Short SPY ETF With an Opening Range Breakout

[barbaros]

Another strategy from Relaxed Trader at https://relaxedtrader.com/opening-range-breakout-strategy/

I decided to code this in Pinescript this time. Although I tried to code as close as I can, results are not reflecting the original author's findings. Please check my code.

// SPY Short with ORB
// Free for use. Header credits must be included when any form of the code included in this package is used.
// v1.0 - barbaros - converted for b4signals.com

//@version=5
strategy("SPY Short with ORB", overlay=true, initial_capital=100000)

UseMoneyManagement = input.bool(true, "Use Money Management")
ConstractsSet = input.int(1, "Contracts Set")
riskPercent = input.int(10, "Risk Percent")
var1 = input.int(39, "var1")
var2 = input.int(1, "var2")
var3 = input.float(.25, "var3")
var4 = input.int(11, "var4")

atr = ta.atr(var1)
Range = math.abs(close[1] - open[1])
LargestRange = ta.highest(Range[1], var4)

contractsToTrade = UseMoneyManagement ? ((riskPercent * 0.01) * strategy.equity) / (atr * 2.6) : ConstractsSet

float LimitPrice = na
LimitPrice := LimitPrice[1]

SellSignal = strategy.position_size == 0 and Range >= LargestRange and Range >= var2 * atr and close > open
SellExit = strategy.position_size < 0 and high >= LimitPrice

plotshape(SellSignal, text="Sell", style=shape.labeldown, location=location.abovebar, color=color.red, textcolor=color.white)

if SellSignal
    LimitPrice := close + var3 * atr
    strategy.entry("SE", strategy.short, contractsToTrade, limit = LimitPrice)
    
if SellExit
    LimitPrice := na
    strategy.close_all(SellExit)

plot(LimitPrice, "LimitPrice", style=plot.style_linebr)

 

[Hutchew]

Study Error
Quantity for entry or order must be a positive number less or equal to 1000000000.000000, passed value is -2663452859.000000.

I don't normally have problems loading scripts, did I do something wrong? Tried changing the start value to several values from 1000 to the number above, no luck.


Pfffftttttt..........have to set margin. Disregard

 

[barbaros]

Study Error
Quantity for entry or order must be a positive number less or equal to 1000000000.000000, passed value is -2663452859.000000.

I don't normally have problems loading scripts, did I do something wrong? Tried changing the start value to several values from 1000 to the number above, no luck.


Pfffftttttt..........have to set margin. Disregard

Were you able to figure it out? I didn't make sure the shares to purchase doesn't go negative. You can use the following for downward protection.

// SPY Short with ORB
// Free for use. Header credits must be included when any form of the code included in this package is used.
// v1.0 - barbaros - converted for b4signals.com
// v1.1 - barbaros - do not trade when no shares

//@version=5
strategy("SPY Short with ORB", overlay=true, initial_capital=100000)

UseMoneyManagement = input.bool(true, "Use Money Management")
ConstractsSet = input.int(1, "Contracts Set")
riskPercent = input.int(10, "Risk Percent")
var1 = input.int(39, "var1")
var2 = input.int(1, "var2")
var3 = input.float(.25, "var3")
var4 = input.int(11, "var4")

atr = ta.atr(var1)
Range = math.abs(close[1] - open[1])
LargestRange = ta.highest(Range[1], var4)

contractsToTrade = UseMoneyManagement ? ((riskPercent * 0.01) * strategy.equity) / (atr * 2.6) : ConstractsSet

float LimitPrice = na
LimitPrice := LimitPrice[1]

SellSignal = strategy.position_size == 0 and Range >= LargestRange and Range >= var2 * atr and close > open
SellExit = strategy.position_size < 0 and high >= LimitPrice

plotshape(SellSignal, text="Sell", style=shape.labeldown, location=location.abovebar, color=color.red, textcolor=color.white)

if SellSignal and contractsToTrade > 0
    LimitPrice := close + var3 * atr
    strategy.entry("SE", strategy.short, contractsToTrade, limit = LimitPrice)
   
if SellExit
    LimitPrice := na
    strategy.close_all(SellExit)

plot(LimitPrice, "LimitPrice", style=plot.style_linebr)