S50 TFEX Strategy With ATR

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © lumduan
//@version=6

// For S50 TFEX Strategy Timeframe 30 minutes 

// ————— Constants
float RISK_FREE_RATE = 2.2 // Risk-free rate for calculating Sharpe ratio
HIGH_PRICE_BAR_COLOR = color.green
LOW_PRICE_BAR_COLOR = color.red
int HIGH_PRICE_BAR_WIDTH = 1
int LOW_PRICE_BAR_WIDTH = 1

TABLE_HEADER_COLOR = color.new(color.black, 0)
TABLE_INDEX_COLOR = color.new(color.gray, 0)
TABLE_CELL_COLOR = color.new(color.black, 0)
TABLE_YEAR_CELL_POSITIVE_COLOR = color.new(color.green, 0)
TABLE_YEAR_CELL_NEGATIVE_COLOR = color.new(color.red, 0)

int CONTACT_PER_ORDER = 2
float COMMISSION_PRICE = 23.0 //THB

// Inputs for configuring the pivot point calculation
int leftBars  = input(21) // Number of bars to the left for pivot calculation
int rightBars = input(2) // Number of bars to the right for pivot calculation
int riskPercent = input(1, title="Risk % per Trade") / 100
int atrLength = input(10, title="ATR Length")
int riskRewardRatio = input(2, title="Risk-Reward Ratio")
int prec      = input(2, title = "Return Precision") // Precision of return percentages
bool show_table = input.bool(defval = true, title = "Show Return Rate Table On/Off") // Show or hide the table

strategy(title = "S50 TFEX Strategy With ATR",overlay = true, calc_on_every_tick = true, default_qty_type = strategy.fixed, default_qty_value = CONTACT_PER_ORDER, commission_type = strategy.commission.cash_per_contract, commission_value = COMMISSION_PRICE , risk_free_rate = RISK_FREE_RATE)

// ATR Calculation
atr = ta.atr(atrLength)

// Account Equity & Risk Per Trade
strategy_equity = strategy.equity
riskAmount = strategy_equity * riskPercent


swingHigh = ta.pivothigh(leftBars,rightBars)
swingLow = ta.pivotlow(leftBars,rightBars)

// Stop-Loss and Take-Profit Calculation
longStop = swingLow - atr
shortStop = swingHigh + atr
longTakeProfit = swingHigh + atr * riskRewardRatio
shortTakeProfit = swingLow - atr * riskRewardRatio

// Position Sizing: Contracts based on risk
longContracts = riskAmount / (swingHigh - longStop)
shortContracts = riskAmount / (shortStop - swingLow)

///////////////////////

// Initialize high and low price variables
float highPrice = 0.0
highPrice := not na(swingHigh) ? swingHigh : highPrice[1] // Update high price if a new swing high is detected, else carry forward previous value

float lowPrice = 0.0
lowPrice := not na(swingLow) ? swingLow : lowPrice[1] // Update low price if a new swing low is detected, else carry forward previous value

// // Long Entry Logic
// bool longEntry = false
// longEntry := not na(swingHigh) ? true : (longEntry[1] and high > highPrice ? false : longEntry[1]) // Entry on swing high or invalidate if price exceeds current high

// // Short Entry Logic
// bool shortEntry = false
// shortEntry := not na(swingLow) ? true : (shortEntry[1] and low < lowPrice ? false : shortEntry[1]) // Entry on swing low or invalidate if price drops below current low

// // Place Long Entry Order
// if (longEntry)
//     strategy.entry(id="Long", direction=strategy.long, comment="Long", stop=highPrice + syminfo.mintick)

// // Place Short Entry Order
// if (shortEntry)
//     strategy.entry("Short", strategy.short, comment="Short", stop=lowPrice - syminfo.mintick)

// Long Entry
if not na(swingHigh)
    strategy.entry("Long", strategy.long, qty=longContracts, stop=swingHigh + syminfo.mintick, comment = "Long")
    strategy.exit("Long Exit", from_entry="Long", stop=longStop, limit=longTakeProfit, comment = "Short")

// Short Entry
if not na(swingLow)
    strategy.entry("Short", strategy.short, qty=shortContracts, stop=swingLow - syminfo.mintick, comment = "Short")
    strategy.exit("Short Exit", from_entry="Short", stop=shortStop, limit=shortTakeProfit, comment = "Long")


// Plot high and low prices on the chart
plot(highPrice, color = HIGH_PRICE_BAR_COLOR, linewidth = HIGH_PRICE_BAR_WIDTH)
plot(lowPrice, color = LOW_PRICE_BAR_COLOR,   linewidth = LOW_PRICE_BAR_WIDTH)


// ======= TABLE ====================================================================================================

// Detect new month and new year
bool newMonth = month(time) != month(time[1]) // True if the current bar is in a new month
bool newYear  = year(time)  != year(time[1])  // True if the current bar is in a new year

// Retrieve current equity and calculate bar profit/loss %
float equity = strategy.equity

// Calculate the profit or loss for the current bar as a percentage change from the previous bar's equity
float profitLossPercent = equity / equity[1] - 1 
float ProfitLoss = equity - equity[1]

// Initialize variables for current month and year P&L %
float currentMonthProfit = 0.0
float currentYearProfit  = 0.0

// Initialize variables for current month and year P&L %
float currentMonthPnL = 0.0
float currentYearPnL  = 0.0

// Calculate current month Profit/Loss
currentMonthProfit := newMonth ? 0.0 : currentMonthProfit[1] + ProfitLoss
// Calculate current year Profit/Loss
currentYearProfit := newYear ? 0.0 : currentYearProfit[1] + ProfitLoss


// Calculate current monthly P&L %
currentMonthPnL := newMonth ? 0.0 : (1 + currentMonthPnL[1]) * (1 + profitLossPercent) - 1
// Calculate current yearly P&L %
currentYearPnL := newYear ? 0.0 : (1 + currentYearPnL[1]) * (1 + profitLossPercent) - 1

// Arrays to store Monthly and Yearly P&Ls
var float[] monthlyProfit = array.new_float(0) // Array to store monthly P&L values
var int[] monthlyProfitCount = array.new_int(0) // Array to store timestamps for monthly P&L

var float[] yearlyProfit = array.new_float(0) // Array to store yearly P&L values
var int[] yearlyProfitCount = array.new_int(0) // Array to store timestamps for yearly P&L

// Arrays to store Monthly and Yearly P&Ls %
var float[] monthlyPnLs = array.new_float(0) // Array to store monthly P&L% values
var int[] monthlyPnLsCount = array.new_int(0) // Array to store timestamps for monthly P&L%

var float[] yearlyPnLs = array.new_float(0) // Array to store yearly P&L% values
var int[] yearlyPnLsCount = array.new_int(0) // Array to store timestamps for yearly P&L%

// Track whether P&L computation was performed
bool pnlComputed = false

// Store monthly P&L when a new month starts or on the last bar
if (not na(currentMonthProfit[1]) and (newMonth or barstate.islast))
    if (pnlComputed[1])
        array.pop(monthlyProfit) // Remove last value if already computed
        array.pop(monthlyProfitCount)
    
    array.push(monthlyProfit, currentMonthProfit[1]) // Add current month P&L
    array.push(monthlyProfitCount, time[1]) // Add corresponding timestamp

// Store monthly P&L% when a new month starts or on the last bar
if (not na(currentMonthPnL[1]) and (newMonth or barstate.islast))
    if (pnlComputed[1])
        array.pop(monthlyPnLs) // Remove last value if already computed
        array.pop(monthlyPnLsCount)
    
    array.push(monthlyPnLs, currentMonthPnL[1]) // Add current month P&L
    array.push(monthlyPnLsCount, time[1]) // Add corresponding timestamp

// Store yearly P&L when a new year starts or on the last bar
if (not na(currentYearProfit[1]) and (newYear or barstate.islast))
    if (pnlComputed[1])
        array.pop(yearlyProfit) // Remove last value if already computed
        array.pop(yearlyProfitCount)
    
    array.push(yearlyProfit, currentYearProfit[1]) // Add current year P&L
    array.push(yearlyProfitCount, time[1]) // Add corresponding timestamp

// Store yearly P&L when a new year starts or on the last bar
if (not na(currentYearPnL[1]) and (newYear or barstate.islast))
    if (pnlComputed[1])
        array.pop(yearlyPnLs) // Remove last value if already computed
        array.pop(yearlyPnLsCount)
    
    array.push(yearlyPnLs, currentYearPnL[1]) // Add current year P&L
    array.push(yearlyPnLsCount, time[1]) // Add corresponding timestamp


// Set to true on the last bar to indicate that P&L% computation has been performed
pnlComputed := barstate.islast ? true : (pnlComputed[1] ? pnlComputed[1] : false)

// Profit/Loss table
var table monthlyProfitTable = table(na)

// P&L% table
var table monthlyPercentTable = table(na)

if show_table

    // Create a table for profit/loss
    if (barstate.islast)
        monthlyProfitTable := table.new(position = position.middle_right, columns = 14, rows = array.size(yearlyProfit) +1, border_width = 1)
        table.cell(monthlyProfitTable, 0,  0, "Y|M",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 1,  0, "Jan",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 2,  0, "Feb",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 3,  0, "Mar",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 4,  0, "Apr",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 5,  0, "May",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 6,  0, "Jun",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 7,  0, "Jul",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 8,  0, "Aug",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 9,  0, "Sep",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 10, 0, "Oct",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 11, 0, "Nov",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 12, 0, "Dec",  text_color = color.white, bgcolor = TABLE_HEADER_COLOR)
        table.cell(monthlyProfitTable, 13, 0, "Year", text_color = color.white, bgcolor = TABLE_HEADER_COLOR)

        // Create a row for each year
        for yearIndex = 0 to array.size(yearlyProfit) - 1
            // Create year index cell
            table.cell(monthlyProfitTable, 0, yearIndex + 1, str.tostring(year(array.get(yearlyProfitCount, yearIndex))), text_color = color.white, bgcolor = TABLE_CELL_COLOR)

            // Create Year  P&L cells
            string yearlyReturnValue = str.format("{0,number,integer}", math.round(number = array.get(yearlyProfit, yearIndex), precision = prec))
            string yearlyReturnPercent = str.tostring(math.round(number = array.get(yearlyPnLs,yearIndex)*100, precision = prec)) + " %"
            yearColor = array.get(yearlyProfit, yearIndex) > 0 ? TABLE_YEAR_CELL_POSITIVE_COLOR : TABLE_YEAR_CELL_NEGATIVE_COLOR
            table.cell(monthlyProfitTable, 13, yearIndex + 1, yearlyReturnValue + " \n" + yearlyReturnPercent, text_color = color.white, bgcolor = yearColor)
        
        for monthIndex = 0 to array.size(monthlyProfit) - 1
            string monthlyReturnValue = str.format("{0,number,integer}", math.round(number = array.get(monthlyProfit, monthIndex), precision = prec))
            string monthlyReturnPercent = str.tostring(math.round(number = array.get(monthlyPnLs, monthIndex)*100, precision = prec)) + "%"
            monthRow = year(array.get(monthlyProfitCount, monthIndex)) - year(array.get(yearlyProfitCount, 0)) + 1
            monthColumn = month(array.get(monthlyProfitCount, monthIndex))
            monthColor = array.get(monthlyProfit, monthIndex) > 0 ? TABLE_YEAR_CELL_POSITIVE_COLOR : TABLE_YEAR_CELL_NEGATIVE_COLOR
            table.cell(monthlyProfitTable, monthColumn, monthRow, monthlyReturnValue + "\n" + monthlyReturnPercent, text_color = color.white, bgcolor = monthColor)