Efficient Trend Step Mod

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

//@version=4
study('Efficient Trend Step Mod (v.3)', '', true, precision=2)

// This is a version 3 of my mod of a wonderful script by alexgrover - Efficient Trend Step.

// It is based on calculation of Kaufman's efficiency ratio (ER):

// ER = Direction / Volatility
// where:
// Direction  = ABS (Close – Close[n])
// Volatility = n ∑(ABS(Close – Close[1]))
// n          = The efficiency ratio period.

//-------------------- Inputs

ds     = input(close,  'Dataset')
p      = input(7,      'Data Lag',          minval=1, maxval=2160)
minlag = input(3,      'Std Minimum Lag',   minval=1, maxval=2160)
maxlag = input(15,     'Std Maximum Lag',   minval=1, maxval=2160)
labels = input(true,   'Show Labels?')
ftype  = input('Both', 'Filter Signals by', options=['Volatility','Volume','Both','None'])

//-------------------- System Variables

var color c     = na
var float steps = 0.0
var int   BUY   = -1
var int   SELL  =  1
var int   HOLD  =  0

//-------------------- Dynamic Arrays

var int signal = 0

//-------------------- Custom Function

changed(x) => x!=x[1]

volumeBreak(thres) =>  
    rsivol   = rsi(volume, 14)  
    osc      = hma(rsivol, 10)  
    osc > thres                     

volatilityBreak(volmin, volmax) => atr(volmin) > atr(volmax)

//-------------------- Logic

filter =   ftype=='Volatility' ? volatilityBreak(1, 10) 
         : ftype=='Volume'     ? volumeBreak(49) 
         : ftype=='Both'       ? volatilityBreak(1, 10) and volumeBreak(49)
         :                       true
         
er     = abs(change(ds, p)) / sum(abs(change(ds)), p)                    // efficiency ratio
dev    = er * stdev(ds * 2, minlag) + (1 - er) * stdev(ds * 2, maxlag)   // deviation
steps := ds > nz(steps[1]) + dev ? ds : ds < nz(steps[1]) - dev ? ds : nz(steps[1])
c     := steps > nz(steps[1]) ? color.blue : steps < nz(steps[1]) ? color.red : nz(c[1])

signal := changed(c) and c==color.blue and filter ? BUY : changed(c) and c==color.red and filter ? SELL : nz(signal[1])

startLongTrade  = change(signal) and signal==BUY
startShortTrade = change(signal) and signal==SELL
endLongTrade    = change(signal) and signal==SELL
endShortTrade   = change(signal) and signal==BUY

//-------------------- Rendering

plot(steps, '', c, 2, transp=0)
plotshape(labels and startLongTrade  ? low  : na, '', shape.labelup,  location.belowbar,  color.blue, 0, size=size.tiny, text="B", textcolor=color.white)
plotshape(labels and startShortTrade ? high : na, '', shape.labeldown, location.abovebar, color.red,  0, size=size.tiny, text="S", textcolor=color.white)

//-------------------- Notification

alertcondition(startLongTrade,  'Buy',  'Go long')
alertcondition(startShortTrade, 'Sell', 'Go short') 
alertcondition(startLongTrade or startShortTrade, 'General Alert', 'Deal Time!')

//-------------------- Backtesting

show_info = input(true, '===Information===')
lot_size  = input(0.01,  'Lot Size', options=[0.01,0.1,0.2,0.3,0.5,1,2,3,5,10,20,30,50,100,1000]) 

tbase   = (time - time[1]) / 1000
tcurr   = (timenow - time_close[1]) / 1000
barlife = tcurr / tbase

bidask  = (open+high+low)/3

var float start_long_trade  = bidask  
var float long_trades       = 0.
var float start_short_trade = bidask  
var float short_trades      = 0.
var int   wins              = 0
var int   trade_count       = 0

if startLongTrade 
    start_long_trade := bidask 
if endLongTrade
    ldiff         = (bidask - start_long_trade)
    wins         := ldiff > 0 ? 1 : 0
    long_trades  := ldiff * lot_size   
    trade_count  := 1
if startShortTrade 
    start_short_trade := bidask
if endShortTrade
    sdiff         = (start_short_trade - bidask)
    wins         := sdiff > 0 ? 1 : 0
    short_trades := sdiff * lot_size 
    trade_count  := 1
    
cumreturn   = cum(long_trades) + cum(short_trades)  //-- cumulative return 
totaltrades = cum(trade_count)
totalwins   = cum(wins)  
totallosses = totaltrades - totalwins == 0 ? 1 : totaltrades - totalwins

//------------------- Information

var label lbl = na

info =  'CR='          + tostring(cumreturn,             '#.#') 
      + '\nTrades: '   + tostring(totaltrades,           '#')
      + '\nWin/Loss: ' + tostring(totalwins/totallosses, '#.##') 
      + '\nWinrate: '  + tostring(totalwins/totaltrades, '#.#%')       
      + '\nBar Time: ' + tostring(barlife,               '#.#%')

if show_info and barstate.islast  
    lbl := label.new(bar_index, ohlc4, info, xloc.bar_index, yloc.price, 
                     color.new(color.blue, 100), label.style_label_left, color.black, size.small, text.align_left)
    label.delete(lbl[1])