// BO - Woodies CCI - Backtesting
//anch.v43
// © inno14
//@version=4
strategy("BO - Woodies CCI - Backtesting")
//strategy.risk.max_intraday_loss(1, strategy.cash)
// === INPUT PERIOD OF TIME ===
Date = input(true, title = "=== Date Option ===")
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear = input(defval = 2020, title = "From Year", minval = 2017)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear = input(defval = 9999, title = "To Year", minval = 2017)
// === DATE RANGE ===
start = timestamp(FromYear, FromMonth, FromDay, 00, 00) // backtest start window
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) // backtest finish window
window() => time >= start and time <= finish ? true : false // create function "within window of time"
// === Trading Time ===
CTimeDvM = input(true, title = "=== Trading Time ===")
Time_zone = input(7,title="Time Zone")
FromHourDvM = input(defval = 12, title = "From Hour", minval = 00, maxval = 23)
FromMinuteDvM = input(defval = 00, title = "From Minute", minval = 00, maxval = 59)
ToHourDvM = input(defval = 18, title = "To Hour", minval = 00, maxval = 23)
ToMinuteDvM = input(defval = 00, title = "To Minute", minval = 00, maxval = 59)
GMT_FHDvM=FromHourDvM<Time_zone?FromHourDvM-Time_zone+24:FromHourDvM-Time_zone
GMT_THDvM=ToHourDvM<Time_zone?ToHourDvM-Time_zone+24:ToHourDvM-Time_zone
fhDvM= (GMT_FHDvM<10?"0"+tostring(GMT_FHDvM):tostring(GMT_FHDvM))
fmDvM= (FromMinuteDvM<10?"0"+tostring(FromMinuteDvM):tostring(FromMinuteDvM))
thDvM= (GMT_THDvM<10?"0"+tostring(GMT_THDvM):tostring(GMT_THDvM))
tmDvM= (ToMinuteDvM<10?"0"+tostring(ToMinuteDvM):tostring(ToMinuteDvM))
WorkingHourDvM = fhDvM+fmDvM+"-"+thDvM+tmDvM
t0_DvM = time(timeframe.period, WorkingHourDvM)
htrtime = input(true,title="Highlight Trading Time")
bgcolor(htrtime? t0_DvM? color.gray : na:na, title="Trading Time", transp=90)
//
fh_ott= (GMT_FHDvM<10?"0"+tostring(GMT_FHDvM):tostring(GMT_FHDvM))
fm_ott= (FromMinuteDvM<10?"0"+tostring(FromMinuteDvM):tostring(FromMinuteDvM))
th_ott= fh_ott
tm_ott= (FromMinuteDvM+5<10?"0"+tostring(FromMinuteDvM+5):tostring(FromMinuteDvM+5))
trading_time_open = fh_ott+fm_ott+"-"+th_ott+tm_ott
t1 = time(timeframe.period, trading_time_open)
//Woodies CCI
cciTurboLength = input(title="CCI Turbo Length", type=input.integer, defval=6, minval=3, maxval=1400)
cci14Length = input(title="CCI 14 Length", type=input.integer, defval=14, minval=7, maxval=2000)
source = close
cciTurbo = cci(source, cciTurboLength)
cci14 = cci(source, cci14Length)
last5IsDown = cci14[5] < 0 and cci14[4] < 0 and cci14[3] < 0 and cci14[2] < 0 and cci14[1] < 0
last5IsUp = cci14[5] > 0 and cci14[4] > 0 and cci14[3] > 0 and cci14[2] > 0 and cci14[1] > 0
histogramColor = last5IsUp ? color.green : last5IsDown ? color.red : cci14 < 0 ? color.gray : color.gray
//Plot Woodies CCI
plot(cci14, title="CCI Histogram", color=histogramColor, style=plot.style_histogram, linewidth=2, transp=40)
plot(0, title="Zero Line", color=cciTurbo>100?color.blue:cciTurbo<-100?color.red:color.navy, style=plot.style_line, linewidth=6, transp=20)
hline(200, title="Hundred Line", color=color.black, linestyle=hline.style_dotted)
hline(-200, title="Minus Line", color=color.black, linestyle=hline.style_dotted)
//Plot lingreg CCI14
linreg_cci14=linreg(cci14, 5, 0)
plot(linreg_cci14, color=color.aqua, linewidth=4)
//peak & top
peak_cci= linreg_cci14[2]>linreg_cci14[3] and linreg_cci14[1]>linreg_cci14[2] and linreg_cci14[0]<linreg_cci14[1] and linreg_cci14[1]>150
bott_cci= linreg_cci14[2]<linreg_cci14[3] and linreg_cci14[1]<linreg_cci14[2] and linreg_cci14[0]>linreg_cci14[1] and linreg_cci14[1]<-150
peak_cci_1= linreg_cci14[2]>linreg_cci14[3] and linreg_cci14[1]>linreg_cci14[2] and linreg_cci14[0]<linreg_cci14[1]
bott_cci_1= linreg_cci14[2]<linreg_cci14[3] and linreg_cci14[1]<linreg_cci14[2] and linreg_cci14[0]>linreg_cci14[1]
//
fil_len=input(6,title="Filter Length")
top_ext=highest(linreg_cci14,fil_len)
bot_ext=lowest(linreg_cci14,fil_len)
//Put signal
x1=
peak_cci
and linreg_cci14[1]==top_ext[1]
and linreg_cci14[1]>valuewhen(peak_cci_1,linreg_cci14[1],1)
and close>low[1]
and cciTurbo<100
and cci14<linreg_cci14
//Call signal
y1=
bott_cci
and linreg_cci14[1]==bot_ext[1]
and linreg_cci14[1]<valuewhen(bott_cci_1,linreg_cci14[1],1)
and close<high[1]
and cciTurbo>-100
and cci14>linreg_cci14
no_orders =
not strategy.opentrades
//Stoploss
stop_tt=input(true,"Stoploss Option By Intraday's Loss Trades")
stop_val=input(0,"Number of loss trades")
stop_loss=strategy.losstrades-strategy.losstrades[barssince(t1)]==stop_val
//Function
xTech=
x1
and no_orders
and (not stop_loss or stop_val==0)
yTech=
y1
and no_orders
and (not stop_loss or stop_val==0)
//Plot Analyzing Signals
//hline1=hline(-1.2*300)
hline2=hline(-1.6*300)
hline0=hline(0)
sigtext=
xTech?"Put signal":yTech?"Call signal":
"Backtesting From: "+tostring(FromDay)+"/"+tostring(FromMonth)+"/"+tostring(FromYear)+" To: "+tostring(ToDay)+"/"+tostring(ToMonth)+"/"+tostring(ToYear)
+ " * Trading Time From: "+tostring(FromHourDvM)+":"+tostring(FromMinuteDvM)+" To "+tostring(ToHourDvM)+":"+tostring(ToMinuteDvM)
sig_col=xTech?color.new(color.red,10):yTech?color.new(color.blue,10):color.new(color.navy,10)
label_sig_text = label.new(bar_index[0], -1.5*300, text=sigtext, style=label.style_none, textcolor=sig_col, size=size.large)
label.delete(label_sig_text[1])
//plot Signal
putcol = xTech? color.red : na
callcol = yTech? color.blue : na
PutSignal= xTech and window() and t0_DvM?-1.2*300:na
CallSignal= yTech and window() and t0_DvM?-1.2*300:na
//plot(PutSignal, title='Put Signal', style=plot.style_columns, color=color.red, offset=1, transp=0)
//plot(CallSignal, title='Call Signal', style=plot.style_columns, color=color.blue, offset=1, transp=0)
plotshape(PutSignal, title='Put', text="Put", style=shape.circle, location=location.absolute, color=color.red, textcolor=color.black, offset=1, transp=0, size=size.large)
plotshape(CallSignal, title='Call', text="Call", style=shape.circle, location=location.absolute, color=color.blue, textcolor=color.black, offset=1, transp=0, size=size.large)
//plotchar(PutSignal, title='Put', char="◉", text="Put", location=location.absolute, color=color.red, textcolor=color.black, offset=1, transp=0, size=size.small)
//plotchar(CallSignal, title='Call', char="◉", text="Call", location=location.absolute, color=color.blue, textcolor=color.black, offset=1, transp=0, size=size.small)
//Backtesting
exp_tt=input(true,"Expiry Option By Bars")
exp_val=input(6,"Number of Bars")
strategy.entry("Call", strategy.long, when=yTech and window() and t0_DvM)
strategy.entry("Put", strategy.short, when=xTech and window() and t0_DvM)
strategy.close_all(when=barssince(xTech)==exp_val or barssince(yTech)==exp_val)
//EOF