Smoothed Bollinger : un système de mean reversion filtré

// ============================================================
// Smoothed Bollinger
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ============================================================

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

// --- Parameters ---
positionSize = 1            // contracts per trade
trendFilterOn = 1           // 1 = only trade with the long-term average, 0 = off
trailingOn = 1              // 1 = use the ATR-scaled trailing stop, 0 = off
stopLossPct = 5             // protective stop, percent of entry price
takeProfitPct = 10          // profit target, percent of entry price
longTrailFactor = 9         // trailing distance for longs, in scaled ATR units
shortTrailFactor = 4        // trailing distance for shorts, in scaled ATR units
atrTrailPeriod = 200        // ATR length for the trailing distance
minTrailPoints = 5          // minimum trailing distance
maxLosingBarsLong = 16      // close a losing long after this many bars
maxLosingBarsShort = 2      // close a losing short after this many bars
trendPeriod = 220           // trend filter SMA length
bandPeriod = 17             // %b standard deviation and average length
temaPeriod = 8              // TEMA smoothing length
oversoldLevel = 30          // buy when %b is below this
overboughtLevel = 90        // sell short when %b is above this

// --- Indicators ---
// ATR of a scaled price series, kept exactly as the tested code computes it.
atrTrail = AverageTrueRange[atrTrailPeriod]((close/10)*PipSize)/1000
longTrailDistance = round(atrTrail*longTrailFactor)
shortTrailDistance = round(atrTrail*shortTrailFactor)

trendMA = Average[trendPeriod](close)
trendUp = (close > trendMA OR NOT trendFilterOn)
trendDown = (close < trendMA OR NOT trendFilterOn)

// Heikin-Ashi style close, fed through a zero-lag TEMA.
// The second term of haOpen has no /4, exactly as in the tested code.
haOpen = ((Open[1]+High[1]+Low[1]+Close[1])/4 + (Open[2]+High[2]+Low[2]+Close[2]))/2
haClose = ((Open+High+Low+Close)/4 + haOpen + max(high, haOpen) + min(low, haOpen))/4
temaFirst = TEMA[temaPeriod](haClose)
temaSecond = TEMA[temaPeriod](temaFirst)
temaGap = temaFirst - temaSecond
zeroLagHA = temaFirst + temaGap
smoothedZeroLag = TEMA[temaPeriod](zeroLagHA)

// Bollinger %b of the smoothed series.
percentB = (smoothedZeroLag + 2*STD[bandPeriod](smoothedZeroLag) - WeightedAverage[bandPeriod](smoothedZeroLag)) / (4*STD[bandPeriod](smoothedZeroLag))*100