Understanding the strategy.opentrades.commission() Function in Pine Script

In this tutorial, we’ll explore the strategy.opentrades.commission() function in Pine Script, a pivotal tool in quantifying the entry and exit fees associated with open trades within a trading strategy. This function is instrumental in creating more accurate and financially realistic trading strategy simulations.

Syntax

The function is declared as follows:

strategy.opentrades.commission(trade_num) → series float

Arguments

• trade_num (series int): This argument specifies the number of the open trade for which you want to calculate the commission. It’s important to note that trade numbering starts at zero.

Example

Let’s dive into a practical example that illustrates how to use strategy.opentrades.commission() in a trading strategy. This example focuses on calculating the gross profit or loss for current open positions, taking into account the commissions paid.

//@version=5
strategy("Commission Analysis Example", commission_type = strategy.commission.percent, commission_value = 0.1)

// Strategy setup for entering and exiting long trades.
if bar_index % 15 == 0
    strategy.entry("MyLongEntry", strategy.long)
if bar_index % 20 == 0
    strategy.close("MyLongEntry")

// Function to calculate gross profit or loss for open positions.
calculateTradeOpenGrossPL() =>
    totalOpenGrossPL = 0.0
    for tradeIndex = 0 to strategy.opentrades - 1
        totalOpenGrossPL += strategy.opentrades.profit(tradeIndex) - strategy.opentrades.commission(tradeIndex)
    totalOpenGrossPL

plot(calculateTradeOpenGrossPL())

Detailed Walkthrough

• Strategy Definition: We start by defining a strategy called “Commission Analysis Example”. Here, we specify that commissions are calculated as a percentage of the trade value, set at 0.1%.
• Entry and Exit Conditions: The script contains logic to enter long positions (strategy.entry) every 15 bars and exit (strategy.close) every 20 bars.
• Gross Profit or Loss Calculation: The calculateTradeOpenGrossPL() function computes the gross profit or loss for all open trades. It initializes a variable totalOpenGrossPL to accumulate the sum of open trade profits minus their associated commissions.
• Loop Through Open Trades: A loop iterates through all open trades, using strategy.opentrades.profit(tradeIndex) to calculate the profit for each open trade and subtracting strategy.opentrades.commission(tradeIndex) to account for the commissions paid on both entry and exit.
• Plotting the Result: Finally, the calculated total open gross profit or loss is plotted on the chart for visualization.

Key Features and Takeaways

• Function Useability: The strategy.opentrades.commission() function is essential for calculating the total commissions paid for an open trade, offering a more nuanced view of trading strategy profitability.
• Syntax and Application: Its straightforward syntax and integration within loop constructs make it highly effective for dynamic trade analysis over time.
• Enhanced Strategy Simulation: By including entry and exit fees in profitability calculations, traders can simulate strategies more accurately, leading to better-informed trading decisions.

In summary, understanding and effectively utilizing the strategy.opentrades.commission() function is crucial for anyone looking to develop sophisticated and realistic trading strategies in Pine Script.