F&G Cycle Signal for Backtesting-Trading Engine

//@version=5
//@author=LucF, for PineCoders

// Signal for Backtesting-Trading Engine [PineCoders]
//  v1.3, 2019.06.21 02:58

// PineCoders, Tools and ideas for all Pine coders.
// This script is referenced from the PineCoders FAQ & Code here: http://www.pinecoders.com/faq_and_code/#how-can-i-use-one-scripts-output-as-an-input-into-another
// Documentation: https://www.tradingview.com/script/y4CvTwRo-Signal-for-Backtesting-Trading-Engine-PineCoders/

// This script is an example of how to configure a signal for the PineCoders Backtesting-Trading Engine
// which you will find here: https://www.tradingview.com/script/dYqL95JB-Backtesting-Trading-Engine-PineCoders/
// We used the built-in MACD indicator as a template. The script's signal adheres to the following protocol:

// EXTERNAL SIGNAL PROTOCOL
//      Only one external indicator can be connected to a script; in order to leverage its use to the fullest,
//      the engine provides options to use it as either and entry signal, an entry/exit signal or a filter.
//      When used as an entry signal, you can also use the signal to provide the entry stop. Here’s how this works.
//        - For filter state: supply +1.0 for bull (long entries allowed), -1.0 for bear (short entries allowed).
//        - For entry signals: supply +2.0 for long, -2.0 for short.
//        - For exit signals: supply +3.0 for exit from long, -3.0 for exit from short.
//        - To send an entry stop level with entry signal: Send positive stop level for long entry
//          (e.g. 103.33 to enter a long with a stop at 103.33), negative stop level for short entry
//          (e.g. -103.33 to enter a short with a stop at 103.33). If you use this feature,
//          your indicator will have to check for exact stop levels of 1.0, 2.0 or 3.0 and their negative counterparts,
//          and fudge them with a tick in order to avoid confusion with other signals in the protocol.
//      Note that each use must be confirmed in the corresponding section of the script's Settings/Inputs.

// CONFIGURATION OF ALERTS
//      Entry and Event alerts will generally be configured to trigger Once Per Bar Close.
//      Exit alerts can be configured to trigger Once Per Bar Close or Once Per Bar, depending on how fast
//      you want them. Once Per Bar means the alert will trigger the moment the condition is first encountered
//      during the realtime bar, instead of at the bar's close.
//      Entry and Exit alerts trigger at the same bar where the relevant marker will appear on the chart.
//      Event alerts trigger on the bar following the appearance of their respective marker on the chart.

// ══════════════════════════════════════════════════════════════════════════════════════════════════ //
//# * ══════════════════════════════════════════════════════════════════════════════════════════════
//# *
//# * Study       : Trading Psychology - Fear & Greed Index by DGT
//# * Author      : © dgtrd
//# *
//# * Revision History
//# *  Release    : Jul 21, 2020
//# *  Update     : Apr 09, 2021 : Added ability to display Current Time Frame's Fear and Greed Index
//# *  Update     : Apr 09, 2022 : Added Price Candle display option with Fear & Greed weighted risk levels 
//# *
//# * ══════════════════════════════════════════════════════════════════════════════════════════════
// ══════════════════════════════════════════════════════════════════════════════════════════════════ //
indicator('F&G CYCLE ʙʏ DGT Signal for Backtesting-Trading Engine [PineCoders]')

// Allow selection of signal content.
IncludeFilter = input(true, 'Include Filter')
IncludeEntries = input(true, 'Include Entries')
IncludeStops = input(true, 'Include Stops with Entries')
IncludeExits = input(true, 'Include Exits')


// -Inputs ====================================================================================== //

display = input.string('Fear & Greed Index', 'Display as', options=['Price Candles', 'Fear & Greed Index'])
smoothLength = input.int(5, 'RMA Smoothing Length', minval=1, maxval=13)
faster = input(false, 'Fear & Greed Index : Calculation with Faster Legths')
daily = input(false, 'Display Daily Time Frame Calculated Value')
lagendDesc = input(true, 'Show Color Legend')
hLabel = input(false, 'Hide Statistical Label')


fastLength = faster ? 13 : 21
slowLength = faster ? 89 : 144

// -Calculations ================================================================================ //

pmacd = (close / ta.ema(close, slowLength) - 1) * 100
pmacd_d = request.security(syminfo.tickerid, 'D', pmacd, barmerge.gaps_off, barmerge.lookahead_on)

ror = (close - close[slowLength]) / close[slowLength] * 100
ror_d = request.security(syminfo.tickerid, 'D', ror, barmerge.gaps_off, barmerge.lookahead_on)

accDist = close == high and close == low or high == low ? 0 : (2 * close - low - high) / (high - low)
nzVolume = nz(volume)
moneyFlow = math.sum(accDist * nzVolume, fastLength) / math.sum(nzVolume, fastLength) * 100

accDist_d = request.security(syminfo.tickerid, 'D', accDist, barmerge.gaps_off, barmerge.lookahead_on)
nzVolume_d = request.security(syminfo.tickerid, 'D', nzVolume)
moneyFlow_d = math.sum(accDist_d * nzVolume_d, fastLength) / math.sum(nzVolume_d, fastLength) * 100

vix = request.security('VIX', timeframe.period, -(close / ta.ema(close, slowLength) - 1) * 100, barmerge.gaps_off, barmerge.lookahead_on)
vix_d = request.security('VIX', 'D', -(close / ta.ema(close, slowLength) - 1) * 100, barmerge.gaps_off, barmerge.lookahead_on)

gold = request.security('GOLD', timeframe.period, -(1 - close[fastLength] / close) * 100, barmerge.gaps_off, barmerge.lookahead_on)
gold_d = request.security('GOLD', 'D', -(1 - close[fastLength] / close) * 100, barmerge.gaps_off, barmerge.lookahead_on)

cycle_raw = nzVolume ? math.avg(pmacd, ror, moneyFlow, vix, gold) : math.avg(pmacd, ror, vix, gold)
cycle_raw_d = nzVolume_d ? math.avg(pmacd_d, ror_d, moneyFlow_d, vix_d, gold_d) : math.avg(pmacd_d, ror_d, vix_d, gold_d)

cycle = ta.rma(cycle_raw, smoothLength)
cycle_d = ta.rma(cycle_raw_d, smoothLength)

f_getText(_cycle) =>
    if _cycle > 73
        'Extreame Greed'
    else if _cycle > 33
        'Greed'
    else if _cycle < -15
        'Fear'
    else if _cycle < -41
        'Extreame Fear'
    else
        'Neutral'

f_getColor(_cycle) =>
    if _cycle >= 73
        #006400
    else if _cycle >= 63 and _cycle < 73
        #007439
    else if _cycle >= 52 and _cycle < 63
        #008368
    else if _cycle >= 41 and _cycle < 52
        #009096
    else if _cycle >= 30 and _cycle < 41
        #009bbf
    else if _cycle >= 20 and _cycle < 30
        #00a4df
    else if _cycle >= 10 and _cycle < 20
        #00a4df
    else if _cycle >= 5 and _cycle < 10
        #65a095
    else if _cycle < -5 and _cycle >= -10
        #b7b763
    else if _cycle < -10 and _cycle >= -15
        #fafa6e
    else if _cycle < -15 and _cycle >= -20
        #fecb35
    else if _cycle < -20 and _cycle >= -25
        #ff9800
    else if _cycle < -25 and _cycle >= -31
        #ff7434
    else if _cycle < -31 and _cycle >= -37
        #ff5252
    else if _cycle < -37 and _cycle >= -41
        #c72e29
    else if _cycle < -41
        #910000
    else
        #92928f

f_getColor1(_cycle) =>
    if _cycle >= 73
        #910000
    else if _cycle >= 63 and _cycle  <  73
        #c72e29
    else if _cycle >= 52 and _cycle  <  63
        #ff5252
    else if _cycle >= 41 and _cycle  <  52
        #ff7434
    else if _cycle >= 30 and _cycle  <  41
        #ff9800
    else if _cycle >= 20 and _cycle  <  30
        #fecb35
    else if _cycle >= 10 and _cycle  <  20
        #fafa6e
    else if _cycle >= 5  and _cycle  <  10
        #b7b763
    else if _cycle < -5  and _cycle >= -10
        #65a095
    else if _cycle < -10 and _cycle >= -15
        #00a4df
    else if _cycle < -15 and _cycle >= -20
        #00a4df
    else if _cycle < -20 and _cycle >= -25
        #009bbf
    else if _cycle < -25 and _cycle >= -31
        #009096
    else if _cycle < -31 and _cycle >= -37
        #008368
    else if _cycle < -37 and _cycle >= -41
        #007439
    else if _cycle < -41 
        #006400
    else
        #92928f

// -Plotting ==================================================================================== //

fgColor = daily ? f_getColor(cycle_d) : f_getColor(cycle)
plot(display == 'Fear & Greed Index' ? daily ? cycle_d : cycle : na, 'Psychology of The Market Cycle - Index Display', fgColor, 2)

var label fgiLabel = na
if not hLabel
    fgiLabel := label.new(time + math.round(ta.change(time) * 7), display == 'Price Candles' ? close : daily ? cycle_d : cycle, (daily ? '*Daily' : 'Daily') + ' Time Frame : ' + f_getText(cycle_d) + ' : ' + 
                             str.tostring(math.round(cycle_d, 2)) + '%\n' + (daily ? 'Current' : '*Current') + ' Time Frame (' + timeframe.period + ') : ' + f_getText(cycle) + ' : ' + 
                             str.tostring(math.round(cycle, 2)) + '%', xloc.bar_time, tooltip='Psychology of The Market Cycle by DGT\n\n' + 'Fear & Greed Index :\nDaily Time Frame : ' + f_getText(cycle_d) + ' : ' + 
                             str.tostring(math.round(cycle_d, 2)) + '%\nCurrent Time Frame (' + timeframe.period + ') : ' + f_getText(cycle) + ' : ' + 
                             str.tostring(math.round(cycle, 2)) + '%' + '%\n\nReference Sources : ' + '\n-------------------------------------------------------------------' + 
                             '\n 1 - Price Convergence/Divergence to/from its Moving Average (' + str.tostring(slowLength) + ') :\n     Daily TF ' + str.tostring(math.round(pmacd_d, 2)) + '% / Current TF ' + str.tostring(math.round(pmacd, 2)) + '%' + 
                             '\n 2 - Rate of Return (Momentum/RoC), Length (' + str.tostring(slowLength) + ') :\n     Daily TF ' + str.tostring(math.round(ror_d, 2)) + '% / Current TF ' + str.tostring(math.round(ror, 2)) + '%' + 
                             '\n 3 - Chaikin Money Flow, Length (' + str.tostring(fastLength) + ') :\n     Daily TF ' + str.tostring(math.round(moneyFlow_d, 2)) + '% / Current TF ' + str.tostring(math.round(moneyFlow, 2)) + '% \n      ps: cmf calculated only if volume data is provided' + 
                             '\n 4 - VIX - Volatility (Fear) Index, Length (' + str.tostring(slowLength) + ') :\n     Daily TF ' + str.tostring(math.round(vix_d, 2)) + '% / Current TF ' + str.tostring(math.round(vix, 2)) + '%' + 
                             '\n 5 - Safe Haven Demand - Gold Demand, Length (' + str.tostring(fastLength) + ') :\n     Daily TF ' + str.tostring(math.round(gold_d, 2)) + '% / Current TF ' + str.tostring(math.round(gold, 2)) + '%' + 
                             '\n\nWarren Buffett’s quote, buy when others are fearful, and sell when others are greedy', color=color.new(color.gray, 85), style=label.style_label_left, textcolor=color.gray, textalign=text.align_left)

label.delete(fgiLabel[1])

var o = 0., var h = 0., var l = 0., var c = 0.

if display == 'Price Candles'
    o := open, h := high, l := low, c := close

fgColor := daily ? f_getColor1(cycle_d) : f_getColor1(cycle)

if display == 'Fear & Greed Index'
    fgColor := na

plotcandle(o, h, l, c, 'Psychology of The Market Cycle - Price Display', fgColor, fgColor, bordercolor = fgColor)

var table logo = table.new(position.bottom_right, 1, 1)
table.cell(logo, 0, 0, "☼☾  ", text_size = size.normal, text_color = color.teal)


var table legend = table.new(position.middle_right   , 1, 5)

if lagendDesc
    if display == 'Price Candles'
        table.cell(legend, 0, 0, "Max Opportunity █", text_size = size.small, text_color = #006400, text_halign = text.align_right)
        table.cell(legend, 0, 1, "Opportunity █", text_size = size.small, text_color = #008368, text_halign = text.align_right)
        table.cell(legend, 0, 2, "Neutral █", text_size = size.small, text_color = #92928f, text_halign = text.align_right)
        table.cell(legend, 0, 3, "Risk █", text_size = size.small, text_color = #ff7434, text_halign = text.align_right)
        table.cell(legend, 0, 4, "Max Rsik █", text_size = size.small, text_color = #910000, text_halign = text.align_right)
    else
        table.cell(legend, 0, 0, "Extreame Greed █", text_size = size.small, text_color = #006400, text_halign = text.align_right)
        table.cell(legend, 0, 1, "Greed █", text_size = size.small, text_color = #008368, text_halign = text.align_right)
        table.cell(legend, 0, 2, "Neutral █", text_size = size.small, text_color = #92928f, text_halign = text.align_right)
        table.cell(legend, 0, 3, "Fear █", text_size = size.small, text_color = #ff7434, text_halign = text.align_right)
        table.cell(legend, 0, 4, "Extreame Fear █", text_size = size.small, text_color = #910000, text_halign = text.align_right)


// ————— Filter.
FilterLong = Fear
FilterShort = Greed

// ————— Entries.
EnterLong = Fear
EnterShort = Greed

// ————— Stops.
Atr = ta.atr(14)
StopLong = math.min(ta.lowest(5), math.min(close, open) - Atr * 1.5)
StopShort = math.max(ta.highest(5), math.max(close, open) + Atr * 1.5)

// ————— Exits.
ExitLong = Neutral
ExitShort = Neutral

// ▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲▲
// ——————————————————————————————————————————————————————————————————————————————————————


// ————— This function ensures that no stop value equal to one of the protocol's reserved values is sent, so it isn't misinterpreted as a signal.
// The fudge is in the direction where the trade's risk is decreased by a tick, so added for longs and subtracted for shorts.
FudgeStop(_stop, _fudgedir) =>
    _stop == 1.0 or _stop == 2.0 or _stop == 3.0 ? _stop + syminfo.mintick * _fudgedir : _stop

// ————— Build required values corresponding to states.
Filter = FilterLong ? 1 : FilterShort ? -1 : 0
Entries = EnterLong ? 2 : EnterShort ? -2 : 0
FudgeStop__1 = FudgeStop(StopLong, 1)
FudgeStop__2 = FudgeStop(StopShort, -1)
Stops = EnterLong ? FudgeStop__1 : EnterShort ? -FudgeStop__2 : 0
Exits = ExitLong ? 3 : ExitShort ? -3 : 0

// ————— We must decide which value will be sent in case more than one is different than 0, since only one value can be sent at each bar.
// Priority is given to exits, with filter states coming last.
Signal = IncludeExits and Exits != 0 ? Exits : IncludeStops and Stops != 0 ? Stops : IncludeEntries and Entries != 0 ? Entries : IncludeFilter and Filter != 0 ? Filter : na

// ————— Plot signal which is to be connected to the Engine through the External Indicator field at the very bottom of the Engine's Settings/Inputs.
plot(Signal, 'Signal')


// ————— Plots markers.
plotshape(IncludeEntries and EnterLong, 'Enter Long', style=shape.triangleup, location=location.bottom, color=color.new(color.green, 0), size=size.small, text='Enter\nLong')
plotshape(IncludeEntries and EnterShort, 'Enter Short', style=shape.triangledown, location=location.top, color=color.new(color.red, 0), size=size.small, text='Enter\nShort')
plotshape(IncludeExits and ExitLong, 'Exit Long', style=shape.triangledown, location=location.top, color=color.new(color.green, 0), size=size.tiny, text='Exit\nLong')
plotshape(IncludeExits and ExitShort, 'Exit Short', style=shape.triangleup, location=location.bottom, color=color.new(color.red, 0), size=size.tiny, text='Exit\nShort')

bgcolor(color=IncludeFilter and FilterLong ? color.new(#00FF00,93) : IncludeFilter and FilterShort ? color.new(#FF0000,90) : na, title='Filter Background')