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*Auto Backtest & Optimize EngineFull-featured Engine for Automatic Backtesting and parameter optimization. Allows you to test millions of different combinations of stop-loss and take profit parameters, including on any connected indicators. ⭕️ Key Futures Quickly identify the optimal parameters for your strategy. Automatically generate and test thousands of parameter combinations. A simple Genetic Algorithm for result selection. Saves time on manual testing of multiple parameters. Detailed analysis, sorting, filtering and statistics of results. Detailed control panel with many tooltips. Display of key metrics: Profit, Win Rate, etc.. Comprehensive Strategy Score calculation. In-depth analysis of the performance of different types of stop-losses. Possibility to use to calculate the best Stop-Take parameters for your position. Ability to test your own functions and signals. Customizable visualization of results. Flexible Stop-Loss Settings: • Auto ━ Allows you to test all types of Stop Losses at once(listed below). • S.VOLATY ━ Static stop based on volatility (Fixed, ATR, STDEV). • Trailing ━ Classic trailing stop following the price. • Fast Trail ━ Accelerated trailing stop that reacts faster to price movements. • Volatility ━ Dynamic stop based on volatility indicators. • Chandelier ━ Stop based on price extremes. • Activator ━ Dynamic stop based on SAR. • MA ━ Stop based on moving averages (9 different types). • SAR ━ Parabolic SAR (Stop and Reverse). Advanced Take-Profit Options: • R:R: Risk/Reward ━ sets TP based on SL size. • T.VOLATY ━ Calculation based on volatility indicators (Fixed, ATR, STDEV). Testing Modes: • Stops ━ Cyclical stop-loss testing • Pivot Point Example ━ Example of using pivot points • External Example ━ Built-in example how test functions with different parameters • External Signal ━ Using external signals ⭕️ Usage ━ First Steps: When opening, select any point on the chart. It will not affect anything until you turn on Manual Start mode (more on this below). The chart will immediately show the best results of the default Auto mode. You can switch Part's to try to find even better results in the table. Now you can display any result from the table on the chart by entering its ID in the settings. Repeat steps 3-4 until you determine which type of Stop Loss you like best. Then set it in the settings instead of Auto mode. * Example: I flipped through 14 parts before I liked the first result and entered its ID so I could visually evaluate it on the chart. Then select the stop loss type, choose it in place of Auto mode and repeat steps 3-4 or immediately follow the recommendations of the algorithm. Now the Genetic Algorithm at the bottom right will prompt you to enter the Parameters you need to search for and select even better results. Parameters must be entered All at once before they are updated. Enter recommendations strictly in fields with the same names. Repeat steps 5-6 until there are approximately 10 Part's left or as you like. And after that, easily pour through the remaining Parts and select the best parameters. ━ Example of the finished result. ━ Example of use with Takes You can also test at the same time along with Take Profit. In this example, I simply enabled Risk/Reward mode and immediately specified in the TP field Maximum RR, Minimum RR and Step. So in this example I can test (3-1) / 0.1 = 20 Takes of different sizes. There are additional tips in the settings. ━ * Soon you will start to understand how the system works and things will become much easier. * If something doesn't work, just reset the engine settings and start over again. * Use the tips I have left in the settings and on the Panel. ━ Details: Sort ━ Sorting results by Score, Profit, Trades, etc.. Filter ━ Filtring results by Score, Profit, Trades, etc.. Trade Type ━ Ability to disable Long\Short but only from statistics. BackWin ━ Backtest Window Number of Candle the script can test. Manual Start ━ Enabling it will allow you to call a Stop from a selected point. which you selected when you started the engine. * If you have a real open position then this mode can help to save good Stop\Take for it. 1 - 9 Сheckboxs ━ Allow you to disable any stop from Auto mode. Ex Source - Allow you to test Stops/Takes from connected indicators. Connection guide: //@version=6 indicator("My script") rsi = ta.rsi(close, 14) buy = not na(rsi) and ta.crossover (rsi, 40) // OS = 40 sell = not na(rsi) and ta.crossunder(rsi, 60) // OB = 60 Signal = buy ? +1 : sell ? -1 : 0 plot(Signal, "🔌Connector🔌", display = display.none) * Format the signal for your indicator in a similar style and then select it in Ex Source. ⭕️ How it Works Hypothesis of Uniform Distribution of Rare Elements After Mixing. 'This hypothesis states that if an array of N elements contains K valid elements, then after mixing, these valid elements will be approximately uniformly distributed.' 'This means that in a random sample of k elements, the proportion of valid elements should closely match their proportion in the original array, with some random variation.' 'According to the central limit theorem, repeated sampling will result in an average count of valid elements following a normal distribution.' 'This supports the assumption that the valid elements are evenly spread across the array.' 'To test this hypothesis, we can conduct an experiment:' 'Create an array of 1,000,000 elements.' 'Select 1,000 random elements (1%) for validation.' 'Shuffle the array and divide it into groups of 1,000 elements.' 'If the hypothesis holds, each group should contain, on average, 1~ valid element, with minor variations.' * I'd like to attach more details to My hypothesis but it won't be very relevant here. Since this is a whole separate topic, I will leave the minimum part for understanding the engine. Practical Application To apply this hypothesis, I needed a way to generate and thoroughly mix numerous possible combinations. Within Pine, generating over 100,000 combinations presents significant challenges, and storing millions of combinations requires excessive resources. I developed an efficient mechanism that generates combinations in random order to address these limitations. While conventional methods often produce duplicates or require generating a complete list first, my approach guarantees that the first 10% of possible combinations are both unique and well-distributed. Based on my hypothesis, this sampling is sufficient to determine optimal testing parameters. Most generators and randomizers fail to accommodate both my hypothesis and Pine's constraints. My solution utilizes a simple Linear Congruential Generator (LCG) for pseudo-randomization, enhanced with prime numbers to increase entropy during generation. I pre-generate the entire parameter range and then apply systematic mixing. This approach, combined with a hybrid combinatorial array-filling technique with linear distribution, delivers excellent generation quality. My engine can efficiently generate and verify 300 unique combinations per batch. Based on the above, to determine optimal values, only 10-20 Parts need to be manually scrolled through to find the appropriate value or range, eliminating the need for exhaustive testing of millions of parameter combinations. For the Score statistic I applied all the same, generated a range of Weights, distributed them randomly for each type of statistic to avoid manual distribution. Score ━ based on Trade, Profit, WinRate, Profit Factor, Drawdown, Sharpe & Sortino & Omega & Calmar Ratio. ⭕️ Notes For attentive users, a little tricks :) To save time, switch parts every 3 seconds without waiting for it to load. After 10-20 parts, stop and wait for loading. If the pause is correct, you can switch between the rest of the parts without loading, as they will be cached. This used to work without having to wait for a pause, but now it does slower. This will save a lot of time if you are going to do a deeper backtest. Sometimes you'll get the error “The scripts take too long to execute.” For a quick fix you just need to switch the TF or Ticker back and forth and most likely everything will load. The error appears because of problems on the side of the site because the engine is very heavy. It can also appear if you set too long a period for testing in BackWin or use a heavy indicator for testing. Manual Start - Allow you to Start you Result from any point. Which in turn can help you choose a good stop-stick for your real position. * It took me half a year from idea to current realization. This seems to be one of the few ways to build something automatic in backtest format and in this particular Pine environment. There are already better projects in other languages, and they are created much easier and faster because there are no limitations except for personal PC. If you see solutions to improve this system I would be glad if you share the code. At the moment I am tired and will continue him not soon. Also You can use my previosly big Backtest project with more manual settings(updated soon)
Indicatore Pine Script®
di HALDRO
15
Descriptive Backtesting Framework (DBF)As the name suggests, this is a backtesting framework made to offer full backtesting functionality to any custom indicator in a visually descriptive way. Any trade taken will be very clear to visualize on the chart and the equity line will be updated live allowing us to use the REPLAY feature to view the strategy performing in real time. Stops and Targets will also get draw on the chart with labels and tooltips and there will be a table on the top right corner displaying lots of descriptive metrics to measure your strategy's performance. IF YOU DECIDE TO USE THIS FRAMEWORK, PLEASE READ **EVERYTHING** BELOW HOW TO USE IT Step 1 - Insert Your Strategy Indicators: Inside this framework's code, right at the beginning, you will find a dedicated section where you can manually insert any set of indicators you desire. Just replace the example code in there with your own strategy indicators. Step 2 - Specify The Conditions To Take Trades: After that, there will be another section where you need to specify your strategy's conditions to enter and exit trades. When met, those conditions will fire the trading signals to the trading engine inside the framework. If you don't wish to use some of the available signals, please just assign false to the signal. DO NOT DELETE THE SIGNAL VARIABLES Step 3 - Specify Entry/Exit Prices, Stops & Targets: Finally you'll reach the last section where you'll be able to specify entry/exit prices as well as add stops and targets. On most cases, it's easier and more reliable to just use the close price to enter and exit trades. If you decide to use the open price instead, please remember to change step 2 so that trades are taken on the open price of the next candle and not the present one to avoid the look ahead bias. Stops and targets can be set in any way you want. Also, please don't forget to update the spread. If your broker uses commissions instead of spreads or a combination of both, you'll need to manually incorporate those costs in this step. And that's it! That's all you have to do. Below this section you'll now see a sign warning you about not making any changes to the code below. From here on, the framework will take care of executing the trades and calculating the performance metrics for you and making sure all calculations are consistent. VISUAL FEATURES: Price candles get painted according to the current trade. They will be blue during long trades, purple on shorts and white when no trade is on. When the framework receives the signals to start or close a trade, it will display those signals as shapes on the upper and lower limits of the chart: DIAMOND: represents a signal to open a trade, the trade direction is represented by the shape's color; CROSS: means a stop loss was triggered; FLAG: means a take profit was triggered; CIRCLE: means an exit trade signal was fired; Hovering the mouse over the trade labels will reveal: Asset Quantity; Entry/Exit Prices; Stops & Targets; Trade Profit; Profit As Percentage Of Trade Volume; **Please note that there's a limit as to how many labels can be drawn on the chart at once.** If you which to see labels from the beginning of the chart, you'll probably need to use the replay feature. PERFORMANCE TABLE: The performance table displays several performance metrics to evaluate the strategy. All the performance metrics here are calculated by the framework. It does not uses the oficial pine script strategy tester. All metrics are calculated in real time. If using the replay feature, they will be updated up to the last played bar. Here are the available metrics and their definition: INITIAL EQUITY: the initial amount of money we had when the strategy started, obviously...; CURRENT EQUITY: the amount of money we have now. If using the replay feature, it will show the current equity up to the last bar played. The number on it's right side shows how many times our equity has been multiplied from it's initial value; TRADE COUNT: how many trades were taken; WIN COUNT: how many of those trades were wins. The percentage at the right side is the strategy WIN RATE; AVG GAIN PER TRADE: the average percentage gain per trade. Very small values can indicate a fragile strategy that can behave in unexpected ways under high volatility conditions; AVG GAIN PER WIN: the average percentage gain of trades that were profitable; AVG GAIN PER LOSS: the average percentage loss on trades that were not profitable; EQUITY MAX DD: the maximum drawdown experienced by our equity during the entire strategy backtest; TRADE MAX DD: the maximum drawdown experienced by our equity after one single trade; AVG MONTHLY RETURN: the compound monthly return that our strategy was able to create during the backtested period; AVG ANNUAL RETURN: this is the strategy's CAGR (compound annual growth rate); ELAPSED MONTHS: number of months since the backtest started; RISK/REWARD RATIO: shows how profitable the strategy is for the amount of risk it takes. Values above 1 are very good (and rare). This is calculated as follows: (Avg Annual Return) / mod(Equity Max DD). Where mod() is the same as math.abs(); AVAILABLE SETTINGS: SPREAD: specify your broker's asset spread ENABLE LONGS / SHORTS: you can keep both enable or chose to take trades in only one direction MINIMUM BARS CLOSED: to avoid trading before indicators such as a slow moving average have had time to populate, you can manually set the number of bars to wait before allowing trades. INITIAL EQUITY: you can specify your starting equity EXPOSURE: is the percentage of equity you wish to risk per trade. When using stops, the strategy will automatically calculate your position size to match the exposure with the stop distance. If you are not using stops then your trade volume will be the percentage of equity specified here. 100 means you'll enter trades with all your equity and 200 means you'll use a 2x leverage. MAX LEVERAGE ALLOWED: In some situations a short stop distance can create huge levels of leverage. If you want to limit leverage to a maximum value you can set it here. SEVERAL PLOTTING OPTIONS: You'll be able to specify which of the framework visuals you wish to see drawn on the chart. FRAMEWORK **LIMITATIONS**: When stop and target are both triggered in the same candle, this framework isn't able to enter faster timeframes to check which one was triggered first, so it will take the pessimistic assumption and annul the take profit signal; This framework doesn't support pyramiding; This framework doesn't support both long and short positions to be active at the same time. So for example, if a short signal is received while a long trade is open, the framework will close the long trade and then open a short trade; FINAL CONSIDERATIONS: I've been using this framework for a good time and I find it's better to use and easier to analyze a strategy's performance then relying on the oficial pine script strategy tester. However, I CANNOT GUARANTEE IT TO BE BUG FREE. **PLEASE PERFORM A MANUAL BACKTEST BEFORE USING ANY STRATEGY WITH REAL MONEY**
Indicatore Pine Script®
di Mateus_Rapini
8
ETF Builder & Backtest System [TradeDots]Create, analyze, and monitor your own custom “ETF-like” portfolio directly on TradingView. This script merges up to 10 different assets with user-defined weightings into a single composite chart, allowing you to see how your personalized portfolio would have performed historically. It is an original tool designed to help traders and investors quickly gauge risk and return profiles without leaving the TradingView platform. 📝 HOW IT WORKS 1. Custom Portfolio Construction Multiple Assets : Combine up to 10 different stocks, ETFs, cryptocurrencies, or other symbols. User-Defined Weights : Allocate each asset a percentage weight (e.g., 15% in AAPL, 10% in MSFT, etc.). Single Composite Value : The script calculates a weighted “ETF-style” price, effectively simulating a merged portfolio curve on your chart. 2. Performance Tracking & Return Analysis Automatic History Capture : The indicator records each asset’s starting price when it first appears in your chosen date range. Rolling Updates : As time progresses, all asset prices are continually evaluated and the portfolio value is updated in real time. Buy & Hold Returns : See how each asset—and the overall portfolio—performed from the “start” date to the most recent bar. Annualized Return : Automatically calculates CAGR (Compound Annual Growth Rate) to help visualize performance over varying timescales. 3. Table & Visual Output Performance Table : A comprehensive table displays individual asset returns, annualized returns, and portfolio totals. Normalized Chart Plot : The composite ETF value is scaled to 100 at the start date, making it easy to compare relative growth or decline. Optional Time Filter : You can define a specific date range (Start/End Dates) to focus on a particular period or to limit historical data. ⚙️ KEY FEATURES 1. Flexible Asset Selection Choose any symbols from multiple asset classes. The script will only run calculations when data is available—no need to worry about missing quotes. 2. Dynamic Table Reporting Start Price for each asset Percentage Weight in the portfolio Total Return (%) and Annualized Return (%) 3. Simple Backtesting Logic This script takes a straightforward Buy & Hold perspective. Once the start date is reached, the portfolio remains static until the end date, so you can quickly assess hypothetical growth. 4. Plot Customization Toggle the main “ETF” plot on/off. Alter the visual style for tables and text. Adjust the time filter to limit or extend your performance measurement window. 🚀 HOW TO USE IT 1. Add the Script Search for “ETF Builder & Backtest System ” in the Indicators & Strategies tab or manually add it to your chart after saving it in your Pine Editor. 2. Configure Inputs Enable Time Filter : Choose whether to restrict the analysis to a particular date range. Start & End Date : Define the period you want to measure performance over (e.g., from 2019-12-31 to 2025-01-01). Assets & Weights : Enter each symbol and specify a percentage weight (up to 10 assets). Display Options : Pick where you want the Table to appear and choose background/text colors. 3. Interpret the Table & Plots Asset Rows : Each asset’s ticker, weighting, start price, and performance metrics. ETF Total Row : Summarizes total weighting, composite starting value, and overall returns. Normalized Plot : Tracks growth/decline of the combined portfolio, starting at 100 on the chart. 4. Refine Your Strategy Compare how different weights or a new mix of assets would have performed over the same period. Assess if certain assets contribute disproportionately to your returns or volatility. Use the results to guide allocations in your real trading or paper trading accounts. ❗️LIMITATIONS 1. Buy & Hold Only This script does not handle rebalancing or partial divestments. Once the portfolio starts, weights remain fixed throughout the chosen timeframe. 2. No Reinvestment Tracking Dividends or other distributions are not factored into performance. 3. Data Availability If historical data for a particular asset is unavailable on TradingView, related results may display as “N/A.” 4. Market Regimes & Volatility Past performance does not guarantee similar future behavior. Markets can change rapidly, which may render historical backtests less predictive over time. ⚠️ RISK DISCLAIMER Trading and investing carry significant risk and can result in financial loss. The “ETF Builder & Backtest System ” is provided for informational and educational purposes only. It does not constitute financial advice. Always conduct your own research. Use proper risk management and position sizing. Past performance does not guarantee future results. This script is an original creation by TradeDots, published under the Mozilla Public License 2.0. Use this indicator as part of a broader trading or investment approach—consider fundamental and technical factors, overall market context, and personal risk tolerance. No trading tool can assure profits; exercise caution and responsibility in all financial decisions.
Indicatore Pine Script®
di tradedots
1
Strategy BackTest Display Statistics - TraderHalaiThis script was born out of my quest to be able to display strategy back test statistics on charts to allow for easier backtesting on devices that do not natively support backtest engine (such as mobile phones, when I am backtesting from away from my computer). There are already a few good ones on TradingView, but most / many are too complicated for my needs. Found an excellent display backtest engine by 'The Art of Trading'. This script is a snippet of his hard work, with some very minor tweaks and changes. Much respect to the original author. Full credit to the original author of this script. It can be found here: www.tradingview.com I decided to modify the script by simplifying it down and make it easier to integrate into existing strategies, using simple copy and paste, by relying on existing tradingview strategy backtester inputs. I have also added 3 additional performance metrics: - Max Run Up - Average Win per trade - Average Loss per trade As this is a work in progress, I will look to add in more performance metrics in future, as I further develop this script. Feel free to use this display panel in your scripts and strategies. Thanks and enjoy :)
Strategia Pine Script®
di TraderHalai
4
[MT] Strategy Backtest Template| Initial Release | | EN | An update of my old script, this script is designed so that it can be used as a template for all those traders who want to save time when programming their strategy and backtesting it, having functions already programmed that in normal development would take you more time to program, with this template you can simply add your favorite indicator and thus be able to take advantage of all the functions that this template has. 🔴Stop Loss and 🟢Take Profit: No need to mention that it is a Stop Loss and a Take Profit, within these functions we find the options of: fixed percentage (%), fixed price ($), ATR, especially for Stop Loss we find the Pivot Points, in addition to this, the price range between the entry and the Stop Loss can be converted into a trailing stop loss, instead, especially for the Take Profit we have an option to choose a 1:X ratio that complements very well with the Pivot Points. 📈Heikin Ashi Based Entries: Heikin Ashi entries are trades that are calculated based on Heikin Ashi candles but their price is executed to Japanese candles, thus avoiding false results that occur in Heikin candlestick charts, this making in certain cases better results in strategies that are executed with this option compared to Japanese candlesticks. 📊Dashboard: A more visual and organized way to see the results and necessary data produced by our strategy, among them we can see the dates between which our operations are made regardless if you have activated some time filter, usual data such as Profit, Win Rate, Profit factor are also displayed in this panel, additionally data such as the total number of operations, how many were gains and how many losses, the average profit and loss for each operation and finally the maximum profits and losses followed, which are data that will be very useful to us when we elaborate our strategies. Feel free to use this template to program your own strategies, if you find errors or want to request a new feature let me know in the comments or through my social networks found in my tradingview profile. | Update 1.1 | | EN | ➕Additions: ' Time sessions filter and days of the week filter added to the time filter section. Option to add leverage to the strategy. 5 Moving Averages, RSI, Stochastic RSI, ADX, and Parabolic Sar have been added as indicators for the strategy. You can choose from the 6 available indicators the way to trade, entry alert or entry filter. Added the option of ATR for Take Profit. Ticker information and timeframe are now displayed on the dashboard. Added display customization and color customization of indicator plots. Added customization of display and color plots of trades displayed on chart. 📝Changes: Now when activating the time filter it is optional to add a start or end date and time, being able to only add a start date or only an end date. Operation plots have been changed from plot() to line creation with line.new(). Indicator plots can now be controlled from the "plots" section. Acceptable and deniable range of profit, winrate and profit factor can now be chosen from the "plots" section to be displayed on the dashboard. Aesthetic changes in the section separations within the settings section and within the code itself. The function that made the indicators give inputs based on heikin ashi candles has been changed, see the code for more information. ⚙️Fixes: Dashboard label now projects correctly on all timeframes including custom timeframes. Removed unnecessary lines and variables to take up less code space. All code in general has been optimized to avoid the use of variables, unnecessary lines and avoid unnecessary calculations, freeing up space to declare more variables and be able to use fewer lines of code. | Lanzamiento Inicial | | ES | Una actualización de mi antiguo script, este script está diseñado para que pueda ser usado como una plantilla para todos aquellos traders que quieran ahorrar tiempo al programar su estrategia y hacer un backtesting de ella, teniendo funciones ya programadas que en el desarrollo normal te tomaría más tiempo programar, con esta plantilla puedes simplemente agregar tu indicador favorito y así poder aprovechar todas las funciones que tiene esta plantilla. 🔴Stop Loss y 🟢Take Profit: No hace falta mencionar que es un Stop Loss y un Take Profit, dentro de estas funciones encontramos las opciones de: porcentaje fijo (%), precio fijo ($), ATR, en especial para Stop Loss encontramos los Pivot Points, adicionalmente a esto, el rango de precio entre la entrada y el Stop Loss se puede convertir en un trailing stop loss, en cambio, especialmente para el Take Profit tenemos una opción para elegir un ratio 1:X que se complementa muy bien con los Pivot Points. 📈Entradas Basadas en Heikin Ashi: Las entradas Heikin Ashi son operaciones que son calculados en base a las velas Heikin Ashi pero su precio esta ejecutado a velas japonesas, evitando así́ los falsos resultados que se producen en graficas de velas Heikin, esto haciendo que en ciertos casos se obtengan mejores resultados en las estrategias que son ejecutadas con esta opción en comparación con las velas japonesas. 📊Panel de Control: Una manera más visual y organizada de ver los resultados y datos necesarios producidos por nuestra estrategia, entre ellos podemos ver las fechas entre las que se hacen nuestras operaciones independientemente si se tiene activado algún filtro de tiempo, datos usuales como el Profit, Win Rate, Profit factor también son mostrados en este panel, adicionalmente se agregaron datos como el número total de operaciones, cuantos fueron ganancias y cuantos perdidas, el promedio de ganancias y pérdidas por cada operación y por ultimo las máximas ganancias y pérdidas seguidas, que son datos que nos serán muy útiles al elaborar nuestras estrategias. Siéntete libre de usar esta plantilla para programar tus propias estrategias, si encuentras errores o quieres solicitar una nueva función házmelo saber en los comentarios o a través de mis redes sociales que se encuentran en mi perfil de tradingview. | Actualización 1.1 | | ES | ➕Añadidos: Filtro de sesiones de tiempo y filtro de días de la semana agregados al apartado de filtro de tiempo. Opción para agregar apalancamiento a la estrategia. 5 Moving Averages, RSI, Stochastic RSI, ADX, y Parabolic Sar se han agregado como indicadores para la estrategia. Puedes escoger entre los 6 indicadores disponibles la forma de operar, alerta de entrada o filtro de entrada. Añadido la opción de ATR para Take Profit. La información del ticker y la temporalidad ahora se muestran en el dashboard. Añadido personalización de visualización y color de los plots de indicadores. Añadido personalización de visualización y color de los plots de operaciones mostradas en grafica. 📝Cambios: Ahora al activar el filtro de tiempo es opcional añadir una fecha y hora de inicio o fin, pudiendo únicamente agregar una fecha de inicio o solamente una fecha de fin. Los plots de operaciones han cambiados de plot() a creación de líneas con line.new(). Los plots de indicadores ahora se pueden controlar desde el apartado "plots". Ahora se puede elegir el rango aceptable y negable de profit, winrate y profit factor desde el apartado "plots" para mostrarse en el dashboard. Cambios estéticos en las separaciones de secciones dentro del apartado de configuraciones y dentro del propio código. Se ha cambiado la función que hacía que los indicadores dieran entradas en base a velas heikin ashi, mire el código para más información. ⚙️Arreglos: El dashboard label ahora se proyecta correctamente en todas las temporalidades incluyendo las temporalidades personalizadas. Se han eliminado líneas y variables innecesarias para ocupar menos espacio en el código. Se ha optimizado todo el código en general para evitar el uso de variables, líneas innecesarias y evitar los cálculos innecesarios, liberando espacio para declarar más variables y poder utilizar menos líneas de código.
Strategia Pine Script®
di VertMT
14
Quantitative Backtesting Panel + ROI Table - ShortsThis script is an aggregate of a backtesting panel with quantitative metrics, ROI table and open ROI reader. It also contains a mechanism for having a fixed percentage stop loss, similar to native TV backtester. For shorts only. Backtesting Panel: - Certain metrics are color coded, with green being good performance, orange being neutral, red being undesirable. • ROI : return with the system, in % • ROI(COMP=1): return if money is compounded at a rate of 100% • Hit rate: accuracy of the system, as a % • Profit factor: gross profit/gross loss • Maximum drawdown: the maximum value from a peak to a successive trough of the system's equity curve • MAE: Maximum Adverse Excursion. The biggest loss of a trade suffered while the position is still open • Total trades: total number of closed trades • Max gain/max loss: shows the biggest win over the biggest loss suffered • Sharpe ratio: measures the performance of the system with adjusted risk (no comparison to risk-free asset) • CAGR: Compound Annual Growth Rate. The mean annual rate of growth of the system of n years (provided n>1) • Kurtosis: measures how heavily the tails of the distribution differ from that of a normal distribution (symmetric on both sides of mean where mean=0, standard deviation=1). A normal distribution has a kurtosis of 3, and skewness of 0. The kurtosis indicates whether or not the tails of the returns contain extreme values • Skewness: measures the symmetry of the distribution of returns - Leptokurtic: K > 0. Having more kurtosis than a normal distribution. It's stretched up and to the side too (2nd pic down). High kurtosis (leptokurtic) is bad as the wider tails (called heavy tails) suggest there is relatively high probability of extreme events - Mesokurtic: K =0. Having the same kurtosis as a normal distribution - Platykurtic: K < 0. Having less kurtosis than a normal distribution. This suggests there are light tails and fewer extreme events in the distribution - Skewness is good: +/- 0.5 (fairly symmetrical) - Skewness is average: -1 to -0.5 or 0.5 to 1 (moderately skewed) - Skewness is bad: > +/- 1 (highly skewed) Evolving ROI table: - The table of ROI values evolve with the year and month. The sum of each year is given. Please avoid using it on non-cryptocurrencies or any market whose trading session is not 24/7 Open ROI reader: - At the top center is the open ROI of a trade
Indicatore Pine Script®
di stormeta
Quantitative Backtesting Panel + ROI Table - LongsThis script is an aggregate of a backtesting panel with quantitative metrics, ROI table and open ROI reader. It also contains a mechanism for having a fixed percentage stop loss, similar to native TV backtester. For longs only. Backtesting Panel: - Certain metrics are color coded, with green being good performance, orange being neutral, red being undesirable. • ROI : return with the system, in % • ROI(COMP=1): return if money is compounded at a rate of 100% • Hit rate: accuracy of the system, as a % • Profit factor: gross profit/gross loss • Maximum drawdown: the maximum value from a peak to a successive trough of the system's equity curve • MAE: Maximum Adverse Excursion. The biggest loss of a trade suffered while the position is still open • Total trades: total number of closed trades • Max gain/max loss: shows the biggest win over the biggest loss suffered • Sharpe ratio: measures the performance of the system with adjusted risk (no comparison to risk-free asset) • CAGR: Compound Annual Growth Rate. The mean annual rate of growth of the system of n years (provided n>1) • Kurtosis: measures how heavily the tails of the distribution differ from that of a normal distribution (symmetric on both sides of mean where mean=0, standard deviation=1). A normal distribution has a kurtosis of 3, and skewness of 0. The kurtosis indicates whether or not the tails of the returns contain extreme values • Skewness: measures the symmetry of the distribution of returns - Leptokurtic: K > 0. Having more kurtosis than a normal distribution. It's stretched up and to the side too (2nd pic down). High kurtosis (leptokurtic) is bad as the wider tails (called heavy tails) suggest there is relatively high probability of extreme events - Mesokurtic: K =0. Having the same kurtosis as a normal distribution - Platykurtic: K < 0. Having less kurtosis than a normal distribution. This suggests there are light tails and fewer extreme events in the distribution - Skewness is good: +/- 0.5 (fairly symmetrical) - Skewness is average: -1 to -0.5 or 0.5 to 1 (moderately skewed) - Skewness is bad: > +/- 1 (highly skewed) Evolving ROI table: - The table of ROI values evolve with the year and month. The sum of each year is given. Please avoid using it on non-cryptocurrencies or any market whose trading session is not 24/7 Open ROI reader: - At the top center is the open ROI of a trade
Indicatore Pine Script®
di stormeta
5
Zendog V2 backtest DCA bot 3commasHi everyone, After a few iterations and additional implemented features this version of the Backtester is now open source. The Strategy is a Backtester for 3commas DCA bots. The main usage scenario is to plugin your external indicator, and backtest it using different DCA settings. Before using this script please make sure you read these explanations and make sure you understand how it works. Features: - Because of Tradingview limitations on how orders are grouped into Trades, this Strategy statistics are calculated by the script, so please ignore the Strategy Tester statistics completely Statistics Table explained: - Status: either all deals are closed or there is a deal still running, in which case additional info is provided below, as when the deal started, current PnL, current SO - Finished deals: Total number of closed deals both Winning and Losing. A deal is comprised as the Base Order (BO) + all Safety Orders (SO) related to that deal, so this number will be different than the Strategy Tester List of Trades - Winning Deals: Deal ended in profit - Losing deals: Deals ended with loss due to Stop Loss. In the future I might add a Deal Stop condition to the script, so that will count towards this number as well. - Total days ( Max / Avg days in Deal ): Total Days in the Backtest given by either Tradingview limitation on the number of candles or by the config of the script regarding "Limit Date Range". Max Days spent in a deal + which period this happened. Avg days spent in a deal. - Required capital: This is the total capital required to run the Backtester and it is automatically calculated by the script taking into consideration BO size, SO size, SO volume scale. This should be the same as 3commas. This number overwrites strategy.initial_capital and is used to calculate Profit and other stats, so you don't need to update strategy.initial_capital every time you change BO/SO settings - Profit after commission - Buy and Hold return: The PnL that could have been obtained by buying at the close of the first candle of the backtester and selling at the last. - Covered deviation: The % of price move from initial BO order covered by SO settings - Max Deviation: Biggest market % price move vs BO price, in the other direction (for long is down, for short it is up) - Max Drawdown: Biggest market % price move vs Avg price of the whole Trade (BO + any SO), in the other direction (for long price goes down, for short it goes up) This is calculated for the whole Trade so it is different than List of Trades - Max / Avg bars in deal - Total volume / Commission calculated by the strategy. For correct commission please set Commission in the Inputs Tab and you may ignore Properties Tab - Close stats for deals: This is a list of how many Trades were closed at each step, including Stop Loss (if configured), together with covered deviation for that step, the number of deals, and the percentage of this number from all the deals TODO: Might add deal avg value for each step - Settings Table that can be enabled / disabled just to have an overview of your configs on the chart, this is a drawn on bottom left - Steps Table similar to 3commas, this is also drawn on bottom left, so please disable Settings table if you want to see this one TODO: Might add extra stats here - Deal start condition: built in RSI-7 or plugin any external indicator and compare with any value the indicator plots (main purpose of this strategy is to connect your own studies, so using external indicator is recommended) - Base order and safety orders configs similar to 3commas (order size, percent deviation, safety orders, percent scale and volume scale) - Long and Short - Stop Loss - Support for Take profit from base order or from Total volume of the deal - Configs help (besides self explanatory): - Chart theme: Adjust according to the theme you run on. There is no way to detect theme at the moment. This adjust different colors - Deal Start Type: Either a builtin RSI7 or "External indicator" - Indicator Source an value: If using External Indicator then select source, comparison and value. For example you could start a deal when Volume is greater than xxxx, or code a custom indicator that plots different values based on your conditions and test those values - Visuals / Decimals for display: Adjust according to your symbol - BO Entry Price for steps table: This is the BO start deal price used to calculate the steps in the table
Strategia Pine Script®
di zendog123
71
Grid Bot BacktestingBinance, Bybit, Bitget, and other cross-exchange (grid) trading bot backtesting. Auto bound: Automatically setting upper and lower price bounds. Manual: Setting upper and lower price bounds manually. The graph below represents the overall asset changes (initial investment amount + current position profit + grid profit). Try using backtesting when setting up a grid bot on the exchange! 바이낸스, 바이비트, 비트겟 등 교차거래(그리드) 봇 백테스팅 Auto bound : 자동으로 상,하단 가격 설정 Manual : 직접 상,하단 가격 설정 아래 그래프는 총 자산 변화입니다.(초기투자금액 + 현재 포지션 수익 + 그리드 수익) 거래소에서 그리드 봇 설정할 때 백테스팅 유용하게 써보세요!
Strategia Pine Script®
di hgkdowk
7
Filtered MACD with Backtest [UAlgo]The "Filtered MACD with Backtest " indicator is an advanced trading tool designed for the TradingView platform. It combines the Moving Average Convergence Divergence (MACD) with additional filters such as Moving Average (MA) and Average Directional Index (ADX) to enhance trading signals. This indicator aims to provide more reliable entry and exit points by filtering out noise and confirming trends. Additionally, it includes a comprehensive backtesting module to simulate trading strategies and assess their performance based on historical data. The visual backtest module allows traders to see potential trades directly on the chart, making it easier to evaluate the effectiveness of the strategy. 🔶 Customizable Parameters : Price Source Selection: Users can choose their preferred price source for calculations, providing flexibility in analysis. Filter Parameters: MA Filter: Option to use a Moving Average filter with types such as EMA, SMA, WMA, RMA, and VWMA, and a customizable length. ADX Filter: Option to use an ADX filter with adjustable length and threshold to determine trend strength. MACD Parameters: Customizable fast length, slow length, and signal smoothing for the MACD indicator. Backtest Module: Entry Type: Supports "Buy and Sell", "Buy", and "Sell" strategies. Stop Loss Types: Choose from ATR-based, fixed point, or X bar high/low stop loss methods. Reward to Risk Ratio: Set the desired take profit level relative to the stop loss. Backtest Visuals: Display entry, stop loss, and take profit levels directly on the chart with colored backgrounds. Alerts: Configurable alerts for buy and sell signals. 🔶 Filtered MACD : Understanding How Filters Work with ADX and MA ADX Filter: The Average Directional Index (ADX) measures the strength of a trend. The script calculates ADX using the user-defined length and applies a threshold value. Trading Signals with ADX Filter: Buy Signal: A regular MACD buy signal (crossover of MACD line above the signal line) is only considered valid if the ADX is above the set threshold. This suggests a stronger uptrend to potentially capitalize on. Sell Signal: Conversely, a regular MACD sell signal (crossunder of MACD line below the signal line) is only considered valid if the ADX is above the threshold, indicating a stronger downtrend for potential shorting opportunities. Benefits: The ADX filter helps avoid whipsaws or false signals that might occur during choppy market conditions with weak trends. MA Filter: You can choose from various Moving Average (MA) types (EMA, SMA, WMA, RMA, VWMA) for the filter. The script calculates the chosen MA based on the user-defined length. Trading Signals with MA Filter: Buy Signal: A regular MACD buy signal is only considered valid if the closing price is above the MA value. This suggests a potential uptrend confirmed by the price action staying above the moving average. Sell Signal: Conversely, a regular MACD sell signal is only considered valid if the closing price is below the MA value. This suggests a potential downtrend confirmed by the price action staying below the moving average. Benefits: The MA filter helps identify potential trend continuation opportunities by ensuring the price aligns with the chosen moving average direction. Combining Filters: You can choose to use either the ADX filter, the MA filter, or both depending on your strategy preference. Using both filters adds an extra layer of confirmation for your signals. 🔶 Backtesting Module The backtesting module in this script allows you to visually assess how the filtered MACD strategy would have performed on historical data. Here's a deeper dive into its features: Backtesting Type: You can choose to backtest for buy signals only, sell signals only, or both. This allows you to analyze the strategy's effectiveness in different market conditions. Stop-Loss Types: You can define how stop-loss orders are placed: ATR (Average True Range): This uses a volatility measure (ATR) multiplied by a user-defined factor to set the stop-loss level. Fixed Point: This allows you to specify a fixed dollar amount or percentage value as the stop-loss. X bar High/Low: This sets the stop-loss at a certain number of bars (defined by the user) above/below the bar's high (for long positions) or low (for short positions). Reward-to-Risk Ratio: Define the desired ratio between your potential profit and potential loss on each trade. The backtesting module will calculate take-profit levels based on this ratio and the stop-loss placement. 🔶 Disclaimer: Use with Caution: This indicator is provided for educational and informational purposes only and should not be considered as financial advice. Users should exercise caution and perform their own analysis before making trading decisions based on the indicator's signals. Not Financial Advice: The information provided by this indicator does not constitute financial advice, and the creator (UAlgo) shall not be held responsible for any trading losses incurred as a result of using this indicator. Backtesting Recommended: Traders are encouraged to backtest the indicator thoroughly on historical data before using it in live trading to assess its performance and suitability for their trading strategies. Risk Management: Trading involves inherent risks, and users should implement proper risk management strategies, including but not limited to stop-loss orders and position sizing, to mitigate potential losses. No Guarantees: The accuracy and reliability of the indicator's signals cannot be guaranteed, as they are based on historical price data and past performance may not be indicative of future results.
Indicatore Pine Script®
di UAlgo
2
How To Set Backtest Time Ranges Example how to set the time range window to be backtested for both entries and exits. Additional examples are also included showing how to set the date range and toggle plot visibility. By incorporating this code with your own strategy's logic, it will allow you to backtest various time windows. Much gratitude to @LucF and @a.tesla2018 for help with including ':1234567' for time ranges on weekends. Thank you both! NOTICE: This is an example script and not meant to be used as an actual strategy. By using this script or any portion thereof, you acknowledge that you have read and understood that this is for research purposes only and I am not responsible for any financial losses you may incur by using this script!
Strategia Pine Script®
di allanster
40
FreedX Grid Backtest█ FreedX Grid Backtest is an open-source tool that offers accurate GRID calculations for GRID trading strategies. This advanced tool allows users to backtest GRID trading parameters with precision, accurately reflecting exchange functionalities. We are committed to enhancing trading strategies through precise backtesting solutions and address the issue of unreliable backtesting practices observed on GRID trading strategies. FreedX Grid Backtest is designed for optimal calculation speed and plotting efficiency, ensuring users to achieve fastest calculations during their analysis. █ GRID TRADING STRATEGY SETTINGS The core of the FreedX Grid Backtest tool lies in its ability to simulate grid trading strategies. Grid trading involves placing orders at regular intervals within a predefined price range, creating a grid of orders that capitalize on market volatility. Features: ⚙️ Backtest Range:     → Purpose: Allows users to specify the backtesting range of GRID strategy. Closes all positions at the end of this range.     → How to Use: Drag the dates to fit the desired backtesting range. ⚙️ Investment & Compounding:     → Purpose: Allows users to specify the total investment amount and select between fixed and compound investment strategies. Compounding adjusts trade quantities based on performance, enhancing the grid strategy's adaptability to market changes.     → How to Use: Set the desired investment amount and choose between "Fixed" or "Compound" for the investment method. ⚙️ Leverage & Grid Levels:     → Purpose: Leverage amplifies the investment amount, increasing potential returns (and risks). Users can define the number of grid levels, which determines how the investment is distributed across the grid.     → How to Use: Input the desired leverage and number of grids. The tool automatically calculates the distribution of funds across each grid level. ⚙️ Distribution Type & Mode:     → Purpose: Users can select the distribution type (Arithmetic or Geometric) to set how grid levels are determined. The mode (Neutral, Long, Short) dictates the direction of trades within the grid.     → How to Use: Choose the distribution type and mode based on the desired trading strategy and market outlook. ⚙️ Enable LONG/SHORT Grids exclusively: █ MANUAL LEVELS AND STOP TRIGGERS Beyond automated settings, the tool offers manual adjustments for traders seeking finer control over their grid strategies. Features: ⚙️ Manual Level Adjustment:     → Purpose: Enables traders to manually set the top, reference, and bottom levels of the grid, offering precision control over the trading range.     → How to Use: Activate manual levels and adjust the top, reference, and bottom levels as needed to define the grid's scope. ⚙️ Stop Triggers:     → Purpose: Provides an option to set upper and lower price limits, acting as stop triggers to close or terminate trades. This feature safeguards investments against significant market movements outside the anticipated range.     → How to Use: Enable stop triggers and specify the upper and lower limits. The tool will automatically manage positions based on these parameters. --- This guide gives you a quick and clear overview of the FreedX Grid Backtest tool, explaining how you can use this cutting-edge tool to improve your trading strategies.
Strategia Pine Script®
di freedx
28
Smoothed Heikin Ashi Trend on Chart - TraderHalai BACKTESTSmoothed Heikin Ashi Trend on chart - Backtest This is a backtest of the Smoothed Heikin Ashi Trend indicator, which computes the reverse candle close price required to flip a Heikin Ashi trend from red to green and vice versa. The original indicator can be found in the scripts section of my profile. This particular back test uses this indicator with a Trend following paradigm with a percentage-based stop loss. 

Note, that backtesting performance is not always indicative of future performance, but it does provide some basis for further development and walk-forward / live testing.

Testing was performed on Bitcoin , as this is a primary target market for me to use this kind of strategy. Sample Backtesting results as of 10th June 2022: Backtesting parameters:
 Position size: 10% of equity
 Long stop: 1% below entry
 Short stop: 1% above entry Repainting: Off
 Smoothing: SMA Period: 10
 8 Hour: Number of Trades: 1046

 Gross Return: 249.27 % CAGR Return: 14.04 % 
Max Drawdown: 7.9 % Win percentage: 28.01 % 
Profit Factor (Expectancy): 2.019 
 Average Loss: 0.33 % 
 Average Win: 1.69 %
 Average Time for Loss: 1 day
 Average Time for Win: 5.33 days 

 1 Day:

 Number of Trades: 429

 Gross Return: 458.4 % CAGR Return: 15.76 %
 Max Drawdown: 6.37 % 
Profit Factor (Expectancy): 2.804 
Average Loss: 0.8 % 
 Average Win: 7.2 % Average Time for Loss: 3 days
 Average Time for Win: 16 days


 5 Day: Number of Trades: 69

 Gross Return: 1614.9 % CAGR Return: 26.7 %
 Max Drawdown: 5.7 % 
Profit Factor (Expectancy): 10.451 
Average Loss: 3.64 % 
Average Win: 81.17 %
 Average Time for Loss: 15 days
 Average Time for Win: 85 days Analysis: The strategy is typical amongst trend following strategies with a less regular win rate, but where profits are more significant than losses. Most of the losses are in sideways, low volatility markets. This strategy performs better on higher timeframes, where it shows a positive expectancy of the strategy.

 The average win was positively impacted by Bitcoin’s earlier smaller market cap, as the percentage wins earlier were higher.

 Overall the strategy shows potential for further development and may be suitable for walk-forward testing and out of sample analysis to be considered for a demo trading account. Note in an actual trading setup, you may wish to use this with volatility filters, combined with support resistance zones for a better setup. As always, this post/indicator/strategy is not financial advice, and please do your due diligence before trading this live. Original indicator links: On chart version - Oscillator version - Update - 27/06/2022 Unfortunately, It appears that the original script had been taken down due to auto-moderation because of concerns with no slippage / commission. I have since adjusted the backtest, and re-uploaded to include the following to address these concerns, and show that I am genuinely trying to give back to the community and not mislead anyone: 1) Include commission of 0.1% - to match Binance's maker fees prior to moving to a fee-less model. 2) Include slippage of 10 ticks (This is a realistic slippage figure from searching online for most crypto exchanges) 3) Adjust account balance to 10,000 - since most of us are not millionaires. The rest of the backtesting parameters are comparable to previous results: Backtesting parameters:
 Initial capital: 10000 dollars Position size: 10% of equity
 Long stop: 2% below entry
 Short stop: 2% above entry Repainting: Off
 Smoothing: SMA Period: 10
 Slippage: 10 ticks Commission: 0.1% This script still remains to shows viability / profitablity on higher term timeframes (with slightly higher drawdown), and I have included the backtest report below to document my findings: 8 Hour: Number of Trades: 1082

 Gross Return: 233.02% CAGR Return: 14.04 % 
Max Drawdown: 7.9 % Win percentage: 25.6% 
Profit Factor (Expectancy): 1.627 Average Loss: 0.46 % 
 Average Win: 2.18 %
 Average Time for Loss: 1.33 day
 Average Time for Win: 7.33 days Once again, please do your own research and due dillegence before trading this live. This post is for education and information purposes only, and should not be taken as financial advice.
Strategia Pine Script®
di TraderHalai
4
[FN] Session Range & Date Range For BacktestingThis has been done before in different ways, however, my goal is to publish a single, simplified copy/paste version of the idea so you can quickly and easily incorporate it into your strategy backtesting. You can designate weekdays, weekdays + weekends for 24/7 markets, and also session range. So, you trade bitcoin? It works. CME futures? It works. You are a discretionary trader so the only signals that matter are the ones that happen when you're awake? It works. Copy and paste. The goal is that its that easy. You'll have to let me know if it is. glhf everyone. If I'm not mistaken, you should be able to copy/paste this directly into your strategy script (Paste it in before your entry declarations). Just leave out the last 2 lines where the bgcolor() is declared... unless you want the background color lit up, that's up to you. It's just for demonstration purposes in this script. After you've pasted it in, then in your strategy.entry() function you are adding: to the strategy.entry() function. e.g: strategy.entry("Long", strategy.long, qty=1, when = ENTRY_SIGNAL and signal_backtest()) Shoutouts to @zenandtheartoftrading and @allanster for providing the basis of this code that I put together here. We stand on the shoulders of giants.
Indicatore Pine Script®
di kurtsmock
9
Simple APF Strategy Backtesting [The Quant Science]Simple backtesting strategy for the quantitative indicator Autocorrelation Price Forecasting. This is a Buy & Sell strategy that operates exclusively with long orders. It opens long positions and generates profit based on the future price forecast provided by the indicator. It's particularly suitable for trend-following trading strategies or directional markets with an established trend. Main functions 1. Cycle Detection: Utilize autocorrelation to identify repetitive market behaviors and cycles. 2. Forecasting for Backtesting: Simulate trades and assess the profitability of various strategies based on future price predictions. Logic The strategy works as follow: Entry Condition: Go long if the hypothetical gain exceeds the threshold gain (configurable by user interface). Position Management: Sets a take-profit level based on the future price. Position Sizing: Automatically calculates the order size as a percentage of the equity. No Stop-Loss: this strategy doesn't includes any stop loss. Example Use Case A trader analyzes a dayli period using 7 historical bars for autocorrelation. Sets a threshold gain of 20 points using a 5% of the equity for each trade. Evaluates the effectiveness of a long-only strategy in this period to assess its profitability and risk-adjusted performance. User Interface Length: Set the length of the data used in the autocorrelation price forecasting model. Thresold Gain: Minimum value to be considered for opening trades based on future price forecast. Order Size: percentage size of the equity used for each single trade. Strategy Limit This strategy does not use a stop loss. If the price continues to drop and the future price forecast is incorrect, the trader may incur a loss or have their capital locked in the losing trade. Disclaimer! This is a simple template. Use the code as a starting point rather than a finished solution. The script does not include important parameters, so use it solely for educational purposes or as a boilerplate.
Strategia Pine Script®
di thequantscience
High Low Cloud Strategy BacktestingHigh Low Cloud Strategy Backtesting: this is a breakout and reversal previous trend strategy A. Indicator: row 6 to row 17 1. Fast Cloud Upper line = ema of High with 60 periods Lower line = ema of Low with 60 periods 1. Slow Cloud Upper line = ema of High with 240 periods Lower line = ema of Low with 240 periods B. Strategy Backtesting 1. Chart IDC, Time frame: M30 2. Long condition: row 20 to row 34 a. Entry = * Upper line of Fast Cloud below Lower line of Slow Cloud * Price crossover Upper line of Slow Cloud b. Stoploss = * Price crossunder bottom of 240 periods (~ bottom of 5 days) c. Takeprofit = * Lower line of Fast Cloud above Upper line of Slow Cloud * Price crossunder Lower line of Fast Cloud 3. Short condition: row 37 to row 49 a. Entry = * Lower line of Fast Cloud above Upper line of Slow Cloud * Price crossunder Lower line of Slow Cloud b. Stoploss = * Price crossover peak of 240 periods (~ bottom of 5 days) c. Takeprofit = * Upper line of Fast Cloud below Lower line of Slow Cloud * Price crossover Upper line of Fast Cloud
Strategia Pine Script®
di inno14
4
Vigilant Asset Allocation G4 Backtesting EngineThis script was based off of an idea that @CubanEmissary had so the description and some of the code that @CubanEmissary built on TradingView was used. Vigilant Asset Allocation G4 (VAA G4) is a dual-momentum based investment strategy that aggressively monitors the market and reallocates portfolio funds based on the relative momentums of user-defined risk assets and safety assets. It was created by Wouter Keller and JW Keuning, based on their paper "Breadth Momentum and Vigilant Asset Allocation." In contrast to traditional dual momentum strategies, VAA G4 monitors the market itself through the two asset types. When all risk assets have positive momentum, the portfolio is allocated entirely into the risk asset with the strongest momentum At any other time, the portfolio is allocated entirely into the safety asset with the strongest momentum. The combination of breadth momentum with a very defensive reallocation trigger results in a strategy which captures alpha consistently. The Strategy Rules: 1. Calculate each asset's momentum score on each monthly close: momentumScore = (12*(currentMonthlyClose/lastMonthlyClose))+(4*(currentMonthlyClose/thirdLastMonthlyClose))+(2*(currentMonthlyClose/sixthLastMonthlyClose))+(currentMonthlyClose/twelvethLastMonthlyClose)-19 2. If all risk asset momentums are positive, allocate entire portfolio to the risk asset with the strongest momentum. 3. If any risk asset's momentum is negative, allocate entire portfolio to the safety asset with the strongest momentum. 4. Reevaluate at the end of each month. Caveats: 1. It seems like TradingView only has limited price data for these tickers that are listed in the strategy. So it is best to start the strategy when they all have ample data (~ June 2nd, 2008) 2. This backtesting engine is basic and doesn't account for slippage and trading fees. So I implemented a basic "trading fee" input that will subtract a trading fee whenever the strategy makes a trade at the end of the month. 3. It is assumed in this engine that the trades will be made the exact second a new monthly bar opens up. 4. MUST USE ON MONTHLY CHART. It is hard-coded to work on monthly chart, if you open it on a daily chart , the Sharpe, Sortino, & CAGR calculations might not be right as well as the momentum score
Indicatore Pine Script®
di jamiedubauskas
5
[-_-] Level Breakout, Auto Backtesting StrategyDescription: A Long only strategy based on breakout from a certain level formed by High price. It has auto-backtesting capabilities (you set ranges for the three main parameters: Lookback, TP and SL; the strategy then goes through different combinations of those parameters and displays a table with results that you can sort by Percentage of profitable trades AND/OR Net profit AND/OR Number of trades). So you can, for example, sort only by Net profit to find combination of parameters that gives highest net profit, or sort by Net profit and Percentage profitable to find a combination of parameters that gives the best balance between profitability and profit. The auto-backtesting also takes into account the commission which is set in % in the inputs (make sure to set the same value in properties of the strategy so that auto-backtesting and real backtesting results match). NOTE: auto-backtesting only find the best combinations and displays them in a table, you will then need to manually set the Lookback, TP and SL inputs for real backtesting to match. Parameters: - Lookback -> # of bars for filtering signals; recommended range from 2 to 5 - TP (%) -> take profit; recommended range from 5 to 10 - SL (%) -> stop loss; recommended range from 1 to 5 - Commission (%) -> commission per trade - Min/Max Lookback -> lookback range for auto-backtesting - Min/Max TP -> take profit range for auto-backtesting - Min/Max SL -> stop loss range for auto-backtesting - Percentage profitable -> sort by percentage of profitable trades - Net profit -> sort by net profit - Number of trades -> sort by number of trades
Strategia Pine Script®
di sabricat
5
Inverse Fisher Transform on RSI for backtest w/alertsThis version of the Inverse Fisher Transform on RSI comes with support for 1) Backtesting with Gavin's backtest script 2) Bypass, you can use another indicator to pause buy signals from this indicator. Just create another indicator that plots "1" whenever you want to activate the bypass on the IFTRSI signal. 3) Independent buy and sell level thresholds. Some tokens perform better with a higher sell level, even levels as high as 0.996, sometimes the buy level can also be relaxed to even 0.6 and get incredible results on the 5 minute chart. 4) alerts for Buy and Sell signals Make sure you add Gavin's backtest and select external signal and this indicator as the source.
Indicatore Pine Script®
di TheTradingParrot
5
Captain Backtest Model [TFO]Created by @imjesstwoone and @mickey1984, this trade model attempts to capture the expansion from the 10:00-14:00 EST 4h candle using just 3 simple steps. All of the information presented in this description has been outlined by its creators, all I did was translate it to Pine Script. All core settings of the trade model may be edited so that users can test several variations, however this description will cover its default, intended behavior using NQ 5m as an example. Step 1 is to identify our Price Range. In this case, we are concerned with the highest high and the lowest low created from 6:00-10:00 EST. Step 2 is to wait for either the high or low of said range to be taken out. Whichever side gets taken first determines the long/short bias for the remainder of the Trade Window (i.e. if price takes the range high, bias is long, and vice versa). Bias must be determined by 11:15 EST, otherwise no trades will be taken. This filter is intended to weed out "choppy" trading days. Step 3 is to wait for a retracement and enter with a close through the previous candle's high (if long biased) or low (if short biased). There are a couple toggleable criteria that we use to define a retracement; one is checking for opposite close candles that indicate a pullback; another is checking if price took the previous candle's low (if long biased) or high (if short biased). This trade model was initially tested for index futures, particularly ES and NQ, using a 5m chart, however this indicator allows us to backtest any symbol on any timeframe. Creators @imjesstwoone and @mickey1984 specified a 5 point stop loss on ES and a 25 point stop loss on NQ with their testing. I've personally found some success in backtesting NQ 5m using a 25 point stop loss and 75 point profit target (3:1 R). Enabling the Use Fixed R:R parameter will ensure that these stops and targets are utilized, otherwise it will enter and hold the position until the close of the Trade Window.
Strategia Pine Script®
di tradeforopp
44