Backtesting of Fuller strategy.

//@version=2 strategy("YK Fuller Strategy", overlay=true) pTail = input(title="Tail (default 51), %", type=integer, defval=51, minval=0, maxval=100) tail = pTail * 0.01 tail1 = 1 - tail ema1Value = input(title="EMA (default 8)", type=integer, defval=8, minval=1) ema2Value = input(title="EMA (default 21)", type=integer, defval=21, minval=1) minRlDistance = input(title="Minimum distance from Pin-Bar to the round level", type=float, defval=0, minval=0) floatCount = input(title="The count of digits after the decimal point (for example, 3 - for GBPJPY, 5 - for EURUSD )", type=integer, defval=5, minval=3, maxval=5) rDelimeter = (floatCount == 3) ? 1000 : (floatCount == 4 ? 10000 : 100000) intRoundLevel = close * rDelimeter intRemainder = intRoundLevel % 1000 toRound = (intRemainder >= 500) ? 1000 : 0 roundLevel = (intRoundLevel - intRemainder + toRound) / rDelimeter rlDistance = abs(close - roundLevel) showRl = input(title="Show round levels?", type=bool, defval=false) roundLevelPlot = iff(showRl, roundLevel, na) plot(roundLevelPlot, title='Round Level', color=lime, style=circles, linewidth=2) iIb = input(title="Ignore inside bars?", type=bool, defval=false) insideBar = iIb and ((high <= high[1] and low >= low[1]) or (high <= high[2] and low >= low[2] and high[1] <= high[2] and low[1] >= low[2]) or (high <= high[3] and low >= low[3] and high[2] <= high[3] and low[2] >= low[3] and high[1] <= high[3] and low[1] >= low[3]) or (high <= high[4] and low >= low[4] and high[3] <= high[4] and low[3] >= low[4] and high[2] <= high[4] and low[2] >= low[4] and high[1] <= high[4] and low[1] >= low[4]) or (high <= high[5] and low >= low[5] and high[4] <= high[5] and low[4] >= low[5] and high[3] <= high[5] and low[3] >= low[5] and high[2] <= high[5] and low[2] >= low[5] and high[1] <= high[5] and low[1] >= low[5]) or (high <= high[6] and low >= low[6] and high[5] <= high[6] and low[5] >= low[6] and high[4] <= high[6] and low[4] >= low[6] and high[3] <= high[6] and low[3] >= low[6] and high[2] <= high[6] and low[2] >= low[6] and high[1] <= high[6] and low[1] >= low[6]) or (high <= high[7] and low >= low[7] and high[6] <= high[7] and low[6] >= low[7] and high[5] <= high[7] and low[5] >= low[7] and high[4] <= high[7] and low[4] >= low[7] and high[3] <= high[7] and low[3] >= low[7] and high[2] <= high[7] and low[2] >= low[7] and high[1] <= high[7] and low[1] >= low[7]) or (high <= high[8] and low >= low[8] and high[7] <= high[8] and low[7] >= low[8] and high[6] <= high[8] and low[6] >= low[8] and high[5] <= high[8] and low[5] >= low[8] and high[4] <= high[8] and low[4] >= low[8] and high[3] <= high[8] and low[3] >= low[8] and high[2] <= high[8] and low[2] >= low[8] and high[1] <= high[8] and low[1] >= low[8]) or (high <= high[9] and low >= low[9] and high[8] <= high[9] and low[8] >= low[9] and high[7] <= high[9] and low[7] >= low[9] and high[6] <= high[9] and low[6] >= low[9] and high[5] <= high[9] and low[5] >= low[9] and high[4] <= high[9] and low[4] >= low[9] and high[3] <= high[9] and low[3] >= low[9] and high[2] <= high[9] and low[2] >= low[9] and high[1] <= high[9] and low[1] >= low[9]) or (high <= high[10] and low >= low[10] and high[9] <= high[10] and low[9] >= low[10] and high[8] <= high[10] and low[8] >= low[10] and high[7] <= high[10] and low[7] >= low[10] and high[6] <= high[10] and low[6] >= low[10] and high[5] <= high[10] and low[5] >= low[10] and high[4] <= high[10] and low[4] >= low[10] and high[3] <= high[10] and low[3] >= low[10] and high[2] <= high[10] and low[2] >= low[10] and high[1] <= high[10] and low[1] >= low[10])) ? true : false emaCrossing = input(title="ЕМА crossing?", type=bool, defval=true) ema1 = ema(close, ema1Value) ema2 = ema(close, ema2Value) height = high - low bodyHeight = abs(open - close) fakeHighUp = high - close fakeLowUp = open - low pinHeightUp = height - min(fakeHighUp, fakeLowUp) getPinBarUp(ema1, ema2) => open < close and ((rlDistance > minRlDistance and fakeHighUp * 2 < fakeLowUp and bodyHeight > fakeHighUp and ema1 >= low and close > ema1 and open > ema1 and close > ema2 and open > ema2 and ((emaCrossing and ema1 > ema2) or emaCrossing == false) and open > (close - pinHeightUp * tail1) and close > (high - pinHeightUp * tail1)) or (rlDistance > minRlDistance and fakeHighUp > fakeLowUp * 2 and bodyHeight > fakeLowUp and high >= ema1 and close < ema1 and close < ema2 and ((emaCrossing and ema1 < ema2) or emaCrossing == false) and open < (high - pinHeightUp * tail) and close < (high - pinHeightUp * tail))) ? true : false pinBarUp = getPinBarUp(ema1, ema2) fakeHighDn = high - open fakeLowDn = close - low pinHeightDn = height - min(fakeHighDn, fakeLowDn) getPinBarDn(ema1, ema2) => open > close and ((rlDistance > minRlDistance and fakeHighDn > fakeLowDn * 2 and bodyHeight > fakeLowDn and high >= ema1 and close < ema1 and open < ema1 and close < ema2 and open < ema2 and ((emaCrossing and ema1 < ema2) or emaCrossing == false) and open < (high - pinHeightDn * tail) and close < (high - pinHeightDn * tail)) or (rlDistance > minRlDistance and fakeHighDn * 2 < fakeLowDn and bodyHeight > fakeHighDn and ema1 >= low and ema1 < close and ema2 < close and ((emaCrossing and ema1 > ema2) or emaCrossing == false) and open > (open - pinHeightDn * tail1) and close > (open - pinHeightDn * tail1))) ? true : false pinBarDn = getPinBarDn(ema1, ema2) highlightBars = input(title="Highlight bars", type=bool, defval=true) barcolor((pinBarUp and highlightBars and insideBar == false) ? lime : na, title="Bullish bar") barcolor((pinBarDn and highlightBars and insideBar == false) ? red : na, title="Bearish bar") longCondition = ((pinBarUp and fakeHighUp < fakeLowUp) or (pinBarDn and fakeHighDn < fakeLowDn)) and insideBar == false lossProfit = input(title="Loss / Profit = 1 / X", type=float, defval=1, minval=0, maxval=10000) if longCondition and strategy.position_size == 0 strategy.entry("Long", strategy.long) lossValue = (close - low) * rDelimeter profitValue = lossValue * lossProfit strategy.exit("Close", "Long", loss=lossValue, profit=profitValue) shortCondition = ((pinBarDn and fakeHighDn > fakeLowDn) or (pinBarUp and fakeHighUp > fakeLowUp)) and insideBar == false if shortCondition and strategy.position_size == 0 strategy.entry("Short", strategy.short) lossValue = (high - close) * rDelimeter profitValue = lossValue * lossProfit strategy.exit("Close", "Short", loss=lossValue, profit=profitValue)