Conversion of TradingView strategy to PRT Indicator and screener

• 12/16/2022 at 1:33 AM #205852
  iamboston

  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!

   

  Daily High/Low Strategy

  // 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)

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  // 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)

   

  

  iamboston

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

  Hi @iamboston

  The basis of the system is:

  High > DHigh(1)

  Low < DLow(1) Furthermore, it is examined whether: Close > EMA[24](Close) for LONG

  Close < EMA[24](Close) for SHORT An additional indicator is used to confirm: Chaikin Money Flow (CMF) CMF > 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)

  Daily High/Low Strategy

  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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  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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  robertogozzi, iamboston

  

  JS

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

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

  1 user thanked author for this post.

  JS

  

  iamboston

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

  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.

  

  phoentzs

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

  Agreed, I use it manually with a discretionary exit.

  

  iamboston

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

  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!

  

  iamboston

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

  Hi @iamboston

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

   

  Daily High/Low Indicator

  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)

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  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)

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  robertogozzi

  

  JS

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

  Hi @iamboston

  To complete the trio 😉 hereby the screener…

  Hope you have fun with it.

  Regards Jaap

  Daily High/Low Screener

  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")

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  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")

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  robertogozzi

  

  JS

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

  G’day Jaap,

  really appreciate you taking the time to help with this, thank you!

  Cheers,

  Bos

  

  iamboston

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