L2PR BO ver

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © blackcat1402
// Based on Original L2 Price Retracement Reminder Strategy
//@version=4
strategy("L2 PRRS - BO", overlay=true,
  max_bars_back = 5000,
  currency=currency.NONE,
  initial_capital=100000,
  default_qty_type=strategy.fixed,
  default_qty_value=100,
  commission_type=strategy.commission.percent,
  commission_value=0,
  process_orders_on_close=true,
  calc_on_every_tick=true,
  calc_on_order_fills=false,
  pyramiding = 0,
  slippage = 0)

strat_dir_input = input(title="Strategy Direction", defval="all", options=["long", "short", "all"])
strat_dir_value = strat_dir_input == "long" ? strategy.direction.long : strat_dir_input == "short" ? strategy.direction.short : strategy.direction.all
strategy.risk.allow_entry_in(strat_dir_value)


testStartYear = input(2020, "Backtest Start Year")
testStartMonth = input(8, "Backtest Start Month")
testStartDay = input(15, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testPeriodValid = time >= testPeriodStart

//function definition
xsa(src,len,wei) =>
    sum = 0.0
    ma = 0.0
    out = 0.0
    sum := nz(sum[1]) - nz(src[len]) + src
    ma := na(src[len]) ? na : sum/len
    out := na(out[1]) ? ma : (src*wei+out[1]*(len-wei))/len
    out

//inputs
//moving average lookback for rsi
xsalb = input(3, title="xsalookback", type=input.integer, minval = 1)
//overbought threshold
obth = input(85, title="overbought threshold", type=input.integer, minval = 1)
// set trade expiry time manually in bars
timeframe = input(title="Timeframe", type=input.integer, minval=1, defval=3)

//algorithm
//calculate RSI(3)
lc = close[1]
rsin = ((xsa(max((close - lc),0),xsalb,1) / xsa(abs((close - lc)),xsalb,1)) * 100)


//define fast line as ema3 and slow line as ema21
ff = ema(close,3)
ma21 = ema(close,21)


//up trend with lime and down trend with red
barcolor(ma21>=ma21[1]?color.lime:color.red)
barcolor(ma21<ma21[1]?color.red:color.lime)


// use crosses to identify buy and selling points
// plotchar(crossover(ff,ma21), char='B', location=location.belowbar, color=color.lime,size=size.small)
// plotchar(crossunder(ff,ma21), char='S', location=location.abovebar, color=color.red,size=size.small)


shortCondition = crossover(ff,ma21) and testPeriodValid
longCondition = crossunder(ff,ma21) or crossunder(rsin,obth) and testPeriodValid

// plotchar(buy, char='B', location=location.belowbar, color=color.lime,size=size.small)
// plotchar(sel, char='S', location=location.abovebar, color=color.red,size=size.small)


//if RSI(3) crossunder overbought threshold then it is a selling point due to retracement happen
// plotchar(crossunder(rsin,obth), char='S', location=location.abovebar, color=color.yellow,size=size.small)


//plot guideline and bull-bear boarder
guideline = ema((ema(close,4)+ema(close,6)+ema(close,12)+ema(close,24))/4,2)
boarder = sma(close,27)

plot(guideline, color=color.white,linewidth=2)
plot(boarder, color=color.yellow,linewidth=2)

//strategy setting

shortLossPerc = input(title="Long Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=3) * 0.01
longLossPerc = input(title="Short Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=3) * 0.01

// Determine stop loss price
shortStopPrice  = strategy.position_avg_price * (1 - longLossPerc)
longStopPrice = strategy.position_avg_price * (1 + shortLossPerc)

if (longCondition and guideline>boarder)
    strategy.entry("Buy", strategy.long)
if (shortCondition and guideline>boarder)
    strategy.entry("Sell", strategy.short)
//if (shortCondition and guideline>boarder and strategy.position_size > 0 )
//    strategy.close("Buy")
//if (longCondition and guideline<boarder and strategy.position_size < 0 )
//    strategy.close("Sell")

// triggers trade expiry time as set by timeframe input
bars = barssince(strategy.opentrades == 0)
strategy.close_all(when=(bars>=timeframe))