Source Code

strategy(title="Parabolic SAR Strategy (on close) [QuantNomad]", shorttitle="SAR Strategy [QN]", overlay=true)

start      = input(0.02)
increment  = input(0.02)
maximum    = input(0.2)
entry_bars = input(1, title = "Entry on Nth trend bar") 

psar        = 0.0 // PSAR
af          = 0.0 // Acceleration Factor
trend_dir   = 0   // Current direction of PSAR
ep          = 0.0 // Extreme point
trend_bars  = 0

sar_long_to_short = trend_dir[1] == 1  and close <= psar[1] // PSAR switches from long to short
sar_short_to_long = trend_dir[1] == -1 and close >= psar[1] // PSAR switches from short to long

trend_change = barstate.isfirst[1] or sar_long_to_short or sar_short_to_long

// Calculate trend direction
trend_dir    := barstate.isfirst[1] and close[1] > open[1] ? 1 : 
   barstate.isfirst[1] and close[1] <= open[1] ? -1 : 
   sar_long_to_short ? -1 : 
   sar_short_to_long ?  1 : nz(trend_dir[1])

trend_bars := sar_long_to_short ? -1 : 
              sar_short_to_long ?  1 : 
              trend_dir ==  1   ? nz(trend_bars[1]) + 1 : 
              trend_dir == -1   ? nz(trend_bars[1]) - 1 : 
              nz(trend_bars[1])
              
             // Calculate  Acceleration Factor
af := trend_change ? start : 
   (trend_dir == 1 and high > ep[1]) or  
   (trend_dir == -1 and low < ep[1]) ? 
   min(maximum, af[1] + increment) : 
   af[1]

// Calculate extreme point
ep := trend_change and trend_dir == 1 ? high :  
   trend_change and trend_dir == -1 ? low : 
   trend_dir == 1 ? max(ep[1], high) : 
   min(ep[1], low)

// Calculate PSAR
psar := barstate.isfirst[1] and close[1] > open[1] ? low[1] : 
   barstate.isfirst[1] and close[1] <= open[1] ? high[1] : 
   trend_change ? ep[1] :    
   trend_dir == 1 ? psar[1] + af * (ep - psar[1]) : psar[1] - af * (psar[1] - ep) 

plot(psar, style=plot.style_cross, color=trend_dir == 1 ? color.green : color.red,  linewidth = 2)

// Strategy 
strategy.entry("Long",  true,  when = trend_bars ==  entry_bars)
strategy.entry("Short", false, when = trend_bars == -entry_bars)

EOF // :=print("Buy the dip ; 
                -Daniel")
True EOF