Range Breakout Strategy
ลิงก์ TradingView
คำอธิบาย
After consecutive candle closes it creates a range, and if price breaks out of it it enters with fixed take profit.
รูป Preview
Pine Script Source
//@version=6
strategy("Range Breakout Strategy (Fixed $100 Risk, 3R TP with R-Level Lines) [No Volume Filter + 1R BE SL + Time Exit]", overlay=true, initial_capital=10000, pyramiding=0, calc_on_every_tick=false, max_lines_count=500)
// === BACKTEST WINDOW ===
groupBT = "Backtest Window"
useBT = input.bool(true, "Use Date Range", group=groupBT)
btStart = input.time(timestamp("2025-01-01"), "Start", group=groupBT)
btEnd = input.time(timestamp("2025-08-29"), "End", group=groupBT)
forceFlatEnd = input.bool(true, "Force flat at End", group=groupBT)
inBT = not useBT or (time >= btStart and time <= btEnd)
justEnteredBT = useBT and (nz(time[1], 0) < btStart) and (time >= btStart)
justLeftBT = useBT and (nz(time[1], 0) <= btEnd) and (time > btEnd)
// === INPUTS ===
minConsecutive = input.int(3, "Min consecutive bars", minval=2)
maxConsecutive = input.int(5, "Max consecutive bars", minval=2)
riskReward = input.float(3.0, "Risk/Reward (R)", step=0.25, minval=0.25)
riskAmount = input.float(100.0, "USD risk per trade", step=1, minval=1)
maxBarsToWait = input.int(10, "Invalidate range after N bars", minval=1)
// === STATE ===
var int streakLen = 0
var float rangeLow = na
var float rangeHigh = na
var bool rangeActive = false
var box currentBox = na
var int barsSinceRange = na
var bool hasBrokenOut = false
// === TRAILING SL STATE ===
var float oneRPrice = na
var bool movedToBE = false
// === STREAK LOGIC ===
dirNow = close > close[1] ? 1 : close < close[1] ? -1 : 0
dirPrev = close[1] > close[2] ? 1 : close[1] < close[2] ? -1 : 0
streakLen := na(close[2]) ? 1 : dirNow == 0 ? 1 : (dirNow == dirPrev ? streakLen + 1 : 1)
// === Reset state on BT entry ===
if justEnteredBT
streakLen := 1
rangeActive := false
barsSinceRange := na
hasBrokenOut := false
if not na(currentBox)
box.delete(currentBox)
currentBox := na
// === TRADING STATE ===
flat = strategy.position_size == 0
noOpenTrade = strategy.opentrades == 0
canTrade = flat and noOpenTrade and inBT
// === NEW RANGE DETECTION ===
isValidStreak = streakLen >= minConsecutive and streakLen <= maxConsecutive
isNewRange = canTrade and isValidStreak
if isNewRange and barstate.isconfirmed
if not na(currentBox)
box.delete(currentBox)
startBarIndex = bar_index - streakLen + 1
startPrice = open[streakLen - 1]
endPrice = close
rLow = math.min(startPrice, endPrice)
rHigh = math.max(startPrice, endPrice)
rangeLow := rLow
rangeHigh := rHigh
rangeActive := true
barsSinceRange := 0
hasBrokenOut := false
rngColor = dirNow == 1 ? color.new(color.teal, 85) : color.new(color.orange, 85)
currentBox := box.new(left=startBarIndex, right=bar_index, top=rangeHigh, bottom=rangeLow,
border_color=color.new(color.gray, 0), bgcolor=rngColor)
if rangeActive
barsSinceRange += 1
if not na(currentBox)
box.set_right(currentBox, bar_index)
if streakLen > maxConsecutive and barstate.isconfirmed
rangeActive := false
barsSinceRange := na
hasBrokenOut := false
if not na(currentBox)
box.delete(currentBox)
currentBox := na
// === BREAKOUT DETECTION ===
insideRange = rangeActive and open > rangeLow and open < rangeHigh
brokeUp = rangeActive and close > rangeHigh
brokeDown = rangeActive and close < rangeLow
isBreakoutBar = insideRange and (brokeUp or brokeDown)
hasBrokenOut := isBreakoutBar ? true : hasBrokenOut
// === ENTRY LOGIC ===
entryCondition = canTrade and isBreakoutBar
// Buffers for R-level line drawing
var float bufferedEntry = na
var float bufferedRiskPts = na
var bool bufferedLong = false
if entryCondition and barstate.isconfirmed
long = brokeUp
entry = close
stopPrice = (rangeLow + rangeHigh) * 0.5
riskPts = math.abs(entry - stopPrice)
dollarsPerPoint = syminfo.pointvalue
riskPerUnitUSD = riskPts * dollarsPerPoint
rawQty = (riskPerUnitUSD > 0) ? (riskAmount / riskPerUnitUSD) : na
qty = na(rawQty) ? na : math.round(rawQty, 4)
takeProfit = entry + (long ? 1 : -1) * (riskReward * riskPts)
if not na(qty) and qty > 0
if long
strategy.entry("Long", strategy.long, qty=qty, comment="Long")
strategy.exit("TP/SL", from_entry="Long", limit=takeProfit, stop=stopPrice)
else
strategy.entry("Short", strategy.short, qty=qty, comment="Short")
strategy.exit("TP/SL", from_entry="Short", limit=takeProfit, stop=stopPrice)
// Buffer values to draw R lines next bar
bufferedEntry := entry
bufferedRiskPts := riskPts
bufferedLong := long
// Save 1R price and reset SL flag
oneRPrice := long ? entry + riskPts : entry - riskPts
movedToBE := false
// consume the range
rangeActive := false
barsSinceRange := na
hasBrokenOut := false
if not na(currentBox)
box.set_border_color(currentBox, color.new(color.blue, 0))
currentBox := na
// === TRAILING STOP TO BREAKEVEN AT 1R ===
if strategy.opentrades > 0 and not movedToBE
isLong = strategy.position_size > 0
isShort = strategy.position_size < 0
avgEntry = strategy.opentrades.entry_price(0)
if isLong and close >= oneRPrice
strategy.exit("Move SL to BE", from_entry="Long", stop=avgEntry)
movedToBE := true
if isShort and close <= oneRPrice
strategy.exit("Move SL to BE", from_entry="Short", stop=avgEntry)
movedToBE := true
// === R-LINE DRAWING ===
if not na(bufferedEntry) and inBT
if bufferedLong
line.new(bar_index, bufferedEntry + 1 * bufferedRiskPts, bar_index + 10, bufferedEntry + 1 * bufferedRiskPts, color=color.rgb(255, 0, 221), width=1, style=line.style_dotted)
line.new(bar_index, bufferedEntry + 2 * bufferedRiskPts, bar_index + 10, bufferedEntry + 2 * bufferedRiskPts, color=color.rgb(255, 162, 0), width=1, style=line.style_dotted)
line.new(bar_index, bufferedEntry + 3 * bufferedRiskPts, bar_index + 10, bufferedEntry + 3 * bufferedRiskPts, color=color.rgb(9, 255, 0), width=1, style=line.style_dashed)
else
line.new(bar_index, bufferedEntry - 1 * bufferedRiskPts, bar_index + 10, bufferedEntry - 1 * bufferedRiskPts, color=color.rgb(255, 0, 221), width=1, style=line.style_dotted)
line.new(bar_index, bufferedEntry - 2 * bufferedRiskPts, bar_index + 10, bufferedEntry - 2 * bufferedRiskPts, color=color.rgb(255, 162, 0), width=1, style=line.style_dotted)
line.new(bar_index, bufferedEntry - 3 * bufferedRiskPts, bar_index + 10, bufferedEntry - 3 * bufferedRiskPts, color=color.rgb(9, 255, 0), width=1, style=line.style_dashed)
// Reset buffers
bufferedEntry := na
bufferedRiskPts := na
bufferedLong := false
// === FAILSAFE ===
if rangeActive and barsSinceRange > maxBarsToWait and barstate.isconfirmed
rangeActive := false
barsSinceRange := na
hasBrokenOut := false
if not na(currentBox)
box.delete(currentBox)
currentBox := na
// === TIME-BASED EXIT (after 2 days on 15min chart = 192 bars) ===
maxBarsInTrade = 192
if strategy.opentrades > 0
entryBar = strategy.opentrades.entry_bar_index(0)
if bar_index - entryBar >= maxBarsInTrade
strategy.close(id="Long", comment="Time-based exit")
strategy.close(id="Short", comment="Time-based exit")
// === CLEANUP AT BACKTEST END ===
if justLeftBT
if rangeActive
rangeActive := false
if not na(currentBox)
box.delete(currentBox)
currentBox := na
if forceFlatEnd and strategy.position_size != 0 and barstate.isconfirmed
strategy.close_all(comment="Backtest window ended")
// === VISUALS ===
boUp = entryCondition and brokeUp
boDown = entryCondition and brokeDown
barcolor(boUp ? color.blue : boDown ? color.yellow : na)
plotshape(boUp, title="Breakout Up", style=shape.triangleup, color=color.lime, size=size.tiny, location=location.belowbar, text="▲ BO")
plotshape(boDown, title="Breakout Down", style=shape.triangledown, color=color.red, size=size.tiny, location=location.abovebar, text="▼ BO")