Mulakan

Cari dalam skrip untuk "entry"

MFI Divergence v2Edited the RSI div indicator by Libertus to use MFI & show on candles. V2 update filters the divs using stochastic oversold & overbought & removes the lagging signals (they were offset back by 1 bar). Default settings were tuned for xbtusd 1hr; works well if after a signal you wait for a stochastic indicator to stop being oversold or overbought, so if eg. you see a cluster of sell signals at a top, wait for the stoch to cross below 80 before entry. Please backtest before trading with this, DYOR NFA GLHF!
Penunjuk Pine Script®
oleh matt_b
17
Backtesting & Trading Engine [PineCoders]The PineCoders Backtesting and Trading Engine is a sophisticated framework with hybrid code that can run as a study to generate alerts for automated or discretionary trading while simultaneously providing backtest results. It can also easily be converted to a TradingView strategy in order to run TV backtesting. The Engine comes with many built-in strats for entries, filters, stops and exits, but you can also add you own. If, like any self-respecting strategy modeler should, you spend a reasonable amount of time constantly researching new strategies and tinkering, our hope is that the Engine will become your inseparable go-to tool to test the validity of your creations, as once your tests are conclusive, you will be able to run this code as a study to generate the alerts required to put it in real-world use, whether for discretionary trading or to interface with an execution bot/app. You may also find the backtesting results the Engine produces in study mode enough for your needs and spend most of your time there, only occasionally converting to strategy mode in order to backtest using TV backtesting. As you will quickly grasp when you bring up this script’s Settings, this is a complex tool. While you will be able to see results very quickly by just putting it on a chart and using its built-in strategies, in order to reap the full benefits of the PineCoders Engine, you will need to invest the time required to understand the subtleties involved in putting all its potential into play. Disclaimer: use the Engine at your own risk. Before we delve in more detail, here’s a bird’s eye view of the Engine’s features: More than 40 built-in strategies, Customizable components, Coupling with your own external indicator, Simple conversion from Study to Strategy modes, Post-Exit analysis to search for alternate trade outcomes, Use of the Data Window to show detailed bar by bar trade information and global statistics, including some not provided by TV backtesting, Plotting of reminders and generation of alerts on in-trade events. By combining your own strats to the built-in strats supplied with the Engine, and then tuning the numerous options and parameters in the Inputs dialog box, you will be able to play what-if scenarios from an infinite number of permutations. USE CASES You have written an indicator that provides an entry strat but it’s missing other components like a filter and a stop strategy. You add a plot in your indicator that respects the Engine’s External Signal Protocol, connect it to the Engine by simply selecting your indicator’s plot name in the Engine’s Settings/Inputs and then run tests on different combinations of entry stops, in-trade stops and profit taking strats to find out which one produces the best results with your entry strat. You are building a complex strategy that you will want to run as an indicator generating alerts to be sent to a third-party execution bot. You insert your code in the Engine’s modules and leverage its trade management code to quickly move your strategy into production. You have many different filters and want to explore results using them separately or in combination. Integrate the filter code in the Engine and run through different permutations or hook up your filtering through the external input and control your filter combos from your indicator. You are tweaking the parameters of your entry, filter or stop strat. You integrate it in the Engine and evaluate its performance using the Engine’s statistics. You always wondered what results a random entry strat would yield on your markets. You use the Engine’s built-in random entry strat and test it using different combinations of filters, stop and exit strats. You want to evaluate the impact of fees and slippage on your strategy. You use the Engine’s inputs to play with different values and get immediate feedback in the detailed numbers provided in the Data Window. You just want to inspect the individual trades your strategy generates. You include it in the Engine and then inspect trades visually on your charts, looking at the numbers in the Data Window as you move your cursor around. You have never written a production-grade strategy and you want to learn how. Inspect the code in the Engine; you will find essential components typical of what is being used in actual trading systems. You have run your system for a while and have compiled actual slippage information and your broker/exchange has updated his fees schedule. You enter the information in the Engine and run it on your markets to see the impact this has on your results. FEATURES Before going into the detail of the Inputs and the Data Window numbers, here’s a more detailed overview of the Engine’s features. Built-in strats The engine comes with more than 40 pre-coded strategies for the following standard system components: Entries, Filters, Entry stops, 2 stage in-trade stops with kick-in rules, Pyramiding rules, Hard exits. While some of the filter and stop strats provided may be useful in production-quality systems, you will not devise crazy profit-generating systems using only the entry strats supplied; that part is still up to you, as will be finding the elusive combination of components that makes winning systems. The Engine will, however, provide you with a solid foundation where all the trade management nitty-gritty is handled for you. By binding your custom strats to the Engine, you will be able to build reliable systems of the best quality currently allowed on the TV platform. On-chart trade information As you move over the bars in a trade, you will see trade numbers in the Data Window change at each bar. The engine calculates the P&L at every bar, including slippage and fees that would be incurred were the trade exited at that bar’s close. If the trade includes pyramided entries, those will be taken into account as well, although for those, final fees and slippage are only calculated at the trade’s exit. You can also see on-chart markers for the entry level, stop positions, in-trade special events and entries/exits (you will want to disable these when using the Engine in strategy mode to see TV backtesting results). Customization You can couple your own strats to the Engine in two ways: 1. By inserting your own code in the Engine’s different modules. The modular design should enable you to do so with minimal effort by following the instructions in the code. 2. By linking an external indicator to the engine. After making the proper selections in the engine’s Settings and providing values respecting the engine’s protocol, your external indicator can, when the Engine is used in Indicator mode only: Tell the engine when to enter long or short trades, but let the engine’s in-trade stop and exit strats manage the exits, Signal both entries and exits, Provide an entry stop along with your entry signal, Filter other entry signals generated by any of the engine’s entry strats. Conversion from strategy to study TradingView strategies are required to backtest using the TradingView backtesting feature, but if you want to generate alerts with your script, whether for automated trading or just to trigger alerts that you will use in discretionary trading, your code has to run as a study since, for the time being, strategies can’t generate alerts. From hereon we will use indicator as a synonym for study. Unless you want to maintain two code bases, you will need hybrid code that easily flips between strategy and indicator modes, and your code will need to restrict its use of strategy() calls and their arguments if it’s going to be able to run both as an indicator and a strategy using the same trade logic. That’s one of the benefits of using this Engine. Once you will have entered your own strats in the Engine, it will be a matter of commenting/uncommenting only four lines of code to flip between indicator and strategy modes in a matter of seconds. Additionally, even when running in Indicator mode, the Engine will still provide you with precious numbers on your individual trades and global results, some of which are not available with normal TradingView backtesting. Post-Exit Analysis for alternate outcomes (PEA) While typical backtesting shows results of trade outcomes, PEA focuses on what could have happened after the exit. The intention is to help traders get an idea of the opportunity/risk in the bars following the trade in order to evaluate if their exit strategies are too aggressive or conservative. After a trade is exited, the Engine’s PEA module continues analyzing outcomes for a user-defined quantity of bars. It identifies the maximum opportunity and risk available in that space, and calculates the drawdown required to reach the highest opportunity level post-exit, while recording the number of bars to that point. Typically, if you can’t find opportunity greater than 1X past your trade using a few different reasonable lengths of PEA, your strategy is doing pretty good at capturing opportunity. Remember that 100% of opportunity is never capturable. If, however, PEA was finding post-trade maximum opportunity of 3 or 4X with average drawdowns of 0.3 to those areas, this could be a clue revealing your system is exiting trades prematurely. To analyze PEA numbers, you can uncomment complete sets of plots in the Plot module to reveal detailed global and individual PEA numbers. Statistics The Engine provides stats on your trades that TV backtesting does not provide, such as: Average Profitability Per Trade (APPT), aka statistical expectancy, a crucial value. APPT per bar, Average stop size, Traded volume . It also shows you on a trade-by-trade basis, on-going individual trade results and data. In-trade events In-trade events can plot reminders and trigger alerts when they occur. The built-in events are: Price approaching stop, Possible tops/bottoms, Large stop movement (for discretionary trading where stop is moved manually), Large price movements. Slippage and Fees Even when running in indicator mode, the Engine allows for slippage and fees to be included in the logic and test results. Alerts The alert creation mechanism allows you to configure alerts on any combination of the normal or pyramided entries, exits and in-trade events. Backtesting results A few words on the numbers calculated in the Engine. Priority is given to numbers not shown in TV backtesting, as you can readily convert the script to a strategy if you need them. We have chosen to focus on numbers expressing results relative to X (the trade’s risk) rather than in absolute currency numbers or in other more conventional but less useful ways. For example, most of the individual trade results are not shown in percentages, as this unit of measure is often less meaningful than those expressed in units of risk (X). A trade that closes with a +25% result, for example, is a poor outcome if it was entered with a -50% stop. Expressed in X, this trade’s P&L becomes 0.5, which provides much better insight into the trade’s outcome. A trade that closes with a P&L of +2X has earned twice the risk incurred upon entry, which would represent a pre-trade risk:reward ratio of 2. The way to go about it when you think in X’s and that you adopt the sound risk management policy to risk a fixed percentage of your account on each trade is to equate a currency value to a unit of X. E.g. your account is 10K USD and you decide you will risk a maximum of 1% of it on each trade. That means your unit of X for each trade is worth 100 USD. If your APPT is 2X, this means every time you risk 100 USD in a trade, you can expect to make, on average, 200 USD. By presenting results this way, we hope that the Engine’s statistics will appeal to those cognisant of sound risk management strategies, while gently leading traders who aren’t, towards them. We trade to turn in tangible profits of course, so at some point currency must come into play. Accordingly, some values such as equity, P&L, slippage and fees are expressed in currency. Many of the usual numbers shown in TV backtests are nonetheless available, but they have been commented out in the Engine’s Plot module. Position sizing and risk management All good system designers understand that optimal risk management is at the very heart of all winning strategies. The risk in a trade is defined by the fraction of current equity represented by the amplitude of the stop, so in order to manage risk optimally on each trade, position size should adjust to the stop’s amplitude. Systems that enter trades with a fixed stop amplitude can get away with calculating position size as a fixed percentage of current equity. In the context of a test run where equity varies, what represents a fixed amount of risk translates into different currency values. Dynamically adjusting position size throughout a system’s life is optimal in many ways. First, as position sizing will vary with current equity, it reproduces a behavioral pattern common to experienced traders, who will dial down risk when confronted to poor performance and increase it when performance improves. Second, limiting risk confers more predictability to statistical test results. Third, position sizing isn’t just about managing risk, it’s also about maximizing opportunity. By using the maximum leverage (no reference to trading on margin here) into the trade that your risk management strategy allows, a dynamic position size allows you to capture maximal opportunity. To calculate position sizes using the fixed risk method, we use the following formula: Position = Account * MaxRisk% / Stop% [, which calculates a position size taking into account the trade’s entry stop so that if the trade is stopped out, 100 USD will be lost. For someone who manages risk this way, common instructions to invest a certain percentage of your account in a position are simply worthless, as they do not take into account the risk incurred in the trade. The Engine lets you select either the fixed risk or fixed percentage of equity position sizing methods. The closest thing to dynamic position sizing that can currently be done with alerts is to use a bot that allows syntax to specify position size as a percentage of equity which, while being dynamic in the sense that it will adapt to current equity when the trade is entered, does not allow us to modulate position size using the stop’s amplitude. Changes to alerts are on the way which should solve this problem. In order for you to simulate performance with the constraint of fixed position sizing, the Engine also offers a third, less preferable option, where position size is defined as a fixed percentage of initial capital so that it is constant throughout the test and will thus represent a varying proportion of current equity. Let’s recap. The three position sizing methods the Engine offers are: 1. By specifying the maximum percentage of risk to incur on your remaining equity, so the Engine will dynamically adjust position size for each trade so that, combining the stop’s amplitude with position size will yield a fixed percentage of risk incurred on current equity, 2. By specifying a fixed percentage of remaining equity. Note that unless your system has a fixed stop at entry, this method will not provide maximal risk control, as risk will vary with the amplitude of the stop for every trade. This method, as the first, does however have the advantage of automatically adjusting position size to equity. It is the Engine’s default method because it has an equivalent in TV backtesting, so when flipping between indicator and strategy mode, test results will more or less correspond. 3. By specifying a fixed percentage of the Initial Capital. While this is the least preferable method, it nonetheless reflects the reality confronted by most system designers on TradingView today. In this case, risk varies both because the fixed position size in initial capital currency represents a varying percentage of remaining equity, and because the trade’s stop amplitude may vary, adding another variability vector to risk. Note that the Engine cannot display equity results for strategies entering trades for a fixed amount of shares/contracts at a variable price. SETTINGS/INPUTS Because the initial text first published with a script cannot be edited later and because there are just too many options, the Engine’s Inputs will not be covered in minute detail, as they will most certainly evolve. We will go over them with broad strokes; you should be able to figure the rest out. If you have questions, just ask them here or in the PineCoders Telegram group. Display The display header’s checkbox does nothing. For the moment, only one exit strategy uses a take profit level, so only that one will show information when checking “Show Take Profit Level”. Entries You can activate two simultaneous entry strats, each selected from the same set of strats contained in the Engine. If you select two and they fire simultaneously, the main strat’s signal will be used. The random strat in each list uses a different seed, so you will get different results from each. The “Filter transitions” and “Filter states” strats delegate signal generation to the selected filter(s). “Filter transitions” signals will only fire when the filter transitions into bull/bear state, so after a trade is stopped out, the next entry may take some time to trigger if the filter’s state does not change quickly. When you choose “Filter states”, then a new trade will be entered immediately after an exit in the direction the filter allows. If you select “External Indicator”, your indicator will need to generate a +2/-2 (or a positive/negative stop value) to enter a long/short position, providing the selected filters allow for it. If you wish to use the Engine’s capacity to also derive the entry stop level from your indicator’s signal, then you must explicitly choose this option in the Entry Stops section. Filters You can activate as many filters as you wish; they are additive. The “Maximum stop allowed on entry” is an important component of proper risk management. If your system has an average 3% stop size and you need to trade using fixed position sizes because of alert/execution bot limitations, you must use this filter because if your system was to enter a trade with a 15% stop, that trade would incur 5 times the normal risk, and its result would account for an abnormally high proportion in your system’s performance. Remember that any filter can also be used as an entry signal, either when it changes states, or whenever no trade is active and the filter is in a bull or bear mode. Entry Stops An entry stop must be selected in the Engine, as it requires a stop level before the in-trade stop is calculated. Until the selected in-trade stop strat generates a stop that comes closer to price than the entry stop (or respects another one of the in-trade stops kick in strats), the entry stop level is used. It is here that you must select “External Indicator” if your indicator supplies a +price/-price value to be used as the entry stop. A +price is expected for a long entry and a -price value will enter a short with a stop at price. Note that the price is the absolute price, not an offset to the current price level. In-Trade Stops The Engine comes with many built-in in-trade stop strats. Note that some of them share the “Length” and “Multiple” field, so when you swap between them, be sure that the length and multiple in use correspond to what you want for that stop strat. Suggested defaults appear with the name of each strat in the dropdown. In addition to the strat you wish to use, you must also determine when it kicks in to replace the initial entry’s stop, which is determined using different strats. For strats where you can define a positive or negative multiple of X, percentage or fixed value for a kick-in strat, a positive value is above the trade’s entry fill and a negative one below. A value of zero represents breakeven. Pyramiding What you specify in this section are the rules that allow pyramiding to happen. By themselves, these rules will not generate pyramiding entries. For those to happen, entry signals must be issued by one of the active entry strats, and conform to the pyramiding rules which act as a filter for them. The “Filter must allow entry” selection must be chosen if you want the usual system’s filters to act as additional filtering criteria for your pyramided entries. Hard Exits You can choose from a variety of hard exit strats. Hard exits are exit strategies which signal trade exits on specific events, as opposed to price breaching a stop level in In-Trade Stops strategies. They are self-explanatory. The last one labelled When Take Profit Level (multiple of X) is reached is the only one that uses a level, but contrary to stops, it is above price and while it is relative because it is expressed as a multiple of X, it does not move during the trade. This is the level called Take Profit that is show when the “Show Take Profit Level” checkbox is checked in the Display section. While stops focus on managing risk, hard exit strategies try to put the emphasis on capturing opportunity. Slippage You can define it as a percentage or a fixed value, with different settings for entries and exits. The entry and exit markers on the chart show the impact of slippage on the entry price (the fill). Fees Fees, whether expressed as a percentage of position size in and out of the trade or as a fixed value per in and out, are in the same units of currency as the capital defined in the Position Sizing section. Fees being deducted from your Capital, they do not have an impact on the chart marker positions. In-Trade Events These events will only trigger during trades. They can be helpful to act as reminders for traders using the Engine as assistance to discretionary trading. Post-Exit Analysis It is normally on. Some of its results will show in the Global Numbers section of the Data Window. Only a few of the statistics generated are shown; many more are available, but commented out in the Plot module. Date Range Filtering Note that you don’t have to change the dates to enable/diable filtering. When you are done with a specific date range, just uncheck “Date Range Filtering” to disable date filtering. Alert Triggers Each selection corresponds to one condition. Conditions can be combined into a single alert as you please. Just be sure you have selected the ones you want to trigger the alert before you create the alert. For example, if you trade in both directions and you want a single alert to trigger on both types of exits, you must select both “Long Exit” and “Short Exit” before creating your alert. Once the alert is triggered, these settings no longer have relevance as they have been saved with the alert. When viewing charts where an alert has just triggered, if your alert triggers on more than one condition, you will need the appropriate markers active on your chart to figure out which condition triggered the alert, since plotting of markers is independent of alert management. Position sizing You have 3 options to determine position size: 1. Proportional to Stop -> Variable, with a cap on size. 2. Percentage of equity -> Variable. 3. Percentage of Initial Capital -> Fixed. External Indicator This is where you connect your indicator’s plot that will generate the signals the Engine will act upon. Remember this only works in Indicator mode. DATA WINDOW INFORMATION The top part of the window contains global numbers while the individual trade information appears in the bottom part. The different types of units used to express values are: curr: denotes the currency used in the Position Sizing section of Inputs for the Initial Capital value. quote: denotes quote currency, i.e. the value the instrument is expressed in, or the right side of the market pair (USD in EURUSD ). X: the stop’s amplitude, itself expressed in quote currency, which we use to express a trade’s P&L, so that a trade with P&L=2X has made twice the stop’s amplitude in profit. This is sometimes referred to as R, since it represents one unit of risk. It is also the unit of measure used in the APPT, which denotes expected reward per unit of risk. X%: is also the stop’s amplitude, but expressed as a percentage of the Entry Fill. The numbers appearing in the Data Window are all prefixed: “ALL:” the number is the average for all first entries and pyramided entries. ”1ST:” the number is for first entries only. ”PYR:” the number is for pyramided entries only. ”PEA:” the number is for Post-Exit Analyses Global Numbers Numbers in this section represent the results of all trades up to the cursor on the chart. Average Profitability Per Trade (X): This value is the most important gauge of your strat’s worthiness. It represents the returns that can be expected from your strat for each unit of risk incurred. E.g.: your APPT is 2.0, thus for every unit of currency you invest in a trade, you can on average expect to obtain 2 after the trade. APPT is also referred to as “statistical expectancy”. If it is negative, your strategy is losing, even if your win rate is very good (it means your winning trades aren’t winning enough, or your losing trades lose too much, or both). Its counterpart in currency is also shown, as is the APPT/bar, which can be a useful gauge in deciding between rivalling systems. Profit Factor: Gross of winning trades/Gross of losing trades. Strategy is profitable when >1. Not as useful as the APPT because it doesn’t take into account the win rate and the average win/loss per trade. It is calculated from the total winning/losing results of this particular backtest and has less predictive value than the APPT. A good profit factor together with a poor APPT means you just found a chart where your system outperformed. Relying too much on the profit factor is a bit like a poker player who would think going all in with two’s against aces is optimal because he just won a hand that way. Win Rate: Percentage of winning trades out of all trades. Taken alone, it doesn’t have much to do with strategy profitability. You can have a win rate of 99% but if that one trade in 100 ruins you because of poor risk management, 99% doesn’t look so good anymore. This number speaks more of the system’s profile than its worthiness. Still, it can be useful to gauge if the system fits your personality. It can also be useful to traders intending to sell their systems, as low win rate systems are more difficult to sell and require more handholding of worried customers. Equity (curr): This the sum of initial capital and the P&L of your system’s trades, including fees and slippage. Return on Capital is the equivalent of TV’s Net Profit figure, i.e. the variation on your initial capital. Maximum drawdown is the maximal drawdown from the highest equity point until the drop . There is also a close to close (meaning it doesn’t take into account in-trade variations) maximum drawdown value commented out in the code. The next values are self-explanatory, until: PYR: Avg Profitability Per Entry (X): this is the APPT for all pyramided entries. PEA: Avg Max Opp . Available (X): the average maximal opportunity found in the Post-Exit Analyses. PEA: Avg Drawdown to Max Opp . (X): this represents the maximum drawdown (incurred from the close at the beginning of the PEA analysis) required to reach the maximal opportunity point. Trade Information Numbers in this section concern only the current trade under the cursor. Most of them are self-explanatory. Use the description’s prefix to determine what the values applies to. PYR: Avg Profitability Per Entry (X): While this value includes the impact of all current pyramided entries (and only those) and updates when you move your cursor around, P&L only reflects fees at the trade’s last bar. PEA: Max Opp . Available (X): It’s the most profitable close reached post-trade, measured from the trade’s Exit Fill, expressed in the X value of the trade the PEA follows. PEA: Drawdown to Max Opp . (X): This is the maximum drawdown from the trade’s Exit Fill that needs to be sustained in order to reach the maximum opportunity point, also expressed in X. Note that PEA numbers do not include slippage and fees. EXTERNAL SIGNAL PROTOCOL Only one external indicator can be connected to a script; in order to leverage its use to the fullest, the engine provides options to use it as either an entry signal, an entry/exit signal or a filter. When used as an entry signal, you can also use the signal to provide the entry’s stop. Here’s how this works: For filter state: supply +1 for bull (long entries allowed), -1 for bear (short entries allowed). For entry signals: supply +2 for long, -2 for short. For exit signals: supply +3 for exit from long, -3 for exit from short. To send an entry stop level with an entry signal: Send positive stop level for long entry (e.g. 103.33 to enter a long with a stop at 103.33), negative stop level for short entry (e.g. -103.33 to enter a short with a stop at 103.33). If you use this feature, your indicator will have to check for exact stop levels of 1.0, 2.0 or 3.0 and their negative counterparts, and fudge them with a tick in order to avoid confusion with other signals in the protocol. Remember that mere generation of the values by your indicator will have no effect until you explicitly allow their use in the appropriate sections of the Engine’s Settings/Inputs. An example of a script issuing a signal for the Engine is published by PineCoders. RECOMMENDATIONS TO ASPIRING SYSTEM DESIGNERS Stick to higher timeframes. On progressively lower timeframes, margins decrease and fees and slippage take a proportionally larger portion of profits, to the point where they can very easily turn a profitable strategy into a losing one. Additionally, your margin for error shrinks as the equilibrium of your system’s profitability becomes more fragile with the tight numbers involved in the shorter time frames. Avoid <1H time frames. Know and calculate fees and slippage. To avoid market shock, backtest using conservative fees and slippage parameters. Systems rarely show unexpectedly good returns when they are confronted to the markets, so put all chances on your side by being outrageously conservative—or a the very least, realistic. Test results that do not include fees and slippage are worthless. Slippage is there for a reason, and that’s because our interventions in the market change the market. It is easier to find alpha in illiquid markets such as cryptos because not many large players participate in them. If your backtesting results are based on moving large positions and you don’t also add the inevitable slippage that will occur when you enter/exit thin markets, your backtesting will produce unrealistic results. Even if you do include large slippage in your settings, the Engine can only do so much as it will not let slippage push fills past the high or low of the entry bar, but the gap may be much larger in illiquid markets. Never test and optimize your system on the same dataset , as that is the perfect recipe for overfitting or data dredging, which is trying to find one precise set of rules/parameters that works only on one dataset. These setups are the most fragile and often get destroyed when they meet the real world. Try to find datasets yielding more than 100 trades. Less than that and results are not as reliable. Consider all backtesting results with suspicion. If you never entertained sceptic tendencies, now is the time to begin. If your backtest results look really good, assume they are flawed, either because of your methodology, the data you’re using or the software doing the testing. Always assume the worse and learn proper backtesting techniques such as monte carlo simulations and walk forward analysis to avoid the traps and biases that unchecked greed will set for you. If you are not familiar with concepts such as survivor bias, lookahead bias and confirmation bias, learn about them. Stick to simple bars or candles when designing systems. Other types of bars often do not yield reliable results, whether by design (Heikin Ashi) or because of the way they are implemented on TV (Renko bars). Know that you don’t know and use that knowledge to learn more about systems and how to properly test them, about your biases, and about yourself. Manage risk first , then capture opportunity. Respect the inherent uncertainty of the future. Cleanse yourself of the sad arrogance and unchecked greed common to newcomers to trading. Strive for rationality. Respect the fact that while backtest results may look promising, there is no guarantee they will repeat in the future (there is actually a high probability they won’t!), because the future is fundamentally unknowable. If you develop a system that looks promising, don’t oversell it to others whose greed may lead them to entertain unreasonable expectations. Have a plan. Understand what king of trading system you are trying to build. Have a clear picture or where entries, exits and other important levels will be in the sort of trade you are trying to create with your system. This stated direction will help you discard more efficiently many of the inevitably useless ideas that will pop up during system design. Be wary of complexity. Experienced systems engineers understand how rapidly complexity builds when you assemble components together—however simple each one may be. The more complex your system, the more difficult it will be to manage. Play! . Allow yourself time to play around when you design your systems. While much comes about from working with a purpose, great ideas sometimes come out of just trying things with no set goal, when you are stuck and don’t know how to move ahead. Have fun! @LucF NOTES While the engine’s code can supply multiple consecutive entries of longs or shorts in order to scale positions (pyramid), all exits currently assume the execution bot will exit the totality of the position. No partial exits are currently possible with the Engine. Because the Engine is literally crippled by the limitations on the number of plots a script can output on TV; it can only show a fraction of all the information it calculates in the Data Window. You will find in the Plot Module vast amounts of commented out lines that you can activate if you also disable an equivalent number of other plots. This may be useful to explore certain characteristics of your system in more detail. When backtesting using the TV backtesting feature, you will need to provide the strategy parameters you wish to use through either Settings/Properties or by changing the default values in the code’s header. These values are defined in variables and used not only in the strategy() statement, but also as defaults in the Engine’s relevant Inputs. If you want to test using pyramiding, then both the strategy’s Setting/Properties and the Engine’s Settings/Inputs need to allow pyramiding. If you find any bugs in the Engine, please let us know. THANKS To @glaz for allowing the use of his unpublished MA Squize in the filters. To @everget for his Chandelier stop code, which is also used as a filter in the Engine. To @RicardoSantos for his pseudo-random generator, and because it’s from him that I first read in the Pine chat about the idea of using an external indicator as input into another. In the PineCoders group, @theheirophant then mentioned the idea of using it as a buy/sell signal and @simpelyfe showed a piece of code implementing the idea. That’s the tortuous story behind the use of the external indicator in the Engine. To @admin for the Volatility stop’s original code and for the donchian function lifted from Ichimoku . To @BobHoward21 for the v3 version of Volatility Stop . To @scarf and @midtownsk8rguy for the color tuning. To many other scripters who provided encouragement and suggestions for improvement during the long process of writing and testing this piece of code. To J. Welles Wilder Jr. for ATR, used extensively throughout the Engine. To TradingView for graciously making an account available to PineCoders. And finally, to all fellow PineCoders for the constant intellectual stimulation; it is a privilege to share ideas with you all. The Engine is for all TradingView PineCoders, of course—but especially for you. Look first. Then leap.
Penunjuk Pine Script®
oleh PineCoders
130
Signal for Backtesting-Trading Engine [PineCoders]This is a companion script to the PineCoders Backtesting-Trading Engine. It illustrates how to build a signal plot in another script, which can in turn be fed in the Engine to provide entry, exit, filter and stop information. Connection to the Engine is done through its “External Indicator” input field at the very bottom of the Engine’s Settings/Inputs. The Engine must be operating in study mode to be able to connect an external indicator to it. The way this script builds the signal is straightforward, as you will see in the code. Two aspects are worth mentioning: The “FudgeStop()” function used to fudge the stop value by one tick for the rare cases where it will match one of the protocol reserved values, i.e. 1, 2 or 3. The priority and exclusivity given to the different types of signals in the signal-building “Signal = …” line. No two signals can be sent simultaneously through the signal plot, except for the entry and stop combination. You can determine in this script’s Settings/Inputs the type of signals that will go through the signal plot. This script respects the following protocol: EXTERNAL SIGNAL PROTOCOL Only one external indicator can be connected to a script; in order to leverage its use to the fullest, the engine provides options to use it as either an entry signal, an entry/exit signal or a filter. When used as an entry signal, you can also use the signal to provide the entry’s stop. Here’s how this works: For filter state: supply +1 for bull (long entries allowed), -1 for bear (short entries allowed). For entry signals: supply +2 for long, -2 for short. For exit signals: supply +3 for exit from long, -3 for exit from short. To send an entry stop level with an entry signal: Send positive stop level for long entry (e.g. 103.33 to enter a long with a stop at 103.33), negative stop level for short entry (e.g. -103.33 to enter a short with a stop at 103.33). If you use this feature, your indicator will have to check for exact stop levels of 1.0, 2.0 or 3.0 and their negative counterparts, and fudge them with a tick in order to avoid confusion with other signals in the protocol. Remember that mere generation of the values by your indicator will have no effect until you explicitly allow their use in the appropriate sections of the Engine’s Settings/Inputs. Look first. Then leap.
Penunjuk Pine Script®
oleh PineCoders
14
Great Expectations [LucF]Great Expectations helps traders answer the question: What is possible? It is a powerful question, yet exploration of the unknown always entails risk. A more complete set of questions better suited to traders could be: What opportunity exists from any given point on a chart? What portion of this opportunity can be realistically captured? What risk will be incurred in trying to do so, and how long will it take? Great Expectations is the result of an exploration of these questions. It is a trade simulator that generates visual and quantitative information to help strategy modelers visually identify and analyse areas of optimal expectation on charts, whether they are designing automated or discretionary strategies. WARNING: Great Expectations is NOT an indicator that helps determine the current state of a market. It works by looking at points in the past from which the future is already known. It uses one definition of repainting extensively (i.e. it goes back in the past to print information that could not have been know at the time). Repainting understood that way is in fact almost all the indicator does! —albeit for what I hope is a noble cause. The indicator is of no use whatsoever in analyzing markets in real-time. If you do not understand what it does, please stay away! This is an indicator—not a strategy that uses TradingView’s backtesting engine. It works by simulating trades, not unlike a backtest, but with the crucial difference that it assumes a trade (either long or short) is entered on all bars in the historic sample. It walks forward from each bar and determines possible outcomes, gathering individual trade statistics that in turn generate precious global statistics from all outcomes tested on the chart. Great Expectations provides numbers summarizing trade results on all simulations run from the chart. Those numbers cannot be compared to backtest-produced numbers since all non-filtered bars are examined, even if an entry was taken on the bar immediately preceding the current one, which never happens in a backtest. This peculiarity does NOT invalidate Great Expectations calculations; it just entails that results be considered under a different light. Provided they are evaluated within the indicator’s context, they can be useful—sometimes even more than backtesting results, e.g. in evaluating the impact of parameter-fitting or variations in entry, exit or filtering strats. Traders and strategy modelers are creatures of hope often suffering from blurred vision; my hope is that Great Expectations will help them appraise the validity of their setup and strat intuitions in a realistic fashion, preventing confirmation bias from obstructing perspective—and great expectations from turning into financial great deceptions. USE CASES You’ve identified what looks like a promising setup on other indicators. You load Great Expectations on the chart and evaluate if its high-expectation areas match locations where your setup’s conditions occur. Unless today is your lucky day, chances are the indicator will help you realize your setup is not as promising as you had hoped. You want to get a rough estimate of the optimal trade duration for a chart and you don’t mind using the entry and exit strategies provided with the indicator. You use the trade length readouts of the indicator. You’re experimenting with a new stop strategy and want to know how long it will keep you in trades, on average. You integrate your stop strategy in the indicator’s code and look at the average trade length it produces and the TST ratio to evaluate its performance. You have put together your own entry and exit criteria and are looking for a filter that will help you improve backtesting results. You visually ascertain the suitability of your filter by looking at its results on the charts with great Expectations, to see if your filter is choosing its areas correctly. You have a strategy that shows backtested trades on your chart. Great Expectations can help you evaluate how well your strategy is benefitting from high-opportunity areas while avoiding poor expectation spots. You want more complete statistics on your set of strategies than what backtesting will provide. You use Great Expectations, knowing that it tests all bars in the sample that correspond to your criteria, as opposed to backtesting results which are limited to a subset of all possible entries. You want to fool your friends into thinking you’ve designed the holy grail of indicators, something that identifies optimal opportunities on any chart; you show them the P&L cloud. FEATURES For one trade At any given point on the chart, assuming a trade is entered there, Great Expectations shows you information specific to that trade simulation both on the chart and in the Data Window. The chart can display: the P & L Cloud which shows whether the trade ended profitably or not, and by how much, the Opportunity & Risk Cloud which the maximum opportunity and risk the simulation encountered. When superimposed over the P & L cloud, you will see what I call the managed opportunity and risk, i.e the portion of maximum opportunity that was captured and the portion of the maximum risk that was incurred, the target and if it was reached, a background that uses a gradient to show different levels of trade length, P&L or how frequently the target was reached during simulation. The Data Window displays more than 40 values on individual trades and global results. For any given trade you will know: Entry/Exit levels, including slippage impact, It’s outcome and duration, P/L achieved, The fraction of the maximum opportunity/risk managed by the trade. For all trades After going through all the possible trades on the chart, the indicator will provide you with a rare view of all outcomes expressed with the P&L cloud, which allows us to instantly see the most/least profitable areas of a chart using trade data as support, while also showing its relationship with the opportunity/risk encountered during the simulation. The difference between the two clouds is the managed opportunity and risk. The Data Window will present you with numbers which we will go through later. Some of them are: average stop size, P/L, win rate, % opportunity managed, trade lengths for different types of trade outcomes and the TST (Target:Stop Travel) ratio. Let’s see Great Expectations in action… and remember to open your Data Window! INPUTS Trade direction : You must first choose if you wish to look at long or short trades. Because of the way the indicator works and the amount of visual information on the chart, it is only practical to look at one type of trades at a time. The default is Longs. Maximum trade Length (MaxL) : This is the maximum walk forward distance the simulator will go in analyzing outcomes from any given point in the past. It also determines the size of the dead zone among the chart’s last bars. A red background line identifies the beginning of the dead zone for which not enough bars have elapsed to analyze outcomes for the maximum trade length defined. If an ATR-based entry stop is used, that length is added to the wait time before beginning simulations, so that the first entry starts with a clean ATR value. On a sample of around 16000 bars, my tests show that the indicator runs into server errors at lengths of around 290, i.e. having completed ~4,6M simulation loop iterations. That is way too high a length anyways; 100 will usually be amply enough to ring out all the possibilities out of a simulation, and on shorter time frames, 30 can be enough. While making it unduly small will prevent simulations of expressing the market’s potential, the less you use, the faster the indicator will run. The default is 40. Unrealized P&L base at End of Trade (EOT) : When a simulation ends and the trade is still open, we calculate unrealized P&L from an exit order executed from either the last in-trade stop on the previous bar, or the close of the last bar. You can readily see the impact of this selection on the chart, with the P&L cloud. The default is on the close. Display : The check box besides the title does nothing. Show target : Shows a green line displaying the trade’s target expressed as a multiple of X, i.e. the amplitude of the entry stop. I call this value “X” and use it as a unit to express profit and loss on a trade (some call it “R”). The line is highlighted for trades where the close reached the target during the trade, whether the trade ended in profit or loss. This is also where you specify the multiple of X you wish to use in calculating targets. The multiple is used even if targets are not displayed. Show P&L Cloud : The cloud allows traders to see right away the profitable areas of the chart. The only line printed with the cloud is the “end of trade line” (EOT). The EOT line is the only way one can see the level where a trade ended on the chart (in the Data Window you can see it as the “Exit Fill” value). The EOT level for the trade determines if the trade ended in a profit or a loss. Its value represents one of the following: - fill from order executed at close of bar where stop is breached during trade (which produces “Realized P/L”), - simulation of a fill pseudo-fill at the user-defined EOT level (last close or stop level) if the trade runs its course through MaxL bars without getting stopped (producing Unrealized P/L). The EOT line and the cloud fill print in green when the trade’s outcome is profitable and in red when it is not. If the trade was closed after breaching the stop, the line appears brighter. Show Opportunity&Risk Cloud : Displays the maximum opportunity/risk that was present during the trade, i.e. the maximum and minimum prices reached. Background Color Scheme : Allows you to choose between 3 different color schemes for the background gradients, to accommodate different types of chart background/candles. Select “None” if you don’t want a background. Background source : Determines what value will be used to generate the different intensities of the gradient. You can choose trade length (brighter is shorter), Trade P&L (brighter is higher) or the number of times the target was reached during simulation (brighter is higher). The default is Trade Length. Entry strat : The check box besides the title does nothing. The default strat is All bars, meaning a trade will be simulated from all bars not excluded by the filters where a MaxL bars future exists. For fun, I’ve included a pseudo-random entry strat (an indirect way of changing the seed is to vary the starting date of the simulation). Show Filter State : Displays areas where the combination of filters you have selected are allowing entries. Filtering occurs as per your selection(s), whether the state is displayed or not. The effect of multiple selections is additive. The filters are: 1. Bar direction: Longs will only be entered if close>open and vice versa. 2. Rising Volume: Applies to both long and shorts. 3. Rising/falling MA of the length you choose over the number of bars you choose. 4. Custom indicator: You can feed your own filtering signal through this from another indicator. It must produce a signal of 1 to allow long entries and 0 to allow shorts. Show Entry Stops : 1. Multiple of user-defined length ATR. 2. Fixed percentage. 3. Fixed value. All entry stops are calculated using the entry fill price as a reference. The fill price is calculated from the current bar’s open, to which slippage is added if configured. This simulates the case where the strategy issued the entry signal on the previous bar for it to be executed at the next bar’s open. The entry stop remains active until the in-trade stop becomes the more aggressive of the two stops. From then on, the entry stop will be ignored, unless a bar close breaches the in-trade stop, in which case the stop will be reset with a new entry stop and the process repeats. Show In-trade stops : Displays in bright red the selected in-trade stop (be sure to read the note in this section about them). 1. ATR multiple: added/subtracted from the average of the two previous bars minimum/maximum of open/close. 2. A trailing stop with a deviation expressed as a multiple of entry stop (X). 3. A fixed percentage trailing stop. Trailing stops deviations are measured from the highest/lowest high/low reached during the trade. Note: There is a twist with the in-trade stops. It’s that for any given bar, its in-trade stop can hold multiple values, as each successive pass of the advancing simulation loops goes over it from a different entry points. What is printed is the stop from the loop that ended on that bar, which may have nothing to do with other instances of the trade’s in-trade stop for the same bar when visited from other starting points in previous simulations. There is just no practical way to print all stop values that were used for any given bar. While the printed entry stops are the actual ones used on each bar, the in-trade stops shown are merely the last instance used among many. Include Slippage : if checked, slippage will be added/subtracted from order price to yield the fill price. Slippage is in percentage. If you choose to include slippage in the simulations, remember to adjust it by considering the liquidity of the markets and the time frame you’ll be analyzing. Include Fees : if checked, fees will be subtracted/added to both realized an unrealized trade profits/losses. Fees are in percentage. The default fees work well for crypto markets but will need adjusting for others—especially in Forex. Remember to modify them accordingly as they can have a major impact on results. Both fees and slippage are included to remind us of their importance, even if the global numbers produced by the indicator are not representative of a real trading scenario composed of sequential trades. Date Range filtering : the usual. Just note that the checkbox has to be selected for date filtering to activate. DATA WINDOW Most of the information produced by this indicator is made available in the Data Window, which you bring up by using the icon below the Watchlist and Alerts buttons at the right of the TV UI. Here’s what’s there. Some of the information presented in the Data Window is standard trade data; other values are not so standard; e. g. the notions of managed opportunity and risk and Target:Stop Travel ratio. The interplay between all the values provided by Great Expectations is inherently complex, even for a static set of entry/filter/exit strats. During the constant updating which the habitual process of progressive refinement in building strategies that is the lot of strategy modelers entails, another level of complexity is no doubt added to the analysis of this indicator’s values. While I don’t want to sound like Wolfram presenting A New Kind of Science , I do believe that if you are a serious strategy modeler and spend the time required to get used to using all the information this indicator makes available, you may find it useful. Trade Information Entry Order : This is the open of the bar where simulation starts. We suppose that an entry signal was generated at the previous bar. Entry Fill (including slip.) : The actual entry price, including slippage. This is the base price from which other values will be calculated. Exit Order : When a stop is breached, an exit order is executed from the close of the bar that breached the stop. While there is no “In-trade stop” value included in the Data Window (other than the End of trade Stop previously discussed), this “Exit Order” value is how we can know the level where the trade was stopped during the simulation. The “Trade Length” value will then show the bar where the stop was breached. Exit Fill (including slip.) : When the exit order is simulated, slippage is added to the order level to create the fill. Chart: Target : This is the target calculated at the beginning of the simulation. This value also appear on the chart in teal. It is controlled by the multiple of X defined under the “Show Target” checkbox in the Inputs. Chart: Entry Stop : This value also appears on the chart (the red dots under points where a trade was simulated). Its value is controlled by the Entry Strat chosen in the Inputs. X (% Fill, including Fees) and X (currency) : This is the stop’s amplitude (Entry Fill – Entry Stop) + Fees. It represents the risk incurred upon entry and will be used to express P&L. We will show R expressed in both a percentage of the Entry Fill level (this value), and currency (the next value). This value represents the risk in the risk:reward ratio and is considered to be a unit of 1 so that RR can be expressed as a single value (i.e. “2” actually meaning “1:2”). Trade Length : If trade was stopped, it’s the number of bars elapsed until then. The trade is then considered “Closed”. If the trade ends without being stopped (there is no profit-taking strat implemented, so the stop is the only exit strat), then the trade is “Open”, the length is MaxL and it will show in orange. Otherwise the value will print in green/red to reflect if the trade is winning/losing. P&L (X) : The P&L of the trade, expressed as a multiple of X, which takes into account fees paid at entry and exit. Given our default target setting at 2 units of “X”, a trade that closes at its target will have produced a P&L of +2.0, i.e. twice the value of X (not counting fees paid at exit ). A trade that gets stopped late 50% further that the entry stop’s level will produce a P&L of -1.5X. P&L (currency, including Fees) : same value as above, but expressed in currency. Target first reached at bar : If price closed above the target during the trade (even if it occurs after the trade was stopped), this will show when. This value will be used in calculating our TST ratio. Times Stop/Target reached in sim. : Includes all occurrences during the complete simulation loop. Opportunity (X) : The highest/lowest price reached during a simulation, i.e. the maximum opportunity encountered, whether the trade was previously stopped or not, expressed as a multiple of X. Risk (X) : The lowest/highest price reached during a simulation, i.e. the maximum risk encountered, whether the trade was previously stopped or not, expressed as a multiple of X. Risk:Opportunity : The greater this ratio, the greater Opportunity is, compared to Risk. Managed Opportunity (%) : The portion of Opportunity that was captured by the highest/low stop position, even if it occurred after a previous stop closed the trade. Managed Risk (%) : The portion of risk that was protected by the lowest/highest stop position, even if it occurred after a previous stop closed the trade. When this value is greater than 100%, it means the trade’s stop is protecting more than the maximum risk, which is frequent. You will, however, never see close to those values for the Managed Opportunity value, since the stop would have to be higher than the Maximum opportunity. It is much easier to alleviate the risk than it is to lock in profits. Managed Risk:Opportunity : The ratio of the two preceding values. Managed Opp. vs. Risk : The Managed Opportunity minus the Managed Risk. When it is negative, which is most often is, it means your strat is protecting a greater portion of the risk than it captures opportunity. Global Numbers Win Rate(%) : Percentage of winning trades over all entries. Open trades are considered winning if their last stop/close (as per user selection) locks in profits. Avg X%, Avg X (currency) : Averages of previously described values:. Avg Profitability/Trade (APPT) : This measures expectation using: Average Profitability Per Trade = (Probability of Win × Average Win) − (Probability of Loss × Average Loss) . It quantifies the average expectation/trade, which RR alone can’t do, as the probabilities of each outcome (win/lose) must also be used to calculate expectancy. The APPT combine the RR with the win rate to yield the true expectancy of a strategy. In my usual way of expressing risk with X, APPT is the equivalent of the average P&L per trade expressed in X. An APPT of -1.5 means that we lose on average 1.5X/trade. Equity (X), Equity (currency) : The cumulative result of all trade outcomes, expressed as a multiple of X. Multiplied by the Average X in currency, this yields the Equity in currency. Risk:Opportunity, Managed Risk:Opportunity, Managed Opp. vs. Risk : The global values of the ones previously described. Avg Trade Length (TL) : One of the most important values derived by going through all the simulations. Again, it is composed of either the length of stopped trades, or MaxL when the trade isn’t stopped (open). This value can help systems modelers shape the characteristics of the components they use to build their strategies. Avg Closed Win TL and Avg Closed Lose TL : The average lengths of winning/losing trades that were stopped. Target reached? Avg bars to Stop and Target reached? Avg bars to Target : For the trades where the target was reached at some point in the simulation, the number of bars to the first point where the stop was breached and where the target was reached, respectively. These two values are used to calculate the next value. TST (Target:Stop Travel Ratio) : This tracks the ratio between the two preceding values (Bars to first stop/Bars to first target), but only for trades where the target was reached somewhere in the loop. A ratio of 2 means targets are reached twice as fast as stops. The next values of this section are counts or percentages and are self-explanatory. Chart Plots Contains chart plots of values already describes. NOTES Optimization/Overfitting: There is a fine line between optimizing and overfitting. Tools like this indicator can lead unsuspecting modelers down a path of overfitting that often turns strategies into over-specialized beasts that do not perform elegantly when confronted to the real-world. Proven testing strategies like walk forward analysis will go a long way in helping modelers alleviate this risk. Input tuning: Because the results generated by the indicator will vary with the parameters used in the active entry, filtering and exit strats, it’s important to realize that although it may be fun at first, just slapping the default settings on a chart and time frame will not yield optimal nor reliable results. While using ATR as often as possible (as I do in this indicator) is a good way to make strat parametrization adaptable, it is not a foolproof solution. There is no data for the last MaxL bars of the chart, since not enough trade future has elapsed to run a simulation from MaxL bars back. Modifying the code: I have tried to structure the code modularly, even if that entails a larger code base, so that you can adapt it to your needs. I’ve included a few token components in each of the placeholders designed for entry strategies, filters, entry stops and in-trade stops. This will hopefully make it easier to add your own. In the same spirit, I have also commented liberally. You will find in the code many instances of standard trade management tasks that can be lifted to code TV strategies where, as I do in mine, you manage everything yourself and don’t rely on built-in Pine strategy functions to act on your trades. Enjoy! THANKS To @scarf who showed me how plotchar() could be used to plot values without ruining scale. To @glaz for the suggestion to include a Chandelier stop strat; I will. To @simpelyfe for the idea of using an indicator input for the filters (if some day TV lets us use more than one, it will be useful in other modules of the indicator). To @RicardoSantos for the random generator used in the random entry strat. To all scripters publishing open source on TradingView; their code is the best way to learn. To my trading buddies Irving and Bruno; who showed me way back how pro traders get it done.
Penunjuk Pine Script®
oleh LucF
7
MACD Enhanced System MTF with optional TSL and Alerts [LTB]This script is developed to analyse MACD, MACD Signal, MACD Histogram movements by using current and higher time frame. Script calculates higher time frame automatically, no manuel entry. there is trailing stop loss line that is optional. You can change the parameters as you wish. btw. you should know that MACD is more successful when there is a trend. I already shared this as a strategy script. Some ppl wanted to see the code. You might want to see strategy test => by LonesomeTheBlue
Penunjuk Pine Script®
oleh LonesomeTheBlue
24
Negociated capitalEste script calcula el capital negociado para el periodo trabajado. Simplemente calcula el precio promedio y luego lo multiplica por el volumen operado. El resultado es una aproximación del capital total que se intercambio. Es útil para estimar la liquidez del mercado y encontrar puntos de entrada mas precisos. Aplica a cualquier producto donde se conozca el volumen. This script calculates the capital negotiated for the period worked. Simply calculate the average price and then multiply it by the volume operated. The result is an approximation of the total capital that is exchanged. It is useful to estimate the liquidity of the market and find more precise points of entry. Applies to any product where the volume is known.
Penunjuk Pine Script®
oleh LeanBarba
CCI Multi-TimeframeThe Commodity Channel Index (CCI) is a leading oscillating momentum indicator that was developed by Donald Lambert to identify cyclical turns in commodities but can also be used on securities and bonds as well. HOW IS IT USED ? Lambert used the CCI to generate entry and exit signals when the CCI moved above +100% and below -100% respectively. When the CCI moves above +100%, the security enters into a strong uptrend and an entry signal is given. When the CCI moves back below +100% this position should be closed. Conversely, when the CCI moves below -100%, the security enters into a strong downtrend and an exit signal is given. When the CCI moves back above -100% this position should be closed. In addition, an entry signal is given when the CCI bounces off of the zero line. When the CCI reaches the zero line, the security's average price is at the moving average used to calculate the CCI and when a security bounces off its moving average it is considered a good entry position as the security has pulled back to its short-term support with the bounce reaffirming the current trend. The CCI can also be used to identify overbought and oversold levels. A security could be considered oversold when the CCI moves below -100 and overbought when it moves above +100. From an oversold level, an entry signal may be given when the CCI moves above -100. From an overbought level, an exit signal might be given when the CCI moves below +100. Divergences can also be applied to the CCI. A positive divergence below -100 would increase the probability of a signal based on a move above -100, and a negative divergence above +100 would increase the probability of a signal based on a move back below +100. Trend line breaks can be used to generate entry and exit signals. Trend lines can be drawn connecting the peaks and troughs. From oversold levels, a move above -100 and a trend line breakout could be used as an entry signal. Conversely, from overbought levels, a move below +100 and a trend line breakout could be used as an exit signal. I added the possibility to add on the chart a 2nd timeframe for confirmation. If you found this script useful, a tip is always welcome... :)
Penunjuk Pine Script®
oleh KenLeShim