//@version=5
//@mtahreemalam
strategy(title = 'Squeeze Momentum Strategy with TP & SL, v2',
shorttitle = 'SQM Strategy, v2',
overlay = true,
pyramiding = 0,
default_qty_type = strategy.percent_of_equity,
default_qty_value = 100,
initial_capital = 100000,
commission_type=strategy.commission.percent,
commission_value=0.0,
process_orders_on_close=false,
use_bar_magnifier=false)
import jason5480/time_filters/5 as tif
gp0 = "Backtesting Settings"
gp1 = "Squeeze Momentum Settings"
gp2 = "Strategy Settings"
type1 = "Buy@ Mom Up/ Sell@ Mom Dn"
type2 = "Buy@ Mom Up & below 0/ Sell@ Mom Dn & above 0"
type3 = "Longs Only below 0/ Shorts Only above 0"
type4 = "Long@ Mom above 0/ Short@ Mom below 0"
usefromDate = input.bool(defval = true, title = 'From', inline = 'From Date', group
= gp0)
fromDate = input.time(defval = timestamp('1 Jan 2023 00:00'), title = '', inline =
'From Date', group = gp0)
usetoDate = input.bool(defval = false, title = 'To ', inline = 'To Date', group =
gp0)
toDate = input.time(defval = timestamp('31 Jul 2024 00:00'), title = '', inline =
'To Date', group = gp0)
bool dateFilterApproval = tif.is_in_date_range(usefromDate, fromDate, usetoDate,
toDate)
strategy_logic = input.string(type2, "Switch Strategy Logic Type", options =
[type1, type2, type3, type4], group = gp2)
longDealsEnabled = input.bool(defval = true, title = 'Enable Longs', inline =
'Long/Short Deals', group = gp2)
shortDealsEnabled = input.bool(defval = false, title = 'Enable Shorts', inline =
'Long/Short Deals', group = gp2)
long_stoploss_value = input.float(defval=0.5, title=' Long SL %', minval=0.01,
step=0.01,group=gp2, inline='2')//100
long_takeprofit_value = input.float(defval=1, title=' Long TP %', minval=0.01,
step=0.01,group=gp2, inline='2')//100
short_stoploss_value = input.float(defval=0.5, title=' Short SL %', minval=0.01,
step=0.01,group=gp2, inline='3')//100
short_takeprofit_value = input.float(defval=1, title=' Short TP %',
minval=0.01,step=0.01, group=gp2, inline='3')//100
exit_tp_sl = input.bool(defval = false, title = 'Exit only when TP/SL hit',
group=gp2)
allowEntry = exit_tp_sl ? strategy.position_size==0 : true
long_stoploss_percentage = close * (long_stoploss_value / 100) / syminfo.mintick
long_takeprofit_percentage = close * (long_takeprofit_value / 100) /
syminfo.mintick
short_stoploss_percentage = close * (short_stoploss_value / 100) / syminfo.mintick
short_takeprofit_percentage = close * (short_takeprofit_value / 100) /
syminfo.mintick
length = input(20, title='BB Length', group = gp1)
mult = input(2.0, title='BB MultFactor', group = gp1)
lengthKC = input(20, title='KC Length', group = gp1)
mult_kc = input(1.5, title='KC MultFactor', group = gp1)
squeeze_filter = input.bool(true, "Take Entry only when Squeeze On", group = gp1)
// Calculate BB
src = ohlc4
ma_1 = ta.sma(src, length)
ma_2 = ta.sma(src, lengthKC)
range_ma = ta.sma(high - low, lengthKC)
dev = mult * ta.stdev(src, length)
upper_bb = ma_1 + dev
lower_bb = ma_1 - dev
upper_kc = ma_2 + range_ma * mult_kc
lower_kc = ma_2 - range_ma * mult_kc
sqz_on = lower_bb > lower_kc and upper_bb < upper_kc
sqz_off = lower_bb < lower_kc and upper_bb > upper_kc
no_sqz = sqz_on == false and sqz_off == false
sqz_filter = squeeze_filter ? sqz_off : true
val = ta.linreg(src - math.avg(math.avg(ta.highest(hl2, lengthKC), ta.lowest(low,
lengthKC)), ta.sma(hl2, lengthKC)), lengthKC, 0)
iff_1 = val > nz(val[1]) ? color.lime : color.green
iff_2 = val < nz(val[1]) ? color.red : color.maroon
bcolor = val > 0 ? iff_1 : iff_2
scolor = no_sqz ? color.blue : sqz_on ? color.black : color.aqua
long_default = ta.crossover(val,nz(val[1]))
short_default = ta.crossunder(val,nz(val[1]))
longCondition = switch strategy_logic
type1 => ta.crossover(val,nz(val[1])) and sqz_filter
type2 => ta.crossover(val,nz(val[1])) and val<0 and sqz_filter
type3 => ta.crossover(val,nz(val[1])) and val<0 and sqz_filter
type4 => ta.crossover(val,0) and sqz_filter
shortCondition = switch strategy_logic
type1 => ta.crossunder(val,nz(val[1])) and sqz_filter
type2 => ta.crossunder(val,nz(val[1])) and val>0 and sqz_filter
type3 => ta.crossunder(val,nz(val[1])) and val>0 and sqz_filter
type4 => ta.crossunder(val,0) and sqz_filter
longExit = switch strategy_logic
type1 => ta.crossunder(val,nz(val[1]))
type2 => ta.crossunder(val,nz(val[1])) and val>0
type3 => ta.crossunder(val,nz(val[1])) and val<0
type4 => ta.crossunder(val,0)
shortExit = switch strategy_logic
type1 => ta.crossover(val,nz(val[1]))
type2 => ta.crossover(val,nz(val[1])) and val<0
type3 => ta.crossover(val,nz(val[1])) and val>0
type4 => ta.crossover(val,0)
//STRATEGY
if longExit and (not exit_tp_sl)
strategy.close('Long', comment = 'L.Close')
if shortExit and (not exit_tp_sl)
strategy.close('Short', comment = 'S.Close')
if longCondition and longDealsEnabled and dateFilterApproval and allowEntry
strategy.entry('Long', strategy.long)
strategy.exit('Long Exit', from_entry='Long', loss=long_stoploss_percentage,
profit=long_takeprofit_percentage, comment_loss="Long SL", comment_profit="Long
TP")
if shortCondition and shortDealsEnabled and dateFilterApproval and allowEntry
strategy.entry('Short', strategy.short)
strategy.exit('Short Exit', from_entry='Short', loss=short_stoploss_percentage,
profit=short_takeprofit_percentage, comment_loss="Short SL", comment_profit="Short
TP")
// Plot Stoploss & Take Profit Levels
long_stoploss_price = strategy.position_avg_price * (1 - long_stoploss_value / 100)
long_takeprofit_price = strategy.position_avg_price * (1 + long_takeprofit_value /
100)
short_stoploss_price = strategy.position_avg_price * (1 + short_stoploss_value /
100)
short_takeprofit_price = strategy.position_avg_price * (1 -
short_takeprofit_value / 100)
// Entries
plot(strategy.position_size>0 ? long_stoploss_price : na, color=color.new(#ff0000,
0), style=plot.style_linebr, linewidth=1, title='Long SL Level')
plot(strategy.position_size>0 ? long_takeprofit_price : na,
color=color.new(#008000, 0), style=plot.style_linebr, linewidth=1, title='Long TP
Level')
plot(strategy.position_size<0 ? short_stoploss_price : na, color=color.new(#ff0000,
0), style=plot.style_linebr, linewidth=1, title='Short SL Level')
plot(strategy.position_size<0 ? short_takeprofit_price : na,
color=color.new(#008000, 0), style=plot.style_linebr, linewidth=1, title='Short TP
Level')
barcolor(close>=open? color.new(color.green,80):color.new(color.red,80))
