Plese convert VWAP TradingView strategy to ProRealTime

• 07/26/2025 at 6:13 PM #249124
  pete2626

  //@version=5
  strategy(“NASDAQ 100 Strategy”, overlay=true,
  default_qty_type=strategy.percent_of_equity,
  default_qty_value=1.5,
  process_orders_on_close=true) // Added to prevent intrabar repainting

  // User-configurable inputs
  initialCapital = input.float(10000, “Initial Capital ($)”, minval=1000, step=1000)
  equityPercentPerTrade = input.float(1.5, “Equity % per Trade”, minval=0.1, maxval=100, step=0.1)

  // Time settings – using session.ismarket to prevent time-based repainting
  isRegularSession = time(“1”, “0800-1600”)
  isExtendedSession = time(“1”, “0800-1600”)

  // Indicator settings
  longTermEmaLength = input.int(21, “Long Term EMA Length”, minval=5)
  shortTermEmaLength = input.int(9, “Short Term EMA Length”, minval=3)
  rsiLength = input.int(14, “RSI Length”, minval=5)
  atrLength = input.int(14, “ATR Length”, minval=5)

  // Risk management inputs
  trailStopATRMultiplier = input.float(1.5, “Trail Stop ATR Multiplier”, minval=0.5, step=0.1)
  initialStopLossMultiplier = input.float(0.5, “Initial Stop Loss Multiplier”, minval=0.1, step=0.1)
  breakEvenTriggerMultiplier = input.float(1.5, “Break-even Trigger Multiplier”, minval=0.5, step=0.1)
  timeExitBars = input.int(20, “Time Exit Bars”, minval=5)
  maxDrawdown = input.float(20, “Max Drawdown %”, minval=1, maxval=50)

  // Calculate position size
  tradeQty = (initialCapital * equityPercentPerTrade / 100) / close

  // Non-repainting indicators
  vwap = ta.vwap(hlc3)
  longTermEma = ta.ema(close, longTermEmaLength)
  shortTermEma = ta.ema(close, shortTermEmaLength)
  rsi = ta.rsi(close, rsiLength)
  atr = ta.atr(atrLength)
  volatilityFilter = ta.valuewhen(barstate.isconfirmed, atr > ta.sma(atr, 20), 0)

  // EMA directions calculated on confirmed bars only
  longEmaDirection = ta.valuewhen(barstate.isconfirmed, longTermEma > longTermEma[1], 0)
  shortEmaDirection = ta.valuewhen(barstate.isconfirmed, shortTermEma > shortTermEma[1], 0)

  isTradeWindow = isExtendedSession and volatilityFilter

  // Conditions – evaluated only on bar close
  longCondition = barstate.isconfirmed and (close > shortTermEma) and
  (shortTermEma > longTermEma) and longEmaDirection and
  shortEmaDirection and (rsi > 50) and (close > vwap) and
  isTradeWindow and isRegularSession

  shortCondition = barstate.isconfirmed and (close < shortTermEma) and
  (shortTermEma < longTermEma) and not longEmaDirection and
  not shortEmaDirection and (rsi < 50) and (close < vwap) and isTradeWindow and isRegularSession // Entry/Exit tracking var int longEntryBar = na var int shortEntryBar = na var float longEntryPrice = na var float shortEntryPrice = na // Execute trades only on confirmed bars if (longCondition) strategy.entry(“Long”, strategy.long, qty=tradeQty) longEntryBar := bar_index longEntryPrice := close if (shortCondition) strategy.entry(“Short”, strategy.short, qty=tradeQty) shortEntryBar := bar_index shortEntryPrice := close // Exit logic – non-repainting strategy.exit(“Exit Long”, “Long”, stop=longEntryPrice – atr * initialStopLossMultiplier, trail_points=atr * trailStopATRMultiplier, trail_offset=atr * trailStopATRMultiplier / 2) strategy.exit(“Exit Short”, “Short”, stop=shortEntryPrice + atr * initialStopLossMultiplier, trail_points=atr * trailStopATRMultiplier, trail_offset=atr * trailStopATRMultiplier / 2) // Break-even logic – non-repainting breakEvenTrigger = breakEvenTriggerMultiplier * atr if (strategy.position_size > 0 and close > longEntryPrice + breakEvenTrigger)
  strategy.exit(“Break-even Long”, “Long”, stop=longEntryPrice)
  if (strategy.position_size < 0 and close < shortEntryPrice – breakEvenTrigger) strategy.exit(“Break-even Short”, “Short”, stop=shortEntryPrice) // Time-based exit – non-repainting if (not na(longEntryBar) and bar_index – longEntryBar >= timeExitBars)
  strategy.close(“Long”)
  longEntryBar := na
  if (not na(shortEntryBar) and bar_index – shortEntryBar >= timeExitBars)
  strategy.close(“Short”)
  shortEntryBar := na

  // Trend reversal exit – non-repainting
  trendReversalExitLong = barstate.isconfirmed and (shortTermEma < longTermEma) and not longEmaDirection trendReversalExitShort = barstate.isconfirmed and (shortTermEma > longTermEma) and not shortEmaDirection

  if (strategy.position_size > 0 and trendReversalExitLong)
  strategy.close(“Long”)
  if (strategy.position_size < 0 and trendReversalExitShort)
  strategy.close(“Short”)

  // Max drawdown protection
  if (strategy.equity / initialCapital < 1 – (maxDrawdown / 100.0))
  strategy.cancel_all()
  strategy.close_all()

  // Plotting (non-repainting)
  plot(vwap, “VWAP”, color=color.purple, linewidth=2)
  plot(longTermEma, “Long EMA”, color=color.blue, linewidth=2)
  plot(shortTermEma, “Short EMA”, color=color.orange, linewidth=2)

  // Labels only on bar close
  if barstate.isconfirmed
  label.new(bar_index, high, “RSI: ” + str.tostring(rsi, “#.00”),
  color=color.rgb(0, 0, 0, 80), textcolor=color.white,
  style=label.style_label_center, yloc=yloc.price, size=size.small)

  label.new(bar_index, low, “ATR: ” + str.tostring(atr, “#.00”),
  color=color.rgb(0, 0, 0, 80), textcolor=color.white,
  style=label.style_label_center, yloc=yloc.price, size=size.small)

  

  pete2626

  Participant

  Topics: 2

  Replies: 3

  Been thanked: 1 time
  07/28/2025 at 1:01 PM #249156
  Iván

  Here you have.

  // --- USER CONFIGURATION PARAMETERS --- initialcapital = 100000 // Initial capital in USD // Percentage of equity to risk per trade longtermemalength = 21 // Long-term EMA period shorttermemalength = 9 // Short-term EMA period rsilength = 14 // RSI period atrlength = 14 // ATR period trailstopatrmultiplier = 1.5 // Trailing stop multiplier based on ATR initialstoplossmultiplier = 0.5 // Initial stop loss multiplier based on ATR breakeventriggermultiplier = 1.5 // Breakeven trigger multiplier based on ATR timeexitbars = 20 // Max holding time (bars) maxdrawdown = 20 // Maximum drawdown protection (%) startvwap=170000 // VWAP reset time (hhmmss format) Startsession=80000 // Market session start time (hhmmss) EndSession=160000 // Market session end time (hhmmss) // --- INDICATORS --- // --- VWAP Calculation --- if opentime>=startvwap and opentime[1]<startvwap then d=1 VWAP=typicalprice else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif endif // --- Exponential Moving Averages --- longema = average[longtermemalength,1](close) // Long-term EMA shortema = average[shorttermemalength,1](close) // Short-term EMA // --- RSI Indicator --- myrsi = RSI[rsilength](close) // --- ATR Indicator --- atr = AverageTrueRange[atrlength](close) // --- VOLATILITY FILTER (active only when ATR > average ATR over 20 bars) --- volatilityfilter = atr > average[20](atr) // --- EMA DIRECTION FILTER (both EMAs must slope upwards/downwards) --- longemadirection = longema > longema[1] shortemadirection = shortema > shortema[1] // --- TRADING SESSION TIME FILTER --- inmarkettime = (opentime >= StartSession AND opentime <= EndSession) // --- POSITION SIZE AND EQUITY TRACKING --- equity = initialcapital + strategyprofit // --- MAXIMUM DRAWDOWN PROTECTION --- IF (equity / initialcapital) < (1 - (maxdrawdown / 100)) THEN quit // Exit all trades and stop the strategy ENDIF // --- LONG ENTRY CONDITION --- longcondition = close > shortema AND shortema > longema AND longemadirection AND shortemadirection AND myrsi > 50 AND close > vwap AND volatilityfilter AND inmarkettime // --- SHORT ENTRY CONDITION --- shortcondition = close < shortema AND shortema < longema AND longemadirection=0 AND shortemadirection=0 AND myrsi < 50 AND close < vwap AND volatilityfilter AND inmarkettime // --- ENTRY VARIABLES TRACKING --- ONCE longentryprice = 0 ONCE shortentryprice = 0 ONCE longentrybar = 0 ONCE shortentrybar = 0 // --- ORDER EXECUTION LOGIC --- IF not longonmarket and longcondition THEN BUY 1 contract AT MARKET longentrybar = barindex ENDIF IF not shortonmarket and shortcondition THEN SELLSHORT 1 contract AT MARKET shortentrybar = barindex ENDIF // --- REAL-TIME FLOATING PROFIT CALCULATION --- floatingprofit = (((close-positionprice)*pointvalue)*abs(countofposition))/pointsize // --- INITIAL STOP LOSS AND TRAILING STOP CONFIGURATION --- IF longonmarket and longonmarket[1]=0 THEN longentryprice = tradeprice stoploss = longentryprice - atr * initialstoplossmultiplier SET STOP price stoploss SET STOP PTRAILING atr * trailstopatrmultiplier ENDIF IF shortonmarket and shortonmarket[1]=0 THEN shortentryprice = tradeprice stoploss = shortentryprice + atr * initialstoplossmultiplier SET STOP price stoploss SET STOP PTRAILING atr * trailstopatrmultiplier ENDIF // --- BREAK-EVEN LOGIC --- breakeventrigger = breakeventriggermultiplier * atr IF longonmarket AND close > longentryprice + breakeventrigger THEN SET STOP price longentryprice ENDIF IF shortonmarket AND close < shortentryprice - breakeventrigger THEN SET STOP price shortentryprice ENDIF // --- TIME-BASED EXIT (after N bars in trade) --- IF longonmarket AND (barindex - longentrybar >= timeexitbars) THEN sell at market ENDIF IF shortonmarket AND (barindex - shortentrybar >= timeexitbars) THEN EXITSHORT at market ENDIF // --- TREND REVERSAL EXIT --- trendreversalexitlong = shortema < longema AND NOT longemadirection trendreversalexitshort = shortema > longema AND NOT shortemadirection IF longonmarket AND trendreversalexitlong THEN sell at market ENDIF IF shortonmarket AND trendreversalexitshort THEN EXITSHORT at market ENDIF // --- CHART DISPLAY (VWAP and EMAs) --- graphonprice vwap COLOURED(128,0,128) // VWAP in purple graphonprice longema COLOURED(0,0,255) // Long EMA in blue graphonprice shortema COLOURED(255,165,0) // Short EMA in orange

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  // --- USER CONFIGURATION PARAMETERS --- initialcapital = 100000 // Initial capital in USD // Percentage of equity to risk per trade longtermemalength = 21 // Long-term EMA period shorttermemalength = 9  // Short-term EMA period rsilength = 14           // RSI period atrlength = 14           // ATR period trailstopatrmultiplier = 1.5 // Trailing stop multiplier based on ATR initialstoplossmultiplier = 0.5 // Initial stop loss multiplier based on ATR breakeventriggermultiplier = 1.5 // Breakeven trigger multiplier based on ATR timeexitbars = 20             // Max holding time (bars) maxdrawdown = 20              // Maximum drawdown protection (%) startvwap=170000              // VWAP reset time (hhmmss format) Startsession=80000            // Market session start time (hhmmss) EndSession=160000             // Market session end time (hhmmss)   // --- INDICATORS --- // --- VWAP Calculation --- if opentime>=startvwap and opentime[1]<startvwap then    d=1    VWAP=typicalprice else    d=d+1    if volume >0 then       VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)    endif endif   // --- Exponential Moving Averages --- longema = average[longtermemalength,1](close) // Long-term EMA shortema = average[shorttermemalength,1](close) // Short-term EMA   // --- RSI Indicator --- myrsi = RSI[rsilength](close)   // --- ATR Indicator --- atr = AverageTrueRange[atrlength](close)   // --- VOLATILITY FILTER (active only when ATR > average ATR over 20 bars) --- volatilityfilter = atr > average[20](atr)   // --- EMA DIRECTION FILTER (both EMAs must slope upwards/downwards) --- longemadirection = longema > longema[1] shortemadirection = shortema > shortema[1]   // --- TRADING SESSION TIME FILTER --- inmarkettime = (opentime >= StartSession AND opentime <= EndSession)   // --- POSITION SIZE AND EQUITY TRACKING --- equity = initialcapital + strategyprofit   // --- MAXIMUM DRAWDOWN PROTECTION --- IF (equity / initialcapital) < (1 - (maxdrawdown / 100)) THEN    quit // Exit all trades and stop the strategy ENDIF   // --- LONG ENTRY CONDITION --- longcondition = close > shortema AND shortema > longema AND longemadirection AND shortemadirection AND myrsi > 50 AND close > vwap AND volatilityfilter AND inmarkettime   // --- SHORT ENTRY CONDITION --- shortcondition = close < shortema AND shortema < longema AND longemadirection=0 AND shortemadirection=0 AND myrsi < 50 AND close < vwap AND volatilityfilter AND inmarkettime   // --- ENTRY VARIABLES TRACKING --- ONCE longentryprice = 0 ONCE shortentryprice = 0 ONCE longentrybar = 0 ONCE shortentrybar = 0   // --- ORDER EXECUTION LOGIC --- IF not longonmarket and longcondition THEN    BUY 1 contract AT MARKET    longentrybar = barindex ENDIF   IF not shortonmarket and shortcondition THEN    SELLSHORT 1 contract AT MARKET    shortentrybar = barindex ENDIF   // --- REAL-TIME FLOATING PROFIT CALCULATION --- floatingprofit = (((close-positionprice)*pointvalue)*abs(countofposition))/pointsize   // --- INITIAL STOP LOSS AND TRAILING STOP CONFIGURATION --- IF longonmarket and longonmarket[1]=0 THEN    longentryprice = tradeprice    stoploss = longentryprice - atr * initialstoplossmultiplier    SET STOP price stoploss    SET STOP PTRAILING atr * trailstopatrmultiplier ENDIF   IF shortonmarket and shortonmarket[1]=0 THEN    shortentryprice = tradeprice    stoploss = shortentryprice + atr * initialstoplossmultiplier    SET STOP price stoploss    SET STOP PTRAILING atr * trailstopatrmultiplier ENDIF   // --- BREAK-EVEN LOGIC --- breakeventrigger = breakeventriggermultiplier * atr   IF longonmarket AND close > longentryprice + breakeventrigger THEN    SET STOP price longentryprice ENDIF   IF shortonmarket AND close < shortentryprice - breakeventrigger THEN    SET STOP price shortentryprice ENDIF   // --- TIME-BASED EXIT (after N bars in trade) --- IF longonmarket AND (barindex - longentrybar >= timeexitbars) THEN    sell at market ENDIF   IF shortonmarket AND (barindex - shortentrybar >= timeexitbars) THEN    EXITSHORT at market ENDIF   // --- TREND REVERSAL EXIT --- trendreversalexitlong = shortema < longema AND NOT longemadirection trendreversalexitshort = shortema > longema AND NOT shortemadirection   IF longonmarket AND trendreversalexitlong THEN    sell at market ENDIF   IF shortonmarket AND trendreversalexitshort THEN    EXITSHORT at market ENDIF   // --- CHART DISPLAY (VWAP and EMAs) --- graphonprice vwap COLOURED(128,0,128)         // VWAP in purple graphonprice longema COLOURED(0,0,255)        // Long EMA in blue graphonprice shortema COLOURED(255,165,0)     // Short EMA in orange

   

  1 user thanked author for this post.

  pete2626

  

  Iván

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  07/29/2025 at 5:35 AM #249178
  pete2626

  Hi Ivan,

  Thanks again for sharing the strategy conversion! I really appreciate the time and effort you put into it. I’ve made a few adjustments on my end to better match the indicator I’m using on TradingView.

  That said, I noticed that the order entries on ProRealTime don’t quite line up with the ones from TradingView. I’ve been trying to figure out how to get them to match more closely, but I’m a bit stuck at this point.

  Would you mind taking a quick look or pointing me in the right direction? Any help would mean a lot.

  Thanks again for all your help so far!

  Below is the code where I made some adjustments:

  // — USER CONFIGURATION PARAMETERS —
  initialcapital = 100000 // Initial capital in USD
  // Percentage of equity to risk per trade
  longtermemalength = 21 // Long-term EMA period
  shorttermemalength = 9 // Short-term EMA period
  rsilength = 14 // RSI period
  atrlength = 14 // ATR period
  trailstopatrmultiplier = 1.5 // Trailing stop multiplier based on ATR
  initialstoplossmultiplier = 0.5 // Initial stop loss multiplier based on ATR
  breakeventriggermultiplier = 1.5 // Breakeven trigger multiplier based on ATR
  timeexitbars = 20 // Max holding time (bars)
  maxdrawdown = 20 // Maximum drawdown protection (%)
  startvwap=170000 // VWAP reset time (hhmmss format)
  Startsession=80000 // Market session start time (hhmmss)
  EndSession=160000 // Market session end time (hhmmss)

  // — INDICATORS —
  // === VWAP based on Typical Price, session anchored to UTC+8 ===
  utc8ResetHour = 0 // Midnight UTC+8
  brokerOffset = -9 // Your broker is on UTC; adjust as needed
  resetHour = (utc8ResetHour – brokerOffset + 24) mod 24

  // Detect new session at UTC+8
  newSession = (hour = resetHour and minute = 0)

  // Initialize accumulators
  if barindex = 0 or newSession then
  cumVolume = 0
  cumPV = 0
  endif

  // Calculate typical price
  tp = (high + low + close) / 3

  // Accumulate volume and price×volume
  cumVolume = cumVolume + volume
  cumPV = cumPV + (tp * volume)

  // Compute VWAP (only when volume > 0)
  if cumVolume > 0 then
  vwap = cumPV / cumVolume
  else
  vwap = 0
  endif

  // — Exponential Moving Averages —
  longema = average[longtermemalength,1](close[1]) // Long-term EMA
  shortema = average[shorttermemalength,1](close[1]) // Short-term EMA

  // — RSI Indicator —
  myrsi = RSI[rsilength](close)

  // — ATR Indicator —
  atr = AverageTrueRange[atrlength](close)

  // — VOLATILITY FILTER (active only when ATR > average ATR over 20 bars) —
  volatilityfilter = atr > average[20](atr)

  // — EMA DIRECTION FILTER (both EMAs must slope upwards/downwards) —
  longemadirection = longema > longema[1]
  shortemadirection = shortema > shortema[1]

  // — TRADING SESSION TIME FILTER —
  inmarkettime = (opentime >= StartSession AND opentime <= EndSession)

  // — POSITION SIZE AND EQUITY TRACKING —
  equity = initialcapital + strategyprofit

  // — MAXIMUM DRAWDOWN PROTECTION —
  IF (equity / initialcapital) < (1 – (maxdrawdown / 100)) THEN
  quit // Exit all trades and stop the strategy
  ENDIF

  // — LONG ENTRY CONDITION —
  longcondition = close > shortema AND shortema > longema AND longemadirection AND shortemadirection AND myrsi > 50 AND close > vwap AND volatilityfilter AND inmarkettime

  // — SHORT ENTRY CONDITION —
  shortcondition = close < shortema AND shortema < longema AND longemadirection=0 AND shortemadirection=0 AND myrsi < 50 AND close < vwap AND volatilityfilter AND inmarkettime

  // — ENTRY VARIABLES TRACKING —
  ONCE longentryprice = 0
  ONCE shortentryprice = 0
  ONCE longentrybar = 0
  ONCE shortentrybar = 0

  // — ORDER EXECUTION LOGIC —
  IF not longonmarket and longcondition THEN
  BUY 1 contract AT MARKET
  longentrybar = barindex
  ENDIF

  IF not shortonmarket and shortcondition THEN
  SELLSHORT 1 contract AT MARKET
  shortentrybar = barindex
  ENDIF

  // — REAL-TIME FLOATING PROFIT CALCULATION —
  floatingprofit = (((close-positionprice)*pointvalue)*abs(countofposition))/pointsize

  // — INITIAL STOP LOSS AND TRAILING STOP CONFIGURATION —
  IF longonmarket and longonmarket[1]=0 THEN
  longentryprice = tradeprice
  stoploss = longentryprice – atr * initialstoplossmultiplier
  SET STOP price stoploss
  SET STOP PTRAILING atr * trailstopatrmultiplier
  ENDIF

  IF shortonmarket and shortonmarket[1]=0 THEN
  shortentryprice = tradeprice
  stoploss = shortentryprice + atr * initialstoplossmultiplier
  SET STOP price stoploss
  SET STOP PTRAILING atr * trailstopatrmultiplier
  ENDIF

  // — BREAK-EVEN LOGIC —
  breakeventrigger = breakeventriggermultiplier * atr

  IF longonmarket AND close > longentryprice + breakeventrigger THEN
  SET STOP price longentryprice
  ENDIF

  IF shortonmarket AND close < shortentryprice – breakeventrigger THEN
  SET STOP price shortentryprice
  ENDIF

  // — TIME-BASED EXIT (after N bars in trade) —
  IF longonmarket AND (barindex – longentrybar >= timeexitbars) THEN
  sell at market
  ENDIF

  IF shortonmarket AND (barindex – shortentrybar >= timeexitbars) THEN
  EXITSHORT at market
  ENDIF

  // — TREND REVERSAL EXIT —
  trendreversalexitlong = shortema < longema AND NOT longemadirection
  trendreversalexitshort = shortema > longema AND NOT shortemadirection

  IF longonmarket AND trendreversalexitlong THEN
  sell at market
  ENDIF

  IF shortonmarket AND trendreversalexitshort THEN
  EXITSHORT at market
  ENDIF

  // — CHART DISPLAY (VWAP and EMAs) —
  graphonprice vwap COLOURED(128,0,128) // VWAP in purple
  graphonprice longema COLOURED(0,0,255) // Long EMA in blue
  graphonprice shortema COLOURED(255,165,0) // Short EMA in orange

  

  pete2626

  Participant

  Topics: 2

  Replies: 3

  Been thanked: 1 time
  07/30/2025 at 12:59 PM #249206
  Nicolas

  Hello, are you sure the data are exactly the same? Please compare the candlesticks OHLC between platforms to make sure.

  Also, if orders don’t line up between the 2 platforms, there are many reasons possible:

  • indicators calculation differences: a simple different rounding of a 2 decimals value can make a difference
  • these are 2 different platforms with their own backtest engine
  • spread
  • the PRT code you shared use a SET STOP TRAILING instruction which use its own way to trail orders ; I’m a 100% sure this is not the same in TV engine.

  1 user thanked author for this post.

  Iván

  

  Nicolas

  Keymaster

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  07/31/2025 at 5:38 AM #249209
  JS

  Hi,

  
  When I test your code, I get the same orders as in the TradingView indicator (see screenshot)…

  What I see in your screenshot is that you’re using the wrong contract: “US Tech 100 (100$)”… (this is the futures contract from IG with a point value of $100)

  If you use this contract, no positions will be opened because your capital is too low…

  The correct contract for this system is: US Tech 100 Cash (1$)…

  1 user thanked author for this post.

  Iván

  

  JS

  Participant

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