zhutoutoutousan
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SSE Index Multi-Timeframe RSI Momentum Strategy with EMA Distance Trading
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Strategy Overview:
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This advanced momentum-based trading system is specifically designed for the Shanghai Stock Exchange (SSE) Index, capturing RSI bounce opportunities across multiple timeframes while incorporating sophisticated EMA distance-based entries. The strategy combines traditional RSI oversold/overbought analysis with modern volatility-adjusted position management.
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Core Trading Logic:
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Weekly RSI Signals: Large position entries (10% equity) when weekly RSI crosses above 30 after being oversold, targeting major trend reversals
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Daily RSI Signals: Medium position entries (5% equity) when daily RSI crosses above 30, capturing short-term momentum shifts
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EMA Distance Entries: Strategic entries (7.5% equity) when price extends 50+ pips from 200 EMA while remaining above it, exploiting mean reversion opportunities
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Risk Management System:
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Partial Profit Taking: Both RSI positions scale out 25% when daily RSI becomes overbought (>70), allowing multiple profit captures
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Complete Weekly Exits: All weekly positions close when weekly RSI becomes overbought, ensuring trend-following discipline
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EMA Crossover Exits: EMA distance trades exit cleanly when price crosses below 50 EMA, providing responsive trend change detection
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Emergency Exit: Master exit when EMA crosses above price, protecting all positions during major trend reversals
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Advanced Features:
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Concurrent Position Management: Up to 100 pyramiding positions across three distinct entry strategies
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Multi-Timeframe Analysis: Seamlessly integrates weekly and daily RSI data regardless of chart timeframe
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Real-Time Monitoring: Comprehensive information table displaying RSI levels, EMA distances, position quantities, and trade counts
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Visual Feedback System: Color-coded entry/exit signals with background highlighting for immediate market condition recognition
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Ideal Market Conditions:
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Optimized for volatile, emotion-driven markets like Chinese equities where RSI bounces from oversold levels frequently create profitable momentum shifts. The strategy's multiple entry mechanisms ensure comprehensive market coverage while sophisticated exit rules protect capital during adverse conditions.
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Technical Requirements:
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Recommended for SSE Composite Index, SSE 50, or related Chinese equity ETFs
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Best performance on daily charts with sufficient historical data
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Suitable for accounts with minimum $10,000 capital for effective position sizing
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This strategy represents a complete trading system combining technical analysis fundamentals with modern risk management principles, specifically calibrated for the unique characteristics of Chinese equity markets.
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//@version=6
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strategy("SSE Index RSI Bounce Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, initial_capital=10000, pyramiding=100, calc_on_every_tick=false, calc_on_order_fills=false)
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// Input parameters
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rsi_length = input.int(17, "RSI Length", minval=1)
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rsi_oversold = input.int(27, "RSI Oversold Level", minval=1, maxval=50)
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rsi_overbought = input.int(86, "RSI Overbought Level", minval=50, maxval=100)
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ema_length = input.int(177, "EMA Length", minval=1)
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weekly_position_size = input.float(14.0, "Weekly Signal Position Size (%)", minval=0.1, maxval=100)
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daily_position_size = input.float(11.0, "Daily Signal Position Size (%)", minval=0.1, maxval=100)
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partial_exit_percent = input.float(41.0, "Partial Exit Percentage on Daily RSI Overbought (%)", minval=10.0, maxval=50.0)
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// New EMA Distance Trading Parameters
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ema_distance_threshold = input.float(16.0, "EMA Distance Threshold (Pips)", minval=1.0, maxval=1000.0)
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ema_distance_position_size = input.float(53, "EMA Distance Position Size (%)", minval=0.1, maxval=100)
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// EMA Distance Exit Parameters
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ema_exit_period = input.int(34, "EMA Exit Period", minval=10, maxval=200)
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enable_volume_confirmation = input.bool(true, "Require Volume Confirmation for EMA Exit")
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// Calculate indicators
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rsi_daily = ta.rsi(close, rsi_length)
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rsi_weekly = request.security(syminfo.tickerid, "1W", ta.rsi(close, rsi_length))
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ema_200 = ta.ema(close, ema_length)
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ema_exit = ta.ema(close, ema_exit_period)
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// EMA Distance Trading Logic
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pip_size = syminfo.mintick * 10 // Adjust pip size based on instrument
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price_ema_distance = math.abs(close - ema_200) / pip_size
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ema_distance_entry = price_ema_distance >= ema_distance_threshold * 100 and close > ema_200 // Only enter when price above EMA
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// RSI bounce conditions - back to original crossover logic
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// Weekly RSI bounce: RSI was below 30 and now crosses above 30
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rsi_weekly_prev = request.security(syminfo.tickerid, "1W", ta.rsi(close, rsi_length)[1])
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weekly_bounce = rsi_weekly_prev < rsi_oversold and rsi_weekly > rsi_oversold
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// Daily RSI bounce: RSI was below 30 and now crosses above 30
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daily_bounce = rsi_daily[1] < rsi_oversold and rsi_daily > rsi_oversold
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// Overbought conditions for exits - keep as crossovers for exits
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daily_rsi_overbought = rsi_daily > rsi_overbought and rsi_daily[1] <= rsi_overbought
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weekly_rsi_overbought = rsi_weekly > rsi_overbought and rsi_weekly_prev <= rsi_overbought
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// EMA exit condition: EMA was above price but now below price
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ema_above_price_prev = ema_200[1] > close[1]
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ema_below_price_now = ema_200 < close
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ema_exit_condition = ema_above_price_prev and ema_below_price_now
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// EMA Distance exit condition - EMA crossover exit
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// Price crosses below shorter period EMA (more responsive than 200 EMA)
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price_above_ema_exit_prev = close[1] > ema_exit[1]
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price_below_ema_exit_now = close < ema_exit
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ema_crossover_exit = price_above_ema_exit_prev and price_below_ema_exit_now
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// Optional volume confirmation
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volume_confirmation = not enable_volume_confirmation or volume > ta.sma(volume, 20)
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ema_distance_exit_condition = ema_crossover_exit and volume_confirmation
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// Track positions separately with counters for multiple trades
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var int weekly_trade_count = 0
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var int daily_trade_count = 0
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var int ema_distance_trade_count = 0
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var float weekly_position_qty = 0.0
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var float daily_position_qty = 0.0
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var float ema_distance_position_qty = 0.0
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// Entry conditions - allow multiple concurrent trades
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weekly_entry = weekly_bounce
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daily_entry = daily_bounce
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// Strategy execution - ensure ALL signals result in trades
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if weekly_entry
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strategy.entry("Weekly_Long", strategy.long, qty=weekly_position_size, comment="Weekly RSI Bounce #" + str.tostring(weekly_trade_count + 1), alert_message="Weekly Entry")
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weekly_trade_count := weekly_trade_count + 1
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weekly_position_qty := weekly_position_qty + weekly_position_size
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if daily_entry
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strategy.entry("Daily_Long", strategy.long, qty=daily_position_size, comment="Daily RSI Bounce #" + str.tostring(daily_trade_count + 1), alert_message="Daily Entry")
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daily_trade_count := daily_trade_count + 1
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daily_position_qty := daily_position_qty + daily_position_size
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if ema_distance_entry
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strategy.entry("EMA_Distance_Long", strategy.long, qty=ema_distance_position_size, comment="EMA Distance Entry #" + str.tostring(ema_distance_trade_count + 1), alert_message="EMA Distance Entry")
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ema_distance_trade_count := ema_distance_trade_count + 1
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ema_distance_position_qty := ema_distance_position_qty + ema_distance_position_size
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// Debug - show actual entry attempts
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if weekly_entry
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label.new(bar_index, high + (high - low) * 0.1, "WEEKLY ENTRY ATTEMPT",
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color=color.green, textcolor=color.white, size=size.normal, style=label.style_label_down)
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if daily_entry
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label.new(bar_index, high + (high - low) * 0.15, "DAILY ENTRY ATTEMPT",
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color=color.blue, textcolor=color.white, size=size.normal, style=label.style_label_down)
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if ema_distance_entry
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label.new(bar_index, high + (high - low) * 0.2, "EMA DISTANCE: " + str.tostring(price_ema_distance, "#.#") + " pips",
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color=color.purple, textcolor=color.white, size=size.normal, style=label.style_label_down)
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// Partial exit for weekly positions on daily RSI overbought
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if daily_rsi_overbought and weekly_position_qty > 0
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exit_qty = weekly_position_qty * (partial_exit_percent / 100)
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strategy.close("Weekly_Long", qty=exit_qty, comment="Weekly Partial Exit Daily OB")
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weekly_position_qty := math.max(0, weekly_position_qty - exit_qty)
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// Partial exit for daily positions on daily RSI overbought
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if daily_rsi_overbought and daily_position_qty > 0
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exit_qty_daily = daily_position_qty * (partial_exit_percent / 100)
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strategy.close("Daily_Long", qty=exit_qty_daily, comment="Daily Partial Exit OB")
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daily_position_qty := math.max(0, daily_position_qty - exit_qty_daily)
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// Complete exit for weekly positions on weekly RSI overbought
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if weekly_rsi_overbought and weekly_position_qty > 0
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strategy.close("Weekly_Long", comment="Complete Exit Weekly OB")
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weekly_position_qty := 0.0
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weekly_trade_count := 0
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// Exit all positions when EMA crosses from above price to below price
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if ema_exit_condition and strategy.position_size > 0
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strategy.close_all("EMA Cross Exit")
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weekly_position_qty := 0.0
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daily_position_qty := 0.0
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ema_distance_position_qty := 0.0
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weekly_trade_count := 0
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daily_trade_count := 0
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ema_distance_trade_count := 0
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// Exit EMA distance positions when price crosses below EMA (anti-crossover)
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if ema_distance_exit_condition and ema_distance_position_qty > 0
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strategy.close("EMA_Distance_Long", comment="EMA Distance Anti-Cross Exit")
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ema_distance_position_qty := 0.0
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ema_distance_trade_count := 0
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// Plotting
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plot(ema_200, "200 EMA", color=color.orange, linewidth=2)
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plot(ema_exit, "EMA Exit", color=color.purple, linewidth=1, style=plot.style_line)
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plot(rsi_daily, "Daily RSI", color=color.blue, display=display.data_window)
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plot(rsi_weekly, "Weekly RSI", color=color.red, display=display.data_window)
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// Plot RSI levels
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hline(rsi_oversold, "Oversold Level", color=color.red, linestyle=hline.style_dashed)
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hline(rsi_overbought, "Overbought Level", color=color.green, linestyle=hline.style_dashed)
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// Background color for RSI conditions
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bgcolor(weekly_bounce ? color.new(color.green, 90) : na, title="Weekly RSI Bounce")
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bgcolor(daily_bounce ? color.new(color.blue, 90) : na, title="Daily RSI Bounce")
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bgcolor(daily_rsi_overbought and (weekly_position_qty > 0 or daily_position_qty > 0) ? color.new(color.yellow, 90) : na, title="Daily RSI Overbought (Partial Exit)")
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bgcolor(weekly_rsi_overbought and weekly_position_qty > 0 ? color.new(color.orange, 90) : na, title="Weekly RSI Overbought (Complete Exit)")
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bgcolor(ema_exit_condition and strategy.position_size > 0 ? color.new(color.red, 90) : na, title="EMA Cross Exit")
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bgcolor(ema_distance_exit_condition and ema_distance_position_qty > 0 ? color.new(color.maroon, 90) : na, title="EMA Distance Anti-Cross Exit")
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bgcolor(ema_distance_entry ? color.new(color.purple, 90) : na, title="EMA Distance Entry")
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// Plot entry and exit signals with enhanced debugging
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plotshape(weekly_entry, "Weekly Entry", shape.triangleup, location.belowbar, color.green, size=size.normal)
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plotshape(daily_entry, "Daily Entry", shape.triangleup, location.belowbar, color.blue, size=size.small)
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plotshape(ema_distance_entry, "EMA Distance Entry", shape.triangleup, location.belowbar, color.purple, size=size.normal)
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plotshape(daily_rsi_overbought and (weekly_position_qty > 0 or daily_position_qty > 0), "Partial Exit Both", shape.circle, location.abovebar, color.yellow, size=size.small)
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plotshape(weekly_rsi_overbought and weekly_position_qty > 0, "Complete Exit Weekly OB", shape.triangledown, location.abovebar, color.orange, size=size.normal)
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plotshape(ema_exit_condition and strategy.position_size > 0, "EMA Cross Exit", shape.triangledown, location.abovebar, color.red, size=size.large)
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plotshape(ema_distance_exit_condition and ema_distance_position_qty > 0, "EMA Distance Anti-Cross Exit", shape.triangledown, location.abovebar, color.maroon, size=size.normal)
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// Debug labels to show when conditions are met
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if weekly_bounce
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label.new(bar_index, low - (high - low) * 0.1, "W-RSI: " + str.tostring(rsi_weekly, "#.##"),
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color=color.green, textcolor=color.white, size=size.small, style=label.style_label_up)
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if daily_bounce
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label.new(bar_index, low - (high - low) * 0.05, "D-RSI: " + str.tostring(rsi_daily, "#.##"),
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color=color.blue, textcolor=color.white, size=size.small, style=label.style_label_up)
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// Table to show current status
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var table info_table = table.new(position.top_right, 2, 12, bgcolor=color.white, border_width=1)
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if barstate.islast
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table.cell(info_table, 0, 0, "Indicator", bgcolor=color.gray, text_color=color.white)
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table.cell(info_table, 1, 0, "Value", bgcolor=color.gray, text_color=color.white)
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table.cell(info_table, 0, 1, "Daily RSI", bgcolor=color.white)
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table.cell(info_table, 1, 1, str.tostring(rsi_daily, "#.##"), bgcolor=color.white)
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table.cell(info_table, 0, 2, "Weekly RSI", bgcolor=color.white)
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table.cell(info_table, 1, 2, str.tostring(rsi_weekly, "#.##"), bgcolor=color.white)
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table.cell(info_table, 0, 3, "200 EMA", bgcolor=color.white)
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table.cell(info_table, 1, 3, str.tostring(ema_200, "#.##"), bgcolor=color.white)
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table.cell(info_table, 0, 4, "EMA Distance", bgcolor=color.white)
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table.cell(info_table, 1, 4, str.tostring(price_ema_distance, "#.#") + " pips", bgcolor=color.white)
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table.cell(info_table, 0, 5, "EMA Exit Level", bgcolor=color.white)
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table.cell(info_table, 1, 5, str.tostring(ema_exit, "#.##"), bgcolor=color.white)
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table.cell(info_table, 0, 6, "Total Position", bgcolor=color.white)
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table.cell(info_table, 1, 6, strategy.position_size > 0 ? "Long" : "None",
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bgcolor=strategy.position_size > 0 ? color.green : color.white)
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table.cell(info_table, 0, 7, "Total Size", bgcolor=color.white)
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table.cell(info_table, 1, 7, str.tostring(strategy.position_size, "#.####"), bgcolor=color.white)
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table.cell(info_table, 0, 8, "Weekly Qty", bgcolor=color.white)
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table.cell(info_table, 1, 8, str.tostring(weekly_position_qty, "#.####"),
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bgcolor=weekly_position_qty > 0 ? color.green : color.white)
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table.cell(info_table, 0, 9, "Daily Qty", bgcolor=color.white)
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table.cell(info_table, 1, 9, str.tostring(daily_position_qty, "#.####"),
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bgcolor=daily_position_qty > 0 ? color.blue : color.white)
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table.cell(info_table, 0, 10, "EMA Distance Qty", bgcolor=color.white)
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table.cell(info_table, 1, 10, str.tostring(ema_distance_position_qty, "#.####"),
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bgcolor=ema_distance_position_qty > 0 ? color.purple : color.white)
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table.cell(info_table, 0, 11, "Trade Counts", bgcolor=color.white)
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table.cell(info_table, 1, 11, "W:" + str.tostring(weekly_trade_count) + " D:" + str.tostring(daily_trade_count) + " E:" + str.tostring(ema_distance_trade_count), bgcolor=color.white)
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Reference in New Issue
Block a user