/*backtest
start: 2019-12-23 08:00:00
end: 2024-11-11 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Open Market Exposure (OME) Strategy", overlay=true)

// Input parameters
length = input(14, title="Length for Variance")
sharpe_length = input(30, title="Length for Sharpe Ratio")
threshold = input(0.01, title="Cumulative OME Threshold")  // Define a threshold for entry
take_profit = input(0.02, title="Take Profit (%)")  // Define a take profit percentage
stop_loss = input(0.01, title="Stop Loss (%)")  // Define a stop loss percentage

// Calculate Daily Returns
daily_return = (close - close[1]) / close[1]

// Open Market Exposure (OME) calculation
ome = (close - open[1]) / open[1]

// Cumulative OME
var float cum_ome = na
if na(cum_ome)
    cum_ome := 0.0
if (dayofweek != dayofweek[1])  // Reset cumulative OME daily
    cum_ome := 0.0
cum_ome := cum_ome + ome

// Performance Metrics Calculation (Sharpe Ratio)
mean_return = ta.sma(cum_ome, sharpe_length)
std_dev = ta.stdev(cum_ome, sharpe_length)
sharpe_ratio = na(cum_ome) or (std_dev == 0) ? na : mean_return / std_dev

// Entry Condition: Buy when Cumulative OME crosses above the threshold
if (cum_ome > threshold)
    strategy.entry("Long", strategy.long)

// Exit Condition: Sell when Cumulative OME crosses below the threshold
if (cum_ome < -threshold)
    strategy.close("Long")

// Take Profit and Stop Loss
if (strategy.position_size > 0)
    // Calculate target and stop levels
    target_price = close * (1 + take_profit)
    stop_price = close * (1 - stop_loss)

    // Place limit and stop orders
    strategy.exit("Take Profit", "Long", limit=target_price)
    strategy.exit("Stop Loss", "Long", stop=stop_price)