Resistance Breacher : trader les cassures de swings confirmés

// ============================================================
// Resistance Breacher
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 4 hours
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false
DEFPARAM PreloadBars = 1000

// --- Parameters ---
baseSize = 2                 // lots after a winning trade
afterLossSize = 3            // lots after one or two losing trades
afterThreeLossesSize = 2     // lots after three losing trades in a row
afterTwoWinsSize = 1         // lots after two winning trades in a row
afterSixLossesSize = 5       // lots after six losing trades in a row
afterSixWinsSize = 1         // lots after six winning trades in a row
stochPeriod = 8              // stochastic length
stochSmooth = 3              // stochastic smoothing
slopePeriod = 8              // EMA used to measure short-term slope
longStochLevel = 45          // longs need the stochastic above this
shortStochLevel = 65         // shorts need the stochastic below this
minSlope = 1.0002            // EMA must move at least this ratio bar to bar
maxSlope = 1.0005            // and less than this ratio, so the move is not stretched
smaPeriod = 47               // simple average for swing tracking
emaPeriod = 53               // exponential average for swing tracking
atrPeriod = 10               // ATR length for stop and target
longStopAtr = 3.5            // long stop in ATR multiples
longTargetAtr = 12           // long target in ATR multiples
shortStopAtr = 6.5           // short stop in ATR multiples
shortTargetAtr = 3.5         // short target in ATR multiples
minStopDistance = 20         // skip trades whose stop would be smaller than this
skipLongDay = 1              // longs only after this weekday number (skips Monday)

// Swing state carried from bar to bar
ONCE setupReady = 0
ONCE swingLow = 0
ONCE confirmedLow = 0
ONCE swingHigh = 0
ONCE confirmedHigh = 0
ONCE stopDistance = 0
ONCE targetDistance = 0

// --- Indicators ---
stochK = Stochastic[stochPeriod, stochSmooth](close)
slopeMA = ExponentialAverage[slopePeriod](close)
smaFilter = Average[smaPeriod](close)
emaFilter = ExponentialAverage[emaPeriod](close)
atrValue = AverageTrueRange[atrPeriod]

// Size up after losses and down after wins.
positionSize = baseSize
IF PositionPerf(1) < 0 THEN
  positionSize = afterLossSize
ENDIF
IF PositionPerf(1) < 0 AND PositionPerf(2) < 0 AND PositionPerf(3) < 0 THEN
  positionSize = afterThreeLossesSize
ENDIF
IF PositionPerf(1) > 0 AND PositionPerf(2) > 0 THEN
  positionSize = afterTwoWinsSize
ENDIF
IF PositionPerf(1) < 0 AND PositionPerf(2) < 0 AND PositionPerf(3) < 0 AND PositionPerf(4) < 0 AND PositionPerf(5) < 0 AND PositionPerf(6) < 0 THEN
  positionSize = afterSixLossesSize
ENDIF
IF PositionPerf(1) > 0 AND PositionPerf(2) > 0 AND PositionPerf(3) > 0 AND PositionPerf(4) > 0 AND PositionPerf(5) > 0 AND PositionPerf(6) > 0 THEN
  positionSize = afterSixWinsSize
ENDIF