SuperTrend Strategy

//@version=4
strategy("SuperTrend Strategy", overlay=true, default_qty_value=5, currency=currency.USD, default_qty_type=strategy.percent_of_equity, initial_capital=10000, max_bars_back=4000)

//===== TIMEFRAME ==========================================================================//

from_month = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
from_day = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
from_year = input(defval = 2019, title = "From Year", minval = 2017)
to_month = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
to_day = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
to_year = input(defval = 9999, title = "To Year", minval = 2017)
start = timestamp(from_year, from_month, from_day, 00, 00)

finish = timestamp(to_year, to_month, to_day, 23, 59)
window() => time >= start and time <= finish ? true : false

//===== INPUTS ==========================================================================//

factor = input(3, title="ATR Factor")
period = input(10, minval = 1, maxval = 100, title="ATR Period")
up = (high + low) / 2 - (factor * atr(period))
down = (high + low) / 2 + (factor * atr(period))
trend_up = 0.0
trend_up := close[1] > trend_up[1] ? max(up, trend_up[1]) : up
trend_down = 0.0
trend_down := close[1] < trend_down[1] ? min(down, trend_down[1]) : down
trend = 0.0
trend := close > trend_down[1] ? 1 : close < trend_up[1] ? -1 : nz(trend[1], 1)
tsl = trend == 1 ? trend_up : trend_down
line_color = trend == 1 ? "green" : "red"
long_signal = trend == 1 and trend[1] == -1
short_signal = trend == -1 and trend[1] == 1
background = input(title = "Background On/Off ?", type = input.bool, defval = true)

use_sl = input(title = "Use Stop Loss ?", type = input.bool, defval = false)
initial_sl_pct = input(defval = 15.0, minval = 0.0, title="Stop Loss %")

//===== PLOTS ==========================================================================//

// Line
line_plot = plot(tsl, color = trend == 1 ? color.green : color.red, linewidth = 2, title = "Trend Line")
// Labels
plotshape(long_signal and window() ? up : na, title = "Buy", text = "Buy", location = location.absolute, style = shape.labelup, size = size.tiny, color = color.green, textcolor = color.white, transp = 0)
plotshape(short_signal and window() ? down : na, title = "Sell", text = "Sell", location = location.absolute, style = shape.labeldown, size = size.tiny, color = color.red, textcolor = color.white, transp = 0)
// Circles
plotshape(long_signal and window() ? up : na, title = "Uptrend starts", location = location.absolute, style = shape.circle, size = size.tiny, color = color.green, transp = 0)
plotshape(short_signal and window() ? down : na, title = "Downtrend starts", location = location.absolute, style = shape.circle, size = size.tiny, color = color.red, transp = 0)
// Background
long_fill = background ? (trend == 1 ? color.green : na) : na
short_fill = background ? (trend == -1 ? color.red : na) : na
candle_plot = plot(ohlc4, title = "Price Line", color = trend == 1 ? long_fill : short_fill, transp = 90, linewidth = 2)
fill(candle_plot, line_plot, title = "Long Background", color = long_fill)
fill(candle_plot, line_plot, title = "Short Background", color = short_fill)

//===== GLOBAL ==========================================================================//

var entry_price = 0.0
var updated_entry_price = 0.0
var sl_price = 0.0

has_open_trade() => strategy.position_size != 0
has_no_open_trade() => strategy.position_size == 0

is_long() => strategy.position_size > 0 ? true : false
is_short() => strategy.position_size < 0 ? true : false

plot(use_sl ? has_no_open_trade() ? close : sl_price : na, color = has_no_open_trade() ? na : color.blue, title = "Stop Loss")

strategy_close() =>
    if (is_long())
        strategy.close("Long")
    if (is_short())
        strategy.close("Short")

strategy_long() =>
    strategy.entry("Long", strategy.long)

strategy_short() =>
    strategy.entry("Short", strategy.short)

sl_pct = initial_sl_pct
if (long_signal or is_long() and not (short_signal or is_short()))
    sl_pct := initial_sl_pct * -1

//===== STRATEGY ==========================================================================//

crossed_sl = false
if (is_long() and use_sl)
    crossed_sl := close <= sl_price
if (is_short() and use_sl)
    crossed_sl := close >= sl_price

terminate_operation = window() and has_open_trade() and crossed_sl

if (terminate_operation and not (long_signal or short_signal)) // Do not close position if trend is flipping anyways.
    entry_price := 0.0
    updated_entry_price := entry_price
    sl_price := 0.0
    strategy_close()

start_operation = window() and (long_signal or short_signal)

if (start_operation)
    entry_price := close
    updated_entry_price := entry_price
    sl_price := entry_price + (entry_price * sl_pct) / 100
    if (long_signal)
        strategy_long()
    if (short_signal)
        strategy_short()

//===== TRAILING ==========================================================================//

if (is_long() and use_sl)
    strategy_pct = (close - updated_entry_price) / updated_entry_price * 100.00
    if (strategy_pct > 1)
        sl_pct := sl_pct + strategy_pct - 1.0
        new_sl_price = updated_entry_price + (updated_entry_price * sl_pct) / 100
        sl_price := max(sl_price, new_sl_price)
        updated_entry_price := sl_price

if (is_short() and use_sl)
    strategy_pct = (close - updated_entry_price) / updated_entry_price * 100.00
    if (strategy_pct < -1)
        sl_pct := sl_pct + strategy_pct + 1.0
        new_sl_price = updated_entry_price + (updated_entry_price * sl_pct) / 100
        sl_price := min(sl_price, new_sl_price)
        updated_entry_price := sl_price