Dynamic Position Size and Trailing Stop SMA Rebound Strategy

/*backtest
start: 2024-02-22 00:00:00
end: 2025-02-19 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"SOL_USDT"}]
*/

//@version=5
strategy("15m - Rebound 50SMA with Dynamic Lots & Trailing Stop, RRR 2:1, Date Filter (Closed Bars Only)", 
     overlay=true, 
     initial_capital=50000, 
     default_qty_type=strategy.fixed, 
     default_qty_value=1, 
     pyramiding=0, 
     calc_on_order_fills=true)

// ===== INPUTS =====
sma50Period  = input.int(50, "50 SMA Period", minval=1)
sma200Period = input.int(200, "200 SMA Period", minval=1)

// ===== CALCULATE SMAs =====
sma50  = ta.sma(close, sma50Period)
sma200 = ta.sma(close, sma200Period)

// ===== PLOT SMAs =====
plot(sma50, color=color.red, title="50 SMA")
plot(sma200, color=color.blue, title="200 SMA")

// ===== DEFINE TRADING SESSIONS =====
// Trading is allowed 15 minutes after market open:
//   - New York: 09:45–16:00 (America/New_York)
//   - London:   08:15–16:00 (Europe/London)
nySession     = not na(time("15", "0945-1600", "America/New_York"))
londonSession = not na(time("15", "0815-1600", "Europe/London"))
inSession     = nySession or londonSession

// ===== DEFINE DATE RANGE =====
// Only allow orders on or after January 1, 2024.
// (We include seconds in the timestamp for proper parsing.)
startDate   = timestamp("UTC", 2024, 1, 1, 0, 0, 0)
inDateRange = time >= startDate

// ===== DEFINE ENTRY CONDITIONS =====
// ----- LONG ENTRY CONDITION -----
// A long entry is triggered when:
//   - The previous candle closed below the 50 SMA and the current candle closes above it,
//   - And the 50 SMA is above the 200 SMA.
longCondition = (close[1] < sma50[1]) and (close > sma50) and (sma50 > sma200)

// ----- SHORT ENTRY CONDITION -----
// A short entry is triggered when:
//   - The previous candle closed above the 50 SMA and the current candle closes below it,
//   - And the 50 SMA is below the 200 SMA.
shortCondition = (close[1] > sma50[1]) and (close < sma50) and (sma50 < sma200)

// ===== DEBUG PLOTS =====
plotshape(longCondition and barstate.isconfirmed, title="Long Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.tiny)
plotshape(shortCondition and barstate.isconfirmed, title="Short Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.tiny)

// ===== VARIABLES FOR STOP LOSS MANAGEMENT =====
// For long positions.
var float initialLongStop = na   // Set at entry: low of the rebound candle.
var float trailStopLong   = na   // Updated trailing stop for long.
// For short positions.
var float initialShortStop = na  // Set at entry: high of the rebound candle.
var float trailStopShort   = na  // Updated trailing stop for short.

// ===== DYNAMIC LOT SIZE =====
// If current profit (strategy.equity - 50000) exceeds 4000, lot size becomes 3; otherwise, 2.
lotSize = (strategy.equity - 50000 > 4000) ? 3 : 2

// ===== ENTRY LOGIC (EXECUTED ON CONFIRMED BARS) =====
if barstate.isconfirmed and inSession and inDateRange and longCondition and strategy.position_size <= 0
    initialLongStop := low
    trailStopLong   := initialLongStop
    if strategy.position_size < 0
        strategy.close("Short", comment="Close Short before Long")
    // Submit a market order entry (no offset).
    strategy.entry("Long", strategy.long, qty=lotSize, comment="Enter Long")
    
if barstate.isconfirmed and inSession and inDateRange and shortCondition and strategy.position_size >= 0
    initialShortStop := high
    trailStopShort   := initialShortStop
    if strategy.position_size > 0
        strategy.close("Long", comment="Close Long before Short")
    // Submit a market order entry (no offset).
    strategy.entry("Short", strategy.short, qty=lotSize, comment="Enter Short")
    
// ===== TRAILING STOP LOGIC & EXIT ORDERS (ON CLOSED BARS) =====

if barstate.isconfirmed and strategy.position_size > 0
    // For Long Positions:
    floatingProfitLong = (close - strategy.position_avg_price) / syminfo.mintick
    newTrailLong = trailStopLong  // Default: no change.
    if floatingProfitLong >= 20 and floatingProfitLong < 30
        newTrailLong := initialLongStop + 5 * syminfo.mintick
    else if floatingProfitLong >= 31 and floatingProfitLong < 40
        newTrailLong := initialLongStop + 10 * syminfo.mintick
    else if floatingProfitLong >= 41 and floatingProfitLong < 50
        newTrailLong := initialLongStop + 15 * syminfo.mintick
    // Update trailing stop only if the new value is more favorable.
    trailStopLong := math.max(trailStopLong, newTrailLong)
    
    longRisk = strategy.position_avg_price - trailStopLong
    tpLong   = strategy.position_avg_price + 2.5 * longRisk
    strategy.exit("Exit Long", from_entry="Long", stop=trailStopLong, limit=tpLong)

if barstate.isconfirmed and strategy.position_size < 0
    // For Short Positions:
    floatingProfitShort = (strategy.position_avg_price - close) / syminfo.mintick
    newTrailShort = trailStopShort  // Default: no change.
    if floatingProfitShort >= 20 and floatingProfitShort < 30
        newTrailShort := initialShortStop - 5 * syminfo.mintick
    else if floatingProfitShort >= 31 and floatingProfitShort < 40
        newTrailShort := initialShortStop - 10 * syminfo.mintick
    else if floatingProfitShort >= 41 and floatingProfitShort < 50
        newTrailShort := initialShortStop - 15 * syminfo.mintick
    // Update trailing stop only if the new value is more favorable.
    trailStopShort := math.min(trailStopShort, newTrailShort)
    
    shortRisk = trailStopShort - strategy.position_avg_price
    tpShort = strategy.position_avg_price - 2.5 * shortRisk
    strategy.exit("Exit Short", from_entry="Short", stop=trailStopShort, limit=tpShort)