Pine script for Intraday backtesting Previous Day high and Previous Day Low Breakout strategy

In this article, I will try to explain the backtesting of range breakout strategy using Pine Script.

 

Intraday range breakout strategy is a well known concept among trading community. We will test previous day range breakout, as soon as underlying script crosses previous day high we will initate buy and opposite conditions for sell (if script goes below previous day low, we will sell it). We will keep fixed stop loss which is configurable.

 


// © ObserveNifty
//@version=4
strategy("Previous Day High and Low Breakout Strategy", overlay=true, calc_on_every_tick=true)

D_High = security(syminfo.tickerid, 'D', high[1])
D_Low = security(syminfo.tickerid, 'D', low[1])
D_Close = security(syminfo.tickerid, 'D', close[1])
D_Open = security(syminfo.tickerid, 'D', open[1])

// Go Long - if prev day high is broken
// Go Short - if prev day low is broken
plot(timeframe.isintraday ? D_High : na, title="Daily High", style=plot.style_line, color=#0000FF, linewidth=2)
plot(timeframe.isintraday ? D_Low : na, title="Daily Low", style=plot.style_line, color=#FF0000, linewidth=2)


Buy=crossover(high,D_High)
Sell=crossunder(low,D_Low)

if crossover(high,D_High)
    strategy.entry("Long", strategy.long, comment="Long")

if crossunder(low,D_Low)
    strategy.entry("Short", strategy.short, comment="Short")

if( hour(time) == 15 and minute(time) > 20)
    strategy.close("Short", comment="Short exit")
    strategy.close("Long", comment="Long exit")

stop_loss = input(title="Stop loss value", type=input.integer, defval=100)

// Determine stop loss price
longStopPrice  = strategy.position_avg_price - stop_loss
shortStopPrice = strategy.position_avg_price + stop_loss

if (strategy.position_size > 0)
    strategy.exit(id="Long", stop=longStopPrice, comment="Long exit")

if (strategy.position_size < 0)
    strategy.exit(id="Short", stop=shortStopPrice, comment="Short exit")

 

 I will try to revist this post to provide more explanation.

Happy Trading.

Comments

Post a Comment

Popular posts from this blog

Sending message to Telegram Group, User or Bot using Python

In Programming world, most of the time while automating a system/tasks you need to send completion or timely notification about the status. Now a days the easiest way of notification is WhatsApp or Telegram as our SMS and email boxes are mostly flooded with spams. In this article we will try to explain about telegram automation using simple Python script. Install json and telegram package using pip package manager: pip install json pip install python-telegram-bot read token of your telegram bot and chat_id from json file telegram_credentials.json call notify_(message) function from the point in your script where you need to send notification and pass token and chat_id to it. import json import telegram def notify_(message): t_bot = telegram.Bot(token=token) t_bot.sendMessage(chat_id=chat_id, text=message) with open('./telegram_credentials.json', 'r') as keys_file: k = json.load(keys_file) token = k['telegram_token'] chat_id...
Read more

Pinescript Code for Hilega Milega

Image
  Strategy and image Credit: NK@StockTalk //@version=3 // © ObserveNifty study("Hilega Milega Strategy by @ObserveNifty", overlay=true) //length_RSI = input(9) priceRSI = close rsi = rsi(priceRSI, 9) wma_rsi = wma(rsi, 21) ema_rsi = ema(rsi, 3) vwap_close = vwap(close) // Deternine if we are currently LONG isLong = false isLong := nz(isLong[1], false) // Determine if we are currently SHORT isShort = false isShort := nz(isShort[1], false) // buytrigger = not isLong and crossover(vrsi14,50) and crossover(vrsi5,70) buytrigger = not isLong and wma_rsi < ema_rsi and wma_rsi > 50 and close > vwap_close plotshape(buytrigger, title="Buy Signal Generated", text="Buy", textcolor=white, style=shape.labeldown, location=location.abovebar, color=red, transp=0, size=size.tiny) buyExit = isLong and (wma_rsi > ema_rsi or wma_rsi <= 50 or close < vwap_close) plotshape(buyExit, title="Exit Buy", text="Exit Buy", textcolor=wh...
Read more