EMD Trend [InvestorUnknown]

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © InvestorUnknown
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//@version=6
indicator("EMD Trend [InvestorUnknown]", "EMD Trend", overlay=true, max_bars_back = 4999)

import InvestorUnknown/BacktestLibrary/2 as backtestlib
import TradingView/ta/9 as ta

// - - - - - FUNCTIONS - - - - - //{
type bar
    float o             = open
    float h             = high
    float l             = low
    float c             = close

method calc_src(bar b, simple string src) =>
    float x = switch src
        "open"          => b.o
        "high"          => b.h
        "low"           => b.l
        "close"         => b.c
        "oc2"           => math.avg(b.o, b.c          )
        "hl2"           => math.avg(b.h, b.l          )
        "occ3"          => math.avg(b.o, b.c, b.c     )
        "hlc3"          => math.avg(b.h, b.l, b.c     )
        "ohlc4"         => math.avg(b.o, b.h, b.l, b.c)
        "hlcc4"         => math.avg(b.h, b.l, b.c, b.c)
    x

// Exponential Moving Deviation
emd(source, benchmark, length) =>
    abs_dev = math.abs(source - benchmark)
    exp_dev = ta.ema(abs_dev, length)

EMD_Trend(series float src, simple int length, simple float mult, simple string avg_type) =>
    avg = switch avg_type
        "SMA" =>    ta.sma(src, length) 
        "EMA" =>    ta.ema(src, length)
        "HMA" =>    ta.hma(src, length)
        "DEMA" =>   ta.dema(src, length)
        "TEMA" =>   ta.tema(src, length)
        "RMA" =>    ta.rma(src, length)
        "FRAMA" =>  ta.frama(src, length)

    emd = emd(src, avg, length)
    avg_p = avg + (emd * mult)
    avg_m = avg - (emd * mult)

    var direction = 0
    if ta.crossover(src, avg_p)
        direction := 1
    else if ta.crossunder(src, avg_m)
        direction := -1

    [direction, avg, avg_p, avg_m]
//}


// - - - - - STRINGS - - - - - //{
var string G1                       = "General Settings"
var string G2                       = "Indicator Settings"
var string G3                       = "Backtest Mode"

var string intrabar_tooltip         = "Updates the Long/Short signal within the bar, but may cause intra-bar signal repainting. This setting also affects alerts."

var string use_endDate_tooltip      = "If turned-off, the backtest will run until the current day."
var string bah_tooltip              = "Plots Buy and Hold Equity for the Backtest Period"
//}


// - - - - - INPUTS - - - - - //{

// General
simple string disp_mode             = input.string("Overlay", "Display Mode", options = ["Overlay", "Backtest Mode"], group = G1, display = display.none)
simple bool   intrabar              = input.bool(true, "Allow Intra-bar Updating", tooltip = intrabar_tooltip, group = G1)
simple bool   color_bars            = input.bool(true, "Color Bars?", group = G1)

// Indicator
simple string input_src             = input.string("close", "Source", options = ["open", "high", "low", "close", "oc2", "hl2", "occ3", "hlc3", "ohlc4", "hlcc4"], group = G2)
simple string avg_type              = input.string("SMA", "Average Type", options = ["SMA", "EMA", "HMA", "DEMA", "TEMA", "RMA", "FRAMA"], group = G2)
simple int    length                = input.int(28, "Average Length", minval = 1, group = G2)
simple float  mult                  = input.float(1.0, "Exponential Moving Deviation Multiplier", step = 0.05, minval = 0.05, group = G2)

// Backtesting Mode
simple string signals               = input.string("Long & Short", "Allowed Signals", options = ["Long & Short", "Long Only", "Short Only"], group = G3, display = display.none)
simple float  startDate             = input.time(timestamp("2023-1-1"), "Backtest Start Date", group = G3)
simple bool   plot_bah              = input.bool(true, "Plot Buy & Hold equity?", tooltip = bah_tooltip, group = G3)
simple bool   plot_metric_t         = input.bool(true, "Plot Performance Metrics Table", group = G3)

simple int    initial_capital       = input.int(1000, "Initial Capital For Trade Metrics", group = G3, display = display.none)
simple float  trade_size            = input.float(0.01, "Trade Size % (decimal)", minval = 0.001, maxval = 1.0, group = G3, display = display.none)
//}


// - - - - - CALCULATIONS - - - - - //{

b                                   = bar.new()
float src                           = b.calc_src(input_src)

[dir, avg, avg_p, avg_m]            = EMD_Trend(src, length, mult, avg_type)
//}

// - - - - - DEFINE COLORS - - - - - //{
color bcol                          =color.rgb(54, 208, 19)
color scol                          =color.rgb(227, 34, 34)
//}


// - - - - - PLOTS - - - - - //{
bool  is_backtest                   = disp_mode == "Backtest Mode"
float candle_h_l                    = src > avg_p ? high : src < avg_m ? low : math.avg(open, close)
int   i                             = intrabar ? 0 : 1 // simple index instead of writing it manually every time

C = plot(not is_backtest ? candle_h_l : na,"Candle Extreme", display = display.none)
M = plot(not is_backtest ? avg[i] : na, "Average", color = dir[i] > 0 ? bcol : scol, linewidth = 3)
U = plot(not is_backtest ? avg_p[i] : na, color = dir[i] > 0 ? color.new(bcol, 50) : color.new(scol, 50))
D = plot(not is_backtest ? avg_m[i] : na, color = dir[i] > 0 ? color.new(bcol, 50) : color.new(scol, 50))

// range fill
fill(U, D, color = dir[i] > 0 ? color.rgb(54, 208, 19, 95): na)
fill(D, U, color = dir[i] < 0 ? color.rgb(227, 34, 34, 95) : na)

// speculation area fill
fill(C, U, color = dir[i] > 0 and close > avg_p[i] ? color.rgb(54, 208, 19, 50) : na)
fill(C, D, color = dir[i] < 0 and close < avg_m[i] ? color.rgb(227, 34, 34, 50) : na)


barcolor(color_bars ? // color_bars == true ? yes -> continue : no -> na
 (is_backtest ? dir[1] > 0 ? bcol : scol : // backtest mode ? yes -> sig_col[1] : no -> continue
 (dir[i] > 0 ? bcol : scol)) : 
 na)


// Backtest Mode
float r                             = 0.0
float eq                            = 1.0
float bah                           = 1.0

series int since                    = backtestlib.since(startDate, is_backtest)

if is_backtest
    r                               := (close[0] - close[1]) / close[1]
    eq                              := backtestlib.equity(dir, 0, r, startDate, signals)
    bah                             := backtestlib.buy_and_hold(r, startDate)

plot(is_backtest ? 1 : na, "Base (1) Line", color = color.gray)
plot(is_backtest ? eq : na, "Backtest Strategy Equity",  color = dir[1] > 0 ? bcol : scol, linewidth = 3)
plot(is_backtest ? (plot_bah ? bah : na) : na, "Buy & Hold Equity", color = color.rgb(24, 42, 237), linewidth = 2)

if is_backtest and barstate.islast
    label.new(bar_index + 5, eq, "Strategy", color = dir[1] > 0 ? bcol : scol, textcolor = color.white, style = label.style_label_left)
    label.new(bar_index + 5, bah, "Buy and Hold", color = color.rgb(24, 42, 237), textcolor = color.white, style = label.style_label_left)

// Performance Metrics Table
float[] eq_array                    = na
float[] bah_array                   = na

if is_backtest
    eq_array                        := backtestlib.PerformanceMetrics(eq,  since, startDate)
    bah_array                       := backtestlib.PerformanceMetrics(bah, since, startDate)

var table t                         = table.new(position.bottom_left, 20, 20, frame_color = color.gray, frame_width = 1)

bool long_entry                     = ta.crossover(dir, 0)
bool entry_short                    = ta.crossunder(dir, 0)

[signal, closed_trades_count, closed_long, closed_short, win_trades, win_long, win_short, gross_profit, gross_losses, gross_L_profit, gross_L_losses, gross_S_profit, gross_S_losses] = backtestlib.TradeMetrics(
 startDate, initial_capital, trade_size, long_entry, entry_short, false, false)

if barstate.islast and is_backtest
    backtestlib.PerfMetricTable(bah_array, eq_array)
    backtestlib.TradeMetricsTable(initial_capital, closed_trades_count, closed_long, closed_short, win_trades, win_long, win_short, gross_profit, gross_losses, gross_L_profit, gross_L_losses, gross_S_profit, gross_S_losses)
//}

// - - - - - ALERTS - - - - - //{
alert_source                        = dir

bool long_alert                     = ta.crossover (alert_source[i], 0)
bool short_alert                    = ta.crossunder(alert_source[i], 0)

bool risk_on_long                   = ta.crossover (src, avg_p[i])
bool risk_off_long                  = ta.crossunder(src, avg_p[i])
bool risk_on_short                  = ta.crossunder(src, avg_m[i])
bool risk_off_short                 = ta.crossover (src, avg_m[i])

alertcondition(long_alert,  "LONG (EMD Trend)",  "EMD Trend flipped ⬆LONG⬆")
alertcondition(short_alert, "SHORT (EMD Trend)", "EMD Trend flipped ⬇Short⬇")

alertcondition(risk_on_long,   "RISK-ON LONG (EMD Trend)",   "RISK-ON LONG (EMD Trend)")
alertcondition(risk_off_long,  "RISK-OFF LONG (EMD Trend)",  "RISK-OFF LONG (EMD Trend)")
alertcondition(risk_on_short,  "RISK-ON SHORT (EMD Trend)",  "RISK-ON SHORT (EMD Trend)")
alertcondition(risk_off_short, "RISK-OFF SHORT (EMD Trend)", "RISK-OFF SHORT (EMD Trend)")
//}