For my own future reference, and for anyone else who needs it.
Pine script strategy code can be confusing and awkward, so I finally sat down and had a little think about it and put something together that actually works (i think...)
Code is commented where I felt might be necessary (pretty much everything..) and covers:
- Take Profit
- Stop Loss
- Trailing Stop
- Trailing Stop Offset
Also shows how to use functions (or variables/series) to execute trade entries and exits.
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.
//@version=2 strategy(title = "Strategy Code Example", shorttitle = "Strategy Code Example", overlay = true, pyramiding = 0, default_qty_type = strategy.percent_of_equity, default_qty_value = 10, currency = currency.GBP) // Revision: 1 // Author: @JayRogers // // *** THIS IS JUST AN EXAMPLE OF STRATEGY RISK MANAGEMENT CODE IMPLEMENTATION *** // === GENERAL INPUTS === // short ma maFastSource = input(defval = open, title = "Fast MA Source") maFastLength = input(defval = 14, title = "Fast MA Period", minval = 1) // long ma maSlowSource = input(defval = open, title = "Slow MA Source") maSlowLength = input(defval = 21, title = "Slow MA Period", minval = 1) // === STRATEGY RELATED INPUTS === tradeInvert = input(defval = false, title = "Invert Trade Direction?") // the risk management inputs inpTakeProfit = input(defval = 1000, title = "Take Profit", minval = 0) inpStopLoss = input(defval = 200, title = "Stop Loss", minval = 0) inpTrailStop = input(defval = 200, title = "Trailing Stop Loss", minval = 0) inpTrailOffset = input(defval = 0, title = "Trailing Stop Loss Offset", minval = 0) // === RISK MANAGEMENT VALUE PREP === // if an input is less than 1, assuming not wanted so we assign 'na' value to disable it. useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na useTrailStop = inpTrailStop >= 1 ? inpTrailStop : na useTrailOffset = inpTrailOffset >= 1 ? inpTrailOffset : na // === SERIES SETUP === /// a couple of ma's.. maFast = ema(maFastSource, maFastLength) maSlow = ema(maSlowSource, maSlowLength) // === PLOTTING === fast = plot(maFast, title = "Fast MA", color = green, linewidth = 2, style = line, transp = 50) slow = plot(maSlow, title = "Slow MA", color = red, linewidth = 2, style = line, transp = 50) // === LOGIC === // is fast ma above slow ma? aboveBelow = maFast >= maSlow ? true : false // are we inverting our trade direction? tradeDirection = tradeInvert ? aboveBelow ? false : true : aboveBelow ? true : false // === STRATEGY - LONG POSITION EXECUTION === enterLong() => not tradeDirection and tradeDirection // functions can be used to wrap up and work out complex conditions exitLong() => tradeDirection and not tradeDirection strategy.entry(id = "Long", long = true, when = enterLong()) // use function or simple condition to decide when to get in strategy.close(id = "Long", when = exitLong()) // ...and when to get out // === STRATEGY - SHORT POSITION EXECUTION === enterShort() => tradeDirection and not tradeDirection exitShort() => not tradeDirection and tradeDirection strategy.entry(id = "Short", long = false, when = enterShort()) strategy.close(id = "Short", when = exitShort()) // === STRATEGY RISK MANAGEMENT EXECUTION === // finally, make use of all the earlier values we got prepped strategy.exit("Exit Long", from_entry = "Long", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset) strategy.exit("Exit Short", from_entry = "Short", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
strategy.exit("Exit Long", from_entry = "Long", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
strategy.exit("Exit Short", from_entry = "Short", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
as those are functions of strategy.exit, right?
I find it gives a false value for the exit. If the trailing stop is triggered, it reports the trade close as either high or low of the bar, seemingly depending if you are long or short - giving wildly succesful backtest results , but false ones.
Anyone else get this?
strategy.exit("Exit long", from_entry="Long", qty = 20, stop = (close-R_value), comment = "xxx"
The problem is, say I pyramid entered in 3 times 20 shares, but only one of the pyramid entries satisfies the stop condition. The List of Trades will show all 3 pyramid entries were exited. However on the plot, it will only show one -20 qty "xxx" exit.
With trail_points and trail_offset, it is the same problem exiting the entire set of pyramid buys.
In addition with trail_points and _trail_offset, either I'm not understanding what these two parameters mean, or it's not calculating it right. I understand it as this: strategy.exit context: trail_points = 1000, trail_offset=200. As: once position is up 10%, it will sell if it then falls 2%. Can someone shed light on if this understanding is correct?