ich_trailing_stop_strat.pine

//@version=3
strategy(title="Pleo_Ross Ichimoku & Trailing Stop V1 Strategy", shorttitle="PleoIchTSV1Strategy", overlay=true, default_qty_value=1, commission_type=strategy.commission.percent, commission_value=0.075, backtest_fill_limits_assumption=1)

trailPoints = input(140, "Trail Points (in ticks)", type=integer)
trailOffset = input(100, "Trail Offset (in ticks)", type=integer)
testType = input('Trail Points', "Test Points or Price", options=['Trail Points', 'Trail Price'])
allowsStrongSignal = input(true, "Enables strong signals", type=bool)
allowsMediumSignal = input(true, "Enables medium signals", type=bool)
allowsWeakSignal = input(true, "Enables weak signals", type=bool)
usingCustomTrailingStop = input(true, "Uses custom trailing stop", type=bool)

// === INPUT BACKTEST RANGE ===
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear  = input(defval = 2017, title = "From Year", minval = 2017)
ToDay     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear    = input(defval = 9999, title = "To Year", minval = 2017)
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
window()  => time >= start and time <= finish ? true : false // create function "within window of time"

//Ichimoku input Logic
conversionPeriods = input(9, minval=1, title="Conversion Line Periods"),
basePeriods = input(26, minval=1, title="Base Line Periods")
laggingSpan2Periods = input(52, minval=1, title="Lagging Span 2 Periods"),
displacement = input(26, minval=1, title="Displacement")

//Ichimoku function Logic
donchian(len) => avg(lowest(len), highest(len))

//Ichimoku line Logic
tenkanLine = donchian(conversionPeriods)
kijunLine = donchian(basePeriods)
leadLine1 = avg(tenkanLine, kijunLine)
leadLine2 = donchian(laggingSpan2Periods)

isAggressiveStrategy = input(false, title="Use aggressive closing of positions")
// store state of open position (whether long or short)
lastOpenPosition = 0.0
lastOpenPosition := lastOpenPosition[1]
price = 0.0
price := na

// Chikou Logic
isAboveCloud = open > leadLine1[displacement] and open > leadLine2[displacement]
isBelowCloud = open < leadLine1[displacement] and open < leadLine2[displacement]
isChikouAboveCloud = high > leadLine1[displacement * 2] and high > leadLine2[displacement * 2]
isChikouBelowCloud = low < leadLine1[displacement * 2] and low < leadLine2[displacement * 2]
isChikouAboveAllLines = isChikouAboveCloud and high > tenkanLine[displacement] and high > kijunLine[displacement] 
isChikouBelowAllLines = isChikouBelowCloud and low < tenkanLine[displacement] and low < kijunLine[displacement] 
isChikouInClearSpace = (high > (high[displacement] + 5.00) and isChikouAboveAllLines) or (low < (low[displacement] - 5.00) and isChikouBelowAllLines)
useChikou = input(false, title="Use Chikou Clear Space")

// Logic for open positions
inOpenPosition = lastOpenPosition[1] != 0
inPreviousBuy = lastOpenPosition[1] > 0
inPreviousSell = lastOpenPosition[1] < 0
isBuySignal = crossover(tenkanLine, kijunLine) and not inPreviousBuy
isSellSignal = crossunder(tenkanLine, kijunLine) and not inPreviousSell
isStrongBuySignal = isBuySignal and isAboveCloud and (useChikou ? isChikouInClearSpace : true)
isStrongSellSignal = isSellSignal and isBelowCloud and (useChikou ? isChikouInClearSpace : true)
isWeakBuySignal = isBuySignal and isBelowCloud and (useChikou ? isChikouInClearSpace : true)
isWeakSellSignal = isSellSignal and isAboveCloud and (useChikou ? isChikouInClearSpace : true)
isMediumSellSignal = (isSellSignal and not isBelowCloud and not isAboveCloud) or (isSellSignal and isBelowCloud and (useChikou ? isChikouInClearSpace : true))
isMediumBuySignal = (isBuySignal and not isBelowCloud and not isAboveCloud) or (isBuySignal and isAboveCloud and (useChikou ? isChikouInClearSpace : true))

// Logic for exit positions
isAboveAllLines = isAboveCloud and close > tenkanLine and close > kijunLine 
isBelowAllLines = isBelowCloud and close < tenkanLine and close < kijunLine 
isBuyExit = inPreviousBuy and (isAggressiveStrategy ? isBelowAllLines or crossunder(close, kijunLine) : isSellSignal) and not isSellSignal
isSellExit = inPreviousSell and (isAggressiveStrategy ? isAboveAllLines or crossover(close, kijunLine) : isBuySignal) and not isBuySignal

// Visualise the Opening positions
plotshape(isWeakBuySignal, style=shape.arrowup, location=location.abovebar, color=inPreviousBuy ? green : gray, size=size.small, text="wb")
plotshape(isMediumBuySignal, style=shape.arrowup, location=location.abovebar, color=inPreviousBuy ? green : gray, size=size.normal, text="Mb")
plotshape(isStrongBuySignal, style=shape.arrowup, location=location.abovebar, color=inPreviousBuy ? green : gray, size=size.large, text="SB")
plotshape(isWeakSellSignal, style=shape.arrowdown, location=location.belowbar, color=inPreviousSell ? red : gray, size=size.small, text="ws")
plotshape(isMediumSellSignal, style=shape.arrowdown, location=location.belowbar, color=inPreviousSell ? red : gray, size=size.normal, text="Ms")
plotshape(isStrongSellSignal, style=shape.arrowdown, location=location.belowbar, color=inPreviousSell ? red : gray, size=size.large, text="SS")
// Visualise the Exit positions
plotshape(isBuyExit, style=shape.xcross, location=location.abovebar, color=green, size=size.small)
plotshape(isSellExit, style=shape.xcross, location=location.belowbar, color=red, size=size.small)

if isBuyExit
    strategy.close("buy")
    lastOpenPosition := 0
    price := close

if isSellExit
    strategy.close("sell")
    lastOpenPosition := 0
    price := close

if (isBuySignal)
    strategy.close("sell")
    price := close
    if isStrongBuySignal and allowsStrongSignal
        lastOpenPosition := 3
        strategy.order("buy", strategy.long, 3, comment="Strong buy", when=window())   
        strategy.exit("Trailing Stop (buy)", "buy", trail_points= trailPoints, trail_offset= trailOffset, when= testType == 'Trail Points' and window() and not usingCustomTrailingStop)
    else
        if isMediumBuySignal and allowsMediumSignal
            lastOpenPosition := 2
            strategy.order("buy", strategy.long, 2, comment="Medium buy", when=window())
            strategy.exit("Trailing Stop (buy)", "buy", trail_points= trailPoints, trail_offset= trailOffset, when= testType == 'Trail Points' and window() and not usingCustomTrailingStop)
        else
            if isWeakBuySignal and allowsWeakSignal
                lastOpenPosition := 1
                strategy.order("buy", strategy.long, 1, comment="Weak buy", when=window())
                strategy.exit("Trailing Stop (buy)", "buy", trail_points= trailPoints, trail_offset= trailOffset, when= testType == 'Trail Points' and window() and not usingCustomTrailingStop)


if (isSellSignal)
    strategy.close("buy")
    price := close
    if isStrongSellSignal and allowsStrongSignal    
        lastOpenPosition := -3
        strategy.order("sell", strategy.short, 3, comment="Strong sell", when=window())
        strategy.exit("Trailing Stop (sell)", "sell", trail_points= trailPoints, trail_offset= trailOffset, when= testType == 'Trail Points' and window() and not usingCustomTrailingStop)
    else
        if isMediumSellSignal and allowsMediumSignal    
            lastOpenPosition := -2
            strategy.order("sell", strategy.short, 2, comment="Medium sell", when=window())
            strategy.exit("Trailing Stop (sell)", "sell", trail_points= trailPoints, trail_offset= trailOffset, when= testType == 'Trail Points' and window() and not usingCustomTrailingStop)
        else
            if isWeakSellSignal and allowsWeakSignal    
                lastOpenPosition := -1
                strategy.order("sell", strategy.short, 1, comment="Weak sell", when=window())
                strategy.exit("Trailing Stop (sell)", "sell", trail_points= trailPoints, trail_offset= trailOffset, when= testType == 'Trail Points' and window() and not usingCustomTrailingStop)


readyToEvalTrigger = not isBuySignal and not isSellSignal and not isSellExit and not isBuyExit

////////////////
// TRAILING STOP STRATEGY 1
////////////////
offset = input(defval=2, title="Offset %", type=float, minval=0.01, maxval=100, step=0.1)
buyMaxTrigger = input(title="Buy Max trigger", type=source, defval=high)
sellMaxTrigger = input(title="Sell Max trigger", type=source, defval=low)
srcTrigger = input(title="Source trigger", type=source, defval=close)

highest1 = buyMaxTrigger
highest1 := highest1[1]
if inPreviousBuy 
    if buyMaxTrigger > highest1[1]
        highest1 := buyMaxTrigger
else 
    highest1 := buyMaxTrigger

lowest1 = sellMaxTrigger
lowest1 := lowest1[1]
if inPreviousSell 
    if sellMaxTrigger < lowest1[1]
        lowest1 := sellMaxTrigger
else
    lowest1 := sellMaxTrigger

buyTsl = highest1 * (1-(offset/100))
plot(highest1, style=line, color=inPreviousBuy ? olive : white, title="Highest Position", linewidth=1, transp=70)
plot(buyTsl, style=line, color=inPreviousBuy ? olive : white, title="Highest Trailing Stop Position", linewidth=2)

sellTsl = lowest1 * (1+(offset/100))
plot(lowest1, style=line, color=inPreviousSell ? orange : white, title="Lowest Position", linewidth=1, transp=70)
plot(sellTsl, style=line, color=inPreviousSell ? orange : white, title="Lowest Trailing Stop Position", linewidth=2)

hasTriggeredBuyStop = inPreviousBuy and crossunder(srcTrigger, buyTsl) and usingCustomTrailingStop and readyToEvalTrigger
hasTriggeredSellStop = inPreviousSell and crossover(srcTrigger, sellTsl) and usingCustomTrailingStop and readyToEvalTrigger

if hasTriggeredBuyStop
    strategy.close("buy")
    lastOpenPosition := 0
    price := 0

if hasTriggeredSellStop
    strategy.close("sell")
    lastOpenPosition := 0
    price := 0

plotshape(hasTriggeredBuyStop, style=shape.xcross, location=location.abovebar, color=olive, size=size.small, text="Trailing\nStop")
plotshape(hasTriggeredSellStop, style=shape.xcross, location=location.abovebar, color=orange, size=size.small, text="Trailing\nStop")

// ////////////////
// // TRAILING STOP STRATEGY 2
// ////////////////
// last_high = buyMaxTrigger
// last_low = sellMaxTrigger
// last_high := not inPreviousBuy ? na : inPreviousBuy and (na(last_high[1]) or buyMaxTrigger > nz(last_high[1])) ? buyMaxTrigger : nz(last_high[1])
// last_low := not inPreviousSell ? na : inPreviousSell and (na(last_low[1]) or sellMaxTrigger < nz(last_low[1])) ? sellMaxTrigger : nz(last_low[1])
// buyTsl = last_high * (1-(offset/100))
// plot(last_high, style=line, color=inPreviousBuy ? olive : white, title="Highest Position", linewidth=1, transp=70)
// plot(buyTsl, style=line, color=inPreviousBuy ? olive : white, title="Highest Trailing Stop Position", linewidth=2)
// sellTsl = last_low * (1+(offset/100))
// plot(last_low, style=line, color=inPreviousSell ? orange : white, title="Lowest Position", linewidth=1, transp=70)
// plot(sellTsl, style=line, color=inPreviousSell ? orange : white, title="Lowest Trailing Stop Position", linewidth=2)
// long_ts = not na(last_high) and srcTrigger <= buyTsl and usingCustomTrailingStop and readyToEvalTrigger
// short_ts = not na(last_low) and srcTrigger >= sellTsl and usingCustomTrailingStop and readyToEvalTrigger
// if long_ts
//     strategy.close("buy")
//     lastOpenPosition := 0
//     price := 0

// if short_ts
//     strategy.close("sell")
//     lastOpenPosition := 0
//     price := 0

// plotshape(long_ts, style=shape.xcross, location=location.abovebar, color=olive, size=size.small, text="Trailing\nStop")
// plotshape(short_ts, style=shape.xcross, location=location.abovebar, color=orange, size=size.small, text="Trailing\nStop")


// ////////////////
// // TRAILING STOP STRATEGY 3
// ////////////////
// sumbars = input(defval=6, title="Use last x bars for calculation", type=integer, minval=1)
// tsl = (sum(close,sumbars)/sumbars)*(1-(offset/100))
// plot(tsl, color=(srcTrigger<tsl)?red:green)
// buyStopCondition = crossunder(srcTrigger,tsl) and inPreviousBuy and readyToEvalTrigger and usingCustomTrailingStop
// sellStopCondition = crossover(srcTrigger,tsl) and inPreviousSell and readyToEvalTrigger and usingCustomTrailingStop
// plotshape(buyStopCondition, text="Buy\nStop", style=shape.circle, color=olive)
// plotshape(sellStopCondition, text="Sell\nStop", style=shape.circle, color=red)
// alertcondition(buyStopCondition, "Stop alert", "SELL")
// alertcondition(sellStopCondition, "Stop alert", "BUY")
// if (buyStopCondition)
//     strategy.close("buy")
//     lastOpenPosition := 0
//     price := 0

// if (sellStopCondition)
//     strategy.close("sell")
//     lastOpenPosition := 0
//     price := 0

////////////////
// TRAILING STOP STRATEGY 4
////////////////
// longoffset = input(defval=100, title="Long Trailing Stop Size", type=float, minval=0.5, maxval=1000, step=0.5)
// shortoffset = input(defval=100, title="Short Trailing Stop Size ", type=float, minval=0.5, maxval=1000, step=0.5)
// hiprice = security(tickerid, "1", high)
// loprice = security(tickerid, "1", low)
// price1 = security(tickerid, "1", close)
// trailstop = price1
// trailstop := (loprice <= trailstop[1] and loprice[1] >= trailstop[2]) ? price1 + shortoffset : ((hiprice >= trailstop[1] and hiprice[1] <= trailstop[2]) ? price1 - longoffset : (hiprice > trailstop[1] ? max(hiprice - longoffset, trailstop[1]) : (loprice < trailstop[1] ? min(loprice + shortoffset, trailstop[1]) : price1)))
// trailcol = trailstop > price1 ? red : green
// plot(trailstop, color=trailcol)
// longCondition = (trailcol == green) and inPreviousSell and readyToEvalTrigger and usingCustomTrailingStop
// alertcondition(longCondition, "Long Stop alert", "BUY")
// plotshape(longCondition, text="Sell\nStop", style=shape.circle, color=red)
// if (longCondition)
//     strategy.close("buy")
//     lastOpenPosition := 0
//     price := 0

// shortCondition = (trailcol == red) and inPreviousBuy and readyToEvalTrigger and usingCustomTrailingStop
// alertcondition(shortCondition, "Short alert", "SELL")
// plotshape(shortCondition, text="Buy\nStop", style=shape.circle, color=olive)
// if (shortCondition)
//     strategy.close("sell")
//     lastOpenPosition := 0
//     price := 0

// Visualise price change for open positions
bgcolor(lastOpenPosition > 0 ? green : na, transp=95)
bgcolor(lastOpenPosition < 0 ? red : na, transp=95)