@AlgoTrader77 Great post. What other indicators do you also like using?
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What are you trading and timeframe?This has been working for me, thanks for POSTING
@Nirmal Don't know if you read through this thread or not, but the only indicator being used in this strategy is the 20 exponential moving average. You can just add the regular EMA indicator and adjust the length to 20.
input price = close;
input length = 20;
plot myindicator = Average(price, length);
myindicator.AssignValueColor(if price >= myindicator then Color.GREEN else Color.RED);
myindicator.SetStyle(Curve.LONG_DASH);
myindicator.SetPaintingStrategy(PaintingStrategy.LINE);
myindicator.SetLineWeight(1);
#myindicator.SetHiding(if price > open(period = AggregationPeriod.DAY) then 0 else 1);
#
# TD Ameritrade IP Company, Inc. (c) 2017-2020
#
input price = close;
input length = 9;
input displace = 0;
input showBreakoutSignals = no;
plot SMA = Average(price[-displace], length);
plot UpSignal = price crosses above SMA;
plot DownSignal = price crosses below SMA;
UpSignal.SetHiding(!showBreakoutSignals);
DownSignal.SetHiding(!showBreakoutSignals);
# Change here
#SMA.SetDefaultColor(GetColor(1));
SMA.AssignValueColor(if price >= SMA then Color.GREEN else Color.RED);
UpSignal.SetDefaultColor(Color.UPTICK);
UpSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
DownSignal.SetDefaultColor(Color.DOWNTICK);
DownSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
#Coded by adii800
#Formulated by AlgoTrader77
#EMA Breakout Strat
def CL = close;
def HI = high;
def LO = low;
def TS = TickSize();
input Length = 20;
def EMA = ExpAverage(CL , Length );
def CrossAboveEMA = CL crosses above EMA;
def CrossBelowEMA = CL crosses below EMA;
def buy = CrossAboveEMA[1] and HI >= (HI[1] + TS);
def sell = CrossBelowEMA[1] and LO <= (LO[1] - TS);
def LongP = if buy then HI[1] + TS else Double.NaN;
def ShortP = if sell then LO[1] - TS else Double.NaN;
def entryP = EntryPrice();
#Fixed Tick Long Target
input TTicks = 19;
def LTargetPrice = entryP + (TTicks * TS);
#Determine if Target was hit
def LTargetHit = HI >= LTargetPrice;
#Fixed Tick Short Target
def STargetPrice = entryP - (TTicks * TS);
#Determine if Target was hit
def STargetHit = LO <= STargetPrice;
#Fixed Tick Long Stop
input STicks= 17;
def LStopValue = (STicks*TS);
def LStopPrice = entryP - LStopValue;
#Determine if the stop was hit
def LStopHit = LO <= LStopPrice;
#Fixed Tick Short Stop
def SStopValue = (STicks*TS);
def SStopPrice = entryP + LStopValue;
#Determine if the stop was hit
def SStopHit = HI >= SStopPrice;
#LONG ORDER
AddOrder(type = OrderType.BUY_AUTO, condition = buy, price = LongP, tradeSize = 1, tickcolor = Color.CYAN, arrowcolor = Color.CYAN, name = "Long");
#LONG TARGET ORDER
AddOrder(type = OrderType.SELL_TO_CLOSE, condition = LTargetHit, price = LTargetPrice, tradeSize = 1, tickcolor = Color.WHITE, arrowcolor = Color.WHITE, name = "Target Hit");
#LONGT STOP ORDER
AddOrder(type = OrderType.SELL_TO_CLOSE, condition = LStopHit, price = LStopPrice, tradeSize = 1, tickcolor = Color.GRAY, arrowcolor = Color.GRAY, name = "Stop Hit");
#SHORT ORDER
AddOrder(type = OrderType.SELL_AUTO, condition = sell, price = ShortP, tradeSize = 1, tickcolor = Color.LIGHT_RED, arrowcolor = Color.LIGHT_RED, name = "Short");
#SHORT TARGET ORDER
AddOrder(type = OrderType.BUY_TO_CLOSE, condition = STargetHit, price = STargetPrice, tradeSize = 1, tickcolor = Color.WHITE, arrowcolor = Color.WHITE, name = "Target Hit");
#SHORT STOP ORDER
AddOrder(type = OrderType.BUY_TO_CLOSE, condition = SStopHit, price = SStopPrice, tradeSize = 1, tickcolor = Color.GRAY, arrowcolor = Color.GRAY, name = "Stop Hit");
#EXTENDED FLOATING PL
############################
# FPL Extended
# Extended Floating P&L study.
# Author: Eddielee394
# Version: 1.2
# inspired by FPL Dashboard script developed by Mobius
#
############################
#Hint: An extended floating P&L study to be used alongside TOS strategies for measuring hypothetical strategy performance.\nThis is a work in progress. And may contain some bugs or other programming issues.
############################
# Instructions
# - Due to limitations with the thinkscript public api, this specific script must be added to a "strategy" study.
# Generally best practice is to append this script to the end of your custom strategy (ensuring it runs AFTER the
# `AddOrder()` function is called from the strategy). A better method would be to use as a lower study but unless
# a workaround is implemented to handle the `Entry()` function in a lower study, it can only be applied to upper strategies.
#
# - the script uses the `HidePrice()` function which will hide the actual price candles within the upper study,
# only displaying the FPL histogram.
#
############################
############################
# Metrics
# - Active Trade return %
# - Entry Count
# - Winning Entry Count
# - Win rate
# - Avg return
# - avg win
# - avg loss
# - peak to valley dd
# - largest equity dd
# - P&L low
# - P&L high
# - Highest return
# - Lowest return
############################
############################
# Todo:
# - Sharpe Ratio
# - Sortino Ratio
# - Calmar Ratio
# - Avg trade
# duration
# -Buy/hold comparison
############################
#Globals
def nan = Double.NaN;
def bn = if !IsNaN(close) and !IsNaN(close[1]) and !IsNaN(close[-1]) then BarNumber() else bn[1];
#Inputs
input fplBegin = 0000;
#hint fplBegin: start time: the time in which then dailyHighLow profit should consider the day start. Recommended value is 0000.
input fplTargetWinLoss = .50;
#hint fplTargetWinLoss: sets the target winlossRatio (in percent) which determines display colors of the W/L label.
input fplTargetWinRate = 1;
#hint fplTargetWinRate: sets the target winRate (float) which determines display colors of the WinRate label;
input fplHidePrice = no;
#hint fplHidePrice: hide's the underlying price graph. \nDefault is no.
input fplHideFPL = yes;
#hint fplHideFPL: hide's the underlying P&L graph.\nDefault is yes.
input fplShowEntryBubbles = no;
#hint fplShowEntryBubbles: display bubbles on the FPL showing the entry and exit P&L values
input fplEnableDebugging = no;
#hint fplEnableDebugging: displays various debugging labels and chart bubbles. \nIt's recommended to hide the price chart & set the fpl hide fpl setting to yes, when enabling.
#temp input var references
def begin = fplBegin;
def targetWinLoss = fplTargetWinLoss;
def targetWinRate = fplTargetWinRate;
def hidePrice = fplHidePrice;
def hideFPL = fplHideFPL;
def showEntryBubbles = fplShowEntryBubbles;
def enableDebugging = fplEnableDebugging;
#hide chart candles
HidePricePlot(hidePrice);
#Plot default Floating P&L
plot FPL = FPL();
FPL.SetPaintingStrategy(PaintingStrategy.SQUARED_HISTOGRAM);
FPL.DefineColor("Positive and Up", Color.GREEN);
FPL.DefineColor("Positive and Down", Color.DARK_GREEN);
FPL.DefineColor("Negative and Down", Color.RED);
FPL.DefineColor("Negative and Up", Color.DARK_RED);
FPL.AssignValueColor(if FPL >= 0
then if FPL > FPL[1]
then FPL.Color("Positive and Up")
else FPL.Color("Positive and Down")
else if FPL < FPL[1]
then FPL.Color("Negative and Down")
else FPL.Color("Negative and Up"));
FPL.SetHiding(hideFPL);
plot ZeroLine = if IsNaN(close)
then nan
else 0;
ZeroLine.SetDefaultColor(Color.GRAY);
ZeroLine.SetHiding(hideFPL);
#Global Scripts
script calculateDrawdown {
input plLow = 1;
input plHigh = 1;
def _drawdown = if plHigh == 0
then 0 #handles the divide by zero error
else (plLow - plHigh) / plHigh;
plot calculateDrawdown = _drawdown;
}
script incrementValue {
input condition = yes;
input increment = 1;
input startingValue = 0;
def _value = CompoundValue(1,
if condition
then _value[1] + increment
else _value[1], startingValue);
plot incrementValue = _value;
}
;
script getDurationInMins {
input gdimBarCount = 1;
#get the aggregation period (MS per bar)
def aggPeriod = GetAggregationPeriod();
#multiply length of bars by aggPeriod to determine total milliseconds then convert to minutes
def _getDurationInMins = Floor((gdimBarCount * aggPeriod) / 60000);
plot getDurationInMins = _getDurationInMins;
}
script formatDuration {
input fdBarCount = 1;
def _fdDuration = getDurationInMins(fdBarCount);
def _formatDuration = if _fdDuration >= 60 and _fdDuration < 1440 #hours but not days
then 1
else if _fdDuration >= 1440 #days
then 2
else 0;
plot formatDuration = _formatDuration;
}
script calculateDuration {
input cdBarCount = 1;
def _cdDurationFormat = formatDuration(cdBarCount);
def _cdDuration = getDurationInMins(cdBarCount);
#if minutes > hour convert to hour, else if minutes > day, then convert to days
def _calculateDuration = if _cdDurationFormat == 1
then _cdDuration / 60 #convert to hours if greater than 60min but less than a day (1440)
else if _cdDurationFormat == 2
then Ceil(_cdDuration / 1440) #convert to days if greater than 1440mins
else _cdDuration; #fallback to minutes
plot calculateDuration = _calculateDuration;
}
# Entry Calculations. Note: Only parses on a Strategy Chart
def entry = EntryPrice();
def entryPrice = if !IsNaN(entry)
then entry
else entryPrice[1];
def hasEntry = !IsNaN(entry);
def isNewEntry = entryPrice != entryPrice[1];
#is active trade
def Active = if SecondsTillTime(begin) == 0 and
SecondsFromTime(begin) == 0
then 1
else 0;
def highFPL = HighestAll(FPL);
def lowFPL = LowestAll(FPL);
def fplreturn = (FPL - FPL[1]) / FPL[1];
def cumsum = Sum(fplreturn);
def highBarNumber = CompoundValue(1, if FPL == highFPL
then bn
else highBarNumber[1], 0);
def lowBarNumber = CompoundValue(1, if FPL == lowFPL
then bn
else lowBarNumber[1], 0);
#Win/Loss ratios
def entryBarsTemp = if hasEntry
then bn
else nan;
def entryBarNum = if hasEntry and isNewEntry
then bn
else entryBarNum[1];
def isEntryBar = entryBarNum != entryBarNum[1];
def entryBarPL = if isEntryBar
then FPL
else entryBarPL[1];
def exitBarsTemp = if !hasEntry
and bn > entryBarsTemp[1]
then bn
else nan;
def exitBarNum = if !hasEntry and !IsNaN(exitBarsTemp) then bn else exitBarNum[1];
def isExitBar = exitBarNum != exitBarNum[1];
def exitBarPL = if isExitBar
then FPL
else exitBarPL[1];
def entryReturn = if isExitBar then exitBarPL - exitBarPL[1] else entryReturn[1];
def isWin = if isExitBar and entryReturn >= 0 then 1 else 0;
def isLoss = if isExitBar and entryReturn < 0 then 1 else 0;
def entryReturnWin = if isWin then entryReturn else entryReturnWin[1];
def entryReturnLoss = if isLoss then entryReturn else entryReturnLoss[1];
def entryFPLWins = if isWin then entryReturn else 0;
def entryFPLLosses = if isLoss then entryReturn else 0;
def entryFPLAll = if isLoss or isWin then entryReturn else 0;
#Counts
def entryCount = incrementValue(entryFPLAll);
def winCount = incrementValue(isWin);
def lossCount = incrementValue(isLoss);
def highestReturn = if entryReturnWin[1] > highestReturn[1]
then entryReturnWin[1]
else highestReturn[1];
def lowestReturn = if entryReturnLoss[1] < lowestReturn[1]
then entryReturnLoss[1]
else lowestReturn[1];
def winRate = winCount / lossCount;
def winLossRatio = winCount / entryCount;
def avgReturn = TotalSum(entryFPLAll) / entryCount;
def avgWin = TotalSum(entryFPLWins) / winCount;
def avgLoss = TotalSum(entryFPLLosses) / lossCount;
#Drawdown
def lowestLowBarNumber = HighestAll(if FPL == lowFPL then bn else 0);
def highestHighBarNumber = HighestAll(if FPL == highFPL and FPL != FPL[1] then bn else 0);
def hasPrevLow = lowestLowBarNumber < highestHighBarNumber;
def isPeak = FPL > Highest(FPL[1], 12) and FPL > Highest(FPL[-12], 12);
def isTrough = FPL < Lowest(FPL[1], 12) and FPL < Lowest(FPL[-12], 12);
def _peak = if isPeak then FPL else nan;
def _trough = if isTrough then FPL else nan;
def peak = if !IsNaN(_peak) then FPL else peak[1];
def trough = if !IsNaN(_trough) then FPL else trough[1];
def peakBN = if isPeak then bn else peakBN[1];
def troughBN = if isTrough then bn else troughBN[1];
def ptvDrawdown = if !hasPrevLow then calculateDrawdown(lowFPL, highFPL) else ptvDrawdown[1];
def equityDrawdown = if isTrough and trough < peak then trough - peak else equityDrawdown[1];
def equityDrawdownPercent = if isTrough and trough < peak then calculateDrawdown(trough, peak) else equityDrawdownPercent[1];
def largestEquityDrawdown = LowestAll(equityDrawdown);
def largestEquityDrawdownPercent = LowestAll(equityDrawdownPercent);
def drawdown = if hasPrevLow
then largestEquityDrawdownPercent
else ptvDrawdown;
# Drawdown Durations
def equityDrawdownLength = if bn >= peakBN and bn <= troughBN
then troughBN - peakBN
else equityDrawdownLength[1];
def ptvDrawdownLength = if bn >= highestHighBarNumber and bn <= lowestLowBarNumber
then lowestLowBarNumber - highestHighBarNumber
else ptvDrawdownLength[1];
def equityDrawdownDuration = calculateDuration(HighestAll(equityDrawdownLength));
def equityDrawdownDurationFormat = formatDuration(HighestAll(equityDrawdownLength));
def ptvDrawdownDuration = calculateDuration(ptvDrawdownLength);
def ptvDrawdownDurationFormat = formatDuration(ptvDrawdownLength);
#Daily profit
def Midnight = if Active then FPL else Midnight[1];
def DaysProfit = FPL - Midnight;
#Plots
AddChartBubble(!hideFPL and showEntryBubbles and isEntryBar, FPL, "Entry: " + entryBarPL + " | " + bn, Color.WHITE);
AddChartBubble(!hideFPL and showEntryBubbles and isExitBar, FPL, "Exit: " + exitBarPL,
color = if isWin
then Color.LIGHT_GREEN
else if isLoss
then Color.DARK_RED
else Color.GRAY,
up = no
);
#Labels
AddLabel(yes,
text = "LastEntry: " + AsPrice(entryPrice)
);
AddLabel(hasEntry,
text = "Current Trade % Return: " + AsPercent(cumsum),
color = if cumsum > 0
then Color.GREEN
else Color.RED
);
AddLabel(yes,
text = "Total Trades: " + entryCount,
color = Color.WHITE
);
AddLabel(yes,
text = "WinCount: " + winCount +
" | LossCount: " + lossCount +
" | WinRate: " + winRate,
color = if winRate >= targetWinRate
then Color.GREEN
else Color.RED
);
AddLabel(yes,
text = "W/L: " + AsPercent(winLossRatio),
color = if winLossRatio > targetWinLoss
then Color.GREEN
else Color.RED
);
AddLabel(yes,
text = "HighestReturn: " + AsDollars(highestReturn),
color = if highestReturn > 0
then Color.GREEN
else Color.RED
);
AddLabel(yes,
text = "LowestReturn: " + AsDollars(lowestReturn),
color = if lowestReturn > 0
then Color.GREEN
else Color.RED
);
AddLabel(yes,
text = "AvgReturn: " + AsDollars(avgReturn) +
" | AvgWin: " + AsDollars(avgWin) +
" | AvgLoss: " + AsDollars(avgLoss),
color = if avgReturn >= 0
then Color.LIGHT_GREEN
else Color.RED
);
AddLabel(yes,
text = "PeakToValley DD: " + AsPercent(drawdown) +
" | Duration: " + ptvDrawdownDuration +
if ptvDrawdownDurationFormat == 1
then " hours"
else if ptvDrawdownDurationFormat == 2
then " days"
else " mins" ,
color = if drawdown > 0
then Color.GREEN
else Color.RED
);
AddLabel(largestEquityDrawdown < 0,
text = "Largest Equity DD: " + AsDollars(largestEquityDrawdown) +
" | Duration: " + equityDrawdownDuration +
if equityDrawdownDurationFormat == 1
then " hours"
else if equityDrawdownDurationFormat == 2
then " days"
else " mins",
color = if largestEquityDrawdown > 0
then Color.GREEN
else Color.RED
);
AddLabel(yes,
text = "P&L High" +
(if enableDebugging
then " at bar " + highBarNumber
else "") +
": " + AsDollars(highFPL),
color = Color.GREEN
);
AddLabel(yes,
text = "P&L Low" +
(if enableDebugging
then " at bar " + lowBarNumber
else "") +
": " + AsDollars(lowFPL),
color = Color.RED
);
AddLabel(yes,
text = "Days Profit: $" + DaysProfit,
color = if DaysProfit > 0
then Color.GREEN
else Color.RED
);
AddLabel(yes,
text = "Total Profit: " + AsDollars(FPL),
color = if FPL > 0
then Color.GREEN
else Color.RED
);
#debugging
#peaks & troughs
AddChartBubble(enableDebugging and isPeak, FPL,
text = "FPL: " + FPL
+ " | Peak: " + peak
+ " | Trough: " + trough[-1]
+ " | Drawdown: " + AsPercent(calculateDrawdown(trough, peak))
+ " | PeakBN: " + peakBN
+ " | BarNumber: " + bn,
color = Color.LIME
);
AddChartBubble(enableDebugging and isTrough, FPL,
text = "FPL: " + FPL
+ " | Peak: " + peak
+ " | Trough: " + trough
+ " | Drawdown: " + AsPercent(calculateDrawdown(trough, peak))
+ " | TroughBN: " + troughBN
+ " | BarNumber: " + bn,
color = Color.LIGHT_RED,
up = no
);
AddVerticalLine(enableDebugging and isEntryBar,
text = "EntryBarNum: " + entryBarNum
+ " | ExitBarNum: " + exitBarNum[-1]
+ " | BarNumber: " + bn,
color = Color.WHITE
);
AddVerticalLine(enableDebugging and isExitBar,
text = "EntryBarNum: " + entryBarNum[1]
+ " | ExitbarNum: " + exitBarNum
+ " | BarNumber: " + bn
+ " | EntryReturn: " + entryReturn,
color = if isWin
then Color.LIGHT_GREEN
else if isLoss
then Color.LIGHT_RED
else Color.LIGHT_GREEN
);
input price = close;
input length = 20;
plot myindicator = Average(price, length);
myindicator.AssignValueColor(if price >= myindicator then Color.GREEN else Color.RED);
myindicator.SetStyle(Curve.LONG_DASH);
myindicator.SetPaintingStrategy(PaintingStrategy.LINE);
myindicator.SetLineWeight(1);
#myindicator.SetHiding(if price > open(period = AggregationPeriod.DAY) then 0 else 1);
That would be helpful@FoofAndFun can you add possibly add an alert right when the candle closes above or below the 20 ema?
Code:input price = close; input length = 20; plot myindicator = Average(price, length); myindicator.AssignValueColor(if price >= myindicator then Color.GREEN else Color.RED); myindicator.SetStyle(Curve.LONG_DASH); myindicator.SetPaintingStrategy(PaintingStrategy.LINE); myindicator.SetLineWeight(1); #myindicator.SetHiding(if price > open(period = AggregationPeriod.DAY) then 0 else 1);
Thank you for the fast reply - no these did not help - others have commented on this phenomenon as well - no worries - I will just use 20 EMA with arrows@MatthewTherrien You can narrow down what is causing the problem by:
Lets us know if any of these helped.
- The old standby: closing out of the program, turning off your machine and rebooting
- Removing any other charts and lists
- Reducing the lookback period IE: instead of 3yrs loaded on your 5min chart start w/ 5days.
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