5m UStech 100 strategy

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  • 06/11/2023 at 8:37 PM #215978 quote
    richmoore123
    Participant
    New

    This is a long only strategy for the 5m US tech 100 . Works well with c.2.5 profit factor.

    I am not a coder so would appreciate if someone could put this in ProRealTime code for me .

    
//Disbale Signal Repainting
disableRepainting = input.bool(defval = true, title = "Disable Signal Repainting", group = "Repainting Settings")


////Session Settings Inputs
useSession = input.bool(defval = true, title = "Use Session", group = "Session Settings")
closeEverything = input.bool(defval = true, title = "Close all orders/positions if session ends", group = "Session Settings")
customTimeZone = input.string(defval = "America/New_York", title = "Custom Time Zone", group = "Session Settings", inline = "a1")
useCustomTimeZone = input.bool(defval = true, title = "On/Off", group = "Session Settings", inline = "a1")
timeSession = input.session(defval = "0940-1605", title = "Session Time",  group = "Session Settings", tooltip = "Use the checkboxes to select " + 
     "on which days of the week this session is active. The session " +
     "has to be active on at least one day.")
monSession = input.bool(true, title="Mon ", group = "Session Settings", inline="d1")
tueSession = input.bool(true, title="Tue ", group = "Session Settings", inline="d1")
wedSession = input.bool(true, title="Wed ", group = "Session Settings", inline="d1")
thuSession = input.bool(true, title="Thu ", group = "Session Settings", inline="d1")
friSession = input.bool(true, title="Fri   ", group = "Session Settings", inline="d2")
satSession = input.bool(false, title="Sat  ", group = "Session Settings", inline="d2")
sunSession = input.bool(false, title="Sun ", group = "Session Settings", inline="d2")


// Custom Time Zone Logic
timeZone = useCustomTimeZone ? customTimeZone : syminfo.timezone


// Make a days of week string based on the value of the checkboxes
sessionDays = ""

if sunSession
    sessionDays += "1"
if monSession
    sessionDays += "2"
if tueSession
    sessionDays += "3"
if wedSession
    sessionDays += "4"
if thuSession
    sessionDays += "5"
if friSession
    sessionDays += "6"
if satSession
    sessionDays += "7"

// Make the session string by joining the time with the days
tradingSession = timeSession + ":" + sessionDays

//Session Logic
t = time(timeframe.period, tradingSession, timeZone)
inSession = not na(t) and useSession
outSession = na(t) and useSession
bgcolor(inSession ? color.new(color.green, transp = 95) : na)



////VWAP indicator

//VWAP Inputs
vwapSource = input.source(defval = close, title = "VWAP Source", group = "VWAP Settings")

//Calculate Indicator
vwap = ta.vwap(vwapSource)



////EMA Indicator

//EMA Inputs
emaLength = input.int(defval = 555, title = "EMA Lenght", group = "EMA Settings")
emaSource = input.source(defval = close, title = "EMA Source", group = "EMA Settings")

//Calculate Indicator
ema = ta.ema(emaSource, emaLength)


////BB Indicator

//BB Inputs
bbSource = input.source(defval = close, title = "BBands Source", group = "Bollinger Bands Settings")

bbLength1 = input.int(defval = 20, title = "BBands Lenght 1", minval = 1, group = "BBands 1")
devUp1 =  input.float(defval = 2, title = "BBands DevUp 1", minval = 1, step = 0.1, group = "BBands 1")
devDn1 = input.float(defval = 2, title = "BBands DevDown 1", minval = 1, step = 0.1, group = "BBands 1")

bbLength2 = input.int(defval = 10, title = "BBands Lenght 2", minval = 1, group = "BBands 2")
devUp2 =  input.float(defval = 1.2, title = "BBands DevUp 2", minval = 1, step = 0.1, group = "BBands 2")
devDn2 = input.float(defval = 1.2, title = "BBands DevDown 2", minval = 1, step = 0.1, group = "BBands 2") 


/////////Additional MA

// TEMA
tema(src, length) =>
    v2 = ta.ema(src, length)
    v = 3 * (v2 - ta.ema(v2, length)) + ta.ema(ta.ema(v2, length), length)  // Triple Exponential
    v


// KAMA
kama(src, length) =>
    k = 0.0
    volatility = math.sum(math.abs(src-src[1]), length)
    change = math.abs(src-src[length-1])
    er = volatility != 0 ? change/volatility : 0
    sc = math.pow((er*(0.666666-0.064516))+0.064516, 2)
    k := nz(k[1])+(sc*(hl2-nz(k[1])))
    k


// TRIMA
trima(src, length) =>
    trima = ta.sma(ta.sma(src, math.ceil(length / 2)), math.floor(length / 2) + 1)
    trima


//DEMA
dema(src, length) =>
    e1 = ta.ema(src, length)
    e2 = ta.ema(e1, length)
    dema = 2 * e1 - e2
    dema


//MA Switcher
maType =  input.string(defval = "SMA", title = "BBands MA Type", options = ["EMA", "SMA", "VWMA", "WMA", "TRIMA", "HMA", "KAMA", "TEMA", "DEMA"], group = "Bollinger Bands Settings") 

getMA(src, length) =>
    ma = float(na)

    if maType == "EMA"
        ma := ta.ema(src, length)

    if maType == "SMA"
        ma := ta.sma(src, length)

    if maType == "VWMA"
        ma := ta.vwma(src, length)

    if maType == "WMA"
        ma := ta.wma(src, length)
    
    if maType == "TRIMA"
        ma := trima(src, length)
    
    if maType == "HMA"
        ma := ta.hma(src, length)
    
    if maType == "KAMA"
        ma := kama(src, length)

    if maType == "T3"
        ma := tema(src, length)

    if maType == "DEMA"
        ma := dema(src, length)
    
    ma


//Calculate BB Indicator

middleLine1 = getMA(bbSource, bbLength1)
upperBand1 = (middleLine1 + (devUp1 * (ta.stdev(bbSource, bbLength1))))
lowerBand1 = (middleLine1 - (devDn1 * (ta.stdev(bbSource, bbLength1))))


middleLine2 = getMA(bbSource, bbLength2)
upperBand2 = (middleLine2 + (devUp2 * (ta.stdev(bbSource, bbLength2))))
lowerBand2 = (middleLine2 - (devDn2 * (ta.stdev(bbSource, bbLength2))))


upperBandDifference = upperBand1 - upperBand2
maxDifference = 100
ratio = 100 - (100 * (upperBandDifference / maxDifference))



////Condition Logic
VWAP_condition = vwapSource > vwap
EMA_condition = emaSource > ema
above95 = ratio > 89
closeAboveBothUpperBands = bbSource > upperBand1 and bbSource > upperBand2


entryCondition = above95 and VWAP_condition and EMA_condition and closeAboveBothUpperBands
exitConditionRegular = (upperBand2 - bbSource) / bbSource > 0.006


//Define position direction
isLong = strategy.position_size > 0
isShort = strategy.position_size < 0
noPosition = strategy.position_size == 0



//Strategy Entries
if entryCondition and (inSession or not useSession) and noPosition and (barstate.isconfirmed or not disableRepainting)
    strategy.entry("Long", strategy.long)
if exitConditionRegular and (inSession or not useSession) and isLong and (barstate.isconfirmed or not disableRepainting)
    strategy.close("Long")


if outSession and closeEverything
    strategy.cancel_all()
    strategy.close_all()
    07/12/2023 at 1:58 PM #217574 quote
    ProRealAlgos
    Participant
    Junior

    This will not get you the whole way there, but I used ChatGPT with the prompt instructions from this ProRealCode thread here to convert it to ProRealTime code.
    https://www.prorealcode.com/topic/create-strategies-codes-with-chatgpt-for-prorealtime/

    You will with 100% certainty have to make some additional adjustments to make it work. However, I hope it got you a couple of steps forward.

    //Disbale Signal Repainting
disableRepainting = true
 
////Session Settings Inputs
useSession = true
closeEverything = true
customTimeZone = "America/New_York"
useCustomTimeZone = true
timeSession = "0940-1605"
monSession = true
tueSession = true
wedSession = true
thuSession = true
friSession = true
satSession = false
sunSession = false
 
// Custom Time Zone Logic
timeZone = useCustomTimeZone ? customTimeZone : syminfo.timezone
 
// Make a days of week string based on the value of the checkboxes
sessionDays = ""
 
if sunSession then
    sessionDays = sessionDays + "1"
endif
if monSession then
    sessionDays = sessionDays + "2"
endif
if tueSession then
    sessionDays = sessionDays + "3"
endif
if wedSession then
    sessionDays = sessionDays + "4"
endif
if thuSession then
    sessionDays = sessionDays + "5"
endif
if friSession then
    sessionDays = sessionDays + "6"
endif
if satSession then
    sessionDays = sessionDays + "7"
endif
 
// Make the session string by joining the time with the days
tradingSession = timeSession + ":" + sessionDays
 
//Session Logic
t = timeframes(1, tradingSession, timeZone)
inSession = not na(t) and useSession
outSession = na(t) and useSession
bgcolor(inSession, color.new(color.green, 95))
 
////VWAP indicator
vwapSource = close
 
//Calculate Indicator
vwap = VWAP[vwapSource]
 
////EMA Indicator
emaLength = 555
emaSource = close
 
//Calculate Indicator
ema = EMA[emaSource, emaLength]
 
////BB Indicator
bbSource = close
 
bbLength1 = 20
devUp1 = 2
devDn1 = 2
 
bbLength2 = 10
devUp2 = 1.2
devDn2 = 1.2
 
/////////Additional MA
 
// TEMA
tema(src, length) =
    v2 = EMA[src, length]
    v = 3 * (v2 - EMA[v2, length]) + EMA[EMA[v2, length], length]  // Triple Exponential
    v
 
// KAMA
kama(src, length) =
    k = 0.0
    volatility = sum(abs(src-src[1]), length)
    change = abs(src-src[length-1])
    er = volatility <> 0 ? change/volatility : 0
    sc = pow((er*(0.666666-0.064516))+0.064516, 2)
    k = nz(k[1])+(sc*(hl2-nz(k[1])))
    k
 
// TRIMA
trima(src, length) =
    trima = SMA[SMA[src, ceil(length / 2)], floor(length / 2) + 1]
    trima
 
//DEMA
dema(src, length) =
    e1 = EMA[src, length]
    e2 = EMA[e1, length]
    dema = 2 * e1 - e2
    dema
 
//MA Switcher
maType = "SMA"
 
getMA(src, length) =
    ma = 0.0
 
    if maType = "EMA" then
        ma = EMA[src, length]
 
    if maType = "SMA" then
        ma = SMA[src, length]
 
    if maType = "VWMA" then
        ma = VWMA[src, length]
 
    if maType = "WMA" then
        ma = WMA[src, length]
    
    if maType = "TRIMA" then
        ma = trima(src, length)
    
    if maType = "HMA" then
        ma = HMA[src, length]
    
    if maType = "KAMA" then
        ma = kama(src, length)
 
    if maType = "T3" then
        ma = tema(src, length)
 
    if maType = "DEMA" then
        ma = dema(src, length)
    
    ma
 
//Calculate BB Indicator
middleLine1 = getMA(bbSource, bbLength1)
upperBand1 = middleLine1 + (devUp1 * (STDEV[bbSource, bbLength1]))
lowerBand1 = middleLine1 - (devDn1 * (STDEV[bbSource, bbLength1]))
 
middleLine2 = getMA(bbSource, bbLength2)
upperBand2 = middleLine2 + (devUp2 * (STDEV[bbSource, bbLength2]))
lowerBand2 = middleLine2 - (devDn2 * (STDEV[bbSource, bbLength2]))
 
upperBandDifference = upperBand1 - upperBand2
maxDifference = 100
ratio = 100 - (100 * (upperBandDifference / maxDifference))
 
////Condition Logic
VWAP_condition = vwapSource > vwap
EMA_condition = emaSource > ema
above95 = ratio > 89
closeAboveBothUpperBands = bbSource > upperBand1 and bbSource > upperBand2
 
entryCondition = above95 and VWAP_condition and EMA_condition and closeAboveBothUpperBands
exitConditionRegular = (upperBand2 - bbSource) / bbSource > 0.006
 
//Define position direction
isLong = positionsize > 0
isShort = positionsize < 0
noPosition = positionsize = 0
 
//Strategy Entries
if entryCondition and (inSession or not useSession) and noPosition and (barnumber[1] > 0 or not disableRepainting) then
    buy at market
endif
if exitConditionRegular and (inSession or not useSession) and isLong and (barnumber[1] > 0 or not disableRepainting) then
    sell at market
endif
 
if outSession and closeEverything then
    set stop ploss 0
    sell at market
endif
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5m UStech 100 strategy


ProBuilder: Indicators & Custom Tools

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richmoore123 @richmoore123 Participant
Summary

This topic contains 1 reply,
has 2 voices, and was last updated by ProRealAlgos
2 years, 7 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 06/11/2023
Status: Active
Attachments: No files
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