ZenLibrary

Oct 20, 2021

Library "ZenLibrary"
A collection of custom tools & utility functions commonly used with my scripts.

getDecimals() Calculates how many decimals are on the quote price of the current market
  Returns: The current decimal places on the market quote price

truncate(float, float) Truncates (cuts) excess decimal places
  Parameters:
    float: _number The number to truncate
    float: _decimalPlaces (default=2) The number of decimal places to truncate to
  Returns: The given _number truncated to the given _decimalPlaces

toWhole(float) Converts pips into whole numbers
  Parameters:
    float: _number The pip number to convert into a whole number
  Returns: The converted number

toPips(float) Converts whole numbers back into pips
  Parameters:
    float: _number The whole number to convert into pips
  Returns: The converted number

av_getPositionSize(float, float, float, float) Calculates OANDA forex position size for AutoView based on the given parameters
  Parameters:
    float: _balance The account balance to use
    float: _risk The risk percentage amount (as a whole number - eg. 1 = 1% risk)
    float: _stopPoints The stop loss distance in POINTS (not pips)
    float: _conversionRate The conversion rate of our account balance currency
  Returns: The calculated position size (in units - only compatible with OANDA)

getMA(int, string) Gets a Moving Average based on type
  Parameters:
    int: _length The MA period
    string: _maType The type of MA
  Returns: A moving average with the given parameters

getEAP(float) Performs EAP stop loss size calculation (eg. ATR >= 20.0 and ATR < 30, returns 20)
  Parameters:
    float: _atr The given ATR to base the EAP SL calculation on
  Returns: The EAP SL converted ATR size

barsAboveMA(int, float) Counts how many candles are above the MA
  Parameters:
    int: _lookback The lookback period to look back over
    float: _ma The moving average to check
  Returns: The bar count of how many recent bars are above the MA

barsBelowMA(int, float) Counts how many candles are below the MA
  Parameters:
    int: _lookback The lookback period to look back over
    float: _ma The moving average to reference
  Returns: The bar count of how many recent bars are below the EMA

barsCrossedMA(int, float) Counts how many times the EMA was crossed recently
  Parameters:
    int: _lookback The lookback period to look back over
    float: _ma The moving average to reference
  Returns: The bar count of how many times price recently crossed the EMA

getPullbackBarCount(int, int) Counts how many green & red bars have printed recently (ie. pullback count)
  Parameters:
    int: _lookback The lookback period to look back over
    int: _direction The color of the bar to count (1 = Green, -1 = Red)
  Returns: The bar count of how many candles have retraced over the given lookback & direction

getBodySize() Gets the current candle's body size (in POINTS, divide by 10 to get pips)
  Returns: The current candle's body size in POINTS

getTopWickSize() Gets the current candle's top wick size (in POINTS, divide by 10 to get pips)
  Returns: The current candle's top wick size in POINTS

getBottomWickSize() Gets the current candle's bottom wick size (in POINTS, divide by 10 to get pips)
  Returns: The current candle's bottom wick size in POINTS

getBodyPercent() Gets the current candle's body size as a percentage of its entire size including its wicks
  Returns: The current candle's body size percentage

isHammer(float, bool) Checks if the current bar is a hammer candle based on the given parameters
  Parameters:
    float: _fib (default=0.382) The fib to base candle body on
    bool: _colorMatch (default=false) Does the candle need to be green? (true/false)
  Returns: A boolean - true if the current bar matches the requirements of a hammer candle

isStar(float, bool) Checks if the current bar is a shooting star candle based on the given parameters
  Parameters:
    float: _fib (default=0.382) The fib to base candle body on
    bool: _colorMatch (default=false) Does the candle need to be red? (true/false)
  Returns: A boolean - true if the current bar matches the requirements of a shooting star candle

isDoji(float, bool) Checks if the current bar is a doji candle based on the given parameters
  Parameters:
    float: _wickSize (default=2) The maximum top wick size compared to the bottom (and vice versa)
    bool: _bodySize (default=0.05) The maximum body size as a percentage compared to the entire candle size
  Returns: A boolean - true if the current bar matches the requirements of a doji candle

isBullishEC(float, float, bool) Checks if the current bar is a bullish engulfing candle
  Parameters:
    float: _allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
    float: _rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
    bool: _engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
  Returns: A boolean - true if the current bar matches the requirements of a bullish engulfing candle

isBearishEC(float, float, bool) Checks if the current bar is a bearish engulfing candle
  Parameters:
    float: _allowance (default=0) How many POINTS to allow the open to be off by (useful for markets with micro gaps)
    float: _rejectionWickSize (default=disabled) The maximum rejection wick size compared to the body as a percentage
    bool: _engulfWick (default=false) Does the engulfing candle require the wick to be engulfed as well?
  Returns: A boolean - true if the current bar matches the requirements of a bearish engulfing candle

timeFilter(string, bool) Determines if the current price bar falls inside the specified session
  Parameters:
    string: _sess The session to check
    bool: _useFilter (default=false) Whether or not to actually use this filter
  Returns: A boolean - true if the current bar falls within the given time session

dateFilter(int, int) Determines if this bar's time falls within date filter range
  Parameters:
    int: _startTime The UNIX date timestamp to begin searching from
    int: _endTime the UNIX date timestamp to stop searching from
  Returns: A boolean - true if the current bar falls within the given dates

dayFilter(bool, bool, bool, bool, bool, bool, bool) Checks if the current bar's day is in the list of given days to analyze
  Parameters:
    bool: _monday Should the script analyze this day? (true/false)
    bool: _tuesday Should the script analyze this day? (true/false)
    bool: _wednesday Should the script analyze this day? (true/false)
    bool: _thursday Should the script analyze this day? (true/false)
    bool: _friday Should the script analyze this day? (true/false)
    bool: _saturday Should the script analyze this day? (true/false)
    bool: _sunday Should the script analyze this day? (true/false)
  Returns: A boolean - true if the current bar's day is one of the given days

atrFilter(float, float) Checks the current bar's size against the given ATR and max size
  Parameters:
    float: _atr (default=ATR 14 period) The given ATR to check
    float: _maxSize The maximum ATR multiplier of the current candle
  Returns: A boolean - true if the current bar's size is less than or equal to _atr x _maxSize

fillCell(table, int, int, string, string, color, color) This updates the given table's cell with the given values
  Parameters:
    table: _table The table ID to update
    int: _column The column to update
    int: _row The row to update
    string: _title The title of this cell
    string: _value The value of this cell
    color: _bgcolor The background color of this cell
    color: _txtcolor The text color of this cell
  Returns: A boolean - true if the current bar falls within the given dates

Oct 26, 2021

Release Notes

v2:
- Fixed time session filter (it was not working as intended)

Jan 13, 2022

Release Notes

v3:
- Removed underscore from "_x" parameter names to be consistent with Pine's inbuilt function parameter naming convention
- Removed inbuilt ATR call from function scope in atrFilter() so that it is guaranteed to be calculated properly on every tick (regardless of which scope you place the atrFilter() call in your script)
- Added getPctChange() function - returns the % change between two values over a lookback period
- Cannot remove MA calls from function scope of getMA() in library scripts due to length parameter being dynamic, so make sure to ALWAYS call that function on every calculation (ie. in your main script scope - just as you would with regular inbuilt MA() functions)

Mar 9, 2022

Release Notes

v4

Changes:
- Changed barsBelowMA and barsAboveMA to use ma instead of current ma value
- Changed timeFilter() to barInSession() - returns true if bar is inside given time session
- Added barOutSession() - returns true if bar is outside given time session
- Added isInsideBar() and isOutsideBar() candle pattern functions
- Added bearFib() and bullFib() fibonacci functions
- Added getEAP2() function - returns an alternative ATR stop loss formula to the getEAP() function

Added:
bullFib(priceLow, priceHigh, fibRatio) Calculates a bullish fibonacci value
  Parameters:
    priceLow: The lowest price point
    priceHigh: The highest price point
    fibRatio: The fibonacci % ratio to calculate
  Returns: The fibonacci value of the given ratio between the two price points

bearFib(priceLow, priceHigh, fibRatio) Calculates a bearish fibonacci value
  Parameters:
    priceLow: The lowest price point
    priceHigh: The highest price point
    fibRatio: The fibonacci % ratio to calculate
  Returns: The fibonacci value of the given ratio between the two price points

isInsideBar() Detects inside bars
  Returns: Returns true if the current bar is an inside bar

isOutsideBar() Detects outside bars
  Returns: Returns true if the current bar is an outside bar

barInSession(string, bool) Determines if the current price bar falls inside the specified session
  Parameters:
    string: sess The session to check
    bool: useFilter (default=true) Whether or not to actually use this filter
  Returns: A boolean - true if the current bar falls within the given time session

barOutSession(string, bool) Determines if the current price bar falls outside the specified session
  Parameters:
    string: sess The session to check
    bool: useFilter (default=true) Whether or not to actually use this filter
  Returns: A boolean - true if the current bar falls outside the given time session

Removed:
timeFilter(string, bool) Determines if the current price bar falls inside the specified session

Mar 9, 2022

Release Notes

Forgot to include export keyword for new getEAP2() function. 🤦‍♂️

Jan 19, 2024

Release Notes

v6

Added:
getPipSize()
  Calculates the pip size of the current market
  Returns: The pip size for the current market

Changed:
Improved toWhole() and toPips() function formula to work better across FX/Crypto/Stocks
Fixed bug with barsCrossedMA (it based count on crosses of current MA value instead of MA value for each previous bar)

Feb 14, 2024

Release Notes

v7

Updated:
getPipSize(multiplier)
  Calculates the pip size of the current market
  Parameters:
    multiplier (int) - The mintick point multiplier (1 by default, 10 for FX/Crypto/CFD if default of 1 is used - only override if your market requires it)
  Returns: The pip size for the current market

Aug 1, 2024

Release Notes

v8

Added some strategy helper functions:
random(minRange, maxRange)
  Wichmann–Hill Pseudo-Random Number Generator
  Parameters:
    minRange (float): The smallest possible number (default: 0)
    maxRange (float): The largest possible number (default: 1)
  Returns: A random number between minRange and maxRange

tradeCount()
  Calculate total trade count
  Returns: Total closed trade count

isLong()
  Check if we're currently in a long trade
  Returns: True if our position size is positive

isShort()
  Check if we're currently in a short trade
  Returns: True if our position size is negative

isFlat()
  Check if we're currentlyflat
  Returns: True if our position size is zero

wonTrade()
  Check if this bar falls after a winning trade
  Returns: True if we just won a trade

lostTrade()
  Check if this bar falls after a losing trade
  Returns: True if we just lost a trade

maxDrawdownRealized()
  Gets the max drawdown based on closed trades (ie. realized P&L). The strategy tester displays max drawdown as open P&L (unrealized).
  Returns: The max drawdown based on closed trades (ie. realized P&L). The strategy tester displays max drawdown as open P&L (unrealized).

totalPipReturn()
  Gets the total amount of pips won/lost (as a whole number)
  Returns: Total amount of pips won/lost (as a whole number)

longWinCount()
  Count how many winning long trades we've had
  Returns: Long win count

shortWinCount()
  Count how many winning short trades we've had
  Returns: Short win count

longLossCount()
  Count how many losing long trades we've had
  Returns: Long loss count

shortLossCount()
  Count how many losing short trades we've had
  Returns: Short loss count

breakEvenCount(allowanceTicks)
  Count how many break-even trades we've had
  Parameters:
    allowanceTicks (float): Optional - how many ticks to allow between entry & exit price (default 0)
  Returns: Break-even count

longCount()
  Count how many long trades we've taken
  Returns: Long trade count

shortCount()
  Count how many short trades we've taken
  Returns: Short trade count

longWinPercent()
  Calculate win rate of long trades
  Returns: Long win rate (0-100)

shortWinPercent()
  Calculate win rate of short trades
  Returns: Short win rate (0-100)

breakEvenPercent(allowanceTicks)
  Calculate break even rate of all trades
  Parameters:
    allowanceTicks (float): Optional - how many ticks to allow between entry & exit price (default 0)
  Returns: Break-even win rate (0-100)

averageRR()
  Calculate average risk:reward
  Returns: Average winning trade divided by average losing trade

unitsToLots(units)
  (Forex) Convert the given unit count to lots (multiples of 100,000)
  Parameters:
    units (float): The units to convert into lots
  Returns: Units converted to nearest lot size (as float)

getFxPositionSize(balance, risk, stopLossPips, fxRate, lots)
  (Forex) Calculate fixed-fractional position size based on given parameters
  Parameters:
    balance (float): The account balance
    risk (float): The % risk (whole number)
    stopLossPips (float): Pip distance to base risk on
    fxRate (float): The conversion currency rate (more info below in library documentation)
    lots (bool): Whether or not to return the position size in lots rather than units (true by default)
  Returns: Units/lots to enter into "qty=" parameter of strategy entry function

EXAMPLE USAGE:

string conversionCurrencyPair = (strategy.account_currency == syminfo.currency ? syminfo.tickerid : strategy.account_currency + syminfo.currency)
float fx_rate = request.security(conversionCurrencyPair, timeframe.period, close[barstate.isrealtime ? 1 : 0])[barstate.isrealtime ? 0 : 1]
if (longCondition)
strategy.entry("Long", strategy.long, qty=zen.getFxPositionSize(strategy.equity, 1, stopLossPipsWholeNumber, fx_rate, true))

skipTradeMonteCarlo(chance, debug)
  Checks to see if trade should be skipped to emulate rudimentary Monte Carlo simulation
  Parameters:
    chance (float): The chance to skip a trade (0-1 or 0-100, function will normalize to 0-1)
    debug (bool): Whether or not to display a label informing of the trade skip
  Returns: True if the trade is skipped, false if it's not skipped (idea being to include this function in entry condition validation checks)

Updated:
Fixed param commenting on all functions so code hints work properly in the Pine editor.

Removed (redundant/no longer should be used):
av_getPositionSize(balance, risk, stopPoints, conversionRate)
  Calculates OANDA forex position size for AutoView based on the given parameters

getEAP(atr)
  Performs EAP stop loss size calculation (eg. ATR >= 20.0 and ATR < 30, returns 20)

getEAP2(atr)
  Performs secondary EAP stop loss size calculation (eg. ATR < 40, add 5 pips, ATR between 40-50, add 10 pips etc)

Nov 30, 2024

Release Notes

v9

Updated script to Pine Script version 6. Utilized new ability to use security function in libraries to streamline the forex fixed-fractional position sizing function.

Updated:
getFxPositionSize(balance, risk, stopLossPips, lots, fxRate, symbolOverride)
  (Forex) Calculate fixed-fractional position size based on given parameters
  Parameters:
    balance (float): The account balance
    risk (float): The % risk (whole number)
    stopLossPips (float): Pip distance to base risk on
    lots (bool): Whether or not to return the position size in lots rather than units (true by default)
    fxRate (float): The conversion currency rate (-1 by default - script will auto-detect FX conversion pair, more info below in library documentation)
    symbolOverride (string): Directly specify the symbol to use for currency conversion (blank by default)
  Returns: Units/lots to enter into "qty=" parameter of strategy entry function

EXAMPLE USAGE:

if (longCondition) // Risk 1%
strategy.entry("Long", strategy.long, qty=zen.getFxPositionSize(strategy.equity, 1, stopLossPipsWholeNumber))

Apr 1

Release Notes

v10:

Tweaked getFxPositionSize() to take advantage of more Pine v6 functionality.

It now supports using strategy.equity for position size calculations, which is the default behaviour if you leave the "balance" parameter unassigned.

Also added the ability to specify the timeframe for currency conversions by adding a new parameter (useCurrentTF - false by default).

The library now uses the "D" daily timeframe for all currency conversions by default. This makes this FX position sizing function far more compatible with the bar replay feature, as the limitation of request.security()'s access to limited historical bars is no longer as problematic when running on the lower intraday timeframes.

In other words, the default behaviour of this function is to now use the previous historical end-of-day FX rates for the position size calculations instead of the current intrabar prices. This shouldn't affect the calculation's accuracy much, but enables the script to run on far more historical bars in the bar replay mode.

To force the function to use matching intrabar data for more accurate bar-by-bar currency conversion rates simply set the parameter "useCurrentTF=true" - but note that doing this will likely break the position sizing calculations within the bar replay feature.

Updated:
getFxPositionSize(risk, stopLossPips, lots, balance, fxRate, symbolOverride, useCurrentTF)
  (Forex) Calculate fixed-fractional position size based on given parameters
  Parameters:
    risk (float): The % risk (whole number)
    stopLossPips (float): Pip distance to base risk on
    lots (bool): Whether or not to return the position size in lots rather than units (true by default)
    balance (float): The account balance
    fxRate (float): The conversion currency rate (-1 by default - script will auto-detect FX conversion pair, more info below in library documentation)
    symbolOverride (string): Directly specify the symbol to use for currency conversion (blank by default)
    useCurrentTF (bool): Use the matching intrabar for currency conversion instead of daily FX data - note: this will give more accurate conversion FX rates, but limits bar replay functionality
  Returns: Units/lots to enter into "qty=" parameter of strategy entry function

EXAMPLE USAGE:

if (longCondition) // Risk 1%
strategy.entry("Long", strategy.long, qty=zen.getFxPositionSize(1, stopLossPipsWholeNumber, true, strategy.equity))