Backtest EngineThis is a simple backtest engine for your trading strategies. The idea behind this script is to make testing new strategies as easy as possible. Parameters such as take profit/stop loss and time period are built into the script and are customisable by the user via the settings interface. The only coding is to set the entry and exit conditions. Users need not touch any code beyond line 30.
For this post, I have used a 50/200 SMA crossover to demonstrate the ease of use for this script.
The features of this script include:
Backtest period start
Number of days until backtest period end
Take profit and stop loss % (via settings)
Programmable long and short entry/exit
Anti duplicate system (for entry conditions that are continuously satisfied, the engine will only make 1 trade until the is exit condition is satisfied).
DISCLAIMER: The strategy in this post is only a placeholder. The TP/SL levels are set to showcase the functionality of the engine and are in no means optimal settings.
Hope this helps! Feel free to ask any questions about the engine and happy coding!
Services Pine
How To Count DecimalsCustom f_nDecimals() function returns precision of decimal numbers of the following forms:
const, input, simple, and series of the following types: float, integer, and string.
Error checking is performed for valid numbers and invalid values return NaN.
NOTICE: This is an example script and not meant to be used as an actual strategy. By using this script or any portion thereof, you acknowledge that you have read and understood that this is for research purposes only and I am not responsible for any financial losses you may incur by using this script!
[e2] Drawing Library :: Horizontal Ray█ OVERVIEW
Library "e2hray"
A drawing library that contains the hray() function, which draws a horizontal ray/s with an initial point determined by a specified condition. It plots a ray until it reached the price. The function let you control the visibility of historical levels and setup the alerts.
█ HORIZONTAL RAY FUNCTION
hray(condition, level, color, extend, hist_lines, alert_message, alert_delay, style, hist_style, width, hist_width)
Parameters:
condition : Boolean condition that defines the initial point of a ray
level : Ray price level.
color : Ray color.
extend : (optional) Default value true, current ray levels extend to the right, if false - up to the current bar.
hist_lines : (optional) Default value true, shows historical ray levels that were revisited, default is dashed lines. To avoid alert problems set to 'false' before creating alerts.
alert_message : (optional) Default value string(na), if declared, enables alerts that fire when price revisits a line, using the text specified
alert_delay : (optional) Default value int(0), number of bars to validate the level. Alerts won't trigger if the ray is broken during the 'delay'.
style : (optional) Default value 'line.style_solid'. Ray line style.
hist_style : (optional) Default value 'line.style_dashed'. Historical ray line style.
width : (optional) Default value int(1), ray width in pixels.
hist_width : (optional) Default value int(1), historical ray width in pixels.
Returns: void
█ EXAMPLES
• Example 1. Single horizontal ray from the dynamic input.
//@version=5
indicator("hray() example :: Dynamic input ray", overlay = true)
import e2e4mfck/e2hray/1 as e2draw
inputTime = input.time(timestamp("20 Jul 2021 00:00 +0300"), "Date", confirm = true)
inputPrice = input.price(54, 'Price Level', confirm = true)
e2draw.hray(time == inputTime, inputPrice, color.blue, alert_message = 'Ray level re-test!')
var label mark = label.new(inputTime, inputPrice, 'Selected point to start the ray', xloc.bar_time)
• Example 2. Multiple horizontal rays on the moving averages cross.
//@version=5
indicator("hray() example :: MA Cross", overlay = true)
import e2e4mfck/e2hray/1 as e2draw
float sma1 = ta.sma(close, 20)
float sma2 = ta.sma(close, 50)
bullishCross = ta.crossover( sma1, sma2)
bearishCross = ta.crossunder(sma1, sma2)
plot(sma1, 'sma1', color.purple)
plot(sma2, 'sma2', color.blue)
// 1a. We can use 2 function calls to distinguish long and short sides.
e2draw.hray(bullishCross, sma1, color.green, alert_message = 'Bullish Cross Level Broken!', alert_delay = 10)
e2draw.hray(bearishCross, sma2, color.red, alert_message = 'Bearish Cross Level Broken!', alert_delay = 10)
// 1b. Or a single call for both.
// e2draw.hray(bullishCross or bearishCross, sma1, bullishCross ? color.green : color.red)
• Example 3. Horizontal ray at the all time highs with an alert.
//@version=5
indicator("hray() example :: ATH", overlay = true)
import e2e4mfck/e2hray/1 as e2draw
var float ath = 0, ath := math.max(high, ath)
bool newAth = ta.change(ath)
e2draw.hray(nz(newAth ), high , color.orange, alert_message = 'All Time Highs Tested!', alert_delay = 10)
Oscillator EdgesAnother simple script to be added on top of other indicators. Simply provides a symbol of varying color depending on the value of the oscillator. Allows up to 4 different colors in each direction. Includes alerts conditions. Demonstration is the indicator being applied to the RSI (purple) included in Market Cipher B.
To use, simply add it to your indicator, and choose and oscillator of your choice in the Input Settings. Alternatively, you can just keep it on 'close' and use the built in RSI. Or, you can use the RSI formula on top of something else (if that's your thing).
The names are silly, so I hope this is okay with all of you.
Let me know what you think, and if there are any problems, questions, or concerns!
Percentile Nearest Rank Using Arrays [LuxAlgo]The new array feature is extremely powerful, as it will allow pinescript users to do more complex things, or compute existing calculations more efficiently, it will also be possible to shine some light to some already existing functions, one of them being percentile_nearest_rank .
We have been working on this new feature with our pal alexgrover, and made this script which computes a rolling percentile using the nearest rank method.
Settings
Length: Window of the rolling percentile, determine the number of past data to be used.
Percentage: Return the current value if Percentage % of the data fall below that value, the setting is in a range (0,100).
Src: Input source of the indicator.
Usage
A rolling percentile can have many usages when it comes to technical analysis, this is due to its ability to return the value of three common rolling statistics, the rolling median, which can be obtained using a percentage equal to 50, the rolling maximum, obtained with a percentage equal to 100, and the rolling minimum, obtained with a percentage equal to 0.
When we use our rolling percentile as a rolling median, we can obtain a robust estimation of the underlying trend in the price, while using it as a rolling maximum/minimum can allow us to determine if the market is trending, and at which direction. The rolling maximum/minimum is a rolling statistic used to calculate the well known stochastic oscillator and Donchian channel indicator.
We can also compute rolling quartiles, which can be obtained using a percentage of 25 or 75, with one of 25 returning the lower quartile and 75 the upper quartile.
In blue the upper rolling quartile (%75), in orange the lower rolling quartile (%25), both using a window size of 100.
Details
In order to compute a rolling percentile nearest rank, we must first take the most recent length closing prices, then order them in ascending order, we then return the value of the ordered observations at index (percentage/100*length) - 1 (we use - 1 because our array index starts at 0).
