Williams %R Cross Strategy with 200 MA Filter by peterb1234
By peterb1234
Performance Metrics
- Author: peterb1234
- Symbol: TVC:DJI
- Timeframe: 5 minutes
- Net P&L: +35,179.80 USD (+354.81%)
- Win Rate: 31.7%
- Profit Factor: 1.323
- Max Drawdown: 18,458.94 USD (30.38%)
- Total Trades: 467
- Sharpe Ratio: 0.456
Description
1. The script is a trading strategy based on the Williams %R indicator and a 200-period moving average (MA) filter.2. The user can input the length of the Williams %R indicator (`wrLength`), the threshold for %R crossing (`crossPips`), the take profit level in pips (`takeProfitPips`), and the stop loss level in pips (`stopLossPips`).3. The script calculates the Williams %R using the `ta.highest` and `ta.lowest` functions to find the highest high and lowest low over the specified length (`wrLength`).4. It also calculates a 200-period simple moving average (`ma200`) using the `ta.sma` function.5. The entry conditions are defined as follows: - For a long entry, it checks if the Williams %R crosses above the -50 line by a threshold of `crossPips` and if the close price is above the 200-period MA. - For a short entry, it checks if the Williams %R crosses below the -50 line by a threshold of `crossPips` and if the close price is below the 200-period MA.6. The exit conditions are defined as follows: - For a long position, it checks if the close price reaches the take profit level (defined as the average entry price plus `takeProfitPips` in pips) or the stop loss level (defined as the average entry price minus `stopLossPips` in pips). - For a short position, it checks if the close price reaches the take profit level (defined as the average entry price minus `takeProfitPips` in pips) or the stop loss level (defined as the average entry price plus `stopLossPips` in pips).7. The script uses the `strategy.entry` function to place long and short orders when the respective entry conditions are met.8. It uses the `strategy.close` function to close the long and short positions when the respective exit conditions are met.The script allows you to customize the parameters such as the length of Williams %R, the crossing threshold, take profit and stop loss levels, and the moving average period to suit your trading preferences.