Trendsignal + Zig Zag Strategy

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © icewalk

//@version=4
strategy("trendsignal + zig zag strategy", overlay=true, margin_long=100, margin_short=100, default_qty_type=strategy.percent_of_equity, default_qty_value=50)

//---INPUT---

RISK = input(3, title="RISK", type=input.integer)
Alert_Delay_In_Seconds = input(0, title="Alert_Delay_In_Seconds", type=input.integer)
alertsOn = input(false, title="Включить оповещения?", type=input.bool)

//---INPUT END---

bool isBuy = na

int SSP = 9
var int PrevAlertTime = 0
var float alertBar = 0

var int K = na
float Range = 0
float AvgRange = 0
var float smin = na
var float smax = na
var float SsMax = na
var float SsMin = na
var float price = na
var bool uptrend = na
var bool old = false

// var int limit = bar_index - counted_bars
// if counted_bars == 0
int limit = 1 + SSP

K := 33 - RISK
for shift = limit to 0
    for i = shift to (shift + SSP)
        AvgRange += high[i] - low[i]
        
    Range := AvgRange / (SSP + 1)
    
    SsMax := high[shift]
    SsMin := low[shift]
    for i = shift to (shift + SSP - 1)
        price := high[i]
        if SsMax < price
            SsMax := price
        price := low[i]
        if SsMin > price
            SsMin := price
            
    smin := SsMin + (SsMax - SsMin)*K/100
    smax := SsMax - (SsMax - SsMin)*K/100
    
    if close[shift] < smin
        uptrend := false
    
    if close[shift] > smax
        uptrend := true
    
    if uptrend != old and uptrend == true
        
        if bar_index > alertBar and shift == 0
            isBuy := true
            alertBar := bar_index
            PrevAlertTime := time
    
    if uptrend != old and uptrend == false and (time - PrevAlertTime > 1 * Alert_Delay_In_Seconds)
        
        if bar_index > alertBar and shift == 0  and (time - PrevAlertTime > 1 * Alert_Delay_In_Seconds)
            isBuy := false
            alertBar := bar_index
            PrevAlertTime := time
    
    old := uptrend

plotshape(isBuy == true, title="Buy", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small)
plotshape(isBuy == false, title="Sell", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small)

//---trendsignal END---

dev_threshold = input(title="Deviation (%)", type=input.float, defval=5.0, minval=0.00001, maxval=100.0)
depth = input(title="Depth", type=input.integer, defval=10, minval=1)
line_color = input(title="Line Color", defval=#2962FF)
extend_to_last_bar = input(title="Extend to Last Bar", defval=true)
display_reversal_price = input(title="Display Reversal Price", defval=true)
display_cumulative_volume = input(title="Display Cumulative Volume", defval=true)
display_reversal_price_change = input(title="Display Reversal Price Change", defval=true, inline="price rev")
difference_price = input("Absolute", "", options=["Absolute", "Percent"], inline="price rev")

pivots(src, length, isHigh) =>
    p = nz(src[length])
    if length == 0
        [bar_index, p]
    else
        isFound = true
        for i = 0 to length - 1
            if isHigh and src[i] > p
                isFound := false
            if not isHigh and src[i] < p
                isFound := false
        for i = length + 1 to 2 * length
            if isHigh and src[i] >= p
                isFound := false
            if not isHigh and src[i] <= p
                isFound := false
        if isFound and length * 2 <= bar_index
            [bar_index[length], p]
        else
            [int(na), float(na)]
[iH, pH] = pivots(high, floor(depth / 2), true)
[iL, pL] = pivots(low, floor(depth / 2), false)

calc_dev(base_price, price) =>
    100 * (price - base_price) / base_price

price_rotation_aggregate(price_rotation, pLast, cum_volume) =>
    str = ""
    if display_reversal_price
        str += tostring(pLast, format.mintick) + " "
    if display_reversal_price_change
        str += price_rotation + " "
    if display_cumulative_volume
        str += "\n" + cum_volume
    str

caption(isHigh, iLast, pLast, price_rotation, cum_volume) =>
    price_rotation_str = price_rotation_aggregate(price_rotation, pLast, cum_volume)
    if display_reversal_price or display_reversal_price_change or display_cumulative_volume
        if not isHigh
            label.new(iLast, pLast, text=price_rotation_str, style=label.style_none, yloc=yloc.belowbar, textcolor=color.red)
        else
            label.new(iLast, pLast, text=price_rotation_str, style=label.style_none, yloc=yloc.abovebar, textcolor=color.green)

price_rotation_diff(pLast, price) =>
    if display_reversal_price_change
        tmp_calc = price - pLast
        str = difference_price == "Absolute"? (sign(tmp_calc) > 0? "+" : "") + tostring(tmp_calc, format.mintick) : (sign(tmp_calc) > 0? "+" : "-") + tostring((abs(tmp_calc) * 100)/pLast, format.percent)
        str := "(" + str  + ")"
        str
    else
        ""
volume_sum(index1, index2) =>
    float CVI = 0
    for i = index1 + 1 to index2
        CVI += volume[bar_index - i]
    tostring(CVI, format.volume)

var line lineLast = na
var label labelLast = na
var int iLast = 0
var float pLast = 0
var bool isHighLast = true // otherwise the last pivot is a low pivot
var int linesCount = 0

pivotFound(dev, isHigh, index, price) =>
    if isHighLast == isHigh and not na(lineLast)
        // same direction
        if isHighLast ? price > pLast : price < pLast
            if linesCount <= 1
                line.set_xy1(lineLast, index, price)
            line.set_xy2(lineLast, index, price)
            label.set_xy(labelLast, index, price)
            label.set_text(labelLast, price_rotation_aggregate(price_rotation_diff(line.get_y1(lineLast), price), price, volume_sum(line.get_x1(lineLast), index)))
            [lineLast, labelLast, isHighLast, false]
        else
            [line(na), label(na), bool(na), false]
    else // reverse the direction (or create the very first line)
        if na(lineLast)
            id = line.new(index, price, index, price, color=line_color, width=2)
            lb = caption(isHigh, index, price, price_rotation_diff(pLast, price), volume_sum(index, index))
            [id, lb, isHigh, true]
        else
            // price move is significant
            if abs(dev) >= dev_threshold
                id = line.new(iLast, pLast, index, price, color=line_color, width=2)
                lb = caption(isHigh, index, price, price_rotation_diff(pLast, price), volume_sum(iLast, index))
                [id, lb, isHigh, true]
            else
                [line(na), label(na), bool(na), false]


if not na(iH) and not na(iL) and iH == iL
    dev1 = calc_dev(pLast, pH)
    [id2, lb2, isHigh2, isNew2] = pivotFound(dev1, true, iH, pH)
    if isNew2
        linesCount := linesCount + 1
    if not na(id2)
        lineLast := id2
        labelLast := lb2
        isHighLast := isHigh2
        iLast := iH
        pLast := pH
    dev2 = calc_dev(pLast, pL)
    [id1, lb1, isHigh1, isNew1] = pivotFound(dev2, false, iL, pL)
    if isNew1
        linesCount := linesCount + 1
    if not na(id1)
        lineLast := id1
        labelLast := lb1
        isHighLast := isHigh1
        iLast := iL
        pLast := pL
else
    if not na(iH)
        dev1 = calc_dev(pLast, pH)
        [id, lb, isHigh, isNew] = pivotFound(dev1, true, iH, pH)
        if isNew
            linesCount := linesCount + 1
        if not na(id)
            lineLast := id
            labelLast := lb
            isHighLast := isHigh
            iLast := iH
            pLast := pH
    else
        if not na(iL)
            dev2 = calc_dev(pLast, pL)
            [id, lb, isHigh, isNew] = pivotFound(dev2, false, iL, pL)
            if isNew
                linesCount := linesCount + 1
            if not na(id)
                lineLast := id
                labelLast := lb
                isHighLast := isHigh
                iLast := iL
                pLast := pL

var line extend_line = na
var label extend_label = na
if extend_to_last_bar == true and barstate.islast == true
    isHighLastPoint = not isHighLast
    curSeries = isHighLastPoint ? high : low
    if na(extend_line) and na(extend_label)
        extend_line := line.new(line.get_x2(lineLast), line.get_y2(lineLast), bar_index, curSeries, color=line_color, width=2)
        extend_label := caption(not isHighLast, bar_index, curSeries,  price_rotation_diff(line.get_y2(lineLast), curSeries), volume_sum(line.get_x2(lineLast), bar_index))

    line.set_xy1(extend_line, line.get_x2(lineLast), line.get_y2(lineLast))
    line.set_xy2(extend_line, bar_index, curSeries)
    label.set_xy(extend_label, bar_index, curSeries)
    price_rotation = price_rotation_diff(line.get_y1(extend_line), curSeries)
    volume_cum = volume_sum(line.get_x1(extend_line), bar_index)
    label.set_text(extend_label, price_rotation_aggregate(price_rotation, curSeries, volume_cum))
    label.set_textcolor(extend_label, isHighLastPoint? color.green : color.red)
    label.set_yloc(extend_label, yloc= isHighLastPoint? yloc.abovebar : yloc.belowbar)

//---------------------

if isBuy == true and isHighLast
    strategy.entry("long", strategy.long)
    alert("BUY", alert.freq_once_per_bar)
if isBuy == false and not isHighLast
    strategy.entry("short", strategy.short)
    alert("SELL", alert.freq_once_per_bar)