Samples: strategies

// A crossover strategy: buy when the fast average crosses above the slow one, sell the position when it crosses back.
// The tester fills the orders on the synthetic data; costs are set in the setup block.
strategy "Moving average crossover"
    edition = 1
    display = price

setup:
    capital = 10000
    size = sizing.lots(0.1)

input fast_length: int = 10, name = "Fast length", min = 1
input slow_length: int = 30, name = "Slow length", min = 2
let fast = tech.ema(close, fast_length)
let slow = tech.ema(close, slow_length)
if tech.crosses_above(fast, slow)
    orders.enter("Long", side.long)
if tech.crosses_below(fast, slow)
    orders.close("Long")
plot(fast, name = "Fast", color = color.green)
plot(slow, name = "Slow", color = color.red)

// Mean reversion: enter long when the RSI falls below the oversold level, leave when it recovers above the middle.
strategy "RSI reversion"
    edition = 1
    display = price

setup:
    capital = 10000
    size = sizing.lots(0.1)

input length: int = 14, name = "RSI length", min = 2
input oversold: float = 30, name = "Oversold"
input exit_level: float = 55, name = "Exit level"
let value = tech.rsi(close, length)
if tech.crosses_below(value, oversold)
    orders.enter("Long", side.long)
if value > exit_level
    orders.close("Long")
plot(close, name = "Close", color = color.gray)

// A channel breakout: a stop order one tick above the highest high of the last `length` bars, an exit under the lowest low of a shorter window.
strategy "Donchian breakout"
    edition = 1
    display = price

setup:
    capital = 10000
    size = sizing.lots(0.1)

input entry_length: int = 20, name = "Entry length", min = 2
input exit_length: int = 10, name = "Exit length", min = 2
let entry_level = tech.highest(high, entry_length)[1]
let exit_level = tech.lowest(low, exit_length)[1]
if bar.is_closed
    orders.enter("Breakout", side.long, stop = entry_level, expires = 1)
    orders.exit("Leave", "Breakout", stop = exit_level)
plot(entry_level, name = "Entry level", color = color.green)
plot(exit_level, name = "Exit level", color = color.red)

// A position with a protective stop and a target measured in multiples of the Average True Range at the time of entry.
strategy "ATR stop and target"
    edition = 1
    display = price

setup:
    capital = 10000
    size = sizing.lots(0.1)

input length: int = 14, name = "ATR length", min = 2
input stop_mult: float = 2.0, name = "Stop multiple", min = 0.5, step = 0.5
input target_mult: float = 3.0, name = "Target multiple", min = 0.5, step = 0.5
let range = tech.atr(length)
let trend_up = tech.ema(close, 20) > tech.ema(close, 50)
if tech.crosses_above(close, tech.ema(close, 20)) and trend_up and trades.open_count == 0
    orders.enter("Long", side.long)
    orders.exit(
        "Long exit",
        "Long",
        stop = close - stop_mult * range,
        limit = close + target_mult * range,
    )
plot(tech.ema(close, 20), name = "EMA 20", color = color.orange)

// Rules that stop trading when a limit is reached: no more than two entries a day, no new entries after three losing days in a row.
strategy "Risk guards"
    edition = 1
    display = price

setup:
    capital = 10000
    size = sizing.lots(0.1)

input length: int = 20, name = "Length", min = 2
risk.max_daily_orders(2)
risk.max_losing_days(3)
let basis = tech.sma(close, length)
if tech.crosses_above(close, basis)
    orders.enter("Long", side.long)
if tech.crosses_below(close, basis)
    orders.close("Long")
plot(basis, name = "Basis", color = color.orange)

// Buy a close above the first hour's high of the London session, sell a close below its low: one trade a day at most,
// and every trade is closed when the session ends.
strategy "Opening range breakout"
    edition = 1
    display = price

setup:
    capital = 10000
    size = sizing.lots(0.1)

session opening = 08:00 .. 09:00 @ "Europe/London"
session london = 08:00 .. 16:30 @ "Europe/London"
state top: float = na
state bottom: float = na
state traded = false
if opening.start
    top = high
    bottom = low
    traded = false
else if opening.active
    top = math.max(top, high)
    bottom = math.min(bottom, low)
let crossed_up = tech.crosses_above(close, top)
let crossed_down = tech.crosses_below(close, bottom)
let window = london.active and not opening.active
if window and not traded and crossed_up
    orders.enter("Long", side.long)
    traded = true
if window and not traded and crossed_down
    orders.enter("Short", side.short)
    traded = true
if london.end
    orders.close_all()
plot(if window then top else na, name = "Range high", color = color.green, style = step_break)
plot(if window then bottom else na, name = "Range low", color = color.red, style = step_break)

// After an inside bar, a stop order waits above the high of the bar before it for three bars.
// The exit is written in ticks from the entry price: a target and a stop.
strategy "Inside bar breakout"
    edition = 1
    display = price

setup:
    capital = 10000
    size = sizing.lots(0.1)

input target_ticks: int = 300, name = "Target (ticks)", min = 10
input stop_ticks: int = 150, name = "Stop (ticks)", min = 10
let inside = high < high[1] and low > low[1]
if inside and position.size == 0
    orders.enter("Break", side.long, stop = high[1], expires = 3)
orders.exit("Exit", "Break", profit_ticks = target_ticks, loss_ticks = stop_ticks)
mark.char(inside, name = "Inside bar", char = "i", place = above, color = color.gray)

// Buy a short dip inside an up trend: the close is above the long average and a fast RSI is low.
// A stop two ATRs under the entry protects the trade, and a trade that lasts too long is closed.
strategy "Trend pullback"
    edition = 1
    display = price

setup:
    capital = 10000
    size = sizing.lots(0.1)
    fees = fee.per_lot(3.5)

execution:
    spread = 20 ticks
    slippage = 2 ticks

input trend_length: int = 200, name = "Trend length", min = 20
input rsi_length: int = 5, name = "RSI length", min = 2
input dip: float = 20, name = "Dip level"
input max_bars: int = 48, name = "Most bars in a trade", min = 1
let trend = tech.ema(close, trend_length)
let rsi = tech.rsi(close, rsi_length)
let atr = tech.atr(14)
state entry_bar = 0
if close > trend and rsi < dip and position.size == 0
    orders.enter("Dip", side.long)
    entry_bar = bar.index
if position.size > 0
    orders.exit("Protect", "Dip", stop = position.avg_price - 2 * atr)
    if bar.index - entry_bar >= max_bars
        orders.close("Dip")
plot(trend, name = "Trend", color = color.gray)

// Trade both sides of a band: buy when the close falls under the lower band, sell short when it rises over the upper one,
// and close each side when the close comes back to the middle line.
strategy "Band reversion, both sides"
    edition = 1
    display = price

setup:
    capital = 10000
    size = sizing.lots(0.1)

input length: int = 20, name = "Length", min = 2
input mult: float = 2.0, name = "Deviations", min = 0.5, step = 0.1
let basis = tech.sma(close, length)
let dev = mult * tech.stdev(close, length)
let upper = basis + dev
let lower = basis - dev
let below = tech.crosses_below(close, lower)
let above = tech.crosses_above(close, upper)
let back_up = tech.crosses_above(close, basis)
let back_down = tech.crosses_below(close, basis)
if below
    orders.enter("Long", side.long)
if above
    orders.enter("Short", side.short)
if back_up
    orders.close("Long")
if back_down
    orders.close("Short")
plot(upper, name = "Upper", color = color.blue)
plot(lower, name = "Lower", color = color.blue)
plot(basis, name = "Basis", color = color.orange)