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Occ

The document describes a trading strategy that uses moving average crossovers to determine when to enter long and short positions. It allows configuring different moving average types and periods, as well as optional stop loss and take profit levels. The strategy plots the closing and opening prices along with their moving averages and fills between them to visualize the trend. It only takes trades if the number of bars since the last bar is below a configurable maximum.

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balenoanurag
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139 views3 pages

Occ

The document describes a trading strategy that uses moving average crossovers to determine when to enter long and short positions. It allows configuring different moving average types and periods, as well as optional stop loss and take profit levels. The strategy plots the closing and opening prices along with their moving averages and fills between them to visualize the trend. It only takes trades if the number of bars since the last bar is below a configurable maximum.

Uploaded by

balenoanurag
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
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//@version=3

//

strategy(title = "Open Close Cross Strategy R5.1", shorttitle = "OCC Strategy R5.1", overlay = true,
pyramiding = 0, default_qty_type = strategy.percent_of_equity, default_qty_value = 10,
calc_on_every_tick=false)

// === INPUTS ===


useRes = input(defval = true, title = "Use Alternate Resolution?")
intRes = input(defval = 3, title = "Multiplier for Alernate Resolution")
stratRes = ismonthly? tostring(interval*intRes,"###M") : isweekly? tostring(interval*intRes,"###W") :
isdaily? tostring(interval*intRes,"###D") : isintraday ? tostring(interval*intRes,"####") : '60'
basisType = input(defval = "SMMA", title = "MA Type: ", options=["SMA", "EMA", "DEMA", "TEMA",
"WMA", "VWMA", "SMMA", "HullMA", "LSMA", "ALMA", "SSMA", "TMA"])
basisLen = input(defval = 8, title = "MA Period", minval = 1)
offsetSigma = input(defval = 6, title = "Offset for LSMA / Sigma for ALMA", minval = 0)
offsetALMA = input(defval = 0.85, title = "Offset for ALMA", minval = 0, step = 0.01)
scolor = input(false, title="Show coloured Bars to indicate Trend?")
delayOffset = input(defval = 0, title = "Delay Open/Close MA (Forces Non-Repainting)", minval = 0, step =
1)
tradeType = input("BOTH", title="What trades should be taken : ", options=["LONG", "SHORT", "BOTH",
"NONE"])
// === /INPUTS ===

// Constants colours that include fully non-transparent option.


green100 = #008000FF
lime100 = #00FF00FF
red100 = #FF0000FF
blue100 = #0000FFFF
aqua100 = #00FFFFFF
darkred100 = #8B0000FF
gray100 = #808080FF

// === BASE FUNCTIONS ===


// Returns MA input selection variant, default to SMA if blank or typo.
variant(type, src, len, offSig, offALMA) =>
v1 = sma(src, len) // Simple
v2 = ema(src, len) // Exponential
v3 = 2 * v2 - ema(v2, len) // Double Exponential
v4 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len) // Triple Exponential
v5 = wma(src, len) // Weighted
v6 = vwma(src, len) // Volume Weighted
v7 = 0.0
v7 := na(v7[1]) ? sma(src, len) : (v7[1] * (len - 1) + src) / len // Smoothed
v8 = wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len))) // Hull
v9 = linreg(src, len, offSig) // Least Squares
v10 = alma(src, len, offALMA, offSig) // Arnaud Legoux
v11 = sma(v1,len) // Triangular (extreme smooth)

a1 = exp(-1.414*3.14159 / len)
b1 = 2*a1*cos(1.414*3.14159 / len)
c2 = b1
c3 = (-a1)*a1
c1 = 1 - c2 - c3
v12 = 0.0
v12 := c1*(src + nz(src[1])) / 2 + c2*nz(v12[1]) + c3*nz(v12[2])
type=="EMA"?v2 : type=="DEMA"?v3 : type=="TEMA"?v4 : type=="WMA"?v5 : type=="VWMA"?v6 :
type=="SMMA"?v7 : type=="HullMA"?v8 : type=="LSMA"?v9 : type=="ALMA"?v10 : type=="TMA"?v11:
type=="SSMA"?v12: v1

// security wrapper for repeat calls


reso(exp, use, res) => use ? security(tickerid, res, exp, gaps=barmerge.gaps_off,
lookahead=barmerge.lookahead_on) : exp

// === /BASE FUNCTIONS ===

// === SERIES SETUP ===


closeSeries = variant(basisType, close[delayOffset], basisLen, offsetSigma, offsetALMA)
openSeries = variant(basisType, open[delayOffset], basisLen, offsetSigma, offsetALMA)
// === /SERIES ===

// === PLOTTING ===

// Get Alternate resolution Series if selected.


closeSeriesAlt = reso(closeSeries, useRes, stratRes)
openSeriesAlt = reso(openSeries, useRes, stratRes)
//
trendColour = (closeSeriesAlt > openSeriesAlt) ? green : red
bcolour = (closeSeries > openSeriesAlt) ? lime100 : red100
barcolor(scolor?bcolour:na, title = "Bar Colours")
closeP=plot(closeSeriesAlt, title = "Close Series", color = trendColour, linewidth = 2, style = line, transp =
20)
openP=plot(openSeriesAlt, title = "Open Series", color = trendColour, linewidth = 2, style = line, transp =
20)
fill(closeP,openP,color=trendColour,transp=80)

// === /PLOTTING ===


//

//
// === ALERT conditions
xlong = crossover(closeSeriesAlt, openSeriesAlt)
xshort = crossunder(closeSeriesAlt, openSeriesAlt)
longCond = xlong // alternative: longCond[1]? false : (xlong or xlong[1]) and close>closeSeriesAlt and
close>=open
shortCond = xshort // alternative: shortCond[1]? false : (xshort or xshort[1]) and close<closeSeriesAlt
and close<=open
// === /ALERT conditions.

// === STRATEGY ===


// stop loss
slPoints = input(defval = 0, title = "Initial Stop Loss Points (zero to disable)", minval = 0)
tpPoints = input(defval = 0, title = "Initial Target Profit Points (zero for disable)", minval = 0)
// Include bar limiting algorithm
ebar = input(defval = 10000, title="Number of Bars for Back Testing", minval=0)
dummy = input(false, title="- SET to ZERO for Daily or Longer Timeframes" )
//
// Calculate how many mars since last bar
tdays = (timenow-time)/60000.0 // number of minutes since last bar
tdays := ismonthly? tdays/1440.0/5.0/4.3/interval : isweekly? tdays/1440.0/5.0/interval : isdaily?
tdays/1440.0/interval : tdays/interval // number of bars since last bar
//
//set up exit parameters
TP = tpPoints>0?tpPoints:na
SL = slPoints>0?slPoints:na

// Make sure we are within the bar range, Set up entries and exit conditions
if ((ebar==0 or tdays<=ebar) and tradeType!="NONE")
strategy.entry("long", strategy.long, when=longCond==true and tradeType!="SHORT")
strategy.entry("short", strategy.short, when=shortCond==true and tradeType!="LONG")
strategy.close("long", when = shortCond==true and tradeType=="LONG")
strategy.close("short", when = longCond==true and tradeType=="SHORT")
strategy.exit("XL", from_entry = "long", profit = TP, loss = SL)
strategy.exit("XS", from_entry = "short", profit = TP, loss = SL)

// === /STRATEGY ===


// eof

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