[Sextan] %R Trend Exhaustion BacktestLevel: 1
NOTE: This is a request by @upslidedown to backtest %R Trend Exhaustion by upslidedown with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of upslidedown for his %R Trend Exhaustionindicator
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
Pesquisar nos scripts por "THE SCRIPT"
[Sextan] Your Indicator Source PINE v5 MTFLevel: 1
NOTE1: As requested, this is a multiple time frame(MTF) version of input signal source, which enable you to backtest any indicator/strategy MTF with "{Sextan} PINEv4 Sextans Backtest Framework". Courtesy of cheatcountry for his request.security() wrapper in PINE v5 to avoid repainting caused by request.security() function.
NOTE2: Many request this indicator template to support PINE v5. Now, here it is .This is ONLY an PINE v5 EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" (for bactest framework it does not need to be written by PINE v5)intput signal source, you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Your Indicator Source PINE v4 MTFLevel: 1
NOTE1: As requested, this is a multiple time frame(MTF) version of input signal source, which enable you to backtest any indicator/strategy MTF with "{Sextan} PINEv4 Sextans Backtest Framework". Courtesy of cheatcountry for his security() wrapper to avoid repainting caused by security() function.
NOTE2: This is ONLY an EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" intput signal source, you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] B-Xtrender BacktestLevel: 1
NOTE: This is a request by @scantor516 to backtest B-Xtrender @PuppyTherapy by QuantTherapy with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of QuantTherapy for his B-Xtrender @PuppyTherapy
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Haos Vieual BacktestLevel: 1
NOTE: This is a request by @scantor516 to backtest Haos Visual @PuppyTherapy by QuantTherapy with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of QuantTherapy for his Haos Visual @PuppyTherapy
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Delta-RSI Oscillator BacktestLevel: 1
NOTE: This is a request by @scantor516 to backtest Delta-RSI Oscillator by tbiktag with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of tbiktag for his Delta-RSI Oscillator Strategy
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Supertrend - Ladder ATR BacktestLevel: 1
NOTE: This is a request by @upslidedown to backtest Supertrend - Ladder ATR by HeWhoMustNotBeNamed with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of HeWhoMustNotBeNamed for his Supertrend - Ladder ATR indicator
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Your Indicator Source for PINE v5Level: 1
NOTE: Many request this indicator template to support PINE v5. Now, here it is .This is ONLY an PINE v5 EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" (for bactest framework it does not need to be written by PINE v5)intput signal source, you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Hull MA BacktestLevel: 1
NOTE: This is a request by @babaa to backtest Hull suite by InSilico with my Sextan framework. You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of InSilico for his Hull suite indicator
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Fisher Transform BacktestLevel: 1
NOTE: This is a request by @Uni_ve12se to backtest Ehlers Fisher Transform by cheatcountry with my Sextan framework. I ONLY take 5 minutes to perform it and how much time would you cost for this work? You can backtest many of my indicators in minutes now! Of course,you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
Courtesy of cheatcountry for his Ehlers Fisher Transform indicator
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Backtesting with L2 Reversal Labels as an input sourceLevel: 1
NOTE: This is ONLY an EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" intput signal with "(blackcat) L2 Reversal Labels", and you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
[Sextan] Your Indicator SourceLevel: 1
NOTE: This is ONLY an EXAMPLE on HOW-TO produce a customized "{Sextan} PINEv4 Sextans Backtest Framework" intput signal source, you can define your own indicator in the highlighted area in compliance with the uniform format, which guarantee when you use "Indicator on Indicator" function, it would not produce any error.
I use two simple moving average crossings to produce long and short entry signal with SMA3 and SMA8 in the example.
Background
Backtesting of technical indicators and strategies is the most common way to understand a quantitative strategy. However, the complicated configuration and adaptation work of backtesting many quantitative tools makes many traders who do not understand the code daunted. Moreover, although I have written a lot of strategies, I am still not very satisfied with the backtest configuration and writing efficiency. Therefore, I have been thinking about how to build a backtesting framework that can quickly and easily evaluate the backtesting performance of any indicator with a "long/short entry" indicator, that is, a "simple backtesting tool for dummies". The performance requirements should be stable, and the operation should be simple and convenient. It is best to "copy", "paste", and "a few mouse clicks" to complete the quick backtest and evaluation of a new indicator.
Luckily, I recently realized that TradingView provides an "Indicator on Indicator" feature, which is the perfect foundation for doing "hot swap" backtesting. My basic idea is to use a two-layer design. The first layer is the technical indicator signal source that needs to be embedded, which is only used to provide buy and sell signals of custom strategies; the second layer is the trading system, which is used to receive the output signals of the first layer, and filter the signals according to the agreed specifications. , Take Profit, Stop Loss, draw buy and sell signals and cost lines, define and send custom buy and sell alert messages to mobile phones, social software or trading interfaces. In general, this two-layer design is a flexible combination of "death and alive", which can meet the needs of most traders to quickly evaluate the performance of a certain technical indicator. The first layer here is flexible. Users can insert their own strategy codes according to my template, and they can draw buy and sell signals and output them to the second layer. The second layer is fixed, and the overall framework is solidified to ensure the stability and unity of the trading system. It is convenient to compare different or similar strategies under the same conditions. Finally, all trading signals are drawn on the chart, and the output strategy returns. test report.
The main function:
The first layer: "{Sextan} Your Indicator Source", the script provides a template for personalized strategy input, and the signal and definition interfaces ensure full compatibility with the second layer. Backtesting is performed stably in the backtesting framework of the layer. The first layer of this script is also relatively simple: enter your script in the highlighted custom script area, and after ensuring the final buy and sell signals long = bool condition, short = bool condition, the design of the first layer is considered complete. Input it into the PINE script editor of TradingView, save it and add it to the chart, you can see the pulse sequence in yellow (buy) and purple (sell) on the sub-picture, corresponding to the main picture, you can subjectively judge that the quality of the trading point of the strategy is good Bad.
The second layer: "{Sextan} PINEv4 Sextans Backtest Framework". This script is the standardized trading system strategy execution and alarm, used to generate the final report of the strategy backtest and some key indicators that I have customized that I find useful, such as: winning rate , Odds, Winning Surface, Kelly Ratio, Take Profit and Stop Loss Thresholds, Trading Frequency, etc. are evaluated according to the Kelly formula. To use the second layer, first load it into the TrainingView chart, no markers will appear on the chart, since you have not specified any strategy source signals, click on the gear-shaped setting next to the "{Sextan} PINEv4 Sextans BTFW" header button, you can open the backtest settings, the first item is to select your custom strategy source. Because we have added the strategy source to the chart in the previous step, you can easily find an option "{Sextan} Your Indicator Source: Signal" at the bottom of the list, this is the strategy source input we need, select and confirm , you can see various markers on the main graph, and quickly generate a backtesting profit graph and a list of backtesting reports. You can generate files and download the backtesting reports locally. You can also click the gear on the backtest chart interface to customize some conditions of the backtest, including: initial capital amount, currency type, percentage of each order placed, amount of pyramid additions, commission fees, slippage, etc. configuration. Note: The configuration in the interface dialog overrides the same configuration implemented by the code in the backtest script.
How to output charts:
The first layer: "{Sextan} Your Indicator Source", the output of this script is the pulse value of yellow and purple, yellow +1 means buy, purple -1 means sell.
The second layer: PINEv4 Sextans Backtest Framework". The output of this script is a bit complicated. After all, it is the entire trading system with a lot of information:
1. Blue and red arrows. The blue upward arrow indicates long position, the red downward arrow indicates short position, and the horizontal bar at the end of the purple arrow indicates take profit or stop loss exit.
2. Red and green lines. This is the holding cost line of the strategy, green represents the cost of holding a long position, and red represents the cost of holding a short position. The cost line is a continuous solid line and the price action is relatively close.
3. Green and yellow long take profit and stop loss area and green and yellow long take profit and stop loss fork. Once a long position is held, there is a conditional order for take profit and stop loss. The green horizontal line is the long take profit ratio line, and the yellow is the long stop loss ratio line; the green cross indicates the long take profit price, and the yellow cross indicates the long position. Stop loss price. It's worth noting that the prongs and wires don't necessarily go together. Because of the optimization of the algorithm, for a strong market, the take profit will occur after breaking the take profit line, and the profit will not be taken until the price falls.
4. The purple and red short take profit and stop loss area and the purple red short stop loss fork. Once a short position is held, there will be a take profit and stop loss conditional order, the red is the short take profit ratio line, and the purple is the short stop loss ratio line; the red cross indicates the short take profit price, and the purple cross indicates the short stop loss price.
5. In addition to the above signs, there are also text and numbers indicating the profit and loss values of long and short positions. "L" means long; "S" means short; "XL" means close long; "XS" means close short.
TradingView Strategy Tester Panel:
The overview graph is an intuitive graph that plots the blue (gain) and red (loss) curves of all backtest periods together, and notes: the absolute value and percentage of net profit, the number of all closed positions, the winning percentage, the profit factor, The maximum trading loss, the absolute value and ratio of the average trading profit and loss, and the average number of K-lines held in all trades.
Another is the performance summary. This is to display all long and short statistical indicators of backtesting in the form of a list, such as: net profit, gross profit, Sharpe ratio, maximum position, commission, times of profit and loss, etc.
Finally, the transaction list is a table indexed by the transaction serial number, showing the signal direction, date and time, price, profit and loss, accumulated profit and loss, maximum transaction profit, transaction loss and other values.
Remarks
Finally, I will explain that this is just the beginning of this model. I will continue to optimize the trading system of the second layer. Various optimization feedback and suggestions are welcome. For valuable feedback, I am willing to provide some L4/L5 technical indicators as rewards for free subscription rights.
Support Resistance InteractiveHello All,
Using this "Support Resistance Interactive" script you can set the Support/Resistance levels interactively by clicking on the chart. Using the SR levels you set, the indicator creates Support Resistance zones. The width of the zones are calculated by using Threshold option and Threshold is the percent of the distance between Highest/Lowest levels in last 300 bars. if you set Threshold = 1 then it means 1% of the distance between Highest/Lowest levels. You can change SR levels by moving the level up/down by using your mouse anytime you want.
Now lets see it step by step;
After you added the indicator it will ask 5 Support/Resistance Levels and when you click any point then it's kept as S/R level and it asks another SR levels. if you want to use only 3 SR levels then last 2 SR levels are not important and you can click anywhere on the chart;
After you set all SR levels, it will ask "Number of Support/Resistance" . if you want to activate first 3 SR lines then set it 3. by default it's 5. when you set it click "Apply" and see the SR zones. that's it.
You can enable/disable alerts and set frequency, then create alerts. as it's interactive tool, the SR levels you set are specific for the current/active symbol. if you open another symbol then you better delete the indicator and add it again
Three Alerts exist in the script: Support Broken, Resistance Broken and Price in SR zone . you can enable/disable the alerts as you wish and you can set frequency for each one as "Once Per Bar" or "Once Per Bar Close"
by default Green/Red/Gray colors are used but You can change the colors using the options. according to the Price moves, SR zone colors are changed automatically.
when we have "Reset" feature to run the script interactively (like we added it for first time) I can update the script, then you will not need to delete/re-add each time you changed the symbol :)
In this example "Threshold" is 2 and "Number of Support/Resistance" is 4.
in this example "Threshold" is 0 and "Number of Support/Resistance" is 5.
Last example; Labels are shown for each zone, you can set location of the labels. SR order and Upper/lower band of each zone are shown in each label.
Enjoy!
Triple Colored Least Squares Moving Average + Crossover AlertsThis script is forked from the ‘ Double Colored Least Squares Moving Average + Crossover Alerts ‘ from @IronKnightmare.
First release & notes : 2021-11-03.
Overview:
The Least Squares Moving Average is used mainly as a crossover signal to identify bullish or bearish trends. When a shorter duration line cross a longer one a trend can be identified. When multiple lines or the price action cross a longterm trend the confirmation can be further validated. Tradingview contains already some indicators with 1 or two LSMA trendlines that can be configured and toggled.
The original script that I forked had two LSMA lines that could be plotted with other valuable functions, I added a third for further confirmation as some trading systems will use three lines or some combination of those for validation.
Usage:
In inputs
- You will see LSMA 1, LSMA 2 & LSMA 3. The default values are 40, 100 & 400 representing the number of periods plotted by that line : fast, medium and slow changing trendlines will be plotted. The offset value and source are standard for most scripts.
In Style
- You can toggle LSMA 1, 2 or 3 and any combination of those. There are much more possibilities this way.
- For each LSMA, Color 0 & Color 1 are for coloring the slope of the trendline,
- Color 0 for rising slope,
- Color 1 for descending slope.
- The script will automatically color the rise or fall of the trendline accordingly. You can also set one identical color in both slopes for one unique color.
- The ‘ Long Crossover 1 on 2 ’ is a signal for when the LSMA 1 cross over the LSMA 2, usually a shorter periods trendline, more volatile, climbing over the medium term one. A Signal will be traced on the chart at that crossing, you can configure this. The ‘Short Crossover 1 on 2’ is when the LSMA 1 cross under the LSMA 2, a signal will be traced on the chart accordingly.
- The Long Crossover 1 on 3 & Short Crossover 1 on 3 act on the same principle, although the crossing of the fast LSMA on the long / slow LSMA are used. Both can be toggled.
- The ‘ Background Coloring Line 1 : 0-Neutral, 1-Up, 2-Down ’ is an optional background coloring for the LSMA1 line. This can provide additional information at a quick glance, especially if you combine the two other lines backgrounds, the partial transparency will compound.
BULLSEYE BORDERS (Combined Price Action Follower)Developed for Crypto Currency Market! Use for 15 minutes period or more! Under 15 minutes, results are unpredictible.
This script had been orginized with Donchian Lines based on support and resistance levels.
Rules:
If the price is under top line, you will be ready for short position, and over the bottom line, long position.
When the price passes the red and green area you can take action and enter the trade!
Orange area refers the squeezed or floating position, so you can either stop or wait for price action!
If you see boring candles frequently, check out the last high and low levels.
If the price close to the last high, take long position. If not, short position.
Use ALMA , if you want to put and alert on script. It is identical to price line.
Thanks to @millerrh for 'Breakout Trend Follower'. Just used the last low and high features to complete the script. Combined with 'Boring Candles' from ©Prasad Raut, Modified on 20190811 (Updated to %30 full candle)
Trend Tip: You can use the script with Linear Channel so you can also see the trend. (not always)
Raff Regression Channel by DGTRᴀꜰꜰ Rᴇɢʀᴇꜱꜱɪᴏɴ Cʜᴀɴɴᴇʟ (RRC)
This study aims to automate Raff Regression Channel drawing either based on ZigZag Indicator or optionally User Preference
The Raff Regression Channel , developed by Gilbert Raff, is based on a linear regression, which is the least-squares line-of-best-fit for a price series, with evenly spaced trend lines above and below . The width of the channel is set by determining the high or low that is the furthest from the linear regression.
Because the channel distance is based off the largest pullback or highest peak within a trend, for effectively drawing and using a Raff Regression Channel it is recommend/required that a Raff Regression Channel is applied to “mature” trends. Knowing this requirement, for better automated drawing results this study benefits from the Zig Zag Indicator, where the Zig Zag indicator is used to help identify price trends and changes in price trends. Option to manually adjust lengths for drawing a Raff Regression Channel is also made available.
Using a Raff Regression Channel
Once The Raff Regression Channel is drawn, covering an existing trend, Exᴛᴇɴꜱɪᴏɴ Lɪɴᴇꜱ are drawn to identify ᴛʜᴇ ꜱᴜᴘᴘᴏʀᴛ﹐ʀᴇꜱɪꜱᴛᴀɴᴄᴇ ᴏʀ ʀᴇᴠᴇʀꜱᴀʟ ᴘᴏɪɴᴛꜱ
The trend is up as long as prices rise within this channel. An uptrend may be reversing (not always, but likely) when price breaks below the channel extension . The trend is down as long as prices decline within the channel. Similarly, a downtrend may be reversing (not always, but likely) when price breaks above the channel extension . Moves outside the channel extensions can be indication of a reversal or can denote overbought or oversold conditions
For further details please refer to education post Raff Regression Channel
█ FEATURES
- AUTO or MANUALLY adjusted Raff Regression Channel and Channel Extentions drawing
- ALERTs, for Linear Regression Line, Raff Regression Upper and Lower Channel Extentions
- LSMA , Least Squares Moving Average, in other words Linear Regression Curve
█ SETTINGS
Setting Loopback and Number of Bars are the most important part for The Raff Regression Channel, where ;
- Lookback, defines where the Raff Regression Channel is starting, it is recommended to set to a trend begining
- Number of Bars, defines how many bars to be assumed for calculation, or simply stated the end of the Raff Regression Channel drawing (not extentions but the main channel, extentions by default will be drawn till the last bar)
Setting of Loopback and Number of Bars is performed eigher automatically based on Zig Zag indicator or users may prefer to set them manually. If selected automatically then
- Deviation and Depth values of Zig Zag indicator are used for calculations (enabling visually plotting of ZigZag Lines will help to identify better visually the points), where ;
Deviation, is a multiplier that affects how much the price should deviate from the previous pivot in order for the bar to become a new pivot.
Depth, affects the minimum number of bars that will be taken into account when building
Short-term traders may wish to apply the channel to small waves of a trend so they can reduce the value of the Deviation and Depth
█ OTHER CHANNEL CONSEPTS
Linear Regression Channels, , what linear regression channels are? and linear regression channel/curve/slope study
Fibonacci Channels, how to apply fibonacci channels and automated fibonacci channels study
Andrews’ Pitchfork, how to apply pitchfork and automated pitchfork study
Special Thanks to @Kiss66000 for his kind suggestion, je vous remercie beaucoup @Kiss66000
Disclaimer :
Trading success is all about following your trading strategy and the indicators should fit within your trading strategy, and not to be traded upon solely
The script is for informational and educational purposes only. Use of the script does not constitute professional and/or financial advice. You alone have the sole responsibility of evaluating the script output and risks associated with the use of the script. In exchange for using the script, you agree not to hold dgtrd TradingView user liable for any possible claim for damages arising from any decision you make based on use of the script
RSI Support & Resistance by DGTRSI Sᴜᴘᴘᴏʀᴛ & Rᴇꜱɪꜱᴛᴀɴᴄᴇ ʙʏ DGT
This experimental study attempts to translate Relative Strength Index (RSI) threshold levels of oversold/overbought and bull/bear zones as probable Price Support and Resistance levels
█ OPTIONS
Support & Resistance Levels , the main aim of the study. Level calculations are based on Relative Strength Index (RSI) threshold levels of oversold/overbought and bull/bear zones, where all threshold values are customizable through the user dialog box. Background of the levels can be colored optionally
RSI Weighted Colored Bars and/or Mark Overbought/Oversold Bars , Bar colors can be painted to better emphasis RSI values. Darker colors when the oscillator is in oversold/overbought zones, light colors when oscillator readings are below/above the bull/bear zone respectively, and remain unchanged otherwise. Besides the colors, with “Display RSI Overbought/Oversold Price Bars” option little triangle shapes can be plotted on top or bottom of the bars when RSI is in oversold/overbought zones
Example usage of the study with explanations
█ OTHERS
More regarding Support & Resistance concept (definition, identifying levels, trading S&R, etc) you are kindly invited to check my previous publication
Price Action - Support & Resistance by DGT
More regarding Relative Strength Index (RSI) and Relative Strength of Volume Indicators , please check Relative Strength of Volume Indicators by DGT
Disclaimer:
Trading success is all about following your trading strategy and the indicators should fit within your trading strategy, and not to be traded upon solely
The script is for informational and educational purposes only. Use of the script does not constitute professional and/or financial advice. You alone have the sole responsibility of evaluating the script output and risks associated with the use of the script. In exchange for using the script, you agree not to hold dgtrd TradingView user liable for any possible claim for damages arising from any decision you make based on use of the script
V2_Major_Trend_FinderThis script is a major trend following script. The calculations use Keltner Channels, moving averages and RSI.
The indicator is simple to follow:
Green Candlesticks indicate more bullish momentum expected
Red Candlesticks indicate more bearish momentum expected
blue dots are possible long ideas due to RSI oversold
Orange dots are possible short ideas due to RSI overbought
olive line is a one year moving average
The script is open for those looking for deeper understanding of the script.
Many Regards
Sulaiman
Matrix functions - JD/////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// The arrays provided in Pinescript are linear 1D strucures that can be seen either as a large vertical stack or
// a horizontal row containing a list of values, colors, bools,..
//
// With the FUNCTIONS in this script the 1D ARRAY LIST can be CONVERTED INTO A 2D MATRIX form
//
//
///////////////////////////////////////////
/// BASIC INFO ON THE MATRIX STRUCTURE: ///
///////////////////////////////////////////
//
// The matrix is set up as an 2D structure and is devided in ROWS and COLUMNS.
// following the standard mathematical notation:
//
// a 3 x 4 matrix = 4 columns
// 0 1 2 3 column index
// 0
// 3 rows 1
// 2
// row
// index
//
// With the use of some purpose-built functions, values can be placed or retrieved in a specific column of a certain row
// this can be done by intuitively using row_nr and column_nr coördinates,
// without having to worry on what exact index of the Pine array this value is located (the functions do these conversions for you)
//
//
// the syntax I propose for the 2D Matrix array has the following structure:
//
// - the array starts with 2 VALUES describing the DIMENSION INFORMATION, (rows, columns)
// these are ignored in the actual calculations and serve as a metadata header (similar to the "location, time,... etc." data that is stored in photo files)
// so the array always carries it's own info about the nr. of rows and columns and doesn't need is seperate "info" file!
//
// To stay consistent with the standard Pinescript (array and ) indexing:
// - indexes for sheets and columns start from 0 (first) and run up to the (total nr of sheets or columns) - 1
// - indexes for rows also start from 0 (most recent, cfr. ) and run up to the (total nr of rows) - 1
//
// - this 2 value metadata header is followed by the actual df data
// the actual data array can consist of (100,000 - 2) usable items,
//
// In a theoretical example, you can have a matrix with almost 20,000 rows with each 5 columns of data (eg. open, high, low, close, volume) in it!!!
//
//
///////////////////////////////////
/// SCHEMATIC OF THE STRUCTURE: ///
///////////////////////////////////
//
////// (metadata header with dimensions info)
//
// (0) (1) (array index)
//
B3 Clear Method Streak CountAbout Clear Method -- to repeat my prior post on the bar painter script:
This indicator is translated out of Technical Analysis of Stocks & Commodities , September 2010, (I take zero design credit). The script simply looks for the price action to break or "clear" the most recent action, and only changes the paintbar color if the action indeed clears the previous candles. Simple to use, just add to your chart from your favorites and change the colors in the UI. It does the rest.
This version can replace my previous Clear Method Bar Painter as it also paints the bars.
What is different is this share is a lower study that counts the streak of the bars shown via histogram.
The way to use the streak is to notice the previous streaks and get a sense of how long the current trend is lasting versus prior trends of the same direction.
@Tradestation recently posted their "price streak" study, and this one is quite similar in nature.
Enjoy, the code open to view,
_B3
d^.^b
Open Interest:CME e-o-d vs CFTC e-o-wCFTC only publishes total OI on fridays, related to last Tuesday.
But what happened since last Tuesday?
CME Vol & Open Interest data is recorded&exported daily by quandl.com to tradingview
via the che CHRIS/CME datasets
www.quandl.com
Eg. Nat Gas next outstanding cntract n. 20, field n. 7(OI)
@quandl.com:
www.quandl.com
is exported @tradingview:
www.tradingview.com
Every outstanding contract's OI & vol is exported (black column), but not the total (yellow line):
tiny.cc
This script sums up all the existing outstanding contract's OI for the future (the black column), so one can have an idea of the total OI for the day (Yellow line).
As numer of outstanding contracts varies from future to future,Eg:
E-mini (ES) has 4 contracts, Gold(GC) 16 cntrcts, NatGas(NG) has 43, WTI(CL) has 38 etc
the scrips tries to guess how many exist for it and sums them up, to have the total OI for tha day
Number ofoutstanding contracts exported by quandl.com to tradingview is taken from
s3.amazonaws.com
There are 2 params you can enter on the script:
* override the ticket symbol on the chart ,if script cannot guessit or you need a different one
* enter the "preliminary" OI that is published by CME early the next day, butb not yet exported by quandl to tradingview
This script is Open so anyone can copy and modifyit for its use.
Please post comments and ideas if you find it useful
I try to keep a log of my work here:
[RESEARCH] Percentrank BugI found a bug with built-in percentrank function. Sometimes it gives unexpected and incorrect results. You can see a one of them on the chart.
ALL scripts which use percentrank function are affected. No matter which version they use, no matter who is their author - ALL scripts which use this built-in function can work incorrectly.
If you want to avoid this bug use _percentrank function (the "shim" ) - you can find it in the script.
NOTE: Don't push on TradingView Support or Pine Core Team because they already know about this issue and work on the fix. I publish it to warn you.
Relative Volume Change: BTC | Retail v. Non-Retail [Sim]This script was inspired by Cryptorae's BTC Volume Share, Retail script:
The script plots the relative monthly change of BTC volume, retail vs. non-retail. A move above 1 means the volume of retail or non-retail, respectively, is greater than last month's cumulative volume.
