DHLAOS.pine

// A strategy using Daily High/Low and Andean Oscillator indicators for scalping
// The strategy has been explained in this video: https://youtu.be/IZVSb1kjduQ
// © 2023 Geraked, Rabist
// Licensed under MIT

// Backtesting result:
//      Symbol:             AUDUSD
//      Timeframe:          5 MIN
//      Range:              2023-08-06 21:00 — 2023-09-03 21:00
//      Percent Profitable: 69.5%
//      Total Trades:       23
//      Profit Factor:      3.098


//@version=5
strategy("Daily High/Low and Andean Oscillator Strategy", "DHLAOS", pyramiding=10, overlay=true)

tpCoef = input.float(1.5, "TP Coef", group="Strategy")
swingLen = input.int(5, "Swing Length", group="Strategy")
reverse = input.bool(false, "Reverse Signal", group="Strategy")

length = input.int(50)
sig_length = input.int(9,'Signal Length')

var alpha = 2/(length+1)
var up1 = 0.,var up2 = 0.
var dn1 = 0.,var dn2 = 0.

C = close
O = open
up1 := nz(math.max(C, O, up1[1] - (up1[1] - C) * alpha), C)
up2 := nz(math.max(C * C, O * O, up2[1] - (up2[1] - C * C) * alpha), C * C)
dn1 := nz(math.min(C, O, dn1[1] + (C - dn1[1]) * alpha), C)
dn2 := nz(math.min(C * C, O * O, dn2[1] + (C * C - dn2[1]) * alpha), C * C)

bull = math.sqrt(dn2 - dn1 * dn1)
bear = math.sqrt(up2 - up1 * up1)
signal = ta.ema(math.max(bull, bear), sig_length)

indexHighTF = barstate.isrealtime ? 1 : 0
indexCurrTF = barstate.isrealtime ? 0 : 1
pricehigh = request.security(syminfo.tickerid, "1D", high[indexHighTF])[indexCurrTF]
pricelow = request.security(syminfo.tickerid, "1D", low[indexHighTF])[indexCurrTF]

plot(pricehigh, "Previous Daily High", color.white, 2, plot.style_linebr)
plot(pricelow, "Previous Daily Low", color.white, 2, plot.style_linebr)

long = bull[1] <= signal[1] and bull > signal
short = bear[1] <= signal[1] and bear > signal

var n = 300
var k = 50
var li = 0
var si = 0

if long
    for i=2 to n
        if bull[i+1] >= bear[i+1] and bull[i] < bear[i]
            long := false
            break
        else if bull[i+1] >= signal[i+1] and bull[i] < signal[i]
            long := false
            break
        else if bull[i+1] <= signal[i+1] and bull[i] > signal[i]
            long := false
            break            
        else if bull[i+1] <= bear[i+1] and bull[i] > bear[i]
            li := i
            break

if short
    for i=2 to n
        if bull[i+1] <= bear[i+1] and bull[i] > bear[i]
            short := false
            break
        else if bear[i+1] >= signal[i+1] and bear[i] < signal[i]
            short := false
            break
        else if bear[i+1] <= signal[i+1] and bear[i] > signal[i]
            short := false
            break                        
        else if bull[i+1] >= bear[i+1] and bull[i] < bear[i]
            si := i
            break

lc = false
sc = false

if long
    for i=li to li + k
        if high[i] < pricelow[i] and bull[i] < bear[i]
            lc := true
            break

if short
    for i=si to si + k
        if low[i] > pricehigh[i] and bull[i] > bear[i]
            sc := true
            break

long := long and lc
short := short and sc

longSl = ta.lowest(low, swingLen)
shortSl = ta.highest(high, swingLen)
var cnt = 1

plotshape(long, style=shape.triangleup, color=color.green, location=location.belowbar, size=size.small)
plotshape(short, style=shape.triangledown, color=color.red, location=location.abovebar, size=size.small)

if long
    inn = close
    longTp = inn + tpCoef * (inn - longSl)    
    if not reverse
        id = "long " + str.tostring(cnt)
        strategy.entry(id, strategy.long)
        strategy.exit("exitLong " + str.tostring(cnt), id, stop=longSl, limit=longTp)
    else
        id = "short " + str.tostring(cnt)
        strategy.entry(id, strategy.short)
        strategy.exit("exitShort " + str.tostring(cnt), id, stop=longTp, limit=longSl)
    cnt += 1

if short
    inn = close
    shortTp = inn - tpCoef * (shortSl - inn)
    if not reverse
        id = "short " + str.tostring(cnt)
        strategy.entry(id, strategy.short)
        strategy.exit("exitShort " + str.tostring(cnt), id, stop=shortSl, limit=shortTp)
    else
        id = "long " + str.tostring(cnt)
        strategy.entry(id, strategy.long)
        strategy.exit("exitLong " + str.tostring(cnt), id, stop=shortTp, limit=shortSl)
    cnt += 1