LONG_ENTRY; LONG_EXIT; SHORT_ENTRY; SHORT_EXIT

Since you can’t plot anything from a strategy, all plot statements for variables that will be part of the strategy logic should be converted to def statements and their formatting commands removed. Other non-essential plot statements and associated formatting can be removed entirely. Your entire goal when creating a strategy is to define a binary condition that will trigger a trade. In this particular case we are looking for a moving average cross. I had already coded that into the study for use with the signal dots:

def buySignal = if TypicalPriceZeroLagTEMA > HeikinAshiZeroLagTEMA and TypicalPriceZeroLagTEMA[1] <= HeikinAshiZeroLagTEMA[1] then 1 else 0;

With this condition we can now add the other essential piece of code for strategies – the addOrder(condition,price) command:

addOrder(buySignal,open[-1]);

Here you see the binary condition buySignal entered as the trigger argument and the price is the next bar’s open, hence the [-1] indexing.

Strategies only work in pairs. You can have a Long Entry and Long Exit pair or a Long Entry and Short Entry pair etc. In this case I used a daily chart with six months of data to run the backtest. With proper money and stop management to minimize drawdowns this looks to be a viable strategy. Profit was $7400 on a single ES contract over the preceding six month period. Full results here.

Vervoort Crossover Strategy Analysis

The Long Entry Code:

declare LONG_ENTRY;

input period = 55;
def price = (high+low+close)/3;

def TMA1 = 3 * ExpAverage(price, period)
- 3 * ExpAverage(ExpAverage(price, period), period)
+ ExpAverage(ExpAverage(ExpAverage(price, period), period), period);

def TMA2 = 3 * ExpAverage(TMA1, period)
- 3 * ExpAverage(ExpAverage(TMA1, period), period)
+ ExpAverage(ExpAverage(ExpAverage(TMA1, period), period), period);

def difference = TMA1 - TMA2;
def TypicalPriceZeroLagTEMA = TMA1 + difference;

rec haopen = compoundValue(1, ((open[1] + high[1] + low[1] + close[1]) / 4
+ haopen[1]) / 2, hl2);
def haclose = ((open + high + low + close) / 4 + haopen + Max(high, haopen)
+ Min(low, haopen)) / 4;

def HATMA1 = 3 * ExpAverage(haclose, period)
- 3 * ExpAverage(ExpAverage(haclose, period), period)
+ ExpAverage(ExpAverage(ExpAverage(haclose, period), period), period);

def HATMA2 = 3 * ExpAverage(HATMA1, period)
- 3 * ExpAverage(ExpAverage(HATMA1, period), period)
+ ExpAverage(ExpAverage(ExpAverage(HATMA1, period), period), period);

def HAdifference = HATMA1 - HATMA2;
def HeikinAshiZeroLagTEMA = HATMA1 + HAdifference;

def buySignal = if TypicalPriceZeroLagTEMA > HeikinAshiZeroLagTEMA
and TypicalPriceZeroLagTEMA[1] <= HeikinAshiZeroLagTEMA[1] then 1 else 0;

addOrder(buySignal,open[-1]);
setColor(color.green);

The Short Entry Code:

declare SHORT_ENTRY;

input period = 55;
def price = (high+low+close)/3;

def TMA1 = 3 * ExpAverage(price, period)
- 3 * ExpAverage(ExpAverage(price, period), period)
+ ExpAverage(ExpAverage(ExpAverage(price, period), period), period);

def TMA2 = 3 * ExpAverage(TMA1, period)
- 3 * ExpAverage(ExpAverage(TMA1, period), period)
+ ExpAverage(ExpAverage(ExpAverage(TMA1, period), period), period);

def difference = TMA1 - TMA2;
def TypicalPriceZeroLagTEMA = TMA1 + difference;

rec haopen = compoundValue(1, ((open[1] + high[1] + low[1] + close[1]) / 4
+ haopen[1]) / 2, hl2);
def haclose = ((open + high + low + close) / 4 + haopen + Max(high, haopen)
+ Min(low, haopen)) / 4;

def HATMA1 = 3 * ExpAverage(haclose, period)
- 3 * ExpAverage(ExpAverage(haclose, period), period)
+ ExpAverage(ExpAverage(ExpAverage(haclose, period), period), period);

def HATMA2 = 3 * ExpAverage(HATMA1, period)
- 3 * ExpAverage(ExpAverage(HATMA1, period), period)
+ ExpAverage(ExpAverage(ExpAverage(HATMA1, period), period), period);

def HAdifference = HATMA1 - HATMA2;
def HeikinAshiZeroLagTEMA = HATMA1 + HAdifference;

def sellSignal = if TypicalPriceZeroLagTEMA < HeikinAshiZeroLagTEMA
and TypicalPriceZeroLagTEMA[1] >= HeikinAshiZeroLagTEMA[1] then 1 else 0;

addOrder(sellSignal, open[-1]);
setColor(color.red);