strategy
METADATA
Strategy metadata is defined in the meta block. Here is an example:
meta {
title = "My Strategy",
initial_cash = 1000000,
commission = "fixed=15,percent=0.001105",
allow_entry_in = allow_entry_in.long,
initial_margin_long = 0.7,
initial_margin_short = 0.7,
}initial_cash
initial_cash: number
Initial cash.
Default is 1000000.
allow_entry_in
allow_entry_in: allow_entry_in
Used to specify in which market direction the strategy.entry function is allowed to open positions. Possible values: allow_entry_in.long, allow_entry_in.short, allow_entry_in.both.
Default is allow_entry_in.both.
commission
commission: string
Commission for each transaction.
The format is type=value, where type is one of percent, fixed, cash-per-contract.
You can use multiple commissions by separating them with a comma (e.g., percent=0.1,fixed=10).
Default is ``.
initial_margin_long
Margin rate for initial long positions.
Default is 1.0.
initial_margin_short
Margin rate for initial short positions.
Default is 1.0.
maintenance_margin_long
Margin rate for maintenance long positions.
Default is 0.
maintenance_margin_short
Margin rate for maintenance short positions.
Default is 0.
slippage
slippage: number
Slippage for each transaction.
Default is 0.
risk_free_rate
risk_free_rate: number
Risk-free rate of return is the annual percentage change in the value of an investment with minimal or zero risk. It is used to calculate the Sharpe and Sortino ratios.
Default is 0.02.
entry
entry(id: string, side: direction, qty: int = nil, qty_percent: number = nil, limit: number = nil, stop: number = nil, remark: string = nil)
Creates a new order to open or add to a position.
If the call does not contain limit or stop arguments, it creates a market order. If the call specifies a limit value but no stop value, it places a limit order that executes after the market price reaches the limit value or a better price (lower for buy orders and higher for sell orders). If the call specifies a stop value but no limit value, it places a stop order that executes after the market price reaches the stop value or a worse price (higher for buy orders and lower for sell orders). If the call contains limit and stop arguments, it creates a stop-limit order, which generates a limit order at the limit price only after the market price reaches the stop value or a worse price.
Orders from this command, unlike those from strategy.order, are affected by the pyramiding parameter. Pyramiding specifies the number of concurrent open entries allowed per position. For example, with pyramiding = 3, the strategy can have up to three open trades, and the command cannot create orders to open additional trades until at least one existing trade closes.
When a strategy executes an order from this command in the opposite direction of the current market position, it reverses that position. For example, if there is an open long position of five shares, an order from this command with a quantity of 5 and a direction of direction.short triggers the sale of 10 shares to close the long position and open a new five-share short position. Users can change this behavior by specifying an allowed direction with the METADATA: allow_entry_in.
order
order(id: string, side: direction, qty: int = nil, qty_percent: number = nil, limit: number = nil, stop: number = nil, remark: string = nil)
Creates a new order to open, add to, or exit from a position.
If the call does not contain limit or stop arguments, it creates a market order. If the call specifies a limit value but no stop value, it places a limit order that executes after the market price reaches the limit value or a better price (lower for buy orders and higher for sell orders). If the call specifies a stop value but no limit value, it places a stop order that executes after the market price reaches the stop value or a worse price (higher for buy orders and lower for sell orders). If the call contains limit and stop arguments, it creates a stop-limit order, which generates a limit order at the limit price only after the market price reaches the stop value or a worse price.
Orders from this command, unlike those from strategy.entry, are not affected by the pyramiding parameter. Strategies can open any number of trades in the same direction with calls to this function.
This command does not automatically reverse open positions because it does not exclusively create entry orders like strategy.entry does. For example, if there is an open long position of five shares, an order from this command with a quantity of 5 and a direction of direction.short triggers the sale of five shares, which closes the position.
close
close(id: string, qty: number = nil, qty_percent: number = nil, remark: string = nil)
Creates an order to exit from the part of a position opened by entry orders with a specific identifier. If multiple entries in the position share the same ID, the orders from this command apply to all those entries, starting from the first open trade, when its calls use that ID as the id argument.
This command always generates market orders.
cancel
cancel(id: string)
Cancels a pending or unfilled order with a specific identifier. If multiple unfilled orders share the same ID, calling this command with that ID as the id argument cancels all of them. If a script calls this command with an id representing the ID of a filled order, it has no effect.
cancel_all
cancel_all()
Cancels all pending or unfilled orders, regardless of their identifiers.
This command is most useful when working with price-based orders (e.g., limit orders).
initial_cash
initial_cash(): number
Returns the amount of initial capital set in the strategy properties.
equity
equity(): number
Returns current equity (strategy.initial_cash + strategy.net_profit + strategy.open_profit).
position_size
position_size(): number
Returns the direction and size of the current market position. If the value is > 0, the market position is long. If the value is < 0, the market position is short.
avg_trade
avg_trade(): number
Returns the average amount of money gained or lost per trade. Calculated as the sum of all profits and losses divided by the number of closed trades.
avg_trade_percent
avg_trade_percent(): number
Returns the average percentage gain or loss per trade. Calculated as the sum of all profit and loss percentages divided by the number of closed trades.
net_profit
net_profit(): number
Returns the total currency value of all completed trades.
net_profit_percent
net_profit_percent(): number
Returns the total value of all completed trades, expressed as a percentage of the initial capital.
gross_profit
gross_profit(): number
Returns the total currency value of all completed winning trades.
gross_profit_percent
gross_profit_percent(): number
Returns the total currency value of all completed winning trades, expressed as a percentage of the initial capital.
gross_loss
gross_loss(): number
Returns the total currency value of all completed losing trades.
gross_loss_percent
gross_loss_percent(): number
Returns the total currency value of all completed losing trades, expressed as a percentage of the initial capital.
open_profit
open_profit(): number
Returns the total currency value of all open trades.
max_runup
max_runup(): number
Returns the maximum equity run-up value for the whole trading interval.
max_runup_percent
max_runup_percent(): number
Returns the maximum equity run-up value for the whole trading interval, expressed as a percentage and calculated by formula: Highest Value During Trade / (Entry Price x Quantity).
max_drawdown
max_drawdown(): number
Returns the maximum equity drawdown value for the whole trading interval.
max_drawdown_percent
max_drawdown_percent(): number
Returns the maximum equity drawdown value for the whole trading interval, expressed as a percentage and calculated by formula: Lowest Value During Trade / (Entry Price x Quantity).
max_held_all
max_held_all(): number
Returns the maximum number of contracts/shares/lots/units in one trade for the whole trading interval.
max_held_long
max_held_long(): number
Returns the maximum number of contracts/shares/lots/units in one long trade for the whole trading interval.
max_held_short
max_held_short(): number
Returns the maximum number of contracts/shares/lots/units in one short trade for the whole trading interval.
position_avg_price
position_avg_price(): number
Returns the average entry price of current market position. If the market position is flat, nil is returned.
win_trades
win_trades(): [closedtrade]
Returns an array of profitable trades for the whole trading interval.
loss_trades
loss_trades(): [closedtrade]
Returns an array of losing trades for the whole trading interval.
open_trades
open_trades(): [opentrade]
Returns an array of open trades.
closed_trades
closed_trades(): [closedtrade]
Returns an array of closed trades.
margin_liquidation_price
margin_liquidation_price(): number
When margin is used in a strategy, returns the price point where a simulated margin call will occur and liquidate enough of the position to meet the margin requirements.