53 lines
2.1 KiB
Text
53 lines
2.1 KiB
Text
|
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
|
||
|
|
// © Sirius Trading
|
||
|
|
|
||
|
|
//@version=5
|
||
|
|
strategy("Sirius Mean Reversion", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=10, commission_type=strategy.commission.percent, commission_value=0.05)
|
||
|
|
|
||
|
|
// --- Inputs ---
|
||
|
|
lengthRSI = input.int(14, title="RSI Length", group="Oscillator")
|
||
|
|
overbought = input.float(70.0, title="Overbought Level", group="Oscillator")
|
||
|
|
oversold = input.float(30.0, title="Oversold Level", group="Oscillator")
|
||
|
|
|
||
|
|
bbLength = input.int(20, title="Bollinger Band Length", group="Bands")
|
||
|
|
bbMult = input.float(2.0, title="Bollinger Band Multiplier", group="Bands")
|
||
|
|
|
||
|
|
tpPercent = input.float(2.0, title="Take Profit (%)", step=0.1, group="Exit Strategy")
|
||
|
|
slPercent = input.float(1.0, title="Stop Loss (%)", step=0.1, group="Exit Strategy")
|
||
|
|
|
||
|
|
// --- Calculations ---
|
||
|
|
rsiVal = ta.rsi(close, lengthRSI)
|
||
|
|
[basis, upper, lower] = ta.bb(close, bbLength, bbMult)
|
||
|
|
|
||
|
|
// --- Plotting ---
|
||
|
|
plot(basis, "BB Basis", color=color.new(color.white, 50))
|
||
|
|
plot(upper, "BB Upper", color=color.new(color.blue, 50))
|
||
|
|
plot(lower, "BB Lower", color=color.new(color.blue, 50))
|
||
|
|
|
||
|
|
// --- Logic ---
|
||
|
|
longCond = ta.crossunder(close, lower) and rsiVal < oversold
|
||
|
|
shortCond = ta.crossover(close, upper) and rsiVal > overbought
|
||
|
|
|
||
|
|
// --- Execution ---
|
||
|
|
var float longEntryPrice = na
|
||
|
|
var float shortEntryPrice = na
|
||
|
|
|
||
|
|
if (longCond and strategy.position_size == 0)
|
||
|
|
strategy.entry("Long", strategy.long)
|
||
|
|
longEntryPrice := close
|
||
|
|
|
||
|
|
if (shortCond and strategy.position_size == 0)
|
||
|
|
strategy.entry("Short", strategy.short)
|
||
|
|
shortEntryPrice := close
|
||
|
|
|
||
|
|
// Fixed Percentage Exits
|
||
|
|
if (strategy.position_size > 0)
|
||
|
|
longTp = longEntryPrice * (1 + tpPercent / 100)
|
||
|
|
longSl = longEntryPrice * (1 - slPercent / 100)
|
||
|
|
strategy.exit("Exit Long", "Long", limit=longTp, stop=longSl)
|
||
|
|
|
||
|
|
if (strategy.position_size < 0)
|
||
|
|
shortTp = shortEntryPrice * (1 - tpPercent / 100)
|
||
|
|
shortSl = shortEntryPrice * (1 + slPercent / 100)
|
||
|
|
strategy.exit("Exit Short", "Short", limit=shortTp, stop=shortSl)
|