Conversion of TradingView strategy to PRT Indicator and screener

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12/16/2022 at 1:33 AM #205852 quote

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Hey there PRT team, I’m hoping for some assistance with converting the daily High/Low strategy in Tradingview, to an indicator (with buy/sell signals) + screener for Pro Real Time. I’ve made a few attempts and failed miserably, so any assistance would be amazing!

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © exlux99

//@version=5

strategy(title='Daily HIGH/LOW strategy', overlay=true, initial_capital=10000, calc_on_every_tick=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.1)

////////////////////////////GENERAL INPUTS//////////////////////////////////////
len = input.int(24, minval=1, title='Length MA', group='Optimization paramters')
src = input.source(close, title='Source MA', group='Optimization paramters')
out = ta.ema(src, len)

length = input.int(20, minval=1, title='CMF Length', group='Optimization paramters')
ad = close == high and close == low or high == low ? 0 : (2 * close - low - high) / (high - low) * volume
mf = math.sum(ad, length) / math.sum(volume, length)

f_secureSecurity(_symbol, _res, _src) =>
    request.security(_symbol, _res, _src[1], lookahead=barmerge.lookahead_on)

pricehigh = f_secureSecurity(syminfo.tickerid, 'D', high)
pricelow = f_secureSecurity(syminfo.tickerid, 'D', low)

plot(pricehigh, title='Previous Daily High', style=plot.style_linebr, linewidth=2, color=color.new(color.white, 0))
plot(pricelow, title='Previous Daily Low', style=plot.style_linebr, linewidth=2, color=color.new(color.white, 0))

short = ta.crossunder(low, pricelow) and close < out and mf < 0
long = ta.crossover(high, pricehigh) and close > out and mf > 0


if short and barstate.isconfirmed
    strategy.entry('short', strategy.short, when=barstate.isconfirmed, stop=pricelow[1])
    strategy.close('short', when=close > out)

if long and barstate.isconfirmed
    strategy.entry('long', strategy.long, when=barstate.isconfirmed, stop=pricehigh[1])
    strategy.close('long', when=close < out)

Screenshot-2022-12-16-112959.png

12/16/2022 at 2:52 PM #205910 quote

Participant

Master

Hi @iamboston The basis of the system is: High > DHigh(1) Low EMA[24](Close) for LONG Close 0 for LONG CMF < 0 for SHORT The exit of the trades is done with: Close Crosses Under EMA[24](Close) (Sell) Close Crosses About EMA[24](Close) (ExitShort)

DefParam CumulateOrders=False

EMAPeriod=24 //Period of EMA
S1=ExponentialAverage[EMAPeriod](Close) //EMA signal

CMFPeriod=20 //Period of Chaikin Money Flow
MFM = ((Close-Low)-(High-Close)) / (High-Low) //Money Flow Multiplier
MFV = MFM * Volume //Money Flow Volume
CMF = Summation[CMFPeriod](MFV) / Summation[CMFPeriod-1](Volume) //Chaikin Money Flow

//LONG
If High Crosses Over DHigh(1) and Close > S1 and CMF > 0 then
Buy 1 contract at Market
EndIf
//Exit LONG
If Close Crosses Under S1 then
Sell at Market
EndIf

//SHORT
If Low Crosses Under DLow(1) and Close < S1 and CMF < 0 then
SellShort 1 contract at Market
EndIf
//Exit SHORT
If Close Crosses Over S1 then
ExitShort at Market
EndIf

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12/17/2022 at 6:03 AM #205938 quote

iamboston

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Average

Thank you kindly, JS for the explanation and coded translation. Much appreciated.

JS thanked this post

12/18/2022 at 12:39 PM #205994 quote

phoentzs

Participant

Master

I’m surprised. For a breakout system it works quite well. At least long, also on Nasdaq or SP500. But then with EMA45. Short would also work, but then with a different exit strategy. The long candles, which should cause the exit in short mode, are usually simply too long in the time unit. Short would need another exit.

12/18/2022 at 11:24 PM #206006 quote

iamboston

Participant

Average

Agreed, I use it manually with a discretionary exit.

12/18/2022 at 11:25 PM #206009 quote

iamboston

Participant

Average

Hi there JS, Hope you had a great weekend. Would it be possible to have the indicator that you created for the system, too? From there I’ll have a go at creating a screener, too. Hope all’s well and thank you again!

12/19/2022 at 12:40 AM #206014 quote

Participant

Master

Hi @iamboston

It is a simple indicator, for the CMF you can use the standard indicator from PRT…

EMAPeriod=24 //Period of EMA
S1=ExponentialAverage[EMAPeriod](Close) //EMA signal

DH=DHigh(1)//Previous Daily High
DL=DLow(1)//Previous Daily Low

Return DH as "Daily High" Coloured(255,0,0), DL as "Daily Low" Coloured(0,255,0), S1 as "EMA24" Coloured(255,255,0) Style(DottedLine)

robertogozzi thanked this post

Schermafbeelding-2022-12-19-om-00.39.51.png

12/20/2022 at 11:20 PM #206110 quote

Participant

Master

Hi @iamboston To complete the trio 😉 hereby the screener… Hope you have fun with it. Regards Jaap

EMAPeriod=24 //Period of EMA
S1=ExponentialAverage[EMAPeriod](Close) //EMA signal

CMFPeriod=20 //Period of Chaikin Money Flow
MFM=((Close-Low)-(High-Close)) / (High-Low) //Money Flow Multiplier
MFV=MFM * Volume //Money Flow Volume
CMF=Summation[CMFPeriod](MFV) / Summation[CMFPeriod](Volume)

C1 = High Crosses Over DHigh(1) and Close > S1 and CMF > 0
C2 = Low Crosses Under DLow(1) and Close < S1 and CMF < 0

If C1 then
Result=1
EndIf

If C2 then
Result=2
EndIf

Screener[Result](Result as "1=LONG 2=SHORT")

robertogozzi thanked this post

12/21/2022 at 12:17 AM #206111 quote

iamboston

Participant

Average

G’day Jaap, really appreciate you taking the time to help with this, thank you! Cheers, Bos

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Topic Details

Forum:	ProBuilder: Indicators & Custom Tools
Language:	English
Started:	12/16/2022
Status:	Active
Attachments:	3 files

Conversion of TradingView strategy to PRT Indicator and screener

Stuck on this ProBuilder code?

Conversion of TradingView strategy to PRT Indicator and screener ProBuilder: Indicators & Custom Tools

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Conversion of TradingView strategy to PRT Indicator and screener

ProBuilder: Indicators & Custom Tools