nq-est-futres.txt

// @version=5
strategy("Try trading Future", shorttitle="Modify by Donald - Try trading Future", overlay=true, initial_capital = 5000, pyramiding = 1, default_qty_type = strategy.fixed, default_qty_value = 1, calc_on_every_tick = true, process_orders_on_close = false, use_bar_magnifier = false, commission_type = strategy.commission.cash_per_contract, commission_value = 0.82, slippage = 5)
max_bars_back(time, 5000)
strategy.risk.max_intraday_filled_orders(10)

////////////////////////////////////
fvgTT = 'The script displays the fair value gaps whose width is larger than a fixed-length atr (average true range) value multiplied by the value of the option.\n\n' + 
         'The option value set to 0 means no filtering is applied.\n\n' + 
         'Remark: no filtering will be applied for the first 144 (atr fixed-length) candles since the atr value won\'t be present'
fvgTH = input.float(.5, 'Fair Value Gap Width Filter', minval = 0, step = .1, tooltip = fvgTT)

fvgBC = input.color(color.new(#089981, 55), 'Bullish, Imbalance', inline = 'VA')
fvgAC = input.color(color.new(#787b86, 77), 'Mitigation', inline = 'VA')
fvgSC = input.color(color.new(#f23645, 55), 'Bearish, Imbalance', inline = 'VD')
fvgFC = input.color(color.new(#787b86, 77), 'Mitigation', inline = 'VD')

fvgPT = 'Displays percentage value of the mitigation area'
fvgPR = input.bool (true, 'Display Percentage of Mitigation', tooltip = fvgPT)

fvgFT = 'Toggles the visibility of the historical fair value gaps'
fvgVF = input.bool (true, 'Historical Fair Value Gaps', inline = 'FL', tooltip = fvgFT)

//-----------------------------------------------------------------------------}
// User Defined Types
//-----------------------------------------------------------------------------{

type bar
    float h = high
    float l = low
    float c = close
    int   i = bar_index

type FVG
    box  [] uFVG
    box  [] mFVG
    box  [] tFVG
    line [] lFVG

//-----------------------------------------------------------------------------}
// Variables
//-----------------------------------------------------------------------------{
bar b = bar.new()

var FVG fvg = FVG.new(
     array.new <box>  (na), 
     array.new <box>  (na), 
     array.new <box>  (na), 
     array.new <line> (na)
 )
var bool last = na 

//-----------------------------------------------------------------------------}
// Functions / Methods
//-----------------------------------------------------------------------------{
method clear(FVG _id, _h) =>
    arr = array.from(_id.uFVG.pop(), _id.mFVG.pop(), _id.tFVG.pop())

    if not _h
        for bx in arr
            bx.delete()
        _id.lFVG.pop().delete()
    else
        _id.lFVG.pop()
        na

method update(FVG _id, _h, _l, _p) =>

    cUB = _id.uFVG.get(0)
    tUB = cUB.get_top()
    bUB = cUB.get_bottom()

    cMB = _id.mFVG.get(0)
    tMB = cMB.get_top()
    bMB = cMB.get_bottom()

    cTB = _id.tFVG.get(0)

    cL  = _id.lFVG.get(0)

    if _h > bUB and _l < tUB
        if _p
            if _l > bUB
                cMB.set_bottom(math.min(_l, bMB))
                cUB.set_top(math.min(_l, bMB))

                if fvgPR
                    cTB.set_text("Bullish "+str.tostring((tMB - math.min(_l, bMB)) / (tMB - bUB), '#.#%'))
                    //cTB.set_text('Bullish')
            else
                cMB.set_bottom(bUB)
                cUB.set_top(bUB)

                cTB.set_text('Can Exit?')

                fvg.clear(fvgVF)

        else
            if _h < tUB
                cMB.set_top(math.max(_h, tMB))
                cUB.set_bottom(math.max(_h, tMB))

                if fvgPR
                    cTB.set_text("Bearish "+str.tostring((math.max(_h, tMB) - bMB) / (tUB - bMB), '#.#%'))
                    //cTB.set_text('Bearish')
            else
                cMB.set_top(tUB)
                cUB.set_bottom(tUB)

                cTB.set_text('Continue S')

                fvg.clear(fvgVF)

    cMB.set_right(b.i)
    cUB.set_right(b.i)
    cTB.set_right(b.i)
    cL.set_x2(b.i)

//-----------------------------------------------------------------------------}
// Calculations
//-----------------------------------------------------------------------------{
bullG = b.l > b.h[1]
bearG = b.h < b.l[1]

atr   = nz(ta.atr(144)) * fvgTH

bull  = (b.l - b.h[2]) > atr and b.l > b.h[2] and b.c[1] > b.h[2] and not (bullG or bullG[1])

//plotshape(bull ? low:na, title = 'BULL', style=shape.diamond, location=location.bottom, color=color.yellow, size=size.normal)

if bull 
    if fvg.uFVG.size() > 0
        fvg.clear(fvgVF)

    fvg.uFVG.push(box.new (b.i - 1, b.l, b.i, b.h[2], na, bgcolor = fvgBC))
    fvg.mFVG.push(box.new (b.i - 1, b.l, b.i, b.l   , na, bgcolor = fvgAC))
    fvg.tFVG.push(box.new (b.i - 1, b.l, b.i, b.h[2], na, bgcolor = color(na), text_color = chart.fg_color, text_size = size.small))
    fvg.lFVG.push(line.new(b.i - 1, b.h[2], b.i, b.h[2], color = fvgBC, width = 2))

    last := true

bear  = (b.l[2] - b.h) > atr and b.h < b.l[2] and b.c[1] < b.l[2] and not (bearG or bearG[1])

//plotshape(bear ? high:na, title = 'BEAR', style=shape.diamond, location=location.top, color=color.yellow, size=size.normal)

if bear
    if fvg.uFVG.size() > 0
        fvg.clear(fvgVF)

    fvg.uFVG.push(box.new (b.i - 1, b.l[2], b.i, b.h, na, bgcolor = fvgSC))
    fvg.mFVG.push(box.new (b.i - 1, b.h   , b.i, b.h, na, bgcolor = fvgFC))
    fvg.tFVG.push(box.new (b.i - 1, b.l[2], b.i, b.h, na, bgcolor = color(na), text_color = chart.fg_color, text_size = size.small))
    fvg.lFVG.push(line.new(b.i - 1, b.l[2], b.i, b.l[2], color = fvgSC, width = 2))

    last := false

if bullG or bearG
    if fvg.uFVG.size() > 0
        fvg.clear(fvgVF)

if fvg.uFVG.size() > 0
    fvg.update(b.h, b.l, last)

//-----------------------------------------------------------------------------}


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


// ===========================
// ==== Backtest Settings ====
// ===========================

var group1 = "Backtest Range"
fromMonth = input.int(defval = 1,    title = "From Month",  minval = 1, maxval = 12, inline = "1", group = group1)
fromDay   = input.int(defval = 1,    title = "Day",    minval = 1, maxval = 31, inline = "1", group = group1)
fromYear  = input.int(defval = 2018, title = "Year",   minval = 1970, inline = "1", group = group1)
thruMonth = input.int(defval = 1,    title = "To Month",  minval = 1, maxval = 12, inline = "2", group = group1)
thruDay   = input.int(defval = 1,    title = "Day",    minval = 1, maxval = 31, inline = "2", group = group1)
thruYear  = input.int(defval = 2300, title = "Year",   minval = 1970, inline = "2", group = group1)

// =====================
// ==== Trade Rules ====
// =====================

var group2 = "Trade Rules"
tradeTimes = input.session("0900-1455", title="Position Entry Window", group=group2)
minPrevDayVolume = input.int(defval = 1000, title = "Previous Day Volume Threshold", minval = 1, maxval = 10000000, tooltip = "The minimum contract volume from the previous day to allow trading for today.", group = group2)
defaultQty = input.int(defval=1, title="Default Contract Quantity", minval = 1, maxval = 10000000, step=1, group=group2, tooltip="The quantity of contracts to buy or sell for the entry. Note: If you have defined the Position size settings in your TradersPost subscription settings, this value is ignored.")
retestBars = input.int(defval=6, title="Close Above 8 EMA within X Bars", minval = 1, maxval = 10000000, step=1, group=group2, tooltip="When price retraces to the 55 EMA and closes above the 8 EMA, it must do so within a certain number of bars. The default is 6 bars.")
attachTrail = input.bool(false, title="Attach Broker Trailing Stop", group=group2, tooltip="When using alert() function calls only for your entry alert condition, the strategy will attach trailing stop instructions to your entry order so that the broker handles the trailing stop instead of the strategy. Note: Many brokers use the close price as the trailing stop source. If your trailing stop source is different than what the broker uses, the performance may differ.")

var group3 = "Long Entry Rules"
allow_long = input.bool(true, title="Allow Longs", group=group3)
longTrailPerc = input.float(title="Trail Long Loss (%)", minval=0.0, step=0.1, defval=0.75, group = group3) * 0.01
longTrailSrc = input.source(high, title="Trail Long Source", group=group3, tooltip = "Price to observe when lifting the trailing stop. Typically this is set to the close price. Note: This value is ignored if you attach the broker trailing stop.")

var group4 = "Short Entry Rules"
allow_short = input.bool(false, title="Allow Shorts", group=group4)
shortTrailPerc = input.float(title="Trail Short Loss (%)", minval=0.0, step=0.1, defval=1, group = group4) * 0.01
shortTrailSrc = input.source(low, title="Trail Short Source", group=group4, tooltip = "Price to observe when lowering the trailing stop. Typically this is set to the close price. Note: This value is ignored if you attach the broker trailing stop.")

InSession(sessionTimes) =>
    not na(time(timeframe.period, sessionTimes))

bgcolor(color=InSession(tradeTimes) ? color.new(color.green, 90) : color.new(color.white, 99))

// ============================
// ==== Indicator Settings ====
// ============================

var group5 = "Indicator Settings"
ema1len = input.int(8, minval=1, title="5m EMA 1 Length", group = group5)
ema2len = input.int(55, minval=1, title="5m EMA 2 Length", group = group5)
ema15len = input.int(165, minval=1, title="15m EMA Length", group = group5, tooltip = "Should be 3x the 5 minute 55 EMA length.")
src = input(close, title="EMA Source", group = group5)

show_pivot_labels = input.bool(false, title="Show Pivot Points", group = group5)

start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)            // backtest start  window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)            // backtest finish window
window()  => time >= start and time <= finish ? true : false           // create function "within window of time"

longStopPrice = 0.0, shortStopPrice = 0.0

volume_yesterday = request.security(syminfo.tickerid, "1D", volume[1])
plot(volume_yesterday, title = "Volume Yesterday", display = display.data_window)

//previous day low used to filter short side
yesterday_low = request.security(syminfo.tickerid, 'D', low[1])
plot(yesterday_low, title="Yesterday Low", display = display.data_window)

lengthGroupTitle = "LENGTH LEFT / RIGHT"
colorGroupTitle = "Text Color / Label Color"
leftLenH = input.int(title="Pivot High", defval=10, minval=1, inline="Pivot High", group=lengthGroupTitle)
rightLenH = input.int(title="/", defval=10, minval=1, inline="Pivot High", group=lengthGroupTitle)
textColorH = input(title="Pivot High", defval=color.black, inline="Pivot High", group=colorGroupTitle)
labelColorH = input(title="", defval=color.white, inline="Pivot High", group=colorGroupTitle)

leftLenL = input.int(title="Pivot Low", defval=10, minval=1, inline="Pivot Low", group=lengthGroupTitle)
rightLenL = input.int(title="/", defval=10, minval=1, inline="Pivot Low", group=lengthGroupTitle)
textColorL = input(title="Pivot Low", defval=color.black, inline="Pivot Low", group=colorGroupTitle)
labelColorL = input(title="", defval=color.white, inline="Pivot Low", group=colorGroupTitle)

// ================================
// ==== EMA Indicator Settings ====
// ================================

// set up ema 1 and 2
ema1 = ta.ema(src, ema1len)
ema2 = ta.ema(src, ema2len)
// check 15 minute EMA
ema15step = ta.ema(src, ema15len)

//establish direction (1 == long, 0 == short, -1 == no trade)
trade_direction = ema2 >= ema15step and ema1 > ema2 ? 1 : ema2 <= ema15step and ema1 < ema2 ? 0 : -1
plot(trade_direction, title="Trade Direction", display = display.data_window, color = color.blue)

//col = ema1 > ema15step ? color.lime : ema1 < ema15step ? color.red : color.yellow
col = trade_direction == 1 ? color.lime : trade_direction == 0 ? color.red : color.yellow
plot(ema1, title = "EMA Short", color=col, linewidth = 1, display = display.all)
plot(ema2, title = "EMA Long", color=col, linewidth = 2, display = display.all)
plot(ema15step, title = "15 Minute EMA", color=col, linewidth=3, style = plot.style_stepline, display = display.all)

// =======================
// ==== Trading Logic ====
// =======================

// direction change bars
direction_change_bars = ta.barssince(trade_direction != trade_direction[1])
//plot(direction_change_bars, title="direction_change_bars", display = display.data_window)
// last long or short direction
direction_long_bars = ta.barssince(trade_direction == 1)
direction_short_bars = ta.barssince(trade_direction == 0)
//plot(direction_long_bars, title="direction_long_bars", display = display.data_window)
//plot(direction_short_bars, title="direction_short_bars", display = display.data_window)

// must retest 55 ema within direction change window
long_ema2_retest_bars = ta.barssince(low < ema2)
//plot(long_ema2_retest_bars, title="long_ema2_retest_bars", display = display.data_window)
short_ema2_retest_bars = ta.barssince(high > ema2)
//plot(short_ema2_retest_bars, title="short_ema2_retest_bars", display = display.data_window)

// take trade above ema1 within 5 bars of 55 ema retest
long_close_above_ema1 = close > ema1 ? 1 : 0
long_close_crosses_ema1 = ta.crossover(close, ema1)
//plot(long_close_above_ema1, title="long_close_above_ema1", display = display.data_window)
short_close_below_ema1 = close < ema1 ? 1 : 0
//plot(short_close_below_ema1, title="short_close_below_ema1", display = display.data_window)

var float ph = na
var float ph1 = na
var float pl = na
var float pl1 = na

_ph = ta.pivothigh(leftLenH, rightLenH)
_pl = ta.pivotlow(leftLenL, rightLenL)

if (not na(_ph))
    ph1 := ph
    ph := _ph

if (not na(_pl))
    pl1 := pl
    pl := _pl

ph_bar = ta.barssince(not na(_ph)) + leftLenH + 1
//plot(ph_bar, title="ph_bar", display = display.data_window)

pl_bar = ta.barssince(not na(_pl)) + leftLenH + 1
//plot(pl_bar, title="pl_bar", display = display.data_window)

drawLabel(_offset, _pivot, _style, _color, _textColor) =>
    if not na(_pivot)
        label.new(bar_index[_offset], _pivot, str.tostring(_pivot, format.mintick), style=_style, color=_color, textcolor=_textColor, size=size.tiny)

if show_pivot_labels
    drawLabel(rightLenH, _ph, label.style_label_down, labelColorH, textColorH)
    drawLabel(rightLenL, _pl, label.style_label_up, labelColorL, textColorL)

// find recent high if higher than pivot
float rh = na
float rl = na
if (ph_bar > 0)
    rh := ta.highest(high, ph_bar)
if (pl_bar > 0)
    rl := ta.lowest(low, pl_bar)

retest_high = ta.valuewhen(high > ema2, high, 0)
retest_low = ta.valuewhen(low < ema2, low, 0)

bar_high1 = ta.highest(high, 20)
bar_high2 = ta.highest(high, 40)
bar_low1 = ta.lowest(low, 20)
bar_low2 = ta.lowest(low, 40)

//plot(retest_low, title="retest_low", display = display.data_window)
//plot(bar_high1, title="bar_high1", display = display.data_window)
//plot(bar_high2, title="bar_high2", display = display.data_window)
//plot(rh, title="rh", display = display.data_window)
//plot(_ph, title="_ph", display = display.data_window)
//plot(ph, title="ph", display = display.data_window)
//plot(ph1, title="ph1", display = display.data_window)

//plot(retest_high, title="retest_high", display = display.data_window)
//plot(bar_low1, title="bar_low1", display = display.data_window)
//plot(bar_low2, title="bar_low2", display = display.data_window)
//plot(rl, title="rl", display = display.data_window)
//plot(_pl, title="_pl", display = display.data_window)
//plot(pl, title="pl", display = display.data_window)
//plot(pl1, title="pl1", display = display.data_window)

long_ph_delta = (ph / ph1 - 1) * 100
//plot(long_ph_delta, title="long_ph_delta", display = display.data_window)

short_pl_delta = (pl / pl1 - 1) * 100
//plot(short_pl_delta, title="short_pl_delta", display = display.data_window)

// long recent high must be greater than previous high
// short recent low must be lower than previous low

BarsSinceLastEntry() =>
    bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1)

// fib calcs -----------------------------------------------

// levels: 0.000, 0.236, 0.382, 0.500, 0.618, 0.786, 0.886, 1.000
FibRetraceUp(lower, upper, level) =>
    upper * math.pow(lower/upper, level)
FibRetraceDown(upper, lower, level) =>
    lower * math.pow(upper/lower, level)
FibExtendUp(a, b, c, level) =>
    dist = b-a
    c + level * dist

// ema15step rule violation

all_emas_crossed_bars = ta.barssince(low < ema1 and low < ema2 and low < ema15step)
plot(all_emas_crossed_bars, title="all_emas_crossed_bars", display = display.data_window)

//long fib trade  ------------------------------------------

// plot(FibRetraceUp(pl, ph, 0.618), title="fib_entry")
// plot(FibRetraceUp(pl, ph, 1.2), title="fib_sl")
// plot(FibExtendUp(pl1, ph, pl, 1.2), title="fib_tp")

//plotchar(trade_direction != 0 and high < ema1 and high >= ema15step, "Wrong Pivot High", "⬇", location.abovebar, color.purple, size=size.normal)

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

HigherHighConfirmed(bar_high1, rh, ph, ph1) =>
    if (bar_high1 > rh and bar_high1 > ph)
        bar_high1 > ph1
    else if (rh > ph)
        rh > ph1
    else
        ph > ph1

higher_high_confirmed = HigherHighConfirmed(bar_high1, rh, ph, ph1) ? 1 : 0
//higher_high_confirmed = ten_bar_high > ph and ten_bar_high > ph1 ? 1 : 0
//higher_high_confirmed = bar_high1 > bar_high2 ? 1 : 0
//plot(higher_high_confirmed, "higher_high_confirmed", display = display.data_window)

LowerLowConfirmed(rl, pl, pl1) =>
    if (rl < pl)
        rl < pl1
    else
        pl < pl1

lower_low_confirmed = LowerLowConfirmed(rl, pl, pl1) ? 1 : 0
//plot(lower_low_confirmed, "lower_low_confirmed", display = display.data_window)

strat_pos_size = strategy.position_size
//plot(strat_pos_size, title="strat_pos_size", display = display.data_window)
//plot(strat_pos_size[1], title="prev_strat_pos_size", display = display.data_window)

// ===============================
// ==== Long Trade Conditions ====
// ===============================

// must meet volume condition
l_cond0 = volume_yesterday >= minPrevDayVolume
// must trade in session
l_cond1 = InSession(tradeTimes) and window()
//must be a long trade direction
l_cond2 = trade_direction == 1
//must have retested within the last x bars
l_cond3 = long_ema2_retest_bars >= 0 and long_ema2_retest_bars < retestBars
//must be closed above the ema1
l_cond4 = long_close_above_ema1 == 1
//now combined into one condition
long_condition = l_cond0 and l_cond1 and l_cond2 and l_cond3 and l_cond4 and bullG

plotchar(long_condition, "LONG ENTRY", "◆", location.abovebar, color.green, size = size.tiny)

if (allow_long == true and strategy.opentrades < defaultQty and long_condition and barstate.isconfirmed)
    
    alert('{' +str.format('"action": "Buy","quantity":{0},"price": {1},"stopLoss": {2}', defaultQty, close, attachTrail == true?longTrailPerc * 100:0)+'}', alert.freq_once_per_bar )
    strategy.entry("Long Entry", direction=strategy.long, qty=defaultQty)

// set up trailing stop for the long
longStopPrice := if (strategy.position_size > 0)
    stopValue = longTrailSrc * (1 - longTrailPerc)
    math.max(stopValue, longStopPrice[1])
else
    0

plot(series=(strategy.position_size > 0) ? longStopPrice : na, color=color.fuchsia, style=plot.style_cross, linewidth=1, title="Long Trail Stop")


// Trailing stop signal is sent to TradersPost. Be sure your alert uses "alert() function calls only"
// for this to function properly.
if (attachTrail == false and strat_pos_size[1] > 0 and strat_pos_size == 0 and low <= longStopPrice[1])
    alert('{' +str.format('"action": "Exit","price": {0}', close)+'}', alert.freq_once_per_bar )
    
// Trailing stop signal is sent to TradingView's backtest.
if (strategy.position_size > 0)
    strategy.exit(id="Trailing Exit", stop=longStopPrice)

// Close the long positions if the direction indictator flips to bearish.
// An exit signal is sent to TradersPost to cancel any existing stop orders and exit the position.
// If you attached the broker trailing stop, that order will be cancelled.
if (strategy.opentrades > 0 and strategy.opentrades.size(0) > 0 and trade_direction == 0 and barstate.isconfirmed)
    strategy.close_all("Direction Exit")
    alert('{' +str.format('"action": "Exit","price": {0}', close)+'}', alert.freq_once_per_bar )
    
// ================================
// ==== Short Trade Conditions ====
// ================================

// must meet volume condition
s_cond0 = volume_yesterday >= minPrevDayVolume
// must trade in session
s_cond1 = InSession(tradeTimes) and window()
// must be a short trade direction
s_cond2 = trade_direction == 0
// must have retested in the last x bars
s_cond3 = short_ema2_retest_bars >= 0 and short_ema2_retest_bars < retestBars
// must close below the ema1
s_cond4 = short_close_below_ema1 == 1
// close must be inside the previous day high and low range
s_cond5 = close >= yesterday_low
//now combined into one condition
short_condition = s_cond0 and s_cond1 and s_cond2 and s_cond3 and s_cond4 and s_cond5 and bearG

plotchar(short_condition, "SHORT ENTRY", "◆", location.belowbar, color.red, size = size.tiny)

if (allow_short == true and strategy.opentrades < defaultQty and short_condition and barstate.isconfirmed)
    alert('{' +str.format('"action": "Sell","quantity":{0},"price": {2},"stopLoss": {3}', defaultQty, close, attachTrail == true?shortTrailPerc * 100:0)+'}', alert.freq_once_per_bar )
    
    strategy.entry("Short Entry", direction=strategy.short, qty=defaultQty)


// set up trailing stop for the short
shortStopPrice := if (strategy.position_size < 0)
    stopValue = shortTrailSrc * (1 + shortTrailPerc)
    math.min(stopValue, shortStopPrice[1])
else
    9999999

plot(series=(strategy.position_size < 0) ? shortStopPrice : na, color=color.fuchsia, style=plot.style_cross, linewidth=1, title="Short Trail Stop")

// Trailing stop signal is sent to TradersPost. Be sure your alert uses "alert() function calls only"
// for this to function properly.
if (attachTrail == false and strat_pos_size[1] < 0 and strat_pos_size == 0 and high >= shortStopPrice[1])
    alert('{' +str.format('"action": "Exit","price": {0}', close)+'}', alert.freq_once_per_bar )
    
// Trailing stop signal is sent to TradingView's backtest.
if (strategy.position_size < 0)
    strategy.exit(id="Trailing Exit", stop=shortStopPrice)

// Close the short positions if the direction indictator flips to bullish.
// An exit signal is sent to TradersPost to cancel any existing stop orders and exit the position.
// If you attached the broker trailing stop, that order will be cancelled.
if (strategy.opentrades > 0 and strategy.opentrades.size(0) < 0 and trade_direction == 1 and barstate.isconfirmed)
    strategy.close_all("Direction Exit")
    alert('{' +str.format('"action": "Exit","price": {0}', close)+'}', alert.freq_once_per_bar )