Skip to content

Momentum Shift RS Engine - Production v3

Production-Ready Strategy

Enhanced version with fixed entry logic, dynamic stop-loss recalculation, profit targets, and real-time performance statistics.

Source Code

View Source Code Compare with Original

What's New in v3

🔧 Critical Fixes

Issue Original Production v3 Impact
Chop Breakout Required double-bar confirmation Uses ta.crossover() ✅ More responsive entries
Stop-Loss Update Fixed at entry (used var) Recalculates every bar ✅ Tighter risk management
Zero Division Could error on flat markets Protected with fallback ✅ More robust

✨ New Features

Feature Description Benefit
Profit Targets Configurable take-profit levels ✅ Lock in gains systematically
Stats Panel Real-time win rate, profit factor ✅ Track performance live
Better Alerts Entry/exit alerts with conditions ✅ Stay informed
calc_on_order_fills More accurate backtesting ✅ Better simulation

Key Improvements Explained

1. Fixed Entry Logic

Original (v1): 

chopBreakoutCondition = normalizedValue_short > chopEntryThreshold and normalizedValue_short[1] > chopEntryThreshold

Problem: Required TWO consecutive bars above threshold - could miss fast moves.

Production v3: 

chopBreakoutCondition = ta.crossover(normalizedValue_short, chopEntryThreshold)

Benefit: Triggers on the FIRST bar that crosses above - catches momentum earlier.

2. Dynamic Stop-Loss Recalculation

Original (v1): 

var float stopPrice = 0.0
if strategy.position_size > strategy.position_size[1]
    stopPrice := useStopLoss ? strategy.position_avg_price * (1 - stopLossPercent) : 0.0

Problem: Stop price was set ONCE at entry and never updated. If price moved favorably, stop stayed at entry level.

Production v3: 

stopPrice = useStopLoss ? strategy.position_avg_price * (1 - stopLossPercent) : na

Benefit: Stop recalculates EVERY bar based on current average entry price. If you scale in, stop adjusts automatically.

3. Profit Taking System

New in v3: 

useProfitTaking = input.bool(true, title="Use Take Profit Target?")
profitTargetPercent_tp = input.float(3.0, title="Take Profit Target (%)", minval=0.5, step=0.1) / 100

How it works: - When enabled, strategy automatically exits at entry_price × (1 + profitTargetPercent_tp) - Works with all exit rule types - Can be combined with trailing stops

Example: - Entry: $100 - Profit Target: 3% - Exit Price: $103

4. Statistics Panel

New Real-Time Metrics:

Metric What It Shows Why It Matters
Trades Total closed trades Track activity level
Win Rate % of profitable trades Measure consistency
Profit Factor Total Wins / Total Losses Risk-adjusted performance
Total Win Sum of all winning trades Track gains
Total Loss Sum of all losing trades Track losses

Color Coding: - Win Rate ≥ 50% = Green - Win Rate < 50% = Red - Profit Factor > 1.5 = Green - Profit Factor ≤ 1.5 = Orange

Configuration Comparison

Entry Thresholds

Setting Original Production v3 Notes
Entry Threshold 0.2 0.2 Same
Chop Entry Threshold 0.8 0.8 Same
Exit Threshold 0.2 0.2 Same

Risk Management

Setting Original Production v3 Change
Stop Loss % 2.0% 2.0% Same
Breakeven Trigger 2.0% 0.5% ✅ Moves to BE faster
Take Profit ❌ None ✅ 3.0% ✨ NEW

Filters

Filter Original Production v3 Status
PVT Filter ✅ ✅ Same
BBW Filter ✅ ✅ Same
VIX Filter ✅ ✅ Same
Cooldown ✅ ✅ Same

Entry Conditions (Unchanged)

All entry conditions remain the same as original:

  1. ✅ Trend Filter: Price structure confirms uptrend
  2. ✅ Superlong RS: 200-period normalized RS > 0.2
  3. ✅ Long-term RS: 50-period normalized RS > 0.2
  4. ✅ Medium-term RS: 20-period normalized RS > 0.0
  5. ✅ Short-term Breakout: 9-period normalized RS crosses above 0.8 ⚠️ (FIXED)
  6. ✅ PVT: Price Volume Trend > Signal line (if enabled)
  7. ✅ BBW: Bollinger Band Width > 0.01 (if enabled)
  8. ✅ VIX: VIX < 20 SMA AND < 18 (if enabled)
  9. ✅ Cooldown: Not within X bars of previous exit (if enabled)

Exit Rules (Enhanced)

"All Active" (Default)

Original: - Medium-term RS crosses below 0.2 (indicator exit) - OR price hits consolidated stop

Production v3: - Medium-term RS crosses below 0.2 (indicator exit) - OR price hits consolidated stop - OR price hits profit target ✨ NEW

"Price Stops Only"

Original: - Fixed stop loss - 9 SMA trailing stop - Breakeven stop

Production v3: - Fixed stop loss (recalculated every bar) ⚠️ FIXED - 9 SMA trailing stop - Breakeven stop (triggers at 0.5% instead of 2%) ⚠️ IMPROVED - Profit target ✨ NEW

"Indicator Only"

Original: - Medium-term RS crosses below 0.2

Production v3: - Medium-term RS crosses below 0.2 - Profit target ✨ NEW (optional)

"9 SMA Trail Only"

Unchanged - Still uses 9 SMA as trailing stop.

Breakeven Stop Improvement

Version Trigger Example
Original After 2% profit Entry $100 → BE at $100 when price hits $102
Production v3 After 0.5% profit Entry $100 → BE at $100 when price hits $100.50

Why This Matters: - Original: Risked giving back 2% before protecting capital - Production v3: Protects capital after just 0.5% gain - Result: Better risk-adjusted returns, fewer "winners turned losers"

Usage Recommendations

Conservative Setup

Setting Value Reason
Use Profit Taking ✅ True Lock in gains
Profit Target 3.0% Reasonable target
Breakeven Trigger 0.5% Protect capital early
Exit Rule All Active Multiple exit methods

Aggressive Setup

Setting Value Reason
Use Profit Taking ❌ False Let winners run
Breakeven Trigger 1.0% Give more room
Exit Rule 9 SMA Trail Only Ride the trend

Backtesting Improvements

New Setting: 

calc_on_order_fills=true

What it does: - Recalculates strategy on every order fill - More accurate simulation of real trading - Better handling of partial fills and scaling

When to use: - ✅ Always use for production strategies - ✅ Essential for strategies with multiple entries/exits - ✅ Better for options/futures trading

Migration Guide

Upgrading from Original

  1. Copy Production v3 code to TradingView
  2. Review your settings:
  3. Breakeven trigger changed from 2% → 0.5% (adjust if needed)
  4. Profit target now available (enable if desired)
  5. Test on paper trading first
  6. Compare performance - Production v3 should show:
  7. More entries (faster chop breakout detection)
  8. Better risk management (dynamic stops)
  9. Higher win rate (earlier breakeven)

Settings to Adjust

If You Want... Change This...
More entries Lower chopEntryThreshold (0.7 instead of 0.8)
Tighter stops Lower stopLossPercent (1.5% instead of 2%)
Faster BE Keep profitTargetPercent at 0.5% (default)
Let winners run Disable useProfitTaking

Known Limitations

  1. Profit Target vs Trailing Stop:
  2. If profit target is hit, trailing stop won't trigger

  3. Consider using "All Active" exit rule for best of both

  4. Stats Panel Performance:

  5. Calculates on every bar (can slow down on long charts)

  6. Disable showPanel if experiencing lag

  7. Breakeven Aggressiveness:

  8. 0.5% trigger might be too tight for volatile stocks
  9. Adjust profitTargetPercent if getting stopped out too early

Changelog

Version Date Changes
v3 2024-12-10 Fixed entry logic, dynamic stops, profit targets, stats panel
v1 2024-12-09 Initial release

Support & Feedback

If you find issues or have suggestions for v4, please document them in your trading journal or notes.