thinkscript_template

# thinkscript strategy template

##############################################################
#######################  Strategy Setup  #####################
##############################################################

# Common settings for studies
input length = 14;
input over_sold = 20;
input over_bought = 80;
input look_back = 3;
input fastLength = 20;
input slowLength = 60;
input trendLength = 200;
input averageType = AverageType.Exponential;

def   FastMA = MovingAverage(averageType, close, fastLength);
def   SlowMA = MovingAverage(averageType, close, slowLength);

# Trading Hours
input marketOpenBuffer = 15;
input marketCloseBuffer = 30;

def   min_until_close = 
    (RegularTradingEnd(GetYYYYMMDD()) - GetTime()) / AggregationPeriod.MIN;
AddLabel(yes, "Minutes until close (mins): " + min_until_close);

def   min_from_open =
    (GetTime() - RegularTradingStart(GetYYYYMMDD())) / AggregationPeriod.MIN;
AddLabel(yes, "Mintues since the open:  " + min_from_open);

# Position sizing
input margin = 5000;
input account_balance = 10000;
input position_size = .01; # Risk 1% per trade
input risk_reward_ratio = 2;
def   orderSize =
 if (GetSymbol() == "/ES") then 1
 else RoundDown(margin / (close / 2), 0);

# Targets
def   entryPrice = EntryPrice();
input ES_Prof_Tar = 20;
input ES_Loss_Lim = 8;
input offsetType = {percent, value, default tick};
def   mult;
switch (offsetType) {
case percent:
    mult = entryPrice / 100;
case value:
    mult = 1;
case tick:
    mult = TickSize();
}
def   tickLossLim = 
 if (GetSymbol() == "/ES") then ES_Loss_Lim
 else ((account_balance * position_size) / orderSize) * 100;
def   tickProfTarget =
 if (GetSymbol() == "/ES") then ES_Prof_Tar
 else ((account_balance * position_size) / orderSize) * 100 * risk_reward_ratio;
def   longStopPrice = entryPrice - tickLossLim * mult;
def   shortStopPrice = entryPrice + tickLossLim * mult;
def   longLimitPrice = entryPrice + tickLossLim * mult * risk_reward_ratio;
def   shortLimitPrice = entryPrice - tickLossLim * mult * risk_reward_ratio;

# Trailing stops
def price = if IsNaN(entryPrice[1]) then entryPrice else if !IsNaN(entryPrice) then Max(high, price[1]) else entryPrice;

def trailStopPrice = price - tickLossLim * mult;

addOrder(OrderType.SELL_TO_CLOSE,
    low <= trailStopPrice,
    name = "Trailing Stop");

addOrder(OrderType.BUY_TO_CLOSE,
    high >= trailStopPrice,
    name = "Trailing Stop");

# Are profit targets enabled
input enable_profit_target = {default Y, N};
def   p_target;
switch (enable_profit_target) {
case Y:
    p_target = 1;
case N:
    p_target = 0;
}

# Are stop losses enabled
input enable_loss_limit = {default Y, N};
def   l_target;
switch (enable_profit_target) {
case Y:
    l_target = 1;
case N:
    l_target = 0;
}

# Trade direction
input trade_direction = {default Both, Long, Short};
def   open_trade;
switch (trade_direction) {
case Both:
    open_trade = 2;
case Long:
    open_trade = 1;
case Short:
    open_trade = 0;
}
def open_longs = if open_trade == 2 or
    open_trade == 1 then 1
    else 0;
def open_shorts = if open_trade == 2 or
    open_trade == 0 then 1
    else 0;

##############################################################
#######################  Strategy Logic  #####################
##############################################################

                                                  

##############################################################
######################  Enter Position  ######################
##############################################################

AddOrder(OrderType.BUY_TO_OPEN,

    open_longs == 1 and
    min_until_close > marketCloseBuffer and
    min_from_open > marketOpenBuffer,
    price = open[-1],
    tradeSize = orderSize,
    name = "Long Open");

AddOrder(OrderType.SELL_TO_OPEN,

    open_shorts == 1 and
    min_until_close > marketCloseBuffer and
    min_from_open > marketOpenBuffer,
    price = open[-1],
    tradeSize = orderSize,
    name = "Short Open");

##############################################################
#################  Exit Profit Target  #######################
##############################################################

AddOrder(OrderType.SELL_TO_CLOSE,
    p_target == 1 and
    high >= longLimitPrice,
    price = longLimitPrice,
    name = "Profit Target");

AddOrder(OrderType.BUY_TO_CLOSE,
    p_target == 1 and
    low <= shortLimitPrice,
    price = shortLimitPrice,
    name = "Profit Target");

##############################################################
#################  Exit Loss Limit  ##########################
##############################################################

AddOrder(OrderType.SELL_TO_CLOSE,
    l_target == 1 and
    low <= longStopPrice,
    price = longStopPrice,
    name = "Stop Loss");

AddOrder(OrderType.BUY_TO_CLOSE,
    l_target == 1 and
    high >= shortStopPrice,
    price = shortStopPrice,
    name = "Loss Limit");

##############################################################
#################  Exit Market Closing  ######################
##############################################################

AddOrder(OrderType.SELL_TO_CLOSE,
    min_until_close <= 0,
    price = close,
    name = "Flat at Market Close");

AddOrder(OrderType.BUY_TO_CLOSE,
    min_until_close <= 0,
    price = close,
    name = "Flat at Market Close");

##############################################################
#################  End Script  ###############################
##############################################################