probabilistics.pine

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © angelportinari17

//@version=5
strategy("Probabilistic Strategy", overlay=true, max_bars_back=5000, max_labels_count=500, margin_long=0.01, margin_short=0.01, initial_capital = 1000)
import Wpkenpachi/WpProbabilisticLib/1 as WpProb

// INPUTS
int days_before = input.int(1, "Qtd. Dias atrás", minval = 1, maxval = 50, step = 1)
int qtd_candles_before = input.int(89, "Qtd. Candles para trás", minval = 5, maxval = 500, step = 1)

opts() => ["NO", "AS_RED", "AS_GREEN"]
[opt_no, opt_as_red, opt_as_green] = opts() 
string consider_dojis = input.string("NO", "Considerar Dojis", options=["NO", "AS_RED", "AS_GREEN"])

float percent_diff_to_open_order = input.float(16, "Valor de %diff para entrar nas operações", minval=0, maxval=99, step=0.1)
float percent_to_break_pattern = input.float(9, "Valor de %diff para sair da operação", minval=0, maxval=100, step=0.1)
float qtd_tp_points_to_break_pattern = input.float(100, "Qtd em pontos de TAKE PROFIT", minval=1, step=1)
float qtd_sl_points_to_break_pattern = input.float(100, "Qtd em pontos de STOP LOSS", minval=1, step=1)
int qtd_ctt_default = input.int(1, "Quantidade de contratos padrão", minval=1, maxval=10000, step=1)

float cap_per_ctt = input.float(1000, "R$ para cada 1 Ctt", minval=100)
float cap_min_to_order = input.float(100, "R$ valor minimo para abrir uma ordem de 1Ctt na B3", minval=100)
float max_profit_percent_day = input.float(15, "Máximo % valor de alavancagem diária")
float max_drawdown = input.float(-800, "R$ valor de drawdown máximo do capital")
// ===

// STRATEGY VAS
var bool reached_max_drawdown = float(0)
var bool reached_daily_profit = bool(na)
var float daily_profit_meta = float(0)
var float last_day_profit_value = float(0)
var float daily_profit_value = float(0)

// CONSTANTS
MS_IN_3H = (1000 * 60 * 60 * 3)
MS_IN_24H = (1000 * 60 * 60 * 24)
current_time = time - MS_IN_3H
// ===


// TIME AND DATE FUNCTIONS AND CONSTS CHECKERS
IsSessionStart(sessionTime, sessionTimeZone=syminfo.timezone) =>
    inSess = not na(time(timeframe.period, sessionTime, sessionTimeZone))
    inSess and not inSess[1]

IsLastBarSession(sessionTime, sessionTimeZone=syminfo.timezone) =>
    var int lastBarHour   = na
    var int lastBarMinute = na
    var int lastBarSecond = na
    inSess = not na(time(timeframe.period, sessionTime, sessionTimeZone))
    if not inSess and inSess[1]
        lastBarHour   := hour[1]
        lastBarMinute := minute[1]
        lastBarSecond := second[1]
    hour == lastBarHour and minute == lastBarMinute and second == lastBarSecond
    
TimeInRange(tf, session) =>
    time(tf, session) != 0

IsBetween(period) =>
    TimeInRange(timeframe.period, period)

isToday = year(timenow) == year(time) and month(timenow) == month(time) and dayofmonth(timenow) == dayofmonth(time) + days_before ? true : false
isDaysBefore = year(timenow) == year(time) and month(timenow) == month(time) and dayofmonth(timenow - MS_IN_24H) == dayofmonth(time) + days_before ? true : false
isUnAvaliableTime = (IsBetween("0900-0916") or IsBetween("1000-1016") or IsBetween("1700-1802"))
// ===

// VARS ABOUE TIME

var int first_bar_today = int(na)
var int last_bar_today = int(na)
if isToday and IsBetween("0900-0901") and barstate.isfirst
    first_bar_today := bar_index
if isToday and barstate.islast
    last_bar_today := bar_index

var first_bar_last_day = int(na)
var last_bar_last_day = int(na)
if isDaysBefore and IsBetween("0900-0901")
    first_bar_last_day := bar_index
if isDaysBefore and IsLastBarSession("1754-1800")
    last_bar_last_day := bar_index
// ===

// Utils functions

// ===

// Strategy Calcs and variables
get_daily_profit() =>
    math.round(strategy.netprofit - last_day_profit_value, 2)
    
get_daily_profit_percent() =>
    math.round(get_daily_profit() * 100 / strategy.equity, 2)
//

// RUN TIME
if isDaysBefore and IsBetween("0900-0901")
    label.new(bar_index, y=na, text=str.tostring(bar_index), style=label.style_none, textcolor=color.white, yloc=yloc.abovebar, size=size.huge)
    
if isDaysBefore and IsLastBarSession("1754-1800")
    label.new(bar_index, y=na, text=str.tostring(bar_index), style=label.style_none, textcolor=color.white, yloc=yloc.abovebar, size=size.huge)
    

if ta.change(time("1D"))
    days_before += 1

if IsBetween("0900-0903") and IsSessionStart("0900-0905") // Starting Day
    reached_daily_profit := false
    daily_profit_meta := math.round((strategy.equity * max_profit_percent_day) / 100, 2)
    //string txt = "Profit Open: Cur[" + str.tostring(get_daily_profit()) + "] Meta[" + str.tostring(daily_profit_meta) + "]"
    //label.new(bar_index, y=na, text=txt, style=label.style_none, textcolor=color.green, yloc=yloc.abovebar, size=size.normal)
 

if IsBetween("1754-1800") and IsLastBarSession("1754-1800") // Closing Day
    daily_profit_value := 0
    //string txt = "Profit Close: Reached[" + str.tostring(get_daily_profit()) + " " + str.tostring(get_daily_profit_percent()) + "%]  Meta[" + str.tostring(daily_profit_meta) + "]"
    //label.new(bar_index, y=na, text=txt, style=label.style_none, textcolor=color.green, yloc=yloc.belowbar, size=size.normal)
    
    last_day_profit_value := get_daily_profit()
    
if barstate.isnew
    qtd_ctt_default := math.round(strategy.equity / cap_per_ctt)
    reached_max_drawdown := strategy.equity <= max_drawdown
    
    // Reached the daily profit meta
    reached_daily_profit := get_daily_profit() >= daily_profit_meta

var float diff_p = int(0)
var int lower_p = int(0)
[d_p, l_p] = WpProb.CandleTypePercentDiff(open, close, qtd_candles_before, consider_dojis)
if ta.change(time("1"))
    diff_p := d_p
    lower_p := l_p
    

    
if barstate.isnew and not na(bar_index[qtd_candles_before])
    bool entry_condition            = diff_p >= percent_diff_to_open_order and not strategy.opentrades
    bool close_condition_diff_back  = diff_p <= percent_to_break_pattern and strategy.opentrades
    bool has_equity_to_open_order   = (strategy.equity / cap_min_to_order) >= 1
    
    call_direction = lower_p == 1 ? strategy.long : strategy.short
    string call_direction_name = lower_p == 1 ? "BUY" : "SELL"
    
    if has_equity_to_open_order and not reached_max_drawdown and not reached_daily_profit
        strategy.entry(call_direction_name, call_direction, qtd_ctt_default, when = entry_condition)
        strategy.exit("[TAKE OR STOP]", call_direction_name, profit = qtd_tp_points_to_break_pattern, loss = qtd_sl_points_to_break_pattern)
    
    
    strategy.close_all(when = close_condition_diff_back, comment = "[DIFF_BACK]")
    strategy.close_all(when = reached_daily_profit, comment = "[DAILY_PROFIT_REACHED] " + str.tostring(get_daily_profit_percent()) + "%")
    strategy.close_all(when = strategy.opentrades and IsBetween("1730-1800"), comment = "[MARKET_WILL_CLOSE]")