Big Three : entrées en pullback au-dessus ou en dessous de trois SMA

// ============================================================
// Big Three
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: 15 minutes
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false
DEFPARAM PreloadBars = 10000

// --- Parameters ---
positionSize = 2            // contracts per trade, as published
fastPeriod = 20             // fast SMA length
midPeriod = 40              // middle SMA length
slowPeriod = 80             // slow SMA length, also the exit line
lookbackPeriod = 3          // bars for the new high / new low test
longStopMin = 30            // smallest long stop distance (price units)
longStopMax = 80            // largest long stop distance
shortStopMin = 5            // smallest short stop distance
shortStopMax = 60           // largest short stop distance
longTargetRatio = 2.6       // long target as a multiple of the stop distance
shortTargetRatio = 2.5      // short target as a multiple of the stop distance
longTrailDivisor = 1.5      // long trailing distance = long target / this
shortTrailDivisor = 1       // short trailing distance = short target / this
longMaxBarsProfit = 78      // close a winning long after this many bars
longMaxBarsLoss = 66        // close a losing long after this many bars
shortMaxBarsProfit = 60     // close a winning short after this many bars
shortMaxBarsLoss = 54       // close a losing short after this many bars

// --- Indicators ---
fastMA = Average[fastPeriod](close)
midMA = Average[midPeriod](close)
slowMA = Average[slowPeriod](close)

// Whole bar above all three averages and making a new short-term high.
aboveAllMAs = low > slowMA AND low > midMA AND low > fastMA
newHigh = high >= Highest[lookbackPeriod](high)
longSetup = aboveAllMAs AND newHigh
longReversalCandle = close[1] < close[2] AND close > close[1] AND close > open

belowAllMAs = high < fastMA AND high < midMA AND high < slowMA
newLow = low <= Lowest[lookbackPeriod](low)
shortSetup = belowAllMAs AND newLow
shortReversalCandle = close[1] > close[2] AND close < close[1] AND close < open