Setup Backtest

//@version=4
study(title="setup-backtest", shorttitle="setup-backtest ", overlay=true)
//**************************************************************************


//**************************************************************************
// ### Trading Session

ts = input(title="Show Trade Session", type=input.bool, defval=true, group = "Trade Session")

tz = input(title="Timezone", type=input.string, defval="America/Chicago", options=["Asia/Sydney", "Asia/Tokyo", "Europe/Frankfurt", "Europe/London", "UTC", "America/New_York", "America/Chicago"], group = "Trade Session")
label = input(title="Label", type=input.string, defval="CME Open", tooltip="For easy identification", group = "Trade Session")

startHour = input(title="analysis Start hour", type=input.integer, defval=7, minval=0, maxval=23, group = "Trade Session")
startMinute = input(title="analysis Start minute", type=input.integer, defval=00, minval=0, maxval=59, group = "Trade Session")

startHour2 = input(title="Session Start hour", type=input.integer, defval=8, minval=0, maxval=23, group = "Trade Session")
startMinute2 = input(title="Session Start minute", type=input.integer, defval=30, minval=0, maxval=59, group = "Trade Session")
endHour2 = input(title="Session End hour", type=input.integer, defval=12, minval=0, maxval=23, group = "Trade Session")
endMinute2 = input(title="Session End minute", type=input.integer, defval=0, minval=0, maxval=59, group = "Trade Session")

rangeColor = input(title="Color", type=input.color, defval=#1976d21f, group = "Trade Session")
showMon = input(title="Monday", type=input.bool, defval=true, group = "Trade Session")
showTue = input(title="Tuesday", type=input.bool, defval=true, group = "Trade Session")
showWed = input(title="Wednesday", type=input.bool, defval=true, group = "Trade Session")
showThu = input(title="Thursday", type=input.bool, defval=true, group = "Trade Session")
showFri = input(title="Friday", type=input.bool, defval=true, group = "Trade Session")
showSat = input(title="Saturday", type=input.bool, defval=false, group = "Trade Session")
showSun = input(title="Sunday", type=input.bool, defval=false, group = "Trade Session")

tzYear = year(time, tz)
tzMonth = month(time, tz)
tzDay = dayofmonth(time, tz)
tzDayOfWeek = dayofweek(time, tz)
startTime = timestamp(tz, tzYear, tzMonth, tzDay, startHour, startMinute)
endTime = timestamp(tz, tzYear, tzMonth, tzDay, endHour2, endMinute2)

active = if startTime <= time and time <= endTime and ts
    if tzDayOfWeek == dayofweek.monday and showMon
        true
    else if tzDayOfWeek == dayofweek.tuesday and showTue
        true
    else if tzDayOfWeek == dayofweek.wednesday and showWed
        true
    else if tzDayOfWeek == dayofweek.thursday and showThu
        true
    else if tzDayOfWeek == dayofweek.friday and showFri
        true
    else if tzDayOfWeek == dayofweek.saturday and showSat
        true
    else if tzDayOfWeek == dayofweek.sunday and showSun
        true
    else
        false
else
    false

bgcolor(color=active ? rangeColor : na, title = "Session Background")


startTime2 = timestamp(tz, tzYear, tzMonth, tzDay, startHour2, startMinute2)
endTime2 = timestamp(tz, tzYear, tzMonth, tzDay, endHour2, endMinute2)

active2 = if startTime2 <= time and time <= endTime2 and ts
    if tzDayOfWeek == dayofweek.monday and showMon
        true
    else if tzDayOfWeek == dayofweek.tuesday and showTue
        true
    else if tzDayOfWeek == dayofweek.wednesday and showWed
        true
    else if tzDayOfWeek == dayofweek.thursday and showThu
        true
    else if tzDayOfWeek == dayofweek.friday and showFri
        true
    else if tzDayOfWeek == dayofweek.saturday and showSat
        true
    else if tzDayOfWeek == dayofweek.sunday and showSun
        true
    else
        false
else
    false
    
bgcolor(color=active2 ? rangeColor : na, title = "Session Background")

///XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
/// Bull and Bear signal definitions with plots and alerts
///XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

BullLabel = "Bullish Signal"
BearLabel = "Bearish Signal"
BullSig = low == open and close > open and herebedoji[1]
BearSig = high == open and close < open and herebedoji[1]

barcolor( BullSig ? color.yellow : BearSig ? color.white :na)

plotshape(BullSig, title="BullSig", style=shape.triangleup, location=location.belowbar, color=color.lime, text=BullLabel)
plotshape(BearSig, title="BearSig", style=shape.triangledown, location=location.abovebar, color=color.red, text=BearLabel)

// alerts
alertcondition(BullSig, title='Bullish HA Alert', message='{{ticker}} - BullSig')
alertcondition(BearSig, title='Bearish HA Alert', message='{{ticker}} - BearSig')


// Variables for Trade Module
USDRiskPerTrade = input(defval=1, title="Fixed risk amount per trade in USD", type=input.integer) // Changing to $1 from $50
Leverage = input(1)
Min_Trade_Risk = 2*atr(14)
Max_Trade_Risk = 4*atr(14)
StatisticsVerticalOffset = 3*atr(14)
HideStatistics = input(false)
DisplayEquityCurve = input(false)
commission = input(title="Estimated commission per round-turn in USD", defval=0.2)
riskRewardRatio = input(defval=3.0, minval=0.0, title="Risk to Reward 1-to-")

///XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
/// Level definitions:
///XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
 
tradeactive = false
tradeactive := nz(tradeactive[1])
 
 
    // STOP Level:
StopLevel = 0.00000
StopLevel := nz(StopLevel[1])
 
    // Entry Level:
EntryLevel = 0.00000
EntryLevel := nz(EntryLevel[1])
 
    // TP Level:
TPLevel = 0.00000
TPLevel := nz(TPLevel[1])
 
    // Breakeven Level:
BELevel = 0.00000
BELevel := nz(BELevel[1])
 
    // stopdistance
stopdistance = 0.00000
stopdistance := nz(stopdistance[1])
 
    // TradeSizeInXBT
TradeSizeInXBT = 0.00000
TradeSizeInXBT := nz(TradeSizeInXBT[1])
 
    // TradeSizeInUSD
TradeSizeInUSD = 0
TradeSizeInUSD := nz(TradeSizeInUSD[1])
 
    //PositionMarginXBT
PositionMarginXBT = 0.00000
PositionMarginXBT := nz(PositionMarginXBT[1])
 
    //MaxPosMarginXBT
MaxPosMarginXBT = 0.00000
MaxPosMarginXBT := nz(MaxPosMarginXBT[1])
 
// Long and Short trade definitions:
//=============================================================
Longtradeactive = false
Longtradeactive := Longtradeactive[1]
 
Shorttradeactive = false
Shorttradeactive := Shorttradeactive[1]

longCondition = not Longtradeactive and BullSig
shortCondition = not Shorttradeactive and BearSig
//closelong = halow < min(halow[1],halow[2]) and (TenkanSen max(hahigh[1],hahigh[2]) and (TenkanSen>KijunSen or close>SenkouSpanA or close>KijunSen or close>SenkouSpanL or close>ChikouSpan)

// define plot settings for entry, stoploss and target
show_order_details = true
transparency = show_order_details ? 0 : 100
clr_entry = (longCondition or shortCondition) ? color.white : na
clr_stoploss = (longCondition or shortCondition) ? color.red : na
clr_target = (longCondition or shortCondition) ? color.lime : na
 

//============================================================
// Alerts for Trade opening
//============================================================
alertcondition(longCondition and not longCondition[1], title='Long', message='{{ticker}} LONG') // Original Code
alertcondition(shortCondition and not shortCondition[1], title='Short', message="{{ticker}} SHORT") // Original Code

//============================================================
//Plots for trade signal
//============================================================
 
Longtradetrigger = if (longCondition and not longCondition[1])
    StopLevel := min(low[1],low[2],low[3],low[4])-1
    EntryLevel := close[1]
    TPLevel := EntryLevel + (EntryLevel - StopLevel) * riskRewardRatio
    BELevel := (EntryLevel - StopLevel) + EntryLevel
    stopdistance := EntryLevel - StopLevel
    TradeSizeInXBT := USDRiskPerTrade / stopdistance
    TradeSizeInUSD := round(EntryLevel * TradeSizeInXBT)  //remove factor 1000 for live trading
    PositionMarginXBT := (round(100000 * TradeSizeInXBT / Leverage)) / 100000
    MaxPosMarginXBT := (round(100000 * USDRiskPerTrade / Min_Trade_Risk / Leverage)) / 100000
    tradeactive := true
    Longtradeactive := true

Shorttradetrigger = if (shortCondition and not shortCondition[1])
    StopLevel := max(high[1],high[2],high[3],high[4])+1
    EntryLevel := close[1]
    TPLevel := EntryLevel - (StopLevel - EntryLevel) * riskRewardRatio
    BELevel := EntryLevel - (StopLevel - EntryLevel)
    stopdistance := StopLevel - EntryLevel
    TradeSizeInXBT := USDRiskPerTrade / stopdistance
    TradeSizeInUSD := round(EntryLevel * TradeSizeInXBT)  //remove factor 1000 for live trading
    PositionMarginXBT := (round(100000 * TradeSizeInXBT / Leverage)) / 100000
    MaxPosMarginXBT := (round(100000 * USDRiskPerTrade / Min_Trade_Risk / Leverage)) / 100000
    tradeactive := true
    Shorttradeactive := true
 
// PLOT Triggers
plotshape(Longtradetrigger, title="GrimmHA long", style=shape.triangleup, location=location.belowbar, color=color.lime, text="LONG")
plotshape(Shorttradetrigger, title="GrimmHA short", style=shape.triangledown, location=location.abovebar, color=color.red, text="SHORT")
 

// Plot Levels:
pl1 = plot (StopLevel, title = "Stop", color=color.red)
pl2 = plot (EntryLevel, title = "Entry", color=color.white)
pl3 = plot (BELevel, title = "BE", color=color.blue)
pl4 = plot (TPLevel, title = "TP", color=color.green)
 
fill(pl1, pl2, color=color.red, transp=65)
fill(pl2, pl3, color=color.blue, transp=65)
fill(pl3, pl4, color=color.green, transp=65)
 
 //XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
// Define and plot conflicting candles:
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
   
// Subtypes of conflicting bars:
//-------------------------------------------------------------------------------------------------------
 
// Bartype 3a is a candle which crosses both BELevel and EntryLevel and has its close above the midline between BELevel and EntryLevel (longs)
// respecively has its close below the midline between BELevel and EntryLevel (shorts)
// In case of a Bartype 3a the logic shall NOT consider a trade as closed as break-even, but shall assume trade continuation with activated break-even-flag.
//-------------------------------------------------------------------------------------------------------
 
Bartype3_a_long = high > BELevel and high < TPLevel and low < EntryLevel and low > StopLevel and close > ((BELevel + EntryLevel)/2) and Longtradeactive
Bartype3_a_short = high > EntryLevel and high  < StopLevel and low < BELevel and low > TPLevel and close < ((BELevel + EntryLevel)/2) and Shorttradeactive
//barcolor(Bartype3_a_long or Bartype3_a_short? color.purple : na)
 
//Bartype3_a_Counter = 0    
//Bartype3_a_Counter := nz(Bartype3_a_Counter[1])
//if Bartype3_a_long or Bartype3_a_short
//    Bartype3_a_Counter := Bartype3_a_Counter + 1
 
// Bartype 4a is a candle which crosses TPLevel, BELevel and EntryLevel and has its close above BELevel (longs) respectively close below BELevel (shorts)
// In case of a Bartype 4a the logic shall consider a trade as closed winner and shall not assume trade as closed break-even.
//-------------------------------------------------------------------------------------------------------
 
Bartype4_a_long = high > TPLevel and low < EntryLevel and low > StopLevel and close > BELevel and Longtradeactive
Bartype4_a_short = high > EntryLevel and high < StopLevel and low < TPLevel and close < BELevel and Shorttradeactive
 
 
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
// Trade resolution:
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

// Target adjustment
//shorttpadjust = if((Shorttradeactive == true) and bullE)
//    y = 1

//if shorttpadjust == true
//    TPLevel := close-1

//longtpadjust = if((Longtradeactive == true) and bearE)
//    r = 1

//if longtpadjust == true
//    TPLevel := close+1

// Stop Adjustment

//shortstopleveladjust = if((Shorttradeactive == true) and (smma2 < StopLevel))
//    y = 1

//if shortstopleveladjust == true
//    StopLevel := smma2

//longstopleveladjust = if((Longtradeactive == true) and (smma2 > StopLevel))
//    r = 1

//if longstopleveladjust == true
//    StopLevel := smma2


// Breakeven activation
//-------------------------------------------------------------------------------------------------------
shorttradeBElevelactivation = (low < BELevel) and not (low < TPLevel)
longtradeBElevelactivation = (high > BELevel) and not (high> TPLevel)
 
Breakevenactive = false
Breakevenactive := nz(Breakevenactive[1])
 
if ((Shorttradeactive ==  true) and (shorttradeBElevelactivation == true))
    Breakevenactive := true
 
if ((Longtradeactive == true) and (longtradeBElevelactivation == true))
    Breakevenactive := true
   
// loss trades
//-------------------------------------------------------------------------------------------------------
 
PlotLossCounter = 0
LossShort = 0
LossLong = 0
 
PlotLossCounter := nz(PlotLossCounter[1])
LossShort := nz(LossShort[1])
LossLong := nz(LossLong[1])
 
plotlosshort = if ((Shorttradeactive == true) and (high > StopLevel) and (Breakevenactive == false))
    y = 1 // only required to make code work
 
plotchar(plotlosshort, char="X", location=location.abovebar, color=color.red, transp=0, offset=0, size=size.small)
 
if plotlosshort == true
    tradeactive := false
    Shorttradeactive := false
    Breakevenactive := false
    PlotLossCounter := PlotLossCounter + 1
    LossShort := LossShort +1
 
   
//plotlosshort := false
 
plotlosslong = if ((Longtradeactive == true) and (low < StopLevel) and (Breakevenactive == false))
    r = 1 // only required to make code work
   
plotchar(plotlosslong, char="X", location=location.belowbar, color=color.red, transp=0, offset=0, size=size.small)
 
if plotlosslong == true
    tradeactive := false
    Longtradeactive := false
    Breakevenactive := false
    PlotLossCounter := PlotLossCounter + 1
    LossLong := LossLong + 1
   
//plotlosslong := false
 
// Breakeven trades
//-------------------------------------------------------------------------------------------------------
 
PlotBreakEvenCounter = 0
PlotBreakEvenCounter := nz(PlotBreakEvenCounter[1])
BELong = 0
BELong := nz(BELong[1])
BEShort = 0
BEShort := nz(BEShort[1])
 
plotBreakevenshort = if ((Shorttradeactive ==  true) and (high > EntryLevel) and (Breakevenactive == true) and not Bartype3_a_short and not Bartype4_a_short)
    h = 1 // only required to make code work
   
plotchar(plotBreakevenshort, char="0", location=location.abovebar, color=color.blue, transp=0, offset=0, size=size.small)
 
if plotBreakevenshort == true
    tradeactive := false
    Shorttradeactive := false
    Breakevenactive := false
    PlotBreakEvenCounter := PlotBreakEvenCounter + 1
    BEShort := BEShort +1
 
//plotBreakevenshort := false
 
plotBreakevenlong = if ((Longtradeactive ==  true) and (low < EntryLevel) and (Breakevenactive == true) and not Bartype3_a_long and not Bartype4_a_long)
    e = 1 // only required to make code work
   
plotchar(plotBreakevenlong, char="0", location=location.belowbar, color=color.blue, transp=0, offset=0, size=size.small)
 
if plotBreakevenlong == true
    tradeactive := false
    Longtradeactive := false
    Breakevenactive := false
    PlotBreakEvenCounter := PlotBreakEvenCounter + 1
    BELong := BELong +1
   
//plotBreakevenlong := false
 
// Win trades
//-------------------------------------------------------------------------------------------------------
PlotWinCounter = 0
PlotWinCounter := nz(PlotWinCounter[1])
WinLong = 0
WinLong := nz(WinLong[1])
WinShort = 0
WinShort := nz(WinShort[1])
 
plotWinshort = if ((Shorttradeactive ==  true) and (low < TPLevel))
    n = 1  // only required to make code work
 
plotchar(plotWinshort, char="✓", location=location.belowbar, color=color.green, transp=0, offset=0, size=size.small)
 
if plotWinshort == true
    tradeactive := false
    Shorttradeactive := false
    Breakevenactive := false
    PlotWinCounter := PlotWinCounter + 1
    WinShort := WinShort +1
   
//plotWinshort := false
 
plotWinlong = if ((Longtradeactive ==  true) and (high > TPLevel))
    l = 1 // only required to make code work
 
plotchar(plotWinlong, char="✓", location=location.abovebar, color=color.green, transp=0, offset=0, size=size.small)
 
if plotWinlong == true
    tradeactive := false
    Longtradeactive := false
    Breakevenactive := false
    PlotWinCounter := PlotWinCounter + 1
    WinLong := WinLong +1
   
//plotWinlong := false
 
 
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
// Trade closing signals
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
 
// c=position e=bitmex-testnet t=market ro=1
// Original Code Below
// alertcondition(plotlosshort or plotlosslong or plotBreakevenshort or plotBreakevenlong, title='Lemon Close Trade BE or Stop', message='Lemon Close at BE or Stop')
// alertcondition(plotWinshort or plotWinlong, title='Lemon Close Trade Win', message='Lemon Win')
 
alertcondition(plotlosshort or plotlosslong or plotBreakevenshort or plotBreakevenlong, title='Lemon Close Trade BE or Stop', message="{{ticker}} Close")
alertcondition(plotWinshort or plotWinlong, title='Lemon Close Trade Win', message="{{ticker}} Take Profit")
 
EquityCurve = PlotWinCounter * 2 * USDRiskPerTrade - PlotLossCounter * USDRiskPerTrade - (PlotWinCounter + PlotLossCounter + PlotBreakEvenCounter) * commission
 
 
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
// Statistics
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
 
//if (plotWinlong or plotWinshort or plotBreakevenlong or plotBreakevenshort or plotlosslong or plotlosshort) and not HideStatistics
//    l = label.new(bar_index, high + StatisticsVerticalOffset, style=label.style_none, text="Win : " + tostring(PlotWinCounter)
//      + "\nLoss : " + tostring(PlotLossCounter) + "\nBE : " + tostring(PlotBreakEvenCounter),color = color.white, textcolor=color.white)
 
winpercent = round((PlotWinCounter/(PlotWinCounter+PlotLossCounter+PlotBreakEvenCounter)*100))
losspercent = round((PlotLossCounter/(PlotWinCounter+PlotLossCounter+PlotBreakEvenCounter)*100))
bepercent = round((PlotBreakEvenCounter/(PlotWinCounter+PlotLossCounter+PlotBreakEvenCounter)*100))
rrpercent = round((PlotWinCounter/(PlotWinCounter+PlotLossCounter))*100)
 
//if (plotWinlong or plotWinshort or plotBreakevenlong or plotBreakevenshort or plotlosslong or plotlosshort) and not HideStatistics
//    l = label.new(bar_index, high + StatisticsVerticalOffset, style=label.style_none, text="Win : " + tostring(PlotWinCounter) + " ("+ tostring(winpercent)+")% Long: " +tostring(WinLong) +" Short: "+ tostring(WinShort)
//      + "\nLoss : " + tostring(PlotLossCounter) +" ("+tostring(losspercent)+")%"+" Long: "+tostring(LossLong)+" Short: "+tostring(LossShort)+"\nBE : " + tostring(PlotBreakEvenCounter)+" ("+ tostring(bepercent)+")% Long: "+tostring(BELong)+" Short: "+tostring(BEShort),color = color.white, textcolor=color.white)

if (plotWinlong or plotWinshort or plotBreakevenlong or plotBreakevenshort or plotlosslong or plotlosshort) and not HideStatistics
    l = label.new(bar_index, high + StatisticsVerticalOffset, style=label.style_none, text="Win : " + tostring(PlotWinCounter) + " ("+ tostring(winpercent)+"%)"
      + "\nLoss : " + tostring(PlotLossCounter) +" ("+tostring(losspercent)+"%)" + "\nBE : " + tostring(PlotBreakEvenCounter)+" ("+ tostring(bepercent)+"%)" + "\nRate : " + tostring (rrpercent)+"%)",color = color.white, textcolor=color.white)
      

// The following line is in order to print the equity curve:
//-------------------------------------------------------------------------------------------------------
 
plot (DisplayEquityCurve == true ? EquityCurve : na, title = "Profit and Loss", color=color.yellow, linewidth=3, style=plot.style_line)