Indicator level exit

indicator_exit.jl

# Built on Julia v1.0
# Indicator Exit


########################################
# No overnight trades
########################################

# dummy h l c
c = [2,3,4,5,6,7,10,7,4,5,5,3,2,1,3,4,5,10,11,12,13,14,15,11,5,6,5,6,7,8]
some_entry_signal = [0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0]  # any type of signal entry
indicator_level = [0.1,0.1,0.5,0.9,0.9,0.9,0.9,0.9,0.2,0.1,0.5,0.4,0.8,0.9,0.95,0.1,0.1,0.5,0.9,0.9,0.9,0.9,0.9,0.2,0.1,0.5,0.4,0.8,0.9,0.95]
time_index = ["09:00","09:30","10:00","10:30","15:00","11:30","15:00","11:00","13:00","13:30","11:00","15:00","12:00","09:00","09:30","10:00","10:30","11:00","11:30","12:00","12:30","15:00","09:30","10:00",
"10:30","11:00","11:30","12:00","12:30","13:00"]

# Set indicator_levelicator exit cross over threshold
exit_level = 0.9

# for loop for indicator exit
# note trade_state switches between on and off so we only trigger exit when in a trade
entry_out = zeros(size(some_entry_signal,1))
exit_out = zeros(size(some_entry_signal,1))
let trade_state = "off"
for i = 2:size(indicator_level,1)
     #i = 19
    if some_entry_signal[i] == 1
        trade_state = "on"
        entry_out[i] = 1
    else
        entry_out[i] = 0
    end
    # Only fire exit signal if in a trade
    if trade_state == "on" && time_index[i] != "15:00"
    if (indicator_level[i] >= exit_level) & (indicator_level[i-1] < exit_level)
        exit_out[i] = 2
        trade_state = "off"
        # if not in a trade do not trigger an exit
        # Cross over
    elseif (indicator_level[i] >= exit_level) & (indicator_level[i-1] < exit_level) && trade_state == "off"
        exit_out[i] = 0
    end
elseif trade_state == "on" && time_index[i] == "15:00"
    exit_out[i] = 2.0
    trade_state = "off"
end
end
end

# combine entry and exit
signal = entry_out .+ exit_out

# Fill the trade between entry and exit with 1's
all_signal = zeros(size(indicator_level,1))
for i = 2:length(signal)
    if signal[i] == 1.0
        all_signal[i] = 1.0
    end
    if signal[i] == 0.0 && all_signal[i-1] == 1.0
        all_signal[i] = 1
    end
    if signal[i-1] == 2.0 && signal[i] == 0.0
        all_signal[i-1] = 1.0
    end
end


# validate output is as intended
validation = hcat(other_signal_type,indicator_level,entry_out,exit_out,all_signal,time_index)

###########################################
#  indicator_level entry and exit
###########################################
entry_level = 0.1
exit_level = 0.9

entry_out = zeros(size(signal,1))
exit_out = zeros(size(signal,1))
let trade_state = "off"
for i = 2:size(indicator_level,1)
     #i = 19
    if (indicator_level[i] <= entry_level) && (indicator_level[i-1] > entry_level) == 1
        trade_state = "on"
        entry_out[i] = 1
    else
        entry_out[i] = 0
    end
    # Only fire exit signal if in a trade
        if trade_state == "on" && time_index[i] != "15:00"
    if (indicator_level[i] >= exit_level) & (indicator_level[i-1] < exit_level)
        exit_out[i] = 2
        trade_state = "off"
        # if not in a trade do not trigger an exit
        # Cross over
    elseif (indicator_level[i] >= exit_level) & (indicator_level[i-1] < exit_level) && trade_state == "off"
        exit_out[i] = 0
    end
elseif trade_state == "on" && time_index[i] == "15:00"
    exit_out[i] = 2.0
    trade_state = "off"
end
end
end

# combine entry and exit
signal = entry_out .+ exit_out

# Fill the trade between entry and exit with 1's
all_signal = zeros(size(indicator_level,1))
for i = 2:length(signal)
    if signal[i] == 1.0
        all_signal[i] = 1.0
    end
    if signal[i] == 0.0 && all_signal[i-1] == 1.0
        all_signal[i] = 1
    end
    if signal[i-1] == 2.0 && signal[i] == 0.0
        all_signal[i-1] = 1.0
    end
end

# validate output is as intended
validation = hcat(other_signal_type,indicator_level,entry_out,exit_out,all_signal,time_index)

####################################################################
# Carry trades into next session
####################################################################
# Built on Julia v1.0
# Indicator Exit

# dummy h l c
c = [2,3,4,5,6,7,10,7,4,5,5,3,2,1,3,4,5,10,11,12,13,14,15,11,5,6,5,6,7,8]
some_entry_signal = [0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0]  # any type of signal entry
indicator_level = [0.1,0.1,0.5,0.9,0.9,0.9,0.9,0.9,0.2,0.1,0.5,0.4,0.8,0.9,0.95,0.1,0.1,0.5,0.9,0.9,0.9,0.9,0.9,0.2,0.1,0.5,0.4,0.8,0.9,0.95]

# Set indicator_levelicator exit cross over threshold
exit_level = 0.9

# for loop for indicator exit
# note trade_state switches between on and off so we only trigger exit when in a trade
entry_out = zeros(size(some_entry_signal,1))
exit_out = zeros(size(some_entry_signal,1))
let trade_state = "off"
for i = 2:size(indicator_level,1)
     #i = 19
    if some_entry_signal[i] == 1
        trade_state = "on"
        entry_out[i] = 1
    else
        entry_out[i] = 0
    end
    # Only fire exit signal if in a trade
    if (indicator_level[i] >= exit_level) & (indicator_level[i-1] < exit_level) && trade_state == "on"
        exit_out[i] = 2
        trade_state = "off"
        # if not in a trade do not trigger an exit
        # Cross over
    elseif (indicator_level[i] >= exit_level) & (indicator_level[i-1] < exit_level) && trade_state == "off"
        exit_out[i] = 0
    end
end
end

# combine entry and exit
signal = entry_out .+ exit_out

# Fill the trade between entry and exit with 1's
all_signal = zeros(size(indicator_level,1))
for i = 2:length(signal)
    if signal[i] == 1.0
        all_signal[i] = 1.0
    end
    if signal[i] == 0.0 && all_signal[i-1] == 1.0
        all_signal[i] = 1
    end
    if signal[i-1] == 2.0 && signal[i] == 0.0
        all_signal[i-1] = 1.0
    end
end


# validate output is as intended
validation = hcat(other_signal_type,indicator_level,entry_out,exit_out,all_signal)

# indicator_level entry and exit
entry_level = 0.1
exit_level = 0.9

entry_out = zeros(size(signal,1))
exit_out = zeros(size(signal,1))
let trade_state = "off"
for i = 2:size(indicator_level,1)
     #i = 19
    if (indicator_level[i] <= entry_level) && (indicator_level[i-1] > entry_level) == 1
        trade_state = "on"
        entry_out[i] = 1
    else
        entry_out[i] = 0
    end
    # Only fire exit signal if in a trade
    if (indicator_level[i] >= exit_level) & (indicator_level[i-1] < exit_level) && trade_state == "on"
        exit_out[i] = 2
        trade_state = "off"
        # if not in a trade do not trigger an exit
        # Cross over
    elseif (indicator_level[i] >= exit_level) & (indicator_level[i-1] < exit_level) && trade_state == "off"
        exit_out[i] = 0
    end
end
end