# Parabolic_SAR_Moving_Average_Trading_Strategy
# by BabyTrader using the following article: Parabolic SAR Moving Average Trading Strategy
# https://tradingstrategyguides.com/parabolic-sar-moving-average-trade-strategy/
# ParabolicSAR_withAlerts_JQ
# 2018-04-15 Mods by Johnny Quotron
# with a very helpful kickstart from DMonkey
# Mods include
# 1. splitting the PSAR into two visible plots so that they can be colored seperately
# 2. adding alert arrows at the PSAR to enhance visibility
# a. original alert arrows remain available but are hidden by default
# 3. add ability to color color alert arrows
#
# Combined/Modified/Altered by SilverWolf
declare upper;
#======== Inputs ==============================================================================
input accelerationFactor = 0.012;
input accelerationLimit = 0.2;
input extremeoffset = 0.0;
input MovAvgType = AverageType.EXPONENTIAL;
input MovAvgTrendMethod = {default "SINGLE", "CROSSING"};
input CrossingAvgLength = 9;
input TrendTriggerAvgLength = 21;
input TradeClosingMethod = {default "SAR", "MOVAVG"};
input TradeSize = 1;
def Trend = if MovAvgTrendMethod == MovAvgTrendMethod."SINGLE" then 1 else
if MovAvgTrendMethod == MovAvgTrendMethod."CROSSING" then 2 else 0;
def PlotCross = if Trend == 2 then yes else no;
def Closer = if TradeClosingMethod == TradeClosingMethod."SAR" then 1 else
if TradeClosingMethod == TradeClosingMethod."MOVAVG" then 2 else 0;
#======== Moving Averages ======================================================================
plot TriggerAVG = MovingAverage(MovAvgType, close, TrendTriggerAvgLength);
TriggerAVG.SetLineWeight(3);
TriggerAVG.SetDefaultColor(Color.WHITE);
plot CrossingAVG = MovingAverage(MovAvgType, close, CrossingAvgLength);
CrossingAVG.SetHiding(!PlotCross);
CrossingAVG.SetLineWeight(3);
CrossingAVG.SetDefaultColor(Color.PINK);
#======== ParabolicSAR =========================================================================
Assert(accelerationFactor > 0, "'acceleration factor' must be positive: " + accelerationFactor);
Assert(accelerationLimit >= accelerationFactor, "'acceleration limit' (" + accelerationLimit + ") must be greater than or equal to 'acceleration factor' (" + accelerationFactor + ")");
def state = {default init, long, short};
def extreme;
def SAR;
def acc;
switch (state[1]) {
case init:
state = state.long;
acc = accelerationFactor;
extreme = high;
SAR = low;
case short:
if (SAR[1] < high)
then {
state = state.long;
acc = accelerationFactor;
extreme = high + extremeoffset;
SAR = extreme[1];
} else {
state = state.short;
if (low < extreme[1])
then {
acc = Min(acc[1] + accelerationFactor, accelerationLimit);
extreme = low - extremeoffset;
} else {
acc = acc[1];
extreme = extreme[1];
}
SAR = Max(Max(high, high[1]), SAR[1] + acc * (extreme - SAR[1]));
}
case long:
if (SAR[1] > low)
then {
state = state.short;
acc = accelerationFactor;
extreme = low - extremeoffset;
SAR = extreme[1];
} else {
state = state.long;
if (high > extreme[1])
then {
acc = Min(acc[1] + accelerationFactor, accelerationLimit);
extreme = high + extremeoffset;
} else {
acc = acc[1];
extreme = extreme[1];
}
SAR = Min(Min(low, low[1]), SAR[1] + acc * (extreme - SAR[1]));
}
}
#======== SIGNALS =========================================================================
def BuySignal = if Trend == 1 and (close > TriggerAVG ) and (SAR crosses below close)
then 1
else if Trend == 2 and (close > TriggerAVG) and (CrossingAVG crosses above TriggerAVG) and (SAR < close)
then 1
else Double.NaN;
def SellSignal = if Trend == 1 and (close < TriggerAVG ) and (SAR crosses above close)
then 1
else if Trend == 2 and (close < TriggerAVG) and (CrossingAVG crosses below TriggerAVG) and (SAR > close)
then 1
else Double.NaN;
def BuyExit = if Closer == 1 and (close crosses below SAR[-1])
then 1
else if Closer == 2 and (TriggerAVG > CrossingAVG)
then 1
else Double.NaN;
def SellExit = if Closer == 1 and (close crosses above SAR[-1])
then 1
else if Closer == 2 and (TriggerAVG < CrossingAVG)
then 1
else Double.NaN;
#======== STRATEGY ORDERS ===================================================================
input Price = close;#{default Close, Open, high[1] + low[1]/2};
AddOrder(OrderType.BUY_TO_OPEN, BuySignal, Price[1], TradeSize, Color.GREEN, Color.GREEN, name = "Long");
AddOrder(OrderType.SELL_TO_CLOSE, BuyExit, Price[1], TradeSize, Color.RED, Color.RED, name = "Close");
AddOrder(OrderType.SELL_TO_OPEN, SellSignal, Price[1], TradeSize, Color.ORANGE, Color.ORANGE, name = "Short");
AddOrder(OrderType.BUY_TO_CLOSE, SellExit, Price[1], TradeSize, Color.WHITE, Color.WHITE, name = "Close");
#======== PLOTS ============================================================================
plot BullPSAR = if SAR < close then SAR else Double.NaN;
BullPSAR.SetPaintingStrategy(PaintingStrategy.POINTS);
BullPSAR.SetDefaultColor(Color.LIME);
plot BearPSAR = if SAR > close then SAR else Double.NaN;
BearPSAR.SetPaintingStrategy(PaintingStrategy.POINTS);
BearPSAR.SetDefaultColor(Color.PINK);
#---
def BullSignalAtCandle = Crosses(SAR, close, CrossingDirection.BELOW);
plot BullSignalAtPSAR = if close crosses above SAR
then SAR
else Double.NaN;
BullSignalAtPSAR.SetLineWeight(1);
BullSignalAtPSAR.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
BullSignalAtPSAR.SetDefaultColor(Color.LIME);
def BearSignalAtCandle = Crosses(SAR, close, CrossingDirection.ABOVE);
plot BearSignalAtPSAR = if close crosses below SAR
then SAR
else Double.NaN;
BearSignalAtPSAR.SetLineWeight(1);
BearSignalAtPSAR.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
BearSignalAtPSAR.SetDefaultColor(Color.PINK);
#---
plot LongEntrySignal = if BuySignal then BuySignal else Double.NaN;
LongEntrySignal.SetDefaultColor(Color.UPTICK);
LongEntrySignal.SetLineWeight(5);
LongEntrySignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
plot ShortEntrySignal = if SellSignal then SellSignal else Double.NaN;
ShortEntrySignal.SetDefaultColor(Color.DOWNTICK);
ShortEntrySignal.SetLineWeight(5);
ShortEntrySignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
plot LongExitSignal = if BuyExit then BuyExit else Double.NaN;
LongExitSignal.SetDefaultColor(Color.White);
LongExitSignal.SetLineWeight(1);
LongExitSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
plot ShortExitSignal = if SellExit then SellExit else Double.NaN;
ShortExitSignal.SetDefaultColor(Color.White);
ShortExitSignal.SetLineWeight(1);
ShortExitSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
#======== ALERTS ===========================================================================
input AlertsOn = No;
Alert(AlertsOn and BullSignalAtCandle, "Bullish PSAR", Alert.BAR, Sound.Ring);
Alert(AlertsOn and BearSignalAtCandle, "Bearish PSAR", Alert.BAR, Sound.Ring);
Alert(AlertsOn and BuySignal, "Bullish PSAR above AVG", Alert.BAR, Sound.Ring);
Alert(AlertsOn and SellSignal, "Bullish PSAR below AVG", Alert.BAR, Sound.Ring);
#======== EOF ===========================================================================
