RSI Ssa v10

EnableHighSpeedUpdates(true)
HideOrderSettings()
HideTradeAmountSettings()
SetFee(-0.02) -- for backtesting


local report = GetTradingReport()
--local los_pos = (report.losingPositions)

local posPnL = GetPositionProfit(pezId)




-- inputs
    local TOTAL_margin = Input('Total Bet Margin', 100, 'Total margin used of quote currency (e.g. USDT)', 'POSITIONS')
    local short = Input('allow short', true)
    local long = Input('allow long', true)
    local lower_diffthresh = Input('lower diff thresh', 10, 'when the diff crosses this (and is below the upper threshold), it will trigger an entry')
    local diff_gapsize =  Input('upper diff offset', 4, 'how far above the lower thresh to place the upper thresh')
    local upper_diffthresh = lower_diffthresh + diff_gapsize
    local tp = Input('take profit', 0.1)
    local sl = Input('stop loss', 2)
    local order_offset = Input('entry price offset', 0.2, '')
    local order_timeout_input = Input('order timeout (min)', 45)
    local order_timeout = order_timeout_input * 60
    local timeoutLen = Input('Stoploss Cooldown length (min)', 120, 'The length of cooldown (in minutes) after stop-loss. This will also stop entries after an abnormality in Vol, Price or fast RSI')
    local volMult = Input('Vol Abnormal Multiplier', 2.6)
    local price_mult = Input('Price Abnormal Multiplier', 2.6, 'blocks entries')
    local rsi_s_mult = Input('RSI fast Abnormal Multiplier', 2.6, 'this 1min RSI will block new entries if it spikes, for cooldown length. Range 2-3')
    local rsi_period = Input('RSI fast period', 14)
    local forecast_len = Input('forecast length', 5, '')
    local forecast_num = Input('forecast number', 6, '')
    local forecast_count = Input('forecast count', 8, '')
-- data
    local ob = GetOrderbook()
    local cp = CurrentPrice()
    local c = ClosePrices()
    local c1 = ClosePrices(1)
    local rsi = RSI(c, rsi_period)
    local ssa = SimpleForecastBySsa(rsi, forecast_len, forecast_num, forecast_count)
    local ssa2 = ArrayGet(ssa, forecast_num)
    local profit = GetBotProfit()
    local vol = GetVolume()

-- values
    local timeout = Load('timeout', 0)
    local diff = Abs(rsi - ssa2)
    local rsi_short = RSI(c1, 14)
    local RSI_shortAb = IsAbnormal(rsi_short, rsi_s_mult)
    local vol_ab = IsAbnormal(vol, volMult)
    local cv = ContractValue()
    local total_amount = TOTAL_margin/cv * Leverage()
    local ab_price = IsAbnormal(c1, price_mult)



-- positions
    local pezId = Load('pezId', NewGuid())
    local position = PositionContainer(pezId)

-- memory
    local leid = Load('leid', '')
    local seid = Load('seid', '')
    local xeid = Load('xeid', '')

-- price adjustment functions
    function adjustBuyPrice(price)
        price = SubPerc(ob.bidPrices[1], order_offset)
 
        return price
    end
 
    function adjustSellPrice(price)
        price = AddPerc(ob.askPrices[1], order_offset)
 
        return price
    end
    
    function getExitPrice(isLong)
        return isLong
            and AddPerc(position.enterPrice, tp)
            or SubPerc(position.enterPrice, tp)
    end

-- remove plot on backtests
    function removeOrders()
        if (leid != '' and not IsOrderOpen(leid)) then
            CancelAllOrders(pezId)
            newPosition()
            Log('canceld leid', DarkGreen)
        elseif (seid != '' and not IsOrderOpen(seid)) then
            CancelOrder(pezId)
            newPosition()
            Log('canceld seid', Red)
        end
    end

-- position helper
    function newPosition()
        index = 0
        xeid = ''
        leid = ''
        seid = ''
        pezId = NewGuid()
    end

-- stoploss function
    function execStopLossExit()
        if IsAnyOrderOpen() then
            CancelAllOrders(pezId)
 
        elseif position.isLong or position.isShort then
            LogWarning('Executing a hard exit!')
            PlaceExitPositionOrder(pezId, {type = MarketOrderType, note='SL'})
            newPosition()
            LogWarning('--- SL cutoff')
        end
        timeout = Time() + ((timeoutLen * 60)*2)
    end

-- update orders when in a position
    function updateOrders(isLong)

        if not RSI_shortAb and not vol_ab then
            execStopLossExit()
        end


        local slPrice = isLong
            and SubPerc(position.enterPrice, sl)
            or AddPerc(position.enterPrice, sl)

        if (isLong and cp.bid < slPrice)
        or (not isLong and cp.ask > slPrice) then
            execStopLossExit()
        end

        if leid != '' or seid != '' then
            Plot(0, 'SL', slPrice, {c=Fuchsia(50), id=pezId})
        end

        if (xeid == '' or (xeid != '' and IsOrderOpen(xeid) == false and IsOrderFilled(xeid) == false)) then
            local exitPrice = getExitPrice(isLong)

                xeid = PlaceExitPositionOrder({
                positionId = pezId,
                price = exitPrice,
                type=LimitOrderType,
                note='Take Profit',
                timeout=604800
                })
        end

    end

    local not_abnormal = RSI_shortAb and vol_ab and ab_price


    if (GetPositionDirection(pezId) == NoPosition) and not not_abnormal then
        CancelAllOrders(pezId)
        newPosition()
    end    


-- entry logic
    if (GetPositionDirection(pezId) == NoPosition) and TradeOncePerBar() then 
        local long_price = adjustBuyPrice(cp.bid)
        local short_price = adjustSellPrice(cp.ask)
        if CrossOver(diff, lower_diffthresh) and (diff < upper_diffthresh) and timeout < Time() then
            if not_abnormal then
                if rsi < ssa2 and long then
                    if leid == '' and xeid == '' and seid == '' then
                        leid = PlaceGoLongOrder(long_price, total_amount, {type=LimitOrderType, note='Long Entry', timeout=order_timeout, positionId=pezId})
                    end
                end
                if rsi > ssa2 and short then
                    if seid == '' and xeid == '' and leid == '' then
                        seid = PlaceGoShortOrder(short_price, total_amount, {type=LimitOrderType, note='Short Entry', timeout=order_timeout, positionId=pezId})
                    end
                end
            end
        end
    end

-- updating orders

    if xeid != '' and IsOrderFilled(xeid) then
        Log('xeid filled', Green(30)) 
        CancelAllOrders(pezId)
        newPosition()
    
    elseif (GetPositionDirection(pezId) == PositionLong)  then
        updateOrders(true)
        
    elseif (GetPositionDirection(pezId) == PositionShort) then
        updateOrders(false)
    
    elseif (seid != '' and not IsOrderOpen(seid)) or (leid != '' and not IsOrderOpen(leid)) then
        Log('remove', Cyan(40))
        removeOrders()
    end




-- plot
     
    if not RSI_shortAb then
        PlotShape(5, ShapeCross, Yellow, 3)
        timeout = Time() + timeoutLen * 60
    end
    if not vol_ab then
        PlotShape(7, ShapeCross, Yellow , 3)
        timeout = Time() + timeoutLen * 60
    end

    if not ab_price then
        PlotShape(0, ShapeCross, Teal, 2, false)
        timeout = Time() + timeoutLen * 60
    end

    ChartSetOptions(0, '', 0.75)
    ChartSetOptions(2, 'rsi ssa', 0.3)
    ChartSetOptions(4, 'diff', 0.25)
    ChartSetOptions(5, 'rsi fast', 0.25)
    ChartSetOptions(7, 'volc', 0.25)
    ChartSetOptions(8, 'PnL', 0.25)

    
    if xeid != '' and IsOrderOpen(xeid) then
        Plot(0, 'xeid', OrderContainer(xeid).price, {c=Aqua, id=pezId})
    end

    if leid != '' and IsOrderOpen(leid) then
        Plot(0, 'leid', OrderContainer(leid).price, {c=Green, id=pezId})
    end
    
    if seid != '' and IsOrderOpen(seid) then
        Plot(0, 'seid', OrderContainer(seid).price, {c=Red, id=pezId})
    end

    
    local diffplot = Plot(4, 'diff', diff, Yellow(60)) 
    local prof_plot = Plot(8, "PnL", profit, Green(40))
    local unprof_plot = Plot(8, "posPnL", posPnL, Green(30))
    Plot(2, "rsi", rsi)
    Plot(2, "ssa2", ssa2, White)
    Plot(4, 'upper_diffthresh', upper_diffthresh, LineOptions(White,Spiked,Dashed))
    Plot(4, 'lower_diffthresh', lower_diffthresh, LineOptions(White,Spiked,Dashed))
    Plot(5, "rsi_short", rsi_short, Cyan(20))
    PlotVolume(7, Green(30), Red(30))
    Plot(7, "", 0, White(1))
    PlotDoubleColor(diffplot, lower_diffthresh, Cyan, Yellow(5))
    PlotDoubleColor(prof_plot, 0, Red)
    PlotDoubleColor(unprof_plot, 0, Red(50))



    Save('timeout', timeout)
    Save('pezId', pezId)
    Save('leid', leid)
    Save('seid', seid)
    Save('xeid', xeid)



    local maxPnLDD = Load('maxPnLDD', 0)
    if posPnL < maxPnLDD then
        maxPnLDD = posPnL
    end
    Save('maxPnLDD', maxPnLDD)


    Finalize(function()
        CustomReport('Max Drawdown', Round(maxPnLDD, 2))
        --CustomReport('Losing Positions', los_pos)
    end)