i_startTime`
End Time	`time`	`timestamp("01 Mar 2221 00:00 +0000")`	`i_endTime`
length	`int`	`20`	`length`
Multiplier	`float`	`1.0`	`mult`
Source	`source`	`close`	`src`
Use Exponential MA	`bool`	`true`	`exp`
Bands Style	`string`	`Average True Range`	`BandsStyle`
ATR Length	`int`	`10`	`atrlength`
use Take Profit	`bool`	`false`	`usetp`
use Stop Loss	`bool`	`false`	`usesl`
take profit	`float`	`10.0`	`tp`

Show all 13 settings

Setting	Type	Default	Variable
stop loss	`float`	`1.0`	`sl`

Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.

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