Configurable BBRSIAroon Strategy Backtest

This strategy combines Bollinger Bands (BB), Relative Strength Index (RSI) and Aroon indicators to capitalize on the strengths of each for efficient entry and exit signals trading.

Pine ScriptMachine learning Mean reversion Trend following RSI SMA Bollinger Bands

Author: ChaoZhang
Complexity: Intermediate · 103 lines
Parameters: 14
Backtest bar: 5m · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy combines Bollinger Bands (BB), Relative Strength Index (RSI) and Aroon indicators to capitalize on the strengths of each for efficient entry and exit signals trading.

How it Works

Price breaking BB lower band shows long signal.
RSI crossing oversold line gives long confirmation.
Aroon crossover shows long confirmation.
Long entry when all 3 conditions are met.
Price breaking BB upper band shows short signal.
RSI crossing overbought line gives short confirmation.
Aroon crossover shows short confirmation.
Short entry when all 3 conditions are met.

Advantages

Configurable parameters for optimization
Multiple confirmations improve accuracy
Adaptable to various market conditions
Simple logic easy to implement

Risks

Poor parameter tuning can cause false signals
Multiple indicators add lag, may miss quick reversals
Reversals increase trade frequency and costs

Optimization Directions

Backtest across markets and timeframes for optimal parameters
Evaluate contribution of each indicator, remove redundancies
Explore machine learning for parameter optimization
Optimize code to reduce computations
Test different holding period parameters

Conclusion

The strategy combines strengths of multiple indicators into robust entry signals. Further improvements via parameter optimization, reducing redundant indicators, and optimizing code can enhance performance. Overall an effective customizable solution trading.

Parameters

Name	Default	What it controls
v_input_1	4	Aroonish Lenght
v_input_2	50	Aroonish Confirmation Value
v_input_3	4	RSI Lenght
v_input_4	20	RSI Oversold Limit
v_input_5	80	RSI Overbought Limit
v_input_6	20	Bollinger Lenght
v_input_7	2.5	Bollinger Std Dev
v_input_8	3	Bars to keep the operation open
v_input_9	true	Start Month
v_input_10	true	Start Date
v_input_11	(2020)	Start Year
v_input_12	true	End Month
v_input_13	true	End Date
v_input_14	(2021)	End Year

Source Pine Script

/*backtest
start: 2023-09-13 00:00:00
end: 2023-09-20 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// Developed by Marco Jarquin as part of Arkansas 22 Project for Binary Options
// CBRA for binary options (Configurable Bollinger Bands, RSI and Aroon)

//@version=4
// ====================================================================================

//strategy("A22.CBRA.Strat", overlay=true, initial_capital=10000, currency="USD", calc_on_every_tick=true, default_qty_type=strategy.cash, default_qty_value=4000, commission_type=strategy.commission.cash_per_order, commission_value=0)

// Aroonish Parameters
// ====================================================================================

Aroonish_length = input(4, minval=1, title="Aroonish Lenght")
Aroonish_ConfVal = input(50, minval=0, maxval=100, step=25, title="Aroonish Confirmation Value")
Aroonish_upper = 100 * (-highestbars(high, Aroonish_length+1) + Aroonish_length)/Aroonish_length
Aroonish_lower = 100 * (-lowestbars(low, Aroonish_length+1) + Aroonish_length)/Aroonish_length

// Aroonish confirmations
// ====================================================================================
Aroonish_ConfLong = (Aroonish_lower >= Aroonish_ConfVal) and (Aroonish_upper < Aroonish_lower)
Aroonish_ConfShrt = (Aroonish_upper >= Aroonish_ConfVal) and (Aroonish_upper > Aroonish_lower)

plotshape(crossover(Aroonish_lower, Aroonish_upper), color = color.red, style = shape.triangledown, location = location.abovebar, size = size.auto, title = "Ar-B")
plotshape(crossover(Aroonish_upper, Aroonish_lower), color = color.green, style = shape.triangleup, location = location.belowbar, size = size.auto, transp = 0, title = "Ar-S")

// RSI Parameters
// ====================================================================================
RSI_length = input(4, title="RSI Lenght")
RSI_overSold = input(20, title="RSI Oversold Limit")
RSI_overBought = input(80, title="RSI Overbought Limit" )

RSI = rsi(close, RSI_length)

plotshape(crossover(RSI, RSI_overSold), color = color.orange, style = shape.square, location = location.belowbar, size = size.auto, title = "RSI-B")
plotshape(crossunder(RSI, RSI_overBought), color = color.orange, style = shape.square, location = location.abovebar, size = size.auto, transp = 0, title = "RSI-S")

// Bollinger Parameters
// ====================================================================================
BB_length = input(20, minval=1, title="Bollinger Lenght")
BB_mult = input(2.5, minval=0.1, maxval=50, step=0.1, title="Bollinger Std Dev")
// BB_bars = input(3, minval=1, maxval=5, title="Check bars after crossing")

BB_basis = sma(close, BB_length)
BB_dev = BB_mult * stdev(close, BB_length)

BB_upper = BB_basis + BB_dev
BB_lower = BB_basis - BB_dev

p1 = plot(BB_upper, color=color.blue)
p2 = plot(BB_lower, color=color.blue)

// Bars to have the operation open
// ====================================================================================
nBars = input(3, minval=1, maxval=30, title="Bars to keep the operation open")

// Strategy condition short or long
// ====================================================================================
ConditionShrt = ((crossunder(close, BB_upper) or crossunder(close[1], BB_upper[1])) and Aroonish_ConfShrt) and (crossunder(RSI, RSI_overBought) or crossunder(RSI[1], RSI_overBought[1]))
ConditionLong = ((crossover(close, BB_lower) or crossover(close[1], BB_lower[1])) and Aroonish_ConfLong) and (crossover(RSI, RSI_overSold) or crossover(RSI[1], RSI_overSold[1]))

plotshape(crossover(close, BB_lower), color = color.blue, style = shape.circle, location = location.belowbar, size = size.auto, title = "BB-B")
plotshape(crossunder(close, BB_upper), color = color.blue, style = shape.circle, location = location.abovebar, size = size.auto, transp = 0, title = "BB-S")


// Make input options that configure backtest date range
// ====================================================================================
iMo = input(title="Start Month", type=input.integer, defval=1, minval=1, maxval=12)
iDy = input(title="Start Date", type=input.integer, defval=1, minval=1, maxval=31)
iYr = input(title="Start Year", type=input.integer, defval=(2020), minval=1800, maxval=2100)

eMo = input(title="End Month", type=input.integer, defval=1, minval=1, maxval=12)
eDy = input(title="End Date", type=input.integer, defval=1, minval=1, maxval=31)
eYr = input(title="End Year", type=input.integer, defval=(2021), minval=1800, maxval=2100)

// Look if the close time of the current bar falls inside the date range
// ====================================================================================
inDateRange = true


// Evaluates conditions to enter short or long
// ====================================================================================
if (inDateRange and ConditionLong)
    strategy.entry("A22.L", strategy.long)

if (inDateRange and ConditionLong[nBars])
    strategy.close("A22.L", comment="A22.L Exit")
    
if (inDateRange and ConditionShrt)
    strategy.entry("A22.S", strategy.short)

if (inDateRange and ConditionShrt[nBars])
    strategy.close("A22.S", comment="A22.S Exit")

if (not inDateRange)
    strategy.close_all()

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-21. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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