tradingview-pine-scripts/ATR Parabolic SAR Strategy [QuantNomad].pine at main · hasnocool/tradingview-pine-scripts · GitHub

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Script Name: ATR Parabolic SAR Strategy [QuantNomad]
Author: QuantNomad
Description: I created a version of Parabolic SAR when I accelerate it not based on the difference from the extreme point but based on current ATR. So the idea is that for a more volatile market it should move faster.
Performance is calculated based on 25% equity invested and 0.1% commission.

What do you think about it? Does it make sense to do something like that?
Do you...
PineScript code:

Pine Script™ strategy
ATR Parabolic SAR Strategy [QuantNomad]
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//@version=4
strategy(title="ATR Parabolic SAR Strategy [QuantNomad]", shorttitle="ATR PSAR Strategy [QN]", overlay=true, default_qty_type = strategy.percent_of_equity,  default_qty_value = 100)
atr_length = input(14)
start      = input(0.02)
increment  = input(0.02)
maximum    = input(0.2)
entry_bars = input(1, title = "Entry on Nth trend bar")
atr = atr(atr_length)
atr := na(atr) ? tr : atr
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 * atr :
                          psar[1] - af * atr
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)
Expand (62 lines)