Help with Trend Trader Strategy

[botzill]

Hi.

I was wondering if anyone has any experience with this indicator?

https://www.tradingview.com/script/j1etwXMQ-Trend-Trader-Strategy/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 21/01/2021
// This is plots the indicator developed by Andrew Abraham 
// in the Trading the Trend article of TASC September 1998  
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
study(title="Trend Trader Strategy", overlay = true)
Length = input(21, minval=1),
Multiplier = input(3, minval=0.000001)
avgTR      = wma(atr(1), Length)
highestC   = highest(Length)
lowestC    = lowest(Length)
hiLimit = highestC[1]-(avgTR[1] * Multiplier)
loLimit = lowestC[1]+(avgTR[1] * Multiplier)
ret = 0.0
pos = 0.0
ret:= iff(close > hiLimit and close > loLimit, hiLimit,
       iff(close < loLimit and close < hiLimit, loLimit, nz(ret[1], close)))
pos:= iff(close > ret, 1,
	   iff(close < ret, -1, nz(pos[1], 0))) 
barcolor(pos == -1 ? color.red: pos == 1 ? color.green : color.blue )
plot(ret, color= color.blue , title="Trend Trader Strategy")

I'm not sure how I can write this myself, if you have any suggestions please let me know.

Thanks.

[xmatthias]

the code itself doesn't look too complicated - however it'll most likely be slow to calculate (at least for backtesting) - as you'll have to implement this as (partial) loop.

ret is assigned with ret[1] - which is the equivalent to row[i] = row[i-1] - so the calculation of the current row relies on the resut of the prior row - which means it cannot be vectorized.

It's then simply a question of finding the definition of each method - and implementing it in python.