Potential P/L From Study For ThinkOrSwim

JoeDV said:
Ok, wasn't exactly easy... wish I had thought about that to start, would have made it a lot easier. However, there's an input now to turn on Long or Short Trades (or both obviously). Hasn't been tested a ton, but I think it's working. If you find any issues with bad calculations or something, just let me know, might have to work on it a bit more.

Ruby: 
###------------------------------------------------------------------------------------------
# Profit and Loss Labels
#
# Fill in the 0>0 in the Create Signals section below to match your buy and sell signal conditions
#
# When using large amounts of hisorical data, P/L may take time to calculate
###------------------------------------------------------------------------------------------

input showSignals = yes; #hint showSignals: show buy and sell arrows
input LongTrades = yes; #hint LongTrades: perform long trades
input ShortTrades = yes; #hint ShortTrades: perform short trades
input showLabels  = yes; #hint showLabels: show PL labels at top
input showBubbles = yes; #hint showBubbles: show PL bubbles at close of trade
input useStops = no;     #hint useStops: use stop orders
input useAlerts = no;    #hint useAlerts: use alerts on signals
input tradeDaytimeOnly = no; #hint tradeDaytimeOnly: (IntraDay Only) Only perform trades during hours stated
input OpenTime = 0930; #hint OpenTime: Opening time of market
input CloseTime = 1600; #hint CloseTime: Closing time of market


def Begin = secondsfromTime(OpenTime);
def End = secondsTillTime(closetime);
# Only use market hours when using intraday timeframe
def isIntraDay = if getaggregationperiod() > 14400000 then 0 else 1;
def MarketOpen = if tradeDaytimeOnly AND isIntraDay then ((Begin > 0) and (End > 0)) else 1;

###------------------------------------------------------------------------------------------

######################################################
##  Create Signals -
##  FILL IN THIS SECTION
##      replace 0>0 with your conditions for signals
######################################################

def PLBuySignal = if  MarketOpen AND (0>0) then 1 else 0 ; # insert condition to create long position in place of the 0>0
def PLSellSignal =  if MarketOpen AND (0>0) then 1 else 0; # insert condition to create short position in place of the 0>0

def PLBuyStop  = if !useStops then 0 else if  (0>0) then 1 else 0  ; # insert condition to stop in place of the 0<0
def PLSellStop = if !useStops then 0 else if (0>0) then 1 else 0  ; # insert condition to stop in place of the 0>0

def PLMktStop = if MarketOpen[-1] == 0 then 1 else 0; # If tradeDaytimeOnly is set, then stop at end of day


#######################################
##  Maintain the position of trades
#######################################

def CurrentPosition;  # holds whether flat = 0 long = 1 short = -1

if (BarNumber()==1) OR isNaN(CurrentPosition[1]) {
    CurrentPosition = 0;
}else{
        if CurrentPosition[1] == 0 {            # FLAT
            if (PLBuySignal AND LongTrades) {
                CurrentPosition = 1;
            } else if (PLSellSignal AND ShortTrades){
                CurrentPosition = -1;
            } else {
                CurrentPosition = CurrentPosition[1];
            }
       } else if CurrentPosition[1] == 1 {      # LONG
            if (PLSellSignal AND ShortTrades){
                CurrentPosition = -1;
            } else if ((PLBuyStop and useStops) or PLMktStop or (PLSellSignal AND ShortTrades==0)){
                CurrentPosition = 0;
            } else {
                CurrentPosition = CurrentPosition[1];
            }
       } else if CurrentPosition[1] == -1 {     # SHORT
            if (PLBuySignal AND LongTrades){
                CurrentPosition = 1;
            } else if ((PLSellStop and useStops) or PLMktStop or (PlBuySignal and LongTrades==0)){
                CurrentPosition = 0;
            } else {
                CurrentPosition = CurrentPosition[1];
            }
       } else {
            CurrentPosition = CurrentPosition[1];
       }
}


def isLong  = if CurrentPosition == 1 then 1 else 0;
def isShort = if CurrentPosition == -1 then 1 else 0;
def isFlat  = if CurrentPosition == 0 then 1 else 0;

# If not already long and get a PLBuySignal
#Plot BuySig = if (!isLong[1] and PLBuySignal and showSignals and LongTrades) then 1 else 0;
Plot BuySig = if (((isShort[1] and LongTrades) or (isFlat[1] and LongTrades)) and PLBuySignal and showSignals) then 1 else 0;
BuySig.AssignValueColor(color.cyan);
BuySig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
BuySig.SetLineWeight(5);

Alert(BuySig and useAlerts, "Buy Signal",Alert.bar,sound.Ding);
Alert(BuySig and useAlerts, "Buy Signal",Alert.bar,sound.Ding);

# If not already short and get a PLSellSignal
Plot SellSig = if (((isLong[1] and ShortTrades) or (isFlat[1] and ShortTrades)) and PLSellSignal and showSignals) then 1 else 0;
SellSig.AssignValueColor(color.cyan);
SellSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SellSig.SetLineWeight(5);

Alert(SellSig and useAlerts, "Sell Signal",Alert.bar,sound.Ding);
Alert(SellSig and useAlerts, "Sell Signal",Alert.bar,sound.Ding);

# If long and get a PLBuyStop
Plot BuyStpSig = if (PLBuyStop and isLong[1] and showSignals and useStops) or (isLong[1] and PLMktStop) or (isLong[1] and PLSellSignal and !ShortTrades) then 1 else 0;
BuyStpSig.AssignValueColor(color.light_gray);
BuyStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
BuyStpSig.SetLineWeight(3);

Alert(BuyStpSig and useAlerts, "Buy Stop Signal",Alert.bar,sound.Ding);
Alert(BuyStpSig and useAlerts, "Buy Stop Signal",Alert.bar,sound.Ding);


# If short and get a PLSellStop
Plot SellStpSig = if (PLSellStop and isShort[1] and showSignals and useStops) or (isShort[1] and PLMktStop) or (isShort[1] and PLBuySignal and !LongTrades) then 1 else 0;
SellStpSig.AssignValueColor(color.light_gray);
SellStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
SellStpSig.SetLineWeight(3);

Alert(SellStpSig and useAlerts, "Sell Stop Signal",Alert.bar,sound.Ding);
Alert(SellStpSig and useAlerts, "Sell Stop Signal",Alert.bar,sound.Ding);


#######################################
##  Orders
#######################################

def isOrder = if ((isFlat[1] and (BuySig and LongTrades) or (SellSig and ShortTrades)) or (isLong[1] and BuyStpSig or (SellSig and ShortTrades)) or (isShort[1] and SellStpSig or (BuySig and LongTrades))) then 1 else 0 ;
# If there is an order, then the price is the next days close
def orderPrice = if (isOrder and ((BuySig and LongTrades) or (SellSig and ShortTrades))) then close else orderPrice[1];

def orderCount = compoundValue(1,if isNan(isOrder) or barnumber()==1 then 0 else if (BuySig or SellSig) then orderCount[1]+1 else orderCount[1],0);


#######################################
##  Price and Profit
#######################################

def profitLoss;


if (!isOrder or orderPRice[1]==0){
    profitLoss = 0;
} else if ((isOrder and isLong[1]) and (SellSig or BuyStpSig)){
    profitLoss = close - orderPrice[1];
} else if ((isOrder and isShort[1]) and (BuySig or SellStpSig)) {
    profitLoss = orderPrice[1] - close;
} else {
    profitLoss = 0;
}


# Total Profit or Loss
def profitLossSum = compoundValue(1, if isNaN(isOrder)  or barnumber()==1 then 0 else if isOrder then profitLossSum[1] + profitLoss else profitLossSum[1], 0);

# How many trades won or lost
def profitWinners = compoundValue(1, if isNaN(profitWinners[1]) or barnumber()==1 then 0 else if isOrder and profitLoss > 0 then profitWinners[1] + 1 else profitWinners[1], 0);
def profitLosers = compoundValue(1, if isNaN(profitLosers[1])  or barnumber()==1 then 0 else if isOrder and profitLoss < 0 then profitLosers[1] + 1 else profitLosers[1], 0);
def profitPush = compoundValue(1, if isNaN(profitPush[1])  or barnumber()==1 then 0 else if isOrder and profitLoss == 0 then profitPush[1] + 1 else profitPush[1], 0);

# Current Open Trade Profit or Loss
def TradePL = If isLong then Round(((close - orderprice)/TickSize())*TickValue()) else if isShort then Round(((orderPrice - close)/TickSize())*TickValue()) else 0;

# Convert to actual dollars based on Tick Value for bubbles
def dollarProfitLoss = if orderPRice[1]==0 or isNaN(orderPrice[1]) then 0 else round((profitLoss/Ticksize())*Tickvalue());

# Closed Orders dollar P/L
def dollarPLSum = round((profitLossSum/Ticksize())*Tickvalue());


# Split profits or losses by long and short trades
def profitLong = compoundValue(1, if isNan(profitLong[1])  or barnumber()==1 then 0 else if isOrder and isLong[1] then profitLong[1]+dollarProfitLoss else profitLong[1],0);
def profitShort = compoundValue(1, if isNan(profitShort[1])  or barnumber()==1 then 0 else if isOrder and isShort[1] then profitShort[1]+dollarProfitLoss else profitShort[1],0);
def countLong = compoundValue(1, if isNaN(countLong[1])  or barnumber()==1 then 0 else if isOrder and isLong[1] then countLong[1]+1 else countLong[1],0);
def countShort = compoundValue(1, if isNaN(countShort[1])  or barnumber()==1 then 0 else if isOrder and isShort[1] then countShort[1]+1 else countShort[1],0);

# What was the biggest winning and losing trade
def biggestWin = compoundValue(1, if isNaN(biggestWin[1]) or barnumber()==1 then 0 else if isOrder and (dollarProfitLoss > 0) and (dollarProfitLoss > biggestWin[1]) then dollarProfitLoss else biggestWin[1], 0);
def biggestLoss = compoundValue(1, if isNaN(biggestLoss[1]) or barnumber()==1 then 0 else if isOrder and (dollarProfitLoss < 0) and (dollarProfitLoss < biggestLoss[1]) then dollarProfitLoss else biggestLoss[1], 0);


def ClosedTradeCount = if (isLong or isShort) then orderCount-1 else orderCount;
def OpenTrades = if (isLong or isShort) then 1 else 0;


# What percent were winners
def PCTWin = if (OpenTrades and (TradePL < 0)) then round((profitWinners/(ClosedTradeCount+1))*100,2)
else if (OpenTrades and (TradePL > 0)) then round(((profitWinners+1)/(ClosedTradeCount+1))*100,2) else round(((profitWinners)/(ClosedTradeCount))*100,2) ;

# Average trade
def avgTrade = if (OpenTrades and (TradePL < 0)) then round(((dollarPLSum - TradePL)/(ClosedTradeCount+1)),2)
else if (OpenTrades and (TradePL > 0)) then round(((dollarPLSum + TradePL)/(ClosedTradeCount+1)),2) else round(((dollarPLSum)/(ClosedTradeCount)),2) ;


#######################################
##  Create Labels
#######################################


AddLabel(showLabels and isIntraDay, if MarketOpen then "Market Open" else "Market Closed", color.white);
AddLabel(showLabels, GetSymbol()+" Tick Size: "+TickSize()+" Value: "+TickValue(), color.white);
AddLabel(showLabels and (LongTrades and ShortTrades), "Long+Short Trades", color.white);
AddLabel(showLabels and (LongTrades and !ShortTrades),"Long Trades Only", color.white);
AddLabel(showLabels and (!LongTrades and ShortTrades),"Short Trades Only", color.white);
AddLabel(showLabels, "Closed Orders: " + ClosedTradeCount + " P/L: " + AsDollars(dollarPLSum), if dollarPLSum > 0 then Color.GREEN else if dollarPLSum< 0 then Color.RED else Color.GRAY);
AddLabel(if !IsNan(orderPrice) and showLabels then 1 else 0, "Closed+Open P/L: "+ AsDollars(TradePL+dollarPLSum), if ((TradePL+dollarPLSum) > 0) then color.green else if ((TradePL+dollarPLSum) < 0) then color.red else color.gray);

AddLabel(showLabels, "Avg per Trade: "+ AsDollars(avgTrade), if avgTrade > 0 then Color.Green else if avgTrade < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Winners: "+ PCTWin +"%",if PCTWin > 50 then color.green else if PCTWin > 40 then color.yellow else color.gray);

AddLabel(showLabels, "MaxUp: "+ AsDollars(biggestWin) +" MaxDown: "+AsDollars(biggestLoss), color.white);
AddLabel(showLabels, "Long Profit: " +AsDollars(profitLong), if profitLong > 0 then color.green else if profitLong < 0 then color.red else color.gray);
AddLabel(showLabels, "Short Profit: " +AsDollars(profitShort), if profitShort > 0 then color.green else if profitShort < 0 then color.red else color.gray);
AddLabel(if !IsNan(CurrentPosition) and showLabels and OpenTrades then 1 else 0, "Open: "+ (If isLong then "Bought" else "Sold") + " @ "+orderPrice, color.white);
AddLabel(if !IsNan(orderPrice) and showLabels and OpenTrades then 1 else 0, "Open Trade P/L: "+ AsDollars(TradePL), if (TradePL > 0) then color.green else if (TradePl < 0) then color.red else color.gray);



#######################################
##  Chart Bubbles for Profit/Loss
#######################################


AddChartBubble(showSignals and showBubbles and isOrder and isLong[1], low, "$"+dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else color.Red, 0);
AddChartBubble(showSignals and showBubbles and isOrder and isShort[1], high,  "$"+dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else color.Red, 1);

#AssignPriceColor(if CurrentPosition == 1 then color.green else if CurrentPosition == -1 then color.red else color.gray);

You'll notice on top that it will tell you in a label if it's long or short positions only or both.

View attachment 13640
Click to expand...
Thank you so much!!!!!!!!!!! I asked Schwab for help on their P/L Global Study that wasn't working on my strategy and they could not fix it. This study works and is a big improvement.
 
Bob1146 said:
Thank you so much!!!!!!!!!!! I asked Schwab for help on their P/L Global Study that wasn't working on my strategy and they could not fix it. This study works and is a big improvement.
Click to expand...

Glad it helped. I'm copying my latest version below since I have no idea what I've changed since I posted this years ago. Not saying it's better, but I may have fixed a couple things here and there or added things. Pretty much the same deal, set your buy and sell conditions, set Buysignal and Sellsignal to those conditions to be true when you want it to trigger and that's about it.

Happy Trading

Python: 
###------------------------------------------------------------------------------------------
# Profit and Loss Labels
#
# Set two variables Buysignal and Sellsignal to your buy and sell signal conditions,
# or replace them below with your conditions
#
# When using large amounts of hisorical data, P/L may take time to calculate
###------------------------------------------------------------------------------------------

input showSignals = yes; #hint showSignals: show buy and sell arrows
input LongTrades = yes; #hint LongTrades: perform long trades
input ShortTrades = yes; #hint ShortTrades: perform short trades
input showLabels  = yes; #hint showLabels: show PL labels at top
input showBubbles = yes; #hint showBubbles: show PL bubbles at close of trade
input useStops = no;     #hint useStops: use stop orders
input stopLimitDisplay = 50;  #hint stopLimit in dollars
input useAlerts = no;    #hint useAlerts: use alerts on signals
input tradeDefinedHours = no; #hint tradeDefinedHours:
input OpenTime = 0900; #hint OpenTime: Opening time of market
input CloseTime = 1600; #hint CloseTime: Closing time of market
input UseFuturesFees = no; #hint UseFutureFees: $6 round-trip

#Get actual trading time
def TradingHours = GetTime() between RegularTradingStart(GetYYYYMMDD()) and RegularTradingEnd(GetYYYYMMDD());

#Get time to do trading
def Begin = SecondsFromTime(OpenTime);
def End = SecondsTillTime(CloseTime);


# Only use market hours when using intraday timeframe
def isIntraDay = if GetAggregationPeriod() > 14400000 or GetAggregationPeriod() == 0 then 0 else 1;
def TradingWindow = if !tradeDefinedHours or !isIntraDay then 1 else if tradeDefinedHours and isIntraDay and Begin > 0 and End > 0 then 1 else 0;
###------------------------------------------------------------------------------------------

######################################################
##  Create Signals -
##  FILL IN THIS SECTION
##      replace 0>0 with your conditions for signals
######################################################

def PLBuySignal = if  TradingWindow and (Buysignal) then 1 else 0 ; # insert condition to create long position in place of the 0>0
def PLSellSignal =  if TradingWindow and (Sellsignal) then 1 else 0; # insert condition to create short position in place of the 0>0

def PLBuyStop  = if !useStops then 0 else if  (0 > 0) then 1 else 0  ; # insert condition to stop in place of the 0<0
def PLSellStop = if !useStops then 0 else if (0 > 0) then 1 else 0  ; # insert condition to stop in place of the 0>0

def PLMktStop = if TradingWindow[-1] == 0 then 1 else 0; # If tradeDaytimeOnly is set, then stop at end of day


#######################################
##  Maintain the position of trades
#######################################

def CurrentPosition;  # holds whether flat = 0 long = 1 short = -1

if (BarNumber() == 1) or IsNaN(CurrentPosition[1]) {
    CurrentPosition = 0;
} else {
    if CurrentPosition[1] == 0 {            # FLAT
        if (PLBuySignal and LongTrades) {
            CurrentPosition = 1;
        } else if (PLSellSignal and ShortTrades) {
            CurrentPosition = -1;
        } else {
            CurrentPosition = CurrentPosition[1];
        }
    } else if CurrentPosition[1] == 1 {      # LONG
        if (PLSellSignal and ShortTrades) {
            CurrentPosition = -1;
        } else if ((PLBuyStop and useStops) or PLMktStop or (PLSellSignal and ShortTrades == 0)) {
            CurrentPosition = 0;
        } else {
            CurrentPosition = CurrentPosition[1];
        }
    } else if CurrentPosition[1] == -1 {     # SHORT
        if (PLBuySignal and LongTrades) {
            CurrentPosition = 1;
        } else if ((PLSellStop and useStops) or PLMktStop or (PLBuySignal and LongTrades == 0)) {
            CurrentPosition = 0;
        } else {
            CurrentPosition = CurrentPosition[1];
        }
    } else {
        CurrentPosition = CurrentPosition[1];
    }
}


def isLong  = if CurrentPosition == 1 then 1 else 0;
def isShort = if CurrentPosition == -1 then 1 else 0;
def isFlat  = if CurrentPosition == 0 then 1 else 0;

# If not already long and get a PLBuySignal
#Plot BuySig = if (!isLong[1] and PLBuySignal and showSignals and LongTrades) then 1 else 0;
plot BuySig = if (((isShort[1] and LongTrades) or (isFlat[1] and LongTrades)) and PLBuySignal and showSignals) then 1 else 0;
BuySig.AssignValueColor(Color.CYAN);
BuySig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
BuySig.SetLineWeight(5);

Alert(BuySig and useAlerts, "Buy Signal", Alert.BAR, Sound.Ding);

# If not already short and get a PLSellSignal
plot SellSig = if (((isLong[1] and ShortTrades) or (isFlat[1] and ShortTrades)) and PLSellSignal and showSignals) then 1 else 0;
SellSig.AssignValueColor(Color.CYAN);
SellSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SellSig.SetLineWeight(5);

Alert(SellSig and useAlerts, "Sell Signal", Alert.BAR, Sound.Ding);

# If long and get a PLBuyStop
plot BuyStpSig = if (PLBuyStop and isLong[1] and showSignals and useStops) or (isLong[1] and PLMktStop) or (isLong[1] and PLSellSignal and !ShortTrades) then 1 else 0;
BuyStpSig.AssignValueColor(Color.LIGHT_GRAY);
BuyStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
BuyStpSig.SetLineWeight(3);

Alert(BuyStpSig and useAlerts, "Buy Stop Signal", Alert.BAR, Sound.Ding);
Alert(BuyStpSig and useAlerts, "Buy Stop Signal", Alert.BAR, Sound.Ding);


# If short and get a PLSellStop
plot SellStpSig = if (PLSellStop and isShort[1] and showSignals and useStops) or (isShort[1] and PLMktStop) or (isShort[1] and PLBuySignal and !LongTrades) then 1 else 0;
SellStpSig.AssignValueColor(Color.LIGHT_GRAY);
SellStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
SellStpSig.SetLineWeight(3);

Alert(SellStpSig and useAlerts, "Sell Stop Signal", Alert.BAR, Sound.Ding);


#######################################
##  Orders
#######################################

def isOrder = if ((isFlat[1] and (BuySig and LongTrades) or (SellSig and ShortTrades)) or (isLong[1] and BuyStpSig or (SellSig and ShortTrades)) or (isShort[1] and SellStpSig or (BuySig and LongTrades))) then 1 else 0 ;

def orderPrice = if (isOrder and ((BuySig and LongTrades) or (SellSig and ShortTrades))) then (if IsNaN(open[-1]) then close else open[-1]) else orderPrice[1];

plot OPL = if !isFlat and isLong then orderPrice else Double.NaN;
OPL.AssignValueColor(Color.GREEN);
OPL.SetPaintingStrategy(PaintingStrategy.LINE);
OPL.SetStyle(Curve.SHORT_DASH);
OPL.SetLineWeight(1);

#addcloud(OPL,close,color.red, color.green);

plot OPS = if !isFlat and isShort then orderPrice else Double.NaN;
OPS.AssignValueColor(Color.RED);
OPS.SetPaintingStrategy(PaintingStrategy.LINE);
OPS.SetStyle(Curve.SHORT_DASH);
OPS.SetLineWeight(1);

#addcloud(OPS,close,color.green, color.red);

def orderCount = CompoundValue(1, if IsNaN(isOrder) or BarNumber() == 1 then 0 else if (BuySig or SellSig) then orderCount[1] + 1 else orderCount[1], 0);


#######################################
##  Price and Profit
#######################################

def profitLoss;


if (!isOrder or orderPrice[1] == 0) {
    profitLoss = 0;
} else if ((isOrder and isLong[1]) and (SellSig or BuyStpSig)) {
    profitLoss = (if IsNaN(open[-1]) then close else open[-1]) - orderPrice[1];
} else if ((isOrder and isShort[1]) and (BuySig or SellStpSig)) {
    profitLoss = orderPrice[1] - (if IsNaN(open[-1]) then close else open[-1]);
} else {
    profitLoss = 0;
}


# Total Profit or Loss
def profitLossSum = CompoundValue(1, if IsNaN(isOrder)  or BarNumber() == 1 then 0 else if isOrder then profitLossSum[1] + profitLoss else profitLossSum[1], 0);

# How many trades won or lost
def profitWinners = CompoundValue(1, if IsNaN(profitWinners[1]) or BarNumber() == 1 then 0 else if isOrder and profitLoss > 0 then profitWinners[1] + 1 else profitWinners[1], 0);
def profitLosers = CompoundValue(1, if IsNaN(profitLosers[1])  or BarNumber() == 1 then 0 else if isOrder and profitLoss < 0 then profitLosers[1] + 1 else profitLosers[1], 0);
def profitPush = CompoundValue(1, if IsNaN(profitPush[1])  or BarNumber() == 1 then 0 else if isOrder and profitLoss == 0 then profitPush[1] + 1 else profitPush[1], 0);

# Current Open Trade Profit or Loss
def TradePL = if isLong then Round(((close - orderPrice) / TickSize()) * TickValue()) else if isShort then Round(((orderPrice - close) / TickSize()) * TickValue()) else 0;

# Convert to actual dollars based on Tick Value for bubbles
def dollarProfitLoss = if orderPrice[1] == 0 or IsNaN(orderPrice[1]) then 0 else Round((profitLoss / TickSize()) * TickValue());

# Closed Orders dollar P/L
def dollarPLSum = Round((profitLossSum / TickSize()) * TickValue());
def maxUpSum = CompoundValue(1, if IsNaN(maxUpSum[1]) or BarNumber() == 1 then 0 else if dollarPLSum > 0 and dollarPLSum > maxUpSum[1] then dollarPLSum else maxUpSum[1], 0);
def maxDnSum = CompoundValue(1, if IsNaN(maxDnSum[1]) or BarNumber() == 1 then 0 else if dollarPLSum < 0 and dollarPLSum < maxDnSum[1] then dollarPLSum else maxDnSum[1], 0);

# Split profits or losses by long and short trades
def profitLong = CompoundValue(1, if IsNaN(profitLong[1])  or BarNumber() == 1 then 0 else if isOrder and isLong[1] then profitLong[1] + dollarProfitLoss else profitLong[1], 0);
def profitShort = CompoundValue(1, if IsNaN(profitShort[1])  or BarNumber() == 1 then 0 else if isOrder and isShort[1] then profitShort[1] + dollarProfitLoss else profitShort[1], 0);
def countLong = CompoundValue(1, if IsNaN(countLong[1])  or BarNumber() == 1 then 0 else if isOrder and isLong[1] then countLong[1] + 1 else countLong[1], 0);
def countShort = CompoundValue(1, if IsNaN(countShort[1])  or BarNumber() == 1 then 0 else if isOrder and isShort[1] then countShort[1] + 1 else countShort[1], 0);

# What was the biggest winning and losing trade
def biggestWin = CompoundValue(1, if IsNaN(biggestWin[1]) or BarNumber() == 1 then 0 else if isOrder and (dollarProfitLoss > 0) and (dollarProfitLoss > biggestWin[1]) then dollarProfitLoss else biggestWin[1], 0);
def biggestLoss = CompoundValue(1, if IsNaN(biggestLoss[1]) or BarNumber() == 1 then 0 else if isOrder and (dollarProfitLoss < 0) and (dollarProfitLoss < biggestLoss[1]) then dollarProfitLoss else biggestLoss[1], 0);

def ClosedTradeCount = if (isLong or isShort) then orderCount - 1 else orderCount;
def OpenTrades = if (isLong or isShort) then 1 else 0;

def FuturesCommission = 6 * ClosedTradeCount;


# What percent were winners
def PCTWin = if (OpenTrades and (TradePL < 0)) then Round((profitWinners / (ClosedTradeCount + 1)) * 100, 2)
else if (OpenTrades and (TradePL > 0)) then Round(((profitWinners + 1) / (ClosedTradeCount + 1)) * 100, 2) else Round(((profitWinners) / (ClosedTradeCount)) * 100, 2) ;

# Average trade
def avgTrade = if (OpenTrades and (TradePL < 0)) then Round(((dollarPLSum - TradePL) / (ClosedTradeCount + 1)), 2)
else if (OpenTrades and (TradePL > 0)) then Round(((dollarPLSum + TradePL) / (ClosedTradeCount + 1)), 2) else Round(((dollarPLSum) / (ClosedTradeCount)), 2) ;


#######################################
##  Create Labels
#######################################


#AddLabel(showLabels and isIntraDay, if MarketOpen then "Market Open" else "Market Closed", Color.WHITE);
AddLabel(showLabels, if TradingHours then "Market Open" else "Market Closed", Color.WHITE);
AddLabel(showLabels and tradeDefinedHours, "Defined Hours", Color.WHITE);
AddLabel(showLabels and tradeDefinedHours, "Trade between: "+AsPrice(OpenTime)+" and "+AsPrice(CloseTime),Color.WHITE);
AddLabel(showLabels, GetSymbol() + " Tick Size: " + TickSize() + " Value: " + TickValue(), Color.WHITE);
AddLabel(showLabels and (LongTrades and ShortTrades), "Long+Short Trades", Color.WHITE);
AddLabel(showLabels and (LongTrades and !ShortTrades), "Long Trades Only", Color.WHITE);
AddLabel(showLabels and (!LongTrades and ShortTrades), "Short Trades Only", Color.WHITE);
AddLabel(showLabels and (UseFuturesFees), "Future Fees Incl", Color.WHITE);

AddLabel(showLabels, "Closed Orders: " + ClosedTradeCount + " P/L: " + AsDollars(dollarPLSum - if UseFuturesFees then FuturesCommission else 0), if dollarPLSum > 0 then Color.GREEN else if dollarPLSum < 0 then Color.RED else Color.GRAY);

AddLabel(if !IsNaN(orderPrice) and showLabels then 1 else 0, "Closed+Open P/L: " + AsDollars(TradePL + dollarPLSum - if UseFuturesFees then FuturesCommission else 0), if ((TradePL + dollarPLSum) > 0) then Color.GREEN else if ((TradePL + dollarPLSum - if UseFuturesFees then FuturesCommission else 0) < 0) then Color.RED else Color.GRAY);

AddLabel(showLabels, "Avg per Trade: " + AsDollars(avgTrade  - if UseFuturesFees then 6 else 0), if avgTrade > 0 then Color.GREEN else if avgTrade < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Winners: " + PCTWin + "%", if PCTWin > 50 then Color.GREEN else if PCTWin > 40 then Color.YELLOW else Color.GRAY);

AddLabel(showLabels, "Long Profit: " + AsDollars(profitLong), if profitLong > 0 then Color.GREEN else if profitLong < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Short Profit: " + AsDollars(profitShort), if profitShort > 0 then Color.GREEN else if profitShort < 0 then Color.RED else Color.GRAY);

AddLabel(showLabels, "MaxUpTrade: " + AsDollars(biggestWin) + " MaxDownTrade: " + AsDollars(biggestLoss), Color.WHITE);
AddLabel(showLabels, "MaxUpPL: " + AsDollars(maxUpSum) + " MaxDownPL: " + AsDollars(maxDnSum), Color.WHITE);

AddLabel(if !IsNaN(CurrentPosition) and showLabels and OpenTrades then 1 else 0, "Open: " + (if isLong then "Bought" else "Sold") + " @ " + orderPrice, Color.WHITE);
AddLabel(if !IsNaN(orderPrice) and showLabels and OpenTrades then 1 else 0, "Open Trade P/L: " + AsDollars(TradePL), if (TradePL > 0) then Color.GREEN else if (TradePL < 0) then Color.RED else Color.GRAY);

plot BuyStopLvl =  if isLong then OrderPrice - ((stopLimitDisplay/TickValue())*TickSize()) else double.nan;
plot ShortStopLvl =  if isShort then OrderPrice + ((stopLimitDisplay/TickValue())*TickSize()) else double.nan;
BuyStopLvl.AssignValueColor(Color.YELLOW);
BuyStopLvl.SetPaintingStrategy(PaintingStrategy.LINE);
BuyStopLvl.SetStyle(Curve.SHORT_DASH);
BuyStopLvl.SetLineWeight(1);
ShortStopLvl.AssignValueColor(Color.YELLOW);
ShortStopLvl.SetPaintingStrategy(PaintingStrategy.LINE);
ShortStopLvl.SetStyle(Curve.SHORT_DASH);
ShortStopLvl.SetLineWeight(1);

#######################################
##  Chart Bubbles for Profit/Loss
#######################################


AddChartBubble(showSignals and showBubbles and isOrder and isLong[1], low, "$" + dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else Color.RED, 0);
AddChartBubble(showSignals and showBubbles and isOrder and isShort[1], high,  "$" + dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else Color.RED, 1);
 
Hey @JoeDV

Was wondering if there was a way to change/modify position sizes. Right now it currently looks like it only works with 1 share at a time, but would be nice to increase or decrease share sizes based on risk profile.

There is this part of the code(~Line 139) that seems reasonable to adjust, but I am not certain how much that will break elsewhere.
Code: 
def orderCount = compoundValue(1,if isNan(isOrder) or barnumber()==1 then 0 else if (BuySig or SellSig) then orderCount[1]+1 else orderCount[1],0);

Any help would be much appreciated!
 
Last edited by a moderator:
BackPack218 said:
Hey @JoeDV

Was wondering if there was a way to change/modify position sizes. Right now it currently looks like it only works with 1 share at a time, but would be nice to increase or decrease share sizes based on risk profile.

There is this part of the code(~Line 139) that seems reasonable to adjust, but I am not certain how much that will break elsewhere.
Code: 
def orderCount = compoundValue(1,if isNan(isOrder) or barnumber()==1 then 0 else if (BuySig or SellSig) then orderCount[1]+1 else orderCount[1],0);

Any help would be much appreciated!
Click to expand...

Not a lot of testing, but this allows for changing the number of shares/contracts.

Python: 
###------------------------------------------------------------------------------------------
# Profit and Loss Labels
#
# Set two variables Buysignal and Sellsignal to your buy and sell signal conditions,
# or replace them below with your conditions
#
# When using large amounts of hisorical data, P/L may take time to calculate
# MODIFICATION: Added input for tradeSize to allow variable shares per trade.
# All P/L calculations have been updated to reflect the tradeSize.
###------------------------------------------------------------------------------------------
input tradeSize = 1; #hint tradeSize: Number of shares/contracts per trade.
input showSignals = yes; #hint showSignals: show buy and sell arrows
input LongTrades = yes; #hint LongTrades: perform long trades
input ShortTrades = yes; #hint ShortTrades: perform short trades
input showLabels  = yes; #hint showLabels: show PL labels at top
input showBubbles = yes; #hint showBubbles: show PL bubbles at close of trade
input useStops = no;     #hint useStops: use stop orders
input stopLimitDisplay = 50;  #hint stopLimit in dollars
input useAlerts = no;    #hint useAlerts: use alerts on signals
input tradeDefinedHours = no; #hint tradeDefinedHours:
input OpenTime = 0900; #hint OpenTime: Opening time of market
input CloseTime = 1600; #hint CloseTime: Closing time of market
input UseFuturesFees = no; #hint UseFutureFees: $6 round-trip

#Get actual trading time
def TradingHours = GetTime() between RegularTradingStart(GetYYYYMMDD()) and RegularTradingEnd(GetYYYYMMDD());

#Get time to do trading
def Begin = SecondsFromTime(OpenTime);
def End = SecondsTillTime(CloseTime);


# Only use market hours when using intraday timeframe
def isIntraDay = if GetAggregationPeriod() > 14400000 or GetAggregationPeriod() == 0 then 0 else 1;
def TradingWindow = if !tradeDefinedHours or !isIntraDay then 1 else if tradeDefinedHours and isIntraDay and Begin > 0 and End > 0 then 1 else 0;
###------------------------------------------------------------------------------------------

######################################################
##  Create Signals -
##  FILL IN THIS SECTION
##      replace 0>0 with your conditions for signals
######################################################

def PLBuySignal = if  TradingWindow and (Buysignal) then 1 else 0 ; # insert condition to create long position in place of the 0>0
def PLSellSignal =  if TradingWindow and (Sellsignal) then 1 else 0; # insert condition to create short position in place of the 0>0

def PLBuyStop  = if !useStops then 0 else if  (0 > 0) then 1 else 0  ; # insert condition to stop in place of the 0<0
def PLSellStop = if !useStops then 0 else if (0 > 0) then 1 else 0  ; # insert condition to stop in place of the 0>0

def PLMktStop = if TradingWindow[-1] == 0 then 1 else 0; # If tradeDaytimeOnly is set, then stop at end of day


#######################################
##  Maintain the position of trades
#######################################

def CurrentPosition;  # holds whether flat = 0 long = 1 short = -1

if (BarNumber() == 1) or IsNaN(CurrentPosition[1]) {
    CurrentPosition = 0;
} else {
    if CurrentPosition[1] == 0 {            # FLAT
        if (PLBuySignal and LongTrades) {
            CurrentPosition = 1;
        } else if (PLSellSignal and ShortTrades) {
            CurrentPosition = -1;
        } else {
            CurrentPosition = CurrentPosition[1];
        }
    } else if CurrentPosition[1] == 1 {      # LONG
        if (PLSellSignal and ShortTrades) {
            CurrentPosition = -1;
        } else if ((PLBuyStop and useStops) or PLMktStop or (PLSellSignal and ShortTrades == 0)) {
            CurrentPosition = 0;
        } else {
            CurrentPosition = CurrentPosition[1];
        }
    } else if CurrentPosition[1] == -1 {     # SHORT
        if (PLBuySignal and LongTrades) {
            CurrentPosition = 1;
        } else if ((PLSellStop and useStops) or PLMktStop or (PLBuySignal and LongTrades == 0)) {
            CurrentPosition = 0;
        } else {
            CurrentPosition = CurrentPosition[1];
        }
    } else {
        CurrentPosition = CurrentPosition[1];
    }
}


def isLong  = if CurrentPosition == 1 then 1 else 0;
def isShort = if CurrentPosition == -1 then 1 else 0;
def isFlat  = if CurrentPosition == 0 then 1 else 0;

# If not already long and get a PLBuySignal
#Plot BuySig = if (!isLong[1] and PLBuySignal and showSignals and LongTrades) then 1 else 0;
plot BuySig = if (((isShort[1] and LongTrades) or (isFlat[1] and LongTrades)) and PLBuySignal and showSignals) then 1 else 0;
BuySig.AssignValueColor(Color.CYAN);
BuySig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
BuySig.SetLineWeight(5);

Alert(BuySig and useAlerts, "Buy Signal", Alert.BAR, Sound.Ding);

# If not already short and get a PLSellSignal
plot SellSig = if (((isLong[1] and ShortTrades) or (isFlat[1] and ShortTrades)) and PLSellSignal and showSignals) then 1 else 0;
SellSig.AssignValueColor(Color.CYAN);
SellSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SellSig.SetLineWeight(5);

Alert(SellSig and useAlerts, "Sell Signal", Alert.BAR, Sound.Ding);

# If long and get a PLBuyStop
plot BuyStpSig = if (PLBuyStop and isLong[1] and showSignals and useStops) or (isLong[1] and PLMktStop) or (isLong[1] and PLSellSignal and !ShortTrades) then 1 else 0;
BuyStpSig.AssignValueColor(Color.LIGHT_GRAY);
BuyStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
BuyStpSig.SetLineWeight(3);

Alert(BuyStpSig and useAlerts, "Buy Stop Signal", Alert.BAR, Sound.Ding);


# If short and get a PLSellStop
plot SellStpSig = if (PLSellStop and isShort[1] and showSignals and useStops) or (isShort[1] and PLMktStop) or (isShort[1] and PLBuySignal and !LongTrades) then 1 else 0;
SellStpSig.AssignValueColor(Color.LIGHT_GRAY);
SellStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
SellStpSig.SetLineWeight(3);

Alert(SellStpSig and useAlerts, "Sell Stop Signal", Alert.BAR, Sound.Ding);


#######################################
##  Orders
#######################################

def isOrder = if ((isFlat[1] and (BuySig and LongTrades) or (SellSig and ShortTrades)) or (isLong[1] and BuyStpSig or (SellSig and ShortTrades)) or (isShort[1] and SellStpSig or (BuySig and LongTrades))) then 1 else 0 ;

def orderPrice = if (isOrder and ((BuySig and LongTrades) or (SellSig and ShortTrades))) then (if IsNaN(open[-1]) then close else open[-1]) else orderPrice[1];

plot OPL = if !isFlat and isLong then orderPrice else Double.NaN;
OPL.AssignValueColor(Color.GREEN);
OPL.SetPaintingStrategy(PaintingStrategy.LINE);
OPL.SetStyle(Curve.SHORT_DASH);
OPL.SetLineWeight(1);

plot OPS = if !isFlat and isShort then orderPrice else Double.NaN;
OPS.AssignValueColor(Color.RED);
OPS.SetPaintingStrategy(PaintingStrategy.LINE);
OPS.SetStyle(Curve.SHORT_DASH);
OPS.SetLineWeight(1);

def orderCount = CompoundValue(1, if IsNaN(isOrder) or BarNumber() == 1 then 0 else if (BuySig or SellSig) then orderCount[1] + 1 else orderCount[1], 0);


#######################################
##  Price and Profit
#######################################

def profitLoss;

if (!isOrder or orderPrice[1] == 0) {
    profitLoss = 0;
} else if ((isOrder and isLong[1]) and (SellSig or BuyStpSig)) {
    profitLoss = (if IsNaN(open[-1]) then close else open[-1]) - orderPrice[1];
} else if ((isOrder and isShort[1]) and (BuySig or SellStpSig)) {
    profitLoss = orderPrice[1] - (if IsNaN(open[-1]) then close else open[-1]);
} else {
    profitLoss = 0;
}

# Total Profit or Loss
def profitLossSum = CompoundValue(1, if IsNaN(isOrder)  or BarNumber() == 1 then 0 else if isOrder then profitLossSum[1] + profitLoss else profitLossSum[1], 0);

# How many trades won or lost
def profitWinners = CompoundValue(1, if IsNaN(profitWinners[1]) or BarNumber() == 1 then 0 else if isOrder and profitLoss > 0 then profitWinners[1] + 1 else profitWinners[1], 0);
def profitLosers = CompoundValue(1, if IsNaN(profitLosers[1])  or BarNumber() == 1 then 0 else if isOrder and profitLoss < 0 then profitLosers[1] + 1 else profitLosers[1], 0);
def profitPush = CompoundValue(1, if IsNaN(profitPush[1])  or BarNumber() == 1 then 0 else if isOrder and profitLoss == 0 then profitPush[1] + 1 else profitPush[1], 0);

# Current Open Trade Profit or Loss (MODIFIED to include tradeSize)
def TradePL = if isLong then Round(((close - orderPrice) / TickSize()) * TickValue() * tradeSize) else if isShort then Round(((orderPrice - close) / TickSize()) * TickValue() * tradeSize) else 0;

# Convert to actual dollars based on Tick Value for bubbles (MODIFIED to include tradeSize)
def dollarProfitLoss = if orderPrice[1] == 0 or IsNaN(orderPrice[1]) then 0 else Round((profitLoss / TickSize()) * TickValue() * tradeSize);

# Closed Orders dollar P/L (MODIFIED to include tradeSize)
def dollarPLSum = Round((profitLossSum / TickSize()) * TickValue() * tradeSize);
def maxUpSum = CompoundValue(1, if IsNaN(maxUpSum[1]) or BarNumber() == 1 then 0 else if dollarPLSum > 0 and dollarPLSum > maxUpSum[1] then dollarPLSum else maxUpSum[1], 0);
def maxDnSum = CompoundValue(1, if IsNaN(maxDnSum[1]) or BarNumber() == 1 then 0 else if dollarPLSum < 0 and dollarPLSum < maxDnSum[1] then dollarPLSum else maxDnSum[1], 0);

# Split profits or losses by long and short trades
def profitLong = CompoundValue(1, if IsNaN(profitLong[1])  or BarNumber() == 1 then 0 else if isOrder and isLong[1] then profitLong[1] + dollarProfitLoss else profitLong[1], 0);
def profitShort = CompoundValue(1, if IsNaN(profitShort[1])  or BarNumber() == 1 then 0 else if isOrder and isShort[1] then profitShort[1] + dollarProfitLoss else profitShort[1], 0);
def countLong = CompoundValue(1, if IsNaN(countLong[1])  or BarNumber() == 1 then 0 else if isOrder and isLong[1] then countLong[1] + 1 else countLong[1], 0);
def countShort = CompoundValue(1, if IsNaN(countShort[1])  or BarNumber() == 1 then 0 else if isOrder and isShort[1] then countShort[1] + 1 else countShort[1], 0);

# What was the biggest winning and losing trade
def biggestWin = CompoundValue(1, if IsNaN(biggestWin[1]) or BarNumber() == 1 then 0 else if isOrder and (dollarProfitLoss > 0) and (dollarProfitLoss > biggestWin[1]) then dollarProfitLoss else biggestWin[1], 0);
def biggestLoss = CompoundValue(1, if IsNaN(biggestLoss[1]) or BarNumber() == 1 then 0 else if isOrder and (dollarProfitLoss < 0) and (dollarProfitLoss < biggestLoss[1]) then dollarProfitLoss else biggestLoss[1], 0);

def ClosedTradeCount = if (isLong or isShort) then orderCount - 1 else orderCount;
def OpenTrades = if (isLong or isShort) then 1 else 0;

# (MODIFIED to include tradeSize)
def FuturesCommission = 6 * ClosedTradeCount * tradeSize;

# What percent were winners
def PCTWin = if (OpenTrades and (TradePL < 0)) then Round((profitWinners / (ClosedTradeCount + 1)) * 100, 2)
else if (OpenTrades and (TradePL > 0)) then Round(((profitWinners + 1) / (ClosedTradeCount + 1)) * 100, 2) else Round(((profitWinners) / (ClosedTradeCount)) * 100, 2) ;

# Average trade
def avgTrade = if (OpenTrades and (TradePL < 0)) then Round(((dollarPLSum - TradePL) / (ClosedTradeCount + 1)), 2)
else if (OpenTrades and (TradePL > 0)) then Round(((dollarPLSum + TradePL) / (ClosedTradeCount + 1)), 2) else Round(((dollarPLSum) / (ClosedTradeCount)), 2) ;


#######################################
##  Create Labels
#######################################

AddLabel(showLabels, if TradingHours then "Market Open" else "Market Closed", Color.WHITE);
AddLabel(showLabels and tradeDefinedHours, "Defined Hours", Color.WHITE);
AddLabel(showLabels and tradeDefinedHours, "Trade between: "+AsPrice(OpenTime)+" and "+AsPrice(CloseTime),Color.WHITE);
AddLabel(showLabels, GetSymbol() + " Tick Size: " + TickSize() + " Value: " + TickValue() + " | Trade Size: " + tradeSize, Color.WHITE);
AddLabel(showLabels and (LongTrades and ShortTrades), "Long+Short Trades", Color.WHITE);
AddLabel(showLabels and (LongTrades and !ShortTrades), "Long Trades Only", Color.WHITE);
AddLabel(showLabels and (!LongTrades and ShortTrades), "Short Trades Only", Color.WHITE);
AddLabel(showLabels and (UseFuturesFees), "Future Fees Incl", Color.WHITE);

AddLabel(showLabels, "Closed Orders: " + ClosedTradeCount + " P/L: " + AsDollars(dollarPLSum - if UseFuturesFees then FuturesCommission else 0), if dollarPLSum > 0 then Color.GREEN else if dollarPLSum < 0 then Color.RED else Color.GRAY);

AddLabel(if !IsNaN(orderPrice) and showLabels then 1 else 0, "Closed+Open P/L: " + AsDollars(TradePL + dollarPLSum - if UseFuturesFees then FuturesCommission else 0), if ((TradePL + dollarPLSum) > 0) then Color.GREEN else if ((TradePL + dollarPLSum - if UseFuturesFees then FuturesCommission else 0) < 0) then Color.RED else Color.GRAY);

AddLabel(showLabels, "Avg per Trade: " + AsDollars(avgTrade  - if UseFuturesFees then 6 * tradeSize else 0), if avgTrade > 0 then Color.GREEN else if avgTrade < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Winners: " + PCTWin + "%", if PCTWin > 50 then Color.GREEN else if PCTWin > 40 then Color.YELLOW else Color.GRAY);

AddLabel(showLabels, "Long Profit: " + AsDollars(profitLong), if profitLong > 0 then Color.GREEN else if profitLong < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Short Profit: " + AsDollars(profitShort), if profitShort > 0 then Color.GREEN else if profitShort < 0 then Color.RED else Color.GRAY);

AddLabel(showLabels, "MaxUpTrade: " + AsDollars(biggestWin) + " MaxDownTrade: " + AsDollars(biggestLoss), Color.WHITE);
AddLabel(showLabels, "MaxUpPL: " + AsDollars(maxUpSum) + " MaxDownPL: " + AsDollars(maxDnSum), Color.WHITE);

AddLabel(if !IsNaN(CurrentPosition) and showLabels and OpenTrades then 1 else 0, "Open: " + (if isLong then "Bought" else "Sold") + " " + tradeSize + " @ " + orderPrice, Color.WHITE);
AddLabel(if !IsNaN(orderPrice) and showLabels and OpenTrades then 1 else 0, "Open Trade P/L: " + AsDollars(TradePL), if (TradePL > 0) then Color.GREEN else if (TradePL < 0) then Color.RED else Color.GRAY);

plot BuyStopLvl =  if isLong then OrderPrice - ((stopLimitDisplay/TickValue())*TickSize()) else double.nan;
plot ShortStopLvl =  if isShort then OrderPrice + ((stopLimitDisplay/TickValue())*TickSize()) else double.nan;
BuyStopLvl.AssignValueColor(Color.YELLOW);
BuyStopLvl.SetPaintingStrategy(PaintingStrategy.LINE);
BuyStopLvl.SetStyle(Curve.SHORT_DASH);
BuyStopLvl.SetLineWeight(1);
ShortStopLvl.AssignValueColor(Color.YELLOW);
ShortStopLvl.SetPaintingStrategy(PaintingStrategy.LINE);
ShortStopLvl.SetStyle(Curve.SHORT_DASH);
ShortStopLvl.SetLineWeight(1);

#######################################
##  Chart Bubbles for Profit/Loss
#######################################

AddChartBubble(showSignals and showBubbles and isOrder and isLong[1], low, "$" + dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else Color.RED, 0);
AddChartBubble(showSignals and showBubbles and isOrder and isShort[1], high,  "$" + dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else Color.RED, 1);
 
is your BuySignal and SellSignal defined?

def PLBuySignal = if TradingWindow and (Buysignal) then 1 else 0 ; # insert condition to create long position in place of the 0>0
def PLSellSignal = if TradingWindow and (Sellsignal) then 1 else 0; # insert condition to create short position in place of the 0>0
 
antwerks said:
is your BuySignal and SellSignal defined?

def PLBuySignal = if TradingWindow and (Buysignal) then 1 else 0 ; # insert condition to create long position in place of the 0>0
def PLSellSignal = if TradingWindow and (Sellsignal) then 1 else 0; # insert condition to create short position in place of the 0>0
Click to expand...

Yes, this is an add on to your study where you do your magic and define Buysignal and Sellsignal, then paste this code in afterwards. It will then back test your study and calc your hypothetical p/l.

Obviously, if you prefer and have a simple signal, you could just replace Buysignal and Sellsignal with whatever condition you want. I just find it cleaner, particularly for more involved signals, to do them first, and then have this sit at the bottom of the code on it's own.
 
JoeDV said:
Not a lot of testing, but this allows for changing the number of shares/contracts.

Python: 
###------------------------------------------------------------------------------------------
# Profit and Loss Labels
#
# Set two variables Buysignal and Sellsignal to your buy and sell signal conditions,
# or replace them below with your conditions
#
# When using large amounts of hisorical data, P/L may take time to calculate
# MODIFICATION: Added input for tradeSize to allow variable shares per trade.
# All P/L calculations have been updated to reflect the tradeSize.
###------------------------------------------------------------------------------------------
input tradeSize = 1; #hint tradeSize: Number of shares/contracts per trade.
input showSignals = yes; #hint showSignals: show buy and sell arrows
input LongTrades = yes; #hint LongTrades: perform long trades
input ShortTrades = yes; #hint ShortTrades: perform short trades
input showLabels  = yes; #hint showLabels: show PL labels at top
input showBubbles = yes; #hint showBubbles: show PL bubbles at close of trade
input useStops = no;     #hint useStops: use stop orders
input stopLimitDisplay = 50;  #hint stopLimit in dollars
input useAlerts = no;    #hint useAlerts: use alerts on signals
input tradeDefinedHours = no; #hint tradeDefinedHours:
input OpenTime = 0900; #hint OpenTime: Opening time of market
input CloseTime = 1600; #hint CloseTime: Closing time of market
input UseFuturesFees = no; #hint UseFutureFees: $6 round-trip

#Get actual trading time
def TradingHours = GetTime() between RegularTradingStart(GetYYYYMMDD()) and RegularTradingEnd(GetYYYYMMDD());

#Get time to do trading
def Begin = SecondsFromTime(OpenTime);
def End = SecondsTillTime(CloseTime);


# Only use market hours when using intraday timeframe
def isIntraDay = if GetAggregationPeriod() > 14400000 or GetAggregationPeriod() == 0 then 0 else 1;
def TradingWindow = if !tradeDefinedHours or !isIntraDay then 1 else if tradeDefinedHours and isIntraDay and Begin > 0 and End > 0 then 1 else 0;
###------------------------------------------------------------------------------------------

######################################################
##  Create Signals -
##  FILL IN THIS SECTION
##      replace 0>0 with your conditions for signals
######################################################

def PLBuySignal = if  TradingWindow and (Buysignal) then 1 else 0 ; # insert condition to create long position in place of the 0>0
def PLSellSignal =  if TradingWindow and (Sellsignal) then 1 else 0; # insert condition to create short position in place of the 0>0

def PLBuyStop  = if !useStops then 0 else if  (0 > 0) then 1 else 0  ; # insert condition to stop in place of the 0<0
def PLSellStop = if !useStops then 0 else if (0 > 0) then 1 else 0  ; # insert condition to stop in place of the 0>0

def PLMktStop = if TradingWindow[-1] == 0 then 1 else 0; # If tradeDaytimeOnly is set, then stop at end of day


#######################################
##  Maintain the position of trades
#######################################

def CurrentPosition;  # holds whether flat = 0 long = 1 short = -1

if (BarNumber() == 1) or IsNaN(CurrentPosition[1]) {
    CurrentPosition = 0;
} else {
    if CurrentPosition[1] == 0 {            # FLAT
        if (PLBuySignal and LongTrades) {
            CurrentPosition = 1;
        } else if (PLSellSignal and ShortTrades) {
            CurrentPosition = -1;
        } else {
            CurrentPosition = CurrentPosition[1];
        }
    } else if CurrentPosition[1] == 1 {      # LONG
        if (PLSellSignal and ShortTrades) {
            CurrentPosition = -1;
        } else if ((PLBuyStop and useStops) or PLMktStop or (PLSellSignal and ShortTrades == 0)) {
            CurrentPosition = 0;
        } else {
            CurrentPosition = CurrentPosition[1];
        }
    } else if CurrentPosition[1] == -1 {     # SHORT
        if (PLBuySignal and LongTrades) {
            CurrentPosition = 1;
        } else if ((PLSellStop and useStops) or PLMktStop or (PLBuySignal and LongTrades == 0)) {
            CurrentPosition = 0;
        } else {
            CurrentPosition = CurrentPosition[1];
        }
    } else {
        CurrentPosition = CurrentPosition[1];
    }
}


def isLong  = if CurrentPosition == 1 then 1 else 0;
def isShort = if CurrentPosition == -1 then 1 else 0;
def isFlat  = if CurrentPosition == 0 then 1 else 0;

# If not already long and get a PLBuySignal
#Plot BuySig = if (!isLong[1] and PLBuySignal and showSignals and LongTrades) then 1 else 0;
plot BuySig = if (((isShort[1] and LongTrades) or (isFlat[1] and LongTrades)) and PLBuySignal and showSignals) then 1 else 0;
BuySig.AssignValueColor(Color.CYAN);
BuySig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
BuySig.SetLineWeight(5);

Alert(BuySig and useAlerts, "Buy Signal", Alert.BAR, Sound.Ding);

# If not already short and get a PLSellSignal
plot SellSig = if (((isLong[1] and ShortTrades) or (isFlat[1] and ShortTrades)) and PLSellSignal and showSignals) then 1 else 0;
SellSig.AssignValueColor(Color.CYAN);
SellSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SellSig.SetLineWeight(5);

Alert(SellSig and useAlerts, "Sell Signal", Alert.BAR, Sound.Ding);

# If long and get a PLBuyStop
plot BuyStpSig = if (PLBuyStop and isLong[1] and showSignals and useStops) or (isLong[1] and PLMktStop) or (isLong[1] and PLSellSignal and !ShortTrades) then 1 else 0;
BuyStpSig.AssignValueColor(Color.LIGHT_GRAY);
BuyStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
BuyStpSig.SetLineWeight(3);

Alert(BuyStpSig and useAlerts, "Buy Stop Signal", Alert.BAR, Sound.Ding);


# If short and get a PLSellStop
plot SellStpSig = if (PLSellStop and isShort[1] and showSignals and useStops) or (isShort[1] and PLMktStop) or (isShort[1] and PLBuySignal and !LongTrades) then 1 else 0;
SellStpSig.AssignValueColor(Color.LIGHT_GRAY);
SellStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
SellStpSig.SetLineWeight(3);

Alert(SellStpSig and useAlerts, "Sell Stop Signal", Alert.BAR, Sound.Ding);


#######################################
##  Orders
#######################################

def isOrder = if ((isFlat[1] and (BuySig and LongTrades) or (SellSig and ShortTrades)) or (isLong[1] and BuyStpSig or (SellSig and ShortTrades)) or (isShort[1] and SellStpSig or (BuySig and LongTrades))) then 1 else 0 ;

def orderPrice = if (isOrder and ((BuySig and LongTrades) or (SellSig and ShortTrades))) then (if IsNaN(open[-1]) then close else open[-1]) else orderPrice[1];

plot OPL = if !isFlat and isLong then orderPrice else Double.NaN;
OPL.AssignValueColor(Color.GREEN);
OPL.SetPaintingStrategy(PaintingStrategy.LINE);
OPL.SetStyle(Curve.SHORT_DASH);
OPL.SetLineWeight(1);

plot OPS = if !isFlat and isShort then orderPrice else Double.NaN;
OPS.AssignValueColor(Color.RED);
OPS.SetPaintingStrategy(PaintingStrategy.LINE);
OPS.SetStyle(Curve.SHORT_DASH);
OPS.SetLineWeight(1);

def orderCount = CompoundValue(1, if IsNaN(isOrder) or BarNumber() == 1 then 0 else if (BuySig or SellSig) then orderCount[1] + 1 else orderCount[1], 0);


#######################################
##  Price and Profit
#######################################

def profitLoss;

if (!isOrder or orderPrice[1] == 0) {
    profitLoss = 0;
} else if ((isOrder and isLong[1]) and (SellSig or BuyStpSig)) {
    profitLoss = (if IsNaN(open[-1]) then close else open[-1]) - orderPrice[1];
} else if ((isOrder and isShort[1]) and (BuySig or SellStpSig)) {
    profitLoss = orderPrice[1] - (if IsNaN(open[-1]) then close else open[-1]);
} else {
    profitLoss = 0;
}

# Total Profit or Loss
def profitLossSum = CompoundValue(1, if IsNaN(isOrder)  or BarNumber() == 1 then 0 else if isOrder then profitLossSum[1] + profitLoss else profitLossSum[1], 0);

# How many trades won or lost
def profitWinners = CompoundValue(1, if IsNaN(profitWinners[1]) or BarNumber() == 1 then 0 else if isOrder and profitLoss > 0 then profitWinners[1] + 1 else profitWinners[1], 0);
def profitLosers = CompoundValue(1, if IsNaN(profitLosers[1])  or BarNumber() == 1 then 0 else if isOrder and profitLoss < 0 then profitLosers[1] + 1 else profitLosers[1], 0);
def profitPush = CompoundValue(1, if IsNaN(profitPush[1])  or BarNumber() == 1 then 0 else if isOrder and profitLoss == 0 then profitPush[1] + 1 else profitPush[1], 0);

# Current Open Trade Profit or Loss (MODIFIED to include tradeSize)
def TradePL = if isLong then Round(((close - orderPrice) / TickSize()) * TickValue() * tradeSize) else if isShort then Round(((orderPrice - close) / TickSize()) * TickValue() * tradeSize) else 0;

# Convert to actual dollars based on Tick Value for bubbles (MODIFIED to include tradeSize)
def dollarProfitLoss = if orderPrice[1] == 0 or IsNaN(orderPrice[1]) then 0 else Round((profitLoss / TickSize()) * TickValue() * tradeSize);

# Closed Orders dollar P/L (MODIFIED to include tradeSize)
def dollarPLSum = Round((profitLossSum / TickSize()) * TickValue() * tradeSize);
def maxUpSum = CompoundValue(1, if IsNaN(maxUpSum[1]) or BarNumber() == 1 then 0 else if dollarPLSum > 0 and dollarPLSum > maxUpSum[1] then dollarPLSum else maxUpSum[1], 0);
def maxDnSum = CompoundValue(1, if IsNaN(maxDnSum[1]) or BarNumber() == 1 then 0 else if dollarPLSum < 0 and dollarPLSum < maxDnSum[1] then dollarPLSum else maxDnSum[1], 0);

# Split profits or losses by long and short trades
def profitLong = CompoundValue(1, if IsNaN(profitLong[1])  or BarNumber() == 1 then 0 else if isOrder and isLong[1] then profitLong[1] + dollarProfitLoss else profitLong[1], 0);
def profitShort = CompoundValue(1, if IsNaN(profitShort[1])  or BarNumber() == 1 then 0 else if isOrder and isShort[1] then profitShort[1] + dollarProfitLoss else profitShort[1], 0);
def countLong = CompoundValue(1, if IsNaN(countLong[1])  or BarNumber() == 1 then 0 else if isOrder and isLong[1] then countLong[1] + 1 else countLong[1], 0);
def countShort = CompoundValue(1, if IsNaN(countShort[1])  or BarNumber() == 1 then 0 else if isOrder and isShort[1] then countShort[1] + 1 else countShort[1], 0);

# What was the biggest winning and losing trade
def biggestWin = CompoundValue(1, if IsNaN(biggestWin[1]) or BarNumber() == 1 then 0 else if isOrder and (dollarProfitLoss > 0) and (dollarProfitLoss > biggestWin[1]) then dollarProfitLoss else biggestWin[1], 0);
def biggestLoss = CompoundValue(1, if IsNaN(biggestLoss[1]) or BarNumber() == 1 then 0 else if isOrder and (dollarProfitLoss < 0) and (dollarProfitLoss < biggestLoss[1]) then dollarProfitLoss else biggestLoss[1], 0);

def ClosedTradeCount = if (isLong or isShort) then orderCount - 1 else orderCount;
def OpenTrades = if (isLong or isShort) then 1 else 0;

# (MODIFIED to include tradeSize)
def FuturesCommission = 6 * ClosedTradeCount * tradeSize;

# What percent were winners
def PCTWin = if (OpenTrades and (TradePL < 0)) then Round((profitWinners / (ClosedTradeCount + 1)) * 100, 2)
else if (OpenTrades and (TradePL > 0)) then Round(((profitWinners + 1) / (ClosedTradeCount + 1)) * 100, 2) else Round(((profitWinners) / (ClosedTradeCount)) * 100, 2) ;

# Average trade
def avgTrade = if (OpenTrades and (TradePL < 0)) then Round(((dollarPLSum - TradePL) / (ClosedTradeCount + 1)), 2)
else if (OpenTrades and (TradePL > 0)) then Round(((dollarPLSum + TradePL) / (ClosedTradeCount + 1)), 2) else Round(((dollarPLSum) / (ClosedTradeCount)), 2) ;


#######################################
##  Create Labels
#######################################

AddLabel(showLabels, if TradingHours then "Market Open" else "Market Closed", Color.WHITE);
AddLabel(showLabels and tradeDefinedHours, "Defined Hours", Color.WHITE);
AddLabel(showLabels and tradeDefinedHours, "Trade between: "+AsPrice(OpenTime)+" and "+AsPrice(CloseTime),Color.WHITE);
AddLabel(showLabels, GetSymbol() + " Tick Size: " + TickSize() + " Value: " + TickValue() + " | Trade Size: " + tradeSize, Color.WHITE);
AddLabel(showLabels and (LongTrades and ShortTrades), "Long+Short Trades", Color.WHITE);
AddLabel(showLabels and (LongTrades and !ShortTrades), "Long Trades Only", Color.WHITE);
AddLabel(showLabels and (!LongTrades and ShortTrades), "Short Trades Only", Color.WHITE);
AddLabel(showLabels and (UseFuturesFees), "Future Fees Incl", Color.WHITE);

AddLabel(showLabels, "Closed Orders: " + ClosedTradeCount + " P/L: " + AsDollars(dollarPLSum - if UseFuturesFees then FuturesCommission else 0), if dollarPLSum > 0 then Color.GREEN else if dollarPLSum < 0 then Color.RED else Color.GRAY);

AddLabel(if !IsNaN(orderPrice) and showLabels then 1 else 0, "Closed+Open P/L: " + AsDollars(TradePL + dollarPLSum - if UseFuturesFees then FuturesCommission else 0), if ((TradePL + dollarPLSum) > 0) then Color.GREEN else if ((TradePL + dollarPLSum - if UseFuturesFees then FuturesCommission else 0) < 0) then Color.RED else Color.GRAY);

AddLabel(showLabels, "Avg per Trade: " + AsDollars(avgTrade  - if UseFuturesFees then 6 * tradeSize else 0), if avgTrade > 0 then Color.GREEN else if avgTrade < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Winners: " + PCTWin + "%", if PCTWin > 50 then Color.GREEN else if PCTWin > 40 then Color.YELLOW else Color.GRAY);

AddLabel(showLabels, "Long Profit: " + AsDollars(profitLong), if profitLong > 0 then Color.GREEN else if profitLong < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Short Profit: " + AsDollars(profitShort), if profitShort > 0 then Color.GREEN else if profitShort < 0 then Color.RED else Color.GRAY);

AddLabel(showLabels, "MaxUpTrade: " + AsDollars(biggestWin) + " MaxDownTrade: " + AsDollars(biggestLoss), Color.WHITE);
AddLabel(showLabels, "MaxUpPL: " + AsDollars(maxUpSum) + " MaxDownPL: " + AsDollars(maxDnSum), Color.WHITE);

AddLabel(if !IsNaN(CurrentPosition) and showLabels and OpenTrades then 1 else 0, "Open: " + (if isLong then "Bought" else "Sold") + " " + tradeSize + " @ " + orderPrice, Color.WHITE);
AddLabel(if !IsNaN(orderPrice) and showLabels and OpenTrades then 1 else 0, "Open Trade P/L: " + AsDollars(TradePL), if (TradePL > 0) then Color.GREEN else if (TradePL < 0) then Color.RED else Color.GRAY);

plot BuyStopLvl =  if isLong then OrderPrice - ((stopLimitDisplay/TickValue())*TickSize()) else double.nan;
plot ShortStopLvl =  if isShort then OrderPrice + ((stopLimitDisplay/TickValue())*TickSize()) else double.nan;
BuyStopLvl.AssignValueColor(Color.YELLOW);
BuyStopLvl.SetPaintingStrategy(PaintingStrategy.LINE);
BuyStopLvl.SetStyle(Curve.SHORT_DASH);
BuyStopLvl.SetLineWeight(1);
ShortStopLvl.AssignValueColor(Color.YELLOW);
ShortStopLvl.SetPaintingStrategy(PaintingStrategy.LINE);
ShortStopLvl.SetStyle(Curve.SHORT_DASH);
ShortStopLvl.SetLineWeight(1);

#######################################
##  Chart Bubbles for Profit/Loss
#######################################

AddChartBubble(showSignals and showBubbles and isOrder and isLong[1], low, "$" + dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else Color.RED, 0);
AddChartBubble(showSignals and showBubbles and isOrder and isShort[1], high,  "$" + dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else Color.RED, 1);
Click to expand...
Awesome! This seems to do the trick.
 
JoeDV said:
Ok, wasn't exactly easy... wish I had thought about that to start, would have made it a lot easier. However, there's an input now to turn on Long or Short Trades (or both obviously). Hasn't been tested a ton, but I think it's working. If you find any issues with bad calculations or something, just let me know, might have to work on it a bit more.

Ruby: 
###------------------------------------------------------------------------------------------
# Profit and Loss Labels
#
# Fill in the 0>0 in the Create Signals section below to match your buy and sell signal conditions
#
# When using large amounts of hisorical data, P/L may take time to calculate
###------------------------------------------------------------------------------------------

input showSignals = yes; #hint showSignals: show buy and sell arrows
input LongTrades = yes; #hint LongTrades: perform long trades
input ShortTrades = yes; #hint ShortTrades: perform short trades
input showLabels  = yes; #hint showLabels: show PL labels at top
input showBubbles = yes; #hint showBubbles: show PL bubbles at close of trade
input useStops = no;     #hint useStops: use stop orders
input useAlerts = no;    #hint useAlerts: use alerts on signals
input tradeDaytimeOnly = no; #hint tradeDaytimeOnly: (IntraDay Only) Only perform trades during hours stated
input OpenTime = 0930; #hint OpenTime: Opening time of market
input CloseTime = 1600; #hint CloseTime: Closing time of market


def Begin = secondsfromTime(OpenTime);
def End = secondsTillTime(closetime);
# Only use market hours when using intraday timeframe
def isIntraDay = if getaggregationperiod() > 14400000 then 0 else 1;
def MarketOpen = if tradeDaytimeOnly AND isIntraDay then ((Begin > 0) and (End > 0)) else 1;

###------------------------------------------------------------------------------------------

######################################################
##  Create Signals -
##  FILL IN THIS SECTION
##      replace 0>0 with your conditions for signals
######################################################

def PLBuySignal = if  MarketOpen AND (0>0) then 1 else 0 ; # insert condition to create long position in place of the 0>0
def PLSellSignal =  if MarketOpen AND (0>0) then 1 else 0; # insert condition to create short position in place of the 0>0

def PLBuyStop  = if !useStops then 0 else if  (0>0) then 1 else 0  ; # insert condition to stop in place of the 0<0
def PLSellStop = if !useStops then 0 else if (0>0) then 1 else 0  ; # insert condition to stop in place of the 0>0

def PLMktStop = if MarketOpen[-1] == 0 then 1 else 0; # If tradeDaytimeOnly is set, then stop at end of day


#######################################
##  Maintain the position of trades
#######################################

def CurrentPosition;  # holds whether flat = 0 long = 1 short = -1

if (BarNumber()==1) OR isNaN(CurrentPosition[1]) {
    CurrentPosition = 0;
}else{
        if CurrentPosition[1] == 0 {            # FLAT
            if (PLBuySignal AND LongTrades) {
                CurrentPosition = 1;
            } else if (PLSellSignal AND ShortTrades){
                CurrentPosition = -1;
            } else {
                CurrentPosition = CurrentPosition[1];
            }
       } else if CurrentPosition[1] == 1 {      # LONG
            if (PLSellSignal AND ShortTrades){
                CurrentPosition = -1;
            } else if ((PLBuyStop and useStops) or PLMktStop or (PLSellSignal AND ShortTrades==0)){
                CurrentPosition = 0;
            } else {
                CurrentPosition = CurrentPosition[1];
            }
       } else if CurrentPosition[1] == -1 {     # SHORT
            if (PLBuySignal AND LongTrades){
                CurrentPosition = 1;
            } else if ((PLSellStop and useStops) or PLMktStop or (PlBuySignal and LongTrades==0)){
                CurrentPosition = 0;
            } else {
                CurrentPosition = CurrentPosition[1];
            }
       } else {
            CurrentPosition = CurrentPosition[1];
       }
}


def isLong  = if CurrentPosition == 1 then 1 else 0;
def isShort = if CurrentPosition == -1 then 1 else 0;
def isFlat  = if CurrentPosition == 0 then 1 else 0;

# If not already long and get a PLBuySignal
#Plot BuySig = if (!isLong[1] and PLBuySignal and showSignals and LongTrades) then 1 else 0;
Plot BuySig = if (((isShort[1] and LongTrades) or (isFlat[1] and LongTrades)) and PLBuySignal and showSignals) then 1 else 0;
BuySig.AssignValueColor(color.cyan);
BuySig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
BuySig.SetLineWeight(5);

Alert(BuySig and useAlerts, "Buy Signal",Alert.bar,sound.Ding);
Alert(BuySig and useAlerts, "Buy Signal",Alert.bar,sound.Ding);

# If not already short and get a PLSellSignal
Plot SellSig = if (((isLong[1] and ShortTrades) or (isFlat[1] and ShortTrades)) and PLSellSignal and showSignals) then 1 else 0;
SellSig.AssignValueColor(color.cyan);
SellSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SellSig.SetLineWeight(5);

Alert(SellSig and useAlerts, "Sell Signal",Alert.bar,sound.Ding);
Alert(SellSig and useAlerts, "Sell Signal",Alert.bar,sound.Ding);

# If long and get a PLBuyStop
Plot BuyStpSig = if (PLBuyStop and isLong[1] and showSignals and useStops) or (isLong[1] and PLMktStop) or (isLong[1] and PLSellSignal and !ShortTrades) then 1 else 0;
BuyStpSig.AssignValueColor(color.light_gray);
BuyStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
BuyStpSig.SetLineWeight(3);

Alert(BuyStpSig and useAlerts, "Buy Stop Signal",Alert.bar,sound.Ding);
Alert(BuyStpSig and useAlerts, "Buy Stop Signal",Alert.bar,sound.Ding);


# If short and get a PLSellStop
Plot SellStpSig = if (PLSellStop and isShort[1] and showSignals and useStops) or (isShort[1] and PLMktStop) or (isShort[1] and PLBuySignal and !LongTrades) then 1 else 0;
SellStpSig.AssignValueColor(color.light_gray);
SellStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
SellStpSig.SetLineWeight(3);

Alert(SellStpSig and useAlerts, "Sell Stop Signal",Alert.bar,sound.Ding);
Alert(SellStpSig and useAlerts, "Sell Stop Signal",Alert.bar,sound.Ding);


#######################################
##  Orders
#######################################

def isOrder = if ((isFlat[1] and (BuySig and LongTrades) or (SellSig and ShortTrades)) or (isLong[1] and BuyStpSig or (SellSig and ShortTrades)) or (isShort[1] and SellStpSig or (BuySig and LongTrades))) then 1 else 0 ;
# If there is an order, then the price is the next days close
def orderPrice = if (isOrder and ((BuySig and LongTrades) or (SellSig and ShortTrades))) then close else orderPrice[1];

def orderCount = compoundValue(1,if isNan(isOrder) or barnumber()==1 then 0 else if (BuySig or SellSig) then orderCount[1]+1 else orderCount[1],0);


#######################################
##  Price and Profit
#######################################

def profitLoss;


if (!isOrder or orderPRice[1]==0){
    profitLoss = 0;
} else if ((isOrder and isLong[1]) and (SellSig or BuyStpSig)){
    profitLoss = close - orderPrice[1];
} else if ((isOrder and isShort[1]) and (BuySig or SellStpSig)) {
    profitLoss = orderPrice[1] - close;
} else {
    profitLoss = 0;
}


# Total Profit or Loss
def profitLossSum = compoundValue(1, if isNaN(isOrder)  or barnumber()==1 then 0 else if isOrder then profitLossSum[1] + profitLoss else profitLossSum[1], 0);

# How many trades won or lost
def profitWinners = compoundValue(1, if isNaN(profitWinners[1]) or barnumber()==1 then 0 else if isOrder and profitLoss > 0 then profitWinners[1] + 1 else profitWinners[1], 0);
def profitLosers = compoundValue(1, if isNaN(profitLosers[1])  or barnumber()==1 then 0 else if isOrder and profitLoss < 0 then profitLosers[1] + 1 else profitLosers[1], 0);
def profitPush = compoundValue(1, if isNaN(profitPush[1])  or barnumber()==1 then 0 else if isOrder and profitLoss == 0 then profitPush[1] + 1 else profitPush[1], 0);

# Current Open Trade Profit or Loss
def TradePL = If isLong then Round(((close - orderprice)/TickSize())*TickValue()) else if isShort then Round(((orderPrice - close)/TickSize())*TickValue()) else 0;

# Convert to actual dollars based on Tick Value for bubbles
def dollarProfitLoss = if orderPRice[1]==0 or isNaN(orderPrice[1]) then 0 else round((profitLoss/Ticksize())*Tickvalue());

# Closed Orders dollar P/L
def dollarPLSum = round((profitLossSum/Ticksize())*Tickvalue());


# Split profits or losses by long and short trades
def profitLong = compoundValue(1, if isNan(profitLong[1])  or barnumber()==1 then 0 else if isOrder and isLong[1] then profitLong[1]+dollarProfitLoss else profitLong[1],0);
def profitShort = compoundValue(1, if isNan(profitShort[1])  or barnumber()==1 then 0 else if isOrder and isShort[1] then profitShort[1]+dollarProfitLoss else profitShort[1],0);
def countLong = compoundValue(1, if isNaN(countLong[1])  or barnumber()==1 then 0 else if isOrder and isLong[1] then countLong[1]+1 else countLong[1],0);
def countShort = compoundValue(1, if isNaN(countShort[1])  or barnumber()==1 then 0 else if isOrder and isShort[1] then countShort[1]+1 else countShort[1],0);

# What was the biggest winning and losing trade
def biggestWin = compoundValue(1, if isNaN(biggestWin[1]) or barnumber()==1 then 0 else if isOrder and (dollarProfitLoss > 0) and (dollarProfitLoss > biggestWin[1]) then dollarProfitLoss else biggestWin[1], 0);
def biggestLoss = compoundValue(1, if isNaN(biggestLoss[1]) or barnumber()==1 then 0 else if isOrder and (dollarProfitLoss < 0) and (dollarProfitLoss < biggestLoss[1]) then dollarProfitLoss else biggestLoss[1], 0);


def ClosedTradeCount = if (isLong or isShort) then orderCount-1 else orderCount;
def OpenTrades = if (isLong or isShort) then 1 else 0;


# What percent were winners
def PCTWin = if (OpenTrades and (TradePL < 0)) then round((profitWinners/(ClosedTradeCount+1))*100,2)
else if (OpenTrades and (TradePL > 0)) then round(((profitWinners+1)/(ClosedTradeCount+1))*100,2) else round(((profitWinners)/(ClosedTradeCount))*100,2) ;

# Average trade
def avgTrade = if (OpenTrades and (TradePL < 0)) then round(((dollarPLSum - TradePL)/(ClosedTradeCount+1)),2)
else if (OpenTrades and (TradePL > 0)) then round(((dollarPLSum + TradePL)/(ClosedTradeCount+1)),2) else round(((dollarPLSum)/(ClosedTradeCount)),2) ;


#######################################
##  Create Labels
#######################################


AddLabel(showLabels and isIntraDay, if MarketOpen then "Market Open" else "Market Closed", color.white);
AddLabel(showLabels, GetSymbol()+" Tick Size: "+TickSize()+" Value: "+TickValue(), color.white);
AddLabel(showLabels and (LongTrades and ShortTrades), "Long+Short Trades", color.white);
AddLabel(showLabels and (LongTrades and !ShortTrades),"Long Trades Only", color.white);
AddLabel(showLabels and (!LongTrades and ShortTrades),"Short Trades Only", color.white);
AddLabel(showLabels, "Closed Orders: " + ClosedTradeCount + " P/L: " + AsDollars(dollarPLSum), if dollarPLSum > 0 then Color.GREEN else if dollarPLSum< 0 then Color.RED else Color.GRAY);
AddLabel(if !IsNan(orderPrice) and showLabels then 1 else 0, "Closed+Open P/L: "+ AsDollars(TradePL+dollarPLSum), if ((TradePL+dollarPLSum) > 0) then color.green else if ((TradePL+dollarPLSum) < 0) then color.red else color.gray);

AddLabel(showLabels, "Avg per Trade: "+ AsDollars(avgTrade), if avgTrade > 0 then Color.Green else if avgTrade < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Winners: "+ PCTWin +"%",if PCTWin > 50 then color.green else if PCTWin > 40 then color.yellow else color.gray);

AddLabel(showLabels, "MaxUp: "+ AsDollars(biggestWin) +" MaxDown: "+AsDollars(biggestLoss), color.white);
AddLabel(showLabels, "Long Profit: " +AsDollars(profitLong), if profitLong > 0 then color.green else if profitLong < 0 then color.red else color.gray);
AddLabel(showLabels, "Short Profit: " +AsDollars(profitShort), if profitShort > 0 then color.green else if profitShort < 0 then color.red else color.gray);
AddLabel(if !IsNan(CurrentPosition) and showLabels and OpenTrades then 1 else 0, "Open: "+ (If isLong then "Bought" else "Sold") + " @ "+orderPrice, color.white);
AddLabel(if !IsNan(orderPrice) and showLabels and OpenTrades then 1 else 0, "Open Trade P/L: "+ AsDollars(TradePL), if (TradePL > 0) then color.green else if (TradePl < 0) then color.red else color.gray);



#######################################
##  Chart Bubbles for Profit/Loss
#######################################


AddChartBubble(showSignals and showBubbles and isOrder and isLong[1], low, "$"+dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else color.Red, 0);
AddChartBubble(showSignals and showBubbles and isOrder and isShort[1], high,  "$"+dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else color.Red, 1);

#AssignPriceColor(if CurrentPosition == 1 then color.green else if CurrentPosition == -1 then color.red else color.gray);

You'll notice on top that it will tell you in a label if it's long or short positions only or both.

View attachment 13640
Click to expand...
Hello @JoeDV , Great looking chart and Strategy. I'm kinda new to TOS. I see arrows on my chart, but do not see, and would like to, the entry prices, and those boxes. Would love to discuss getting my backtest to work. I don't see any data in the labels. Thank you so much. much appreciated. -Mike
 
Last edited by a moderator:
MikeTradr said:
Hello @JoeDV , Great looking chart and Strategy. I'm kinda new to TOS. I see arrows on my chart, but do not see, and would like to, the entry prices, and those boxes. Would love to discuss getting my backtest to work. I don't see any data in the labels. Thank you so much. much appreciated. -Mike
Click to expand...

No, @JoeDV's script is not used in ToS AddOrder Backtesting Strategies.
It is used in ToS Studies Tab instead of backtesting.
 
JoeDV, thank you for this script! Have been using it to gauge the most optimal setting(s) that produce the highest profit for any given indicator.

After using this for a short while I began questioning if I could speed up the manual process of changing inputs to compare profit results. My attempt to do so did not work out and after many attempts to find the error in my logic I am still unsuccessful.

My thought was to have a fold statement run through a range of values that are a single input to a indicator. Is it that the fold statement cannot be used in this way, or I am missing something else. The exponential moving average was used for the test.

Code: 
input UseFixedPeriod = no;
input period = 34;
def alpha = if UseFixedPeriod then 2 / (period + 1) else fold i = 2 to period with s do 2 / (i + 1);
def ema = CompoundValue(period, (close - ema[1]) * alpha + ema[1], close);
def long = close > ema;
def short = close < ema;

Later into your code this was added to show the result.

Code: 
def test = fold j = 2 to period with t do if GetValue(profitLong, j) > GetValue(profitLong, j + 1) then j else t;
AddLabel(showLabels, test, Color.GREEN);

Thanks for any assistance offered.
 
Last edited by a moderator:
kiwi said:
JoeDV, thank you for this script! Have been using it to gauge the most optimal setting(s) that produce the highest profit for any given indicator.

After using this for a short while I began questioning if I could speed up the manual process of changing inputs to compare profit results. My attempt to do so did not work out and after many attempts to find the error in my logic I am still unsuccessful.

My thought was to have a fold statement run through a range of values that are a single input to a indicator. Is it that the fold statement cannot be used in this way, or I am missing something else. The exponential moving average was used for the test.

Code: 
input UseFixedPeriod = no;
input period = 34;
def alpha = if UseFixedPeriod then 2 / (period + 1) else fold i = 2 to period with s do 2 / (i + 1);
def ema = CompoundValue(period, (close - ema[1]) * alpha + ema[1], close);
def long = close > ema;
def short = close < ema;

Later into your code this was added to show the result.

Code: 
def test = fold j = 2 to period with t do if GetValue(profitLong, j) > GetValue(profitLong, j + 1) then j else t;
AddLabel(showLabels, test, Color.GREEN);

Thanks for any assistance offered.
Click to expand...
I use JoeDV's study to gauge potential strategy effectiveness every day. To fine tune strategies, I find it useful to add multiple copies of the study with the P&L code (you will want to change JoeDV's code to print the labels and bubbles with which study they are showing.) It only takes a few seconds to change your inputs and get the result effectiveness. I often look back at interesting studies for 1 year's worth of data by changing the time frame dates.

I record every input with the result in a spreadsheet. In doing this you'll quickly discover that a particular strategy looks great one quarter (month, week), and ****s another. Worked great last month on TLSA and crapped out this month on NVDA. I like to see indicators that are good on multiple timespans, and multiple stocks/FOREX/options. An indicator with a 60% win rate last month may be 90% next month. Anything consistently above 70% deserves a deeper look.

Be aware that repainting indicators will show the repainted buy and sell conditions, often skewing the results hugely in favor of profit. I always will run for 1 month with no or low trade value to see how any strategy works. I do this on a dedicated computer only running that strategy and taking a screenshot every x minutes or when the study indicates buy or sell, triggering a screenshot.
 
kiwi said:
JoeDV, thank you for this script! Have been using it to gauge the most optimal setting(s) that produce the highest profit for any given indicator.

After using this for a short while I began questioning if I could speed up the manual process of changing inputs to compare profit results. My attempt to do so did not work out and after many attempts to find the error in my logic I am still unsuccessful.

...

Thanks for any assistance offered.
Click to expand...

I think I understand what you're trying to do, but I don't think that will ever work with the way scripting in TOS processes. I assume you want to have it try a combination of input values, essentially at the same time. If it IS possible, then I'm pretty sure the effort to do so isn't worth it. Easier to just change the values. Besides, what you're doing is curve fitting and will not produce the outcome you think it will.
 
I agree with you that TOS scripting will not run a combination of input values simultaneously. Apologies for not being clearer on that earlier. My goal was to use only one input to an indicator at a time. The exponential moving average I used as an example, as well as the other indicators I have tested, does run and returns results...sometimes. The problem is the result returned does not compare to the values I have manually entered, or the results returned show 0 (zero). The manually entered values produce profits that are higher than the FOLD statement returns. As an example the ExpMovingAvg was an input that is used on one of the indicators I selected to test this on. A manual "bang it out on the keyboard" trial and error found that the value which produced the highest profit for the ExpMovingAvg input was 29. The range in the FOLD i = 2 to 55 resulted in a value of 21. Also, there were times were the result returned was 0 (zero).

My abilities in the programming language of TOS allow me to read and understand most code, but original programming is difficult. Your assistance is appreciated.
 
whoDAT said:
I use JoeDV's study to gauge potential strategy effectiveness every day. To fine tune strategies, I find it useful to add multiple copies of the study with the P&L code (you will want to change JoeDV's code to print the labels and bubbles with which study they are showing.) It only takes a few seconds to change your inputs and get the result effectiveness. I often look back at interesting studies for 1 year's worth of data by changing the time frame dates.

I record every input with the result in a spreadsheet. In doing this you'll quickly discover that a particular strategy looks great one quarter (month, week), and ****s another. Worked great last month on TLSA and crapped out this month on NVDA. I like to see indicators that are good on multiple timespans, and multiple stocks/FOREX/options. An indicator with a 60% win rate last month may be 90% next month. Anything consistently above 70% deserves a deeper look.

Be aware that repainting indicators will show the repainted buy and sell conditions, often skewing the results hugely in favor of profit. I always will run for 1 month with no or low trade value to see how any strategy works. I do this on a dedicated computer only running that strategy and taking a screenshot every x minutes or when the study indicates buy or sell, triggering a screenshot.
Click to expand...
whoDAT...dang! I have struggled to get an indicator to hit 60%. If I had one 70 or greater, I'd think it was the holy grail. But I agree with you, the results will change, and as you described above, I'm using JoeDV's PL study to help me optimize the highest profit potential of an indicator.
 
kiwi said:
whoDAT...dang! I have struggled to get an indicator to hit 60%. If I had one 70 or greater, I'd think it was the holy grail. But I agree with you, the results will change, and as you described above, I'm using JoeDV's PL study to help me optimize the highest profit potential of an indicator.
Click to expand...

Look, curve fitting is basically the hindsight is 20/20 trap of the trading world. It happens when you over tweak your strategy until it fits a specific piece of past data perfectly, almost like you are drawing a map after you have already finished the hike. It looks amazing on paper because you have basically forced the math to predict things that already happened. The problem and the reason it will blow up your account is that you are just memorizing old noise rather than finding a real trend. When you take that perfect strategy into the real world, it falls apart instantly because the future never repeats itself that precisely. It is a paper win that turns into a real world loss.

TOS does not allow for proper back testing, including the built in strategy stuff. So take it from someone who does have a lot of experience in trading and coding, charts, lines, strategies, etc. are all just indicators, not exacts. Honestly, you want to be successful, learn the psychology of the markets and traders. All those "levels" and lines, meaningless, what those do to the collective thoughts of people, very valuable.

Update: You gave me an idea, look up the walk forward method of back testing. I think I may be able to create something that would allow that (with limits) in TOS. Would involve some manual tweaking for each run, but think it can be done.
 
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