zelibobla

Keltner bounce from border. No repaint. (by Zelibobla)

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WARNING: despite of strategy doesn't use future data (not repaints) it doesn't consider broker`s commissions, which can be harmful for real life high frequency trading.
Strategy works well on ES futures short bars like 1min.
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//@version=2
strategy("Keltner bounce from border. No repaint. (by Zelibobla)", shorttitle="Keltner border bounce", overlay=true)

price = open

// build Keltner
keltnerLength = input(defval=20, minval=1, title="Keltner EMA Period Length")
keltnerDeviation = input(defval=2, minval=1, maxval=5, title="Keltner band width (in ATRs)")
closeOnEMATouch = input(type=bool, defval=false, title="Close trade on EMA touch? (less drawdown, but less profit and higher commissions impact)")
EMA = sma(price, keltnerLength)
ATR = atr(keltnerLength)
top = EMA + ATR * keltnerDeviation
bottom = EMA - ATR * keltnerDeviation

buyEntry = crossover(price, bottom)
sellEntry = crossunder(price, top)
plot(EMA, color=aqua,title="EMA")
p1 = plot(top, color=silver,title="Keltner top")
p2 = plot(bottom, color=silver,title="Keltner bottom")
fill(p1, p2)

if ( crossover(price, bottom))
    strategy.entry("BUY", strategy.long, stop=bottom, oca_type=strategy.oca.cancel, comment="BUY")

if( crossover(price,EMA) and closeOnEMATouch )
    strategy.close("BUY")
    
if ( crossunder(price, top))
    strategy.entry("SELL", strategy.short, stop=top, oca_type=strategy.oca.cancel, comment="SELL")
if( crossunder(price, EMA) and  closeOnEMATouch )
    strategy.close("SELL")
Is it possible to build something into to the code that would subtract commissions?
Reply
As far as I see from docs: https://docs.google.com/document/d/1sCfC873xJEMV7MGzt1L70JTStTE9kcG2q-LDuWWkBeY/edit commissions could not be considered on strategy backtesting yet. There is related feature request https://getsatisfaction.com/tradingview/topics/adding-slippage-and-commission-to-the-backtesting-engine
I'd appreciate if you upvote it.

Currently to consider commissions impact you can just multiply number of transactions (accessed in «List of trades» tab on strategy test window) or transaction cost.
Reply
Please take a look on second version of this strategy:
Keltner bounce from border. No repaint. V2 (by Zelibobla)
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