[Sextan] Your Indicator Source PINE v5 MTFLevel: 1
NOTE1: As requested, this is a multiple time frame(MTF) version of input signal source, which enable you to backtest any indicator/strategy MTF with "{Sextan} PINEv4 Sextans Backtest Framework". Courtesy of cheatcountry for his request.security() wrapper in PINE v5 to avoid repainting caused by request.security() function.
NOTE2: Many request this indicator template to support PINE v5. Now, here it is .This is ONLY an PINE v5 EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" (for bactest framework it does not need to be written by PINE v5)intput signal source, you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
Cari dalam skrip untuk "the strat"
[Sextan] Your Indicator Source PINE v4 MTFLevel: 1
NOTE1: As requested, this is a multiple time frame(MTF) version of input signal source, which enable you to backtest any indicator/strategy MTF with "{Sextan} PINEv4 Sextans Backtest Framework". Courtesy of cheatcountry for his security() wrapper to avoid repainting caused by security() function.
NOTE2: This is ONLY an EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" intput signal source, you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] B-Xtrender BacktestLevel: 1
NOTE: This is a request by @scantor516 to backtest B-Xtrender @PuppyTherapy by QuantTherapy with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of QuantTherapy for his B-Xtrender @PuppyTherapy
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Haos Vieual BacktestLevel: 1
NOTE: This is a request by @scantor516 to backtest Haos Visual @PuppyTherapy by QuantTherapy with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of QuantTherapy for his Haos Visual @PuppyTherapy
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Delta-RSI Oscillator BacktestLevel: 1
NOTE: This is a request by @scantor516 to backtest Delta-RSI Oscillator by tbiktag with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of tbiktag for his Delta-RSI Oscillator Strategy
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Supertrend - Ladder ATR BacktestLevel: 1
NOTE: This is a request by @upslidedown to backtest Supertrend - Ladder ATR by HeWhoMustNotBeNamed with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of HeWhoMustNotBeNamed for his Supertrend - Ladder ATR indicator
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Your Indicator Source for PINE v5Level: 1
NOTE: Many request this indicator template to support PINE v5. Now, here it is .This is ONLY an PINE v5 EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" (for bactest framework it does not need to be written by PINE v5)intput signal source, you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Hull MA BacktestLevel: 1
NOTE: This is a request by @babaa to backtest Hull suite by InSilico with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of InSilico for his Hull suite indicator
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Fisher Transform BacktestLevel: 1
NOTE: This is a request by @Uni_ve12se to backtest Ehlers Fisher Transform by cheatcountry with my Sextan framework. I ONLY take 5 minutes to perform it and how much time would you cost for this work? You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of cheatcountry for his Ehlers Fisher Transform indicator
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] M-Oscillator BacktestLevel: 1
NOTE: This is a request by @scantor516 to backtest M-Oscillator by Mango2Juice with my Sextan framework. I ONLY take 5 minutes to perform it and how much time would you cost for this work?
Courtesy of Mango2Juice for M-Oscillator script.
You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] KAMA BacktestLevel: 1
NOTE: This is ONLY an EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" with intput signal source as my "{blackcat} L2 Perry Kaufman Adaptive MA (KAMA)" quickly and drawing on main chart. You can backtest many of my indicators in minutes now!
Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Backtesting with L2 Reversal Labels as an input sourceLevel: 1
NOTE: This is ONLY an EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" intput signal with "(blackcat) L2 Reversal Labels", and you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Your Indicator SourceLevel: 1
NOTE: This is ONLY an EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" intput signal source, you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
S&P500 VIX Volatility Warning IndicatorToday I am sharing with the community a volatility indicator that can help you or your algorithms avoid black swan events. Variance is most commonly used in statistics to derive standard deviation (with its square root). It does have another practical application, and that is to identify outliers in a sample of data. Variance in statistics is defined as the squared difference between a value and its mean. Calculating that squared difference means that the farther away the value is from the mean, the more the variance will grow (exponentially). This exponential difference makes outliers in the variance data more apparent.
Why does this matter?
There are assets or indices that exist in the stock market that might make us adjust our trading strategy if they are behaving in an unusual way. In some instances, we can use variance to identify that behavior and inform our strategy.
Is that really possible?
Let’s look at the relationship between VIX and the S&P500 as an example. If you trade an S&P500 index with a mean reversion strategy or algorithm, you know that they typically do best in times of volatility. These strategies essentially attempt to “call bottom” on a pullback. Their downside is that sometimes a pullback turns into a regime change, or a black swan event. The other downside is that there is no logical tight stop that actually increases their performance, so when they lose they tend to lose big.
So that begs the question, how might one quantitatively identify if this dip could turn into a regime change or black swan event?
The CBOE Volatility Index (VIX) uses options data to identify, on a large scale, what investors overall expect the market to do in the near future. The Volatility Index spikes in times of uncertainty and when investors expect the market to go down. However, during a black swan event, the VIX spikes a lot harder. We can use variance here to identify if a spike in the VIX exceeds our threshold for a normal market pullback, and potentially avoid entering trades for a period of time (I.e. maybe we don’t buy that dip).
Does this actually work?
In backtesting, this cut the drawdown of my index reversion strategies in half. It also cuts out some good trades (because high investor fear isn’t always indicative of a regime change or black swan event). But, I’ll happily lose out on some good trades in exchange for half the drawdown. Lets look at some examples of periods of time that trades could have been avoided using this strategy/indicator:
Example 1 – With the Volatility Warning Indicator, the mean reversion strategy could have avoided repeatedly buying this pullback that led to SPXL losing over 75% of its value:
Example 2 - June 2018 to June 2019 - With the Volatility Warning Indicator, the drawdown during this period reduces from 22% to 11%, and the overall returns increase from -8% to +3%
How do you use this indicator?
This indicator determines the variance of the VIX against a long term mean. If the variance of the VIX spikes over an input threshold, the indicator goes up. The indicator will remain up for a defined period of bars/time after the variance returns below the threshold. I have included default values I’ve found to be significant for a short-term mean-reversion strategy, but your inputs might depend on your risk tolerance and strategy time-horizon. The default values are for 1hr VIX data. It will pull in variance data for the VIX regardless of which chart the indicator is applied to.
Disclaimer : Open-source scripts I publish in the community are largely meant to spark ideas or be used as building blocks for part of a more robust trade management strategy. If you would like to implement a version of any script, I would recommend making significant additions/modifications to the strategy & risk management functions. If you don’t know how to program in Pine, then hire a Pine-coder. We can help!
A simple trading strategy for XTZ/EUR (December 2021)This is my current trading strategy for XTZ/EUR for this month of December.
It tries to avoid pumps/dumps (i.e. does not trade on big candles).
It always performs one order in each candle for the trading window of the rebalance bear/bull market indicator (check my profile for it).
It has alerts configured so that you can use it in your server/broker (just pass along the `{{strategy.order.alert_message}}` in the alert message, it will include a positive number of XTZ when to buy, or a negative number when to sell).
It does not repaint.
The amount of crypto and fiat in the portfolio can be configured in the cog.
It does not outperform buy/hold for the bull months.
Check the results in the Data Window of Trading View (please avoid the Strategy Tester, it has too many bugs and is not intended for out of the box strategies such a this one).
All code is open source.
Up/Down Strategy - ContrarianThis is a consecutive bar up/down strategy for going long when the short condition is met or going short when the long condition is met. This is known in trading as taking contrarian signals and is helpful when an asset can provide only losses with a given strategy. In theory taking the opposing trade should produce a profit. With this strategy you can specify how many bars down to enter long and how many bars up to enter short. It also has code to check and make sure the condition is still true when launching the official alert, which helps back testing and live results line up, however be sure to enter commission and slippage into the properties to accurately reflect profits. I added back testing date ranges to this so you can easily pull up and see back tested results for a certain date range. I also added a buy and sell messages, close messages and take profit/stop loss message fields in the properties so you can launch alerts that will work with automated trading services. Simply enter your messages into those fields in the properties and then when you create an alert enter {{strategy.order.alert_message}} into the alert body and it will dynamically pull in your buy and sell messages when it fires alerts. I also added time restriction so you can enter trades only during the time frame specified. You can change it to any time frame, such at 0930-1600. Set the time restriction field to empty by default since otherwise the strategy won't take all trades like normal. So to enable time restriction enter a time frame in the format 0000-0000. I also added the ability to check off a box that will close the open trade at the end of the time restriction. So if you set the time frame to 0930-1600 and check off to enable close trade at end of time frame then it will look to exit the trade at the close of the next bar.
Dual MACD StrategyThis strategy Multi Time Frame Macd Indicator
We take the first long position when we have a buy signal in Weekly Macd (Macd line crosses above Signal line). This open a trading window, showed with green background color
We close the first position when either Weekly or Daily Macd give us a sell signal ((Macd line crosses below Signal line))
Enable Profit and Stop in strategy settings with different percentage to backtest the strategy. Also if it is better to use a Traditional Stop Loss or a Trailing Stop Loss based on a percentage from low prices
Change macd resolution in settings for other time frames to test the strategy
This Strategy was tested on Crypto Market with good results in assets as BTC, ETH, BNB, ADA, LTC, XLM, BCH, among others
Monthly Returns in PineScript StrategiesI'm not 100% satisfied with the strategy performance output I receive from TradingView. Quite often I want to see something that is not available by default. I usually export raw trades/metrics from TradingView and then do additional analysis manually.
But with tables, you can build additional metrics and tools for your strategies quite easily.
This script will just show a table with monthly/yearly performance of your script. Quite a lot of traders/investors used to look at returns like that. Also, it might help you to identify periods of time when your strategy performed good/bad than expected and try to analyze that better.
The script is very simple and I believe you can easily apply it to your own strategies.
Disclaimer
Please remember that past performance may not be indicative of future results.
Due to various factors, including changing market conditions, the strategy may no longer perform as well as in historical backtesting.
This post and the script don’t provide any financial advice.
Chikou Span 'Open Space' ColorsThe Ichimoku Clouds strategy has been one of my favorite scripts to work with since I came across it a few months ago, so I thought I'd share one of the automated features I created for the strategy.
For the purpose of this script, I'll only explain the Chikou Span aspect of it since there are plenty of other explanations about Ichimoku Clouds.
The Chikou Span is one of the most useful aspects of the Ichimoku Clouds strategy despite it not being used in most people's strategies. It is calculated by simply taking the current closing value and plotting it backwards 26 bars. The Chikou Span is used to identify large trend moves and trend reversals by what is referred to as 'open space'. This occurs when the Chikou Span is not intersecting any candlestick within 10 bars (if you were to draw a horizontal line from the tip of the Chikou Span, it would not touch any part of a candle within 10 bars).
The purpose of this script is to better identify the Chikou Span reaching 'open space' by coloring the Chikou Span's line:
- Green when it is in upwards open space (bullish trend), and
- Red when it is in downwards open space (bearish trend).
I've also included my personal color scheme for the Ichimoku Clouds strategy as well as inputs to turn on/off every aspect of the strategy.
** Disclaimer: THIS IS NOT TRADING ADVICE. The Chikou Span should not be used on its own to make any trades. When trading with the Ichimoku Cloud strategy, one should utilize all 5 lines of the strategy to make realistic trades. If you'd like to learn more, I'd recommend reading "Trading with Ichimoku Clouds - The Essential Guide to Ichimoku Kinko Hyo Technical Analysis" **
Strat AssistantStrat Assistant
This script will help you follow the strat. While other collections of scripts exist to do similar functionality, the idea of this (work in progress) is to be a one stop shop for all things strat that will evolve over time. Fairly new to the strat and pine script. The script is for informational purposes only. Please do you due diligence.
Features:
=Candle numbering: will number candles underneath based on the prior candle. 1 for an inside bar 2 for a directional bar (up or down) and 3 for an outside bar.
=Candle coloring: will highlight candles. Yellow for an inside candle, magenta for an outside candle, red for a 2 down candle, green for a 2 up candle. It will not modify the outside border of the candle so you can still see green if the open was lower than the close or red if the close was below open.
=Candle shape: will place an arrow up if the 2 candle is a directional UP and arrows down if the 2 candle is a directional DOWN. It will display red if it's bearish and green if it's bullish.
=Strat combos: will provide a text description of all currently applicable strat combinations if they are active at the top right of the chart. It will display red if it's bearish and green if it's bullish.
=Actionable signals: will provide text description of actionable signals if they are active on the bottom right of the chart. Inside bar if the bar is inside the prior bar, the color of this signal will be blue (shows better on white background). Hammer will be 75% of the candle is at the bottom and the open and close are above the 75% of the wick. Hammers will display green for bullish. Shooters are just the opposite of hammers, 75% of the wick is at the top and the open and close are below 75% of the wick. Shooters will display at red for bearish.
=Time Frame Continuity: will provide time frame continuity across 15m, 30m, Hour, Day, Week, Quarter, Year with green arrows up if the close is above the open for the given time frame, or red arrows down if the close is below the open for the given time frame. This will also look to determine if the time frame is applicable based on what time frame the user selects as well as ensures history exists for the given time frame.
Backlog / Work in progress:
=Opacity for time frame continuity
=Line indicators (or maybe just a label) for highs and lows of previous periods (hour, day, week, quarter)
=Alert conditions
=User input for various indicators
How to use Leverage and Margin in PineScriptEn route to being absolutely the best and most complete trading platform out there, TradingView has just closed 2 gaps in their PineScript language.
It is now possible to create and backtest a strategy for trading with leverage.
Backtester now produces Margin Calls - so recognizes mid-trade drawdown and if it is too big for the broker to maintain your trade, some part of if will be instantly closed.
New additions were announced in official blogpost , but it lacked code examples, so I have decided to publish this script. Having said that - this is purely educational stuff.
█ LEVERAGE
Let's start with the Leverage. I will discuss this assuming we are always entering trades with some percentage of our equity balance (default_qty_type = strategy.percent_of_equity), not fixed order quantity.
If you want to trade with 1:1 leverage (so no leverage) and enter a trade with all money in your trading account, then first line of your strategy script must include this parameter:
default_qty_value = 100 // which stands for 100%
Now, if you want to trade with 30:1 leverage, you need to multipy the quantity by 30x, so you'd get 30 x 100 = 3000:
default_qty_value = 3000 // which stands for 3000%
And you can play around with this value as you wish, so if you want to enter each trade with 10% equity on 15:1 leverage you'd get default_qty_value = 150.
That's easy. Of course you can modify this quantity value not only in the script, but also afterwards in Script Settings popup, "Properties" tab.
█ MARGIN
Second newly released feature is Margin calculation together with Margin Calls. If the market goes against your trades and your trading account cannot maintain mid-trade drawdown - those trades will be closed in full or partly. Also, if your trading account cannot afford to open more trades (pyramiding those trades), Margin mechanism will prevent them from being entered.
I will not go into details about how Margin calculation works, it was all explainged in above mentioned blogpost and documentation .
All you need to do is to add two parameters to the opening line of your script:
margin_long = 1./30*50, margin_short = 1./30*50
Whereas "30" is a leverage scale as in 30:1, and "50" stands for 50% of Margin required by your broker. Personally the Required Margin number I've met most often is 50%, so I'm using value 50 here, but there are literally 1000+ brokers in this world and this is individual decision by each of them, so you'd better ask yourself.
--------------------
Please note, that if you ever encounter a strategy which triggers Margin Call at least once, then it is probably a very bad strategy. Margin Call is a last resort, last security measure - all the risks should be calculated by the strategy algorithm before it is ever hit. So if you see a Margin Call being triggred, then something is wrong with risk management of the strategy. Therefore - don't use it!
RM StratThis is my attempt to code up the rules of "The Strat." I've seen other scripts that do parts of what my script does, but this script combines all of them into one script and allows the user control over how they interact with each other.
What's in this indicator?
Show the Strat Candle Numbers (1 - inside bar, 2 - continuation bar, 3 - outside bar) on the chart.
Show a widget off to the right of the chart for multi-timeframe analysis. This widget tells you whether the D/W/M/Q candles are currently green or red as well as the Candle type (White Circle - (1) Inside Bar, Up Green Arrow - (2U) Continuation Bar, Down Red Arrow - (2D) Continuation Bar, Green/Red Square - (3) Outside Bar)
Integrates the long and short rules into the chart. These can also be turned off if you don't want to see them. Note: this is a simplified version of these rules - if you look at the cheat sheets floating around the internet, you'll notice that all trade initiations occur on a break of the high (for longs) or low (for shorts) of the previous candle as long as that previous candle was not a 2. So that's my only rule for going long or short. I think it matches well with the cheat sheets but is way simpler to code and to think of how it works. The other benefit is it shows you failed trades that the cheat sheet won't catch - where a 2 becomes a 3 in the other direction and stops you out. You'll see that now with this script.
Ability to filter out the long/short rules based on the timeframe continuity of the higher timeframe candles. This is user-configurable so that you can experiment with timeframe continuity and see how strict you want to be with this on your trades.
Show the high/low of the Day, Week, and Month on your chart as horizontal lines that you can use as a reference. This could be used for planning profit targets or seeing how likely a reversal might indicate moving into timeframe continuity.
Flawless Victory Strategy - 15min BTC Machine Learning StrategyHello everyone, I am a heavy Python programmer bringing machine learning to TradingView. This 15 minute Bitcoin Long strategy was created using a machine learning library and 1 year of historical data in Python. Every parameter is hyper optimized to bring you the most profitable buy and sell signals for Bitcoin on the 15min chart. The historical Bitcoin data was gathered from Binance API, in case you want to know the best exchange to use this long strategy. It is a simple Bollinger Band and RSI strategy with two versions included in the tradingview settings. The first version has a Sharpe Ratio of 7.5 which is amazing, and the second version includes the best stop loss and take profit positions with a Sharpe Ratio of 2.5 . Let me talk a little bit more about how the strategy works. The buy signal is triggered when close price is less than lower Bollinger Band at Std Dev 1, and the RSI is greater than a certain value. The sell signal is triggered when close price is greater than upper Bollinger Band at Std Dev 1, and the RSI is greater than a certain value. What makes this strategy interesting is the parameters the Machine Learning library found when backtesting for the best Sharpe Ratio. I left my computer on for about 28 hours to fully backtest 5000 EPOCHS and get the results. I was able to create a great strategy that might be one of TradingView's best strategies out on the website today. I will continue to apply machine learning to all my strategies from here on forward. Please Let me know if you have any questions or certain strategies you would like me to hyper optimize for you. I'm always willing to create profitable strategies!
P.S. You can always pyramid this strategy for more gains! I just don't add pyramiding when creating my strategies because I want to show you the true win/loss ratio based buying one time and one selling one time. I feel like when creating a strategy that includes pyramiding right off the bat falsifies the win rate. This is my way of being transparent with you all. Have fun trading!
