VixFixLinReg-Strategy
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © HeWhoMustNotBeNamed

//@version=4
strategy("VixFixLinReg-Strategy", shorttitle="VixFixLinReg - Strategy",
                     overlay=false, initial_capital = 100000, 
                     default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, 
                     commission_value = 0.01)
pd = input(22, title="LookBack Period Standard Deviation High")
bbl = input(20, title="Bolinger Band Length")
mult = input(2.0    , minval=1, maxval=5, title="Bollinger Band Standard Devaition Up")
lb = input(50  , title="Look Back Period Percentile High")
ph = input(.85, title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%")
pl = input(1.01, title="Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%")
hp = input(false, title="Show High Range - Based on Percentile and LookBack Period?")
sd = input(false, title="Show Standard Deviation Line?")
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "End Time", type = input.time)
inDateRange = time >= i_startTime and time <= i_endTime
considerVIXFixClose = input(false)
lengthKC=input(20, title="KC Length")
multKC = input(1.5, title="KC MultFactor")

atrLen = input(22)
atrMult = input(5)
initialStopBar = input(5)
waitForCloseBeforeStop = input(true)
f_getStop(atrLen, atrMult)=>
    stop = strategy.position_size > 0 ? close - (atrMult * atr(atrLen)) : lowest(initialStopBar)
    stop := strategy.position_size > 0 ? max(stop,nz(stop[1], stop)) : lowest(initialStopBar)
    stop

wvf = ((highest(close, pd)-low)/(highest(close, pd)))*100

sDev = mult * stdev(wvf, bbl)
midLine = sma(wvf, bbl)
lowerBand = midLine - sDev
upperBand = midLine + sDev

rangeHigh = (highest(wvf, lb)) * ph
rangeLow = (lowest(wvf, lb)) * pl


col = wvf >= upperBand or wvf >= rangeHigh ? color.lime : color.gray

val = linreg(wvf, pd, 0)
absVal = abs(val)

linRegColor = val>val[1]? (val > 0 ? color.green : color.orange): (val > 0 ? color.lime : color.red)
plot(hp and rangeHigh ? rangeHigh : na, title="Range High Percentile", style=plot.style_line, linewidth=4, color=color.orange)
plot(hp and rangeLow ? rangeLow : na, title="Range High Percentile", style=plot.style_line, linewidth=4, color=color.orange)
plot(wvf, title="Williams Vix Fix", style=plot.style_histogram, linewidth = 4, color=col)
plot(sd and upperBand ? upperBand : na, title="Upper Band", style=plot.style_line, linewidth = 3, color=color.aqua)

plot(-absVal, title="Linear Regression", style=plot.style_histogram, linewidth=4, color=linRegColor)

vixFixState = (col == color.lime) ? 1: 0
vixFixState := strategy.position_size == 0? max(vixFixState, nz(vixFixState[1],0)) : vixFixState

longCondition = (vixFixState == 1 and linRegColor == color.lime) and inDateRange
exitLongCondition = (linRegColor == color.orange or linRegColor == color.red) and considerVIXFixClose

stop = f_getStop(atrLen, atrMult)
label_x = time+(60*60*24*1000*20) 
myLabel = label.new(x=label_x, y=0, text="Stop : "+tostring(stop), xloc=xloc.bar_time, style=label.style_none, textcolor=color.black, size=size.normal)
label.delete(myLabel[1])
strategy.entry("Long", strategy.long, when=longCondition, oca_name="oca_buy", oca_type=strategy.oca.cancel)
strategy.close("Long", when=exitLongCondition or (close < stop and waitForCloseBeforeStop and linRegColor == color.green))
strategy.exit("ExitLong", "Long", stop = stop, when=not waitForCloseBeforeStop and linRegColor == color.green)