Strategy Code Example - Risk Management by JayRogers

*** THIS IS JUST AN EXAMPLE OF STRATEGY RISK MANAGEMENT CODE IMPLEMENTATION ***

For my own future reference, and for anyone else who needs it.

Pine script strategy code can be confusing and awkward, so I finally sat down and had a little think about it and put something together that actually works (i think...)

Code is commented where I felt might be necessary (pretty much everything..) and covers:

Take Profit
Stop Loss
Trailing Stop
Trailing Stop Offset

...and details how to handle the input values for these in a way that allows them to be disabled if set to 0, without breaking the strategy.exit functionality or requiring a silly amount of statement nesting.

Also shows how to use functions (or variables/series) to execute trade entries and exits.

Cheers!

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Disclaimer

The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

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//@version=2

strategy(title = "Strategy Code Example", shorttitle = "Strategy Code Example", overlay = true, pyramiding = 0, default_qty_type = strategy.percent_of_equity, default_qty_value = 10, currency = currency.GBP)

// Revision:        1
// Author:          @JayRogers
//
// *** THIS IS JUST AN EXAMPLE OF STRATEGY RISK MANAGEMENT CODE IMPLEMENTATION ***

// === GENERAL INPUTS ===
// short ma
maFastSource   = input(defval = open, title = "Fast MA Source")
maFastLength   = input(defval = 14, title = "Fast MA Period", minval = 1)
// long ma
maSlowSource   = input(defval = open, title = "Slow MA Source")
maSlowLength   = input(defval = 21, title = "Slow MA Period", minval = 1)

// === STRATEGY RELATED INPUTS ===
tradeInvert     = input(defval = false, title = "Invert Trade Direction?")
// the risk management inputs
inpTakeProfit   = input(defval = 1000, title = "Take Profit", minval = 0)
inpStopLoss     = input(defval = 200, title = "Stop Loss", minval = 0)
inpTrailStop    = input(defval = 200, title = "Trailing Stop Loss", minval = 0)
inpTrailOffset  = input(defval = 0, title = "Trailing Stop Loss Offset", minval = 0)

// === RISK MANAGEMENT VALUE PREP ===
// if an input is less than 1, assuming not wanted so we assign 'na' value to disable it.
useTakeProfit   = inpTakeProfit  >= 1 ? inpTakeProfit  : na
useStopLoss     = inpStopLoss    >= 1 ? inpStopLoss    : na
useTrailStop    = inpTrailStop   >= 1 ? inpTrailStop   : na
useTrailOffset  = inpTrailOffset >= 1 ? inpTrailOffset : na

// === SERIES SETUP ===
/// a couple of ma's..
maFast = ema(maFastSource, maFastLength)
maSlow = ema(maSlowSource, maSlowLength)

// === PLOTTING ===
fast = plot(maFast, title = "Fast MA", color = green, linewidth = 2, style = line, transp = 50)
slow = plot(maSlow, title = "Slow MA", color = red, linewidth = 2, style = line, transp = 50)

// === LOGIC ===
// is fast ma above slow ma?
aboveBelow = maFast >= maSlow ? true : false
// are we inverting our trade direction?
tradeDirection = tradeInvert ? aboveBelow ? false : true : aboveBelow ? true : false

// === STRATEGY - LONG POSITION EXECUTION ===
enterLong() => not tradeDirection[1] and tradeDirection // functions can be used to wrap up and work out complex conditions
exitLong() => tradeDirection[1] and not tradeDirection
strategy.entry(id = "Long", long = true, when = enterLong()) // use function or simple condition to decide when to get in
strategy.close(id = "Long", when = exitLong()) // ...and when to get out
// === STRATEGY - SHORT POSITION EXECUTION ===
enterShort() => tradeDirection[1] and not tradeDirection
exitShort() => not tradeDirection[1] and tradeDirection
strategy.entry(id = "Short", long = false, when = enterShort())
strategy.close(id = "Short", when = exitShort())

// === STRATEGY RISK MANAGEMENT EXECUTION ===
// finally, make use of all the earlier values we got prepped
strategy.exit("Exit Long", from_entry = "Long", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
strategy.exit("Exit Short", from_entry = "Short", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)

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