CRYPTO TREND REVERSAL STRATEGY BASED ON PIVOT SWING HIGH AND LOW POINTS

Pine ScriptMean reversion Trend following Breakout VWAP Pivots / S&R

Author: ChaoZhang
Complexity: Intermediate · 74 lines
Parameters: 7
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy identifies trend reversals in crypto assets based on PIVOT swing high/low points and breakout signals. It belongs to the breakout reversal strategy category. The strategy first calculates the recent highest and lowest price points as PIVOT levels, then detects if price breaks out these key levels, signaling major trend changes.

How The Strategy Works

Calculate PIVOT High/Low Points

Uses ta.pivothigh() and ta.pivotlow() to find highest high and lowest low prices over a custom bar lookback period to plot PIVOT points.
Identify Breakout Signals

If price breaks above PIVOT low point, or breaks below PIVOT high point, the strategy considers it as trend reversal signal.
Set Filter Conditions

Requires price to breakout PIVOT levels by meaningful distance, and closing price crosses 150 bar closing prices to avoid whipsaws.
Entries and Exits

Trigger buy signal on long condition, close long position on exit condition. Similarly for short setup rules.

Advantages

PIVOT points are sensitive to major trend shifts
Avoids whipsaws in consolidation trends with filters
Captures reversals early with swing high/low breakouts

Risks

Larger cycles can cause strategy to get whipsawed
PIVOT points and filters need tuning for each asset
Exchange fees impact results, need near-zero fee structure

Enhancement Opportunities

Test different PIVOT lookback periods
Add moving stop loss to control loss per trade
Combine with other indicators for filter

Conclusion

The strategy is robust overall to capture large reversals, but needs customized parameters per asset and risk controls. With further optimization and guardrails, it can perform well across crypto markets.

Parameters

Name	Default	What it controls
v_input_timeframe_1		Timeframe
v_input_int_1	10	(?LENGTH LEFT / RIGHT)Pivot High
v_input_int_2	10	/
v_input_1	red	colorH
v_input_int_3	10	Pivot Low
v_input_int_4	10	/
v_input_2	blue	colorL

Source Pine Script

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © nkrastins95

//@version=5
strategy("Swing Hi Lo", overlay=true, margin_long=100, margin_short=100)

//-----------------------------------------------------------------------------------------------------------------------//

tf = input.timeframe(title="Timeframe", defval="")

gr="LENGTH LEFT / RIGHT"
leftLenH = input.int(title="Pivot High", defval=10, minval=1, inline="Pivot High",group=gr)
rightLenH = input.int(title="/", defval=10, minval=1, inline="Pivot High",group=gr)
colorH = input(title="", defval=color.red, inline="Pivot High",group=gr)

leftLenL = input.int(title="Pivot Low", defval=10, minval=1, inline="Pivot Low", group=gr)
rightLenL = input.int(title="/", defval=10, minval=1, inline="Pivot Low",group=gr)
colorL = input(title="", defval=color.blue, inline="Pivot Low",group=gr)

//-----------------------------------------------------------------------------------------------------------------------//

pivotHigh(ll, rl) =>
    maxLen = 1000
    float ph = ta.pivothigh(ll, rl)
    int offset = 0
    while offset < maxLen
        if not na(ph[offset])
            break 
        offset := offset + 1
    ph[offset]

pivotLow(ll, rl) =>
    maxLen = 1000
    float pl = ta.pivotlow(ll, rl)
    int offset = 0
    while offset < maxLen
        if not na(pl[offset])
            break 
        offset := offset + 1
    pl[offset]


//-----------------------------------------------------------------------------------------------------------------------//

ph = request.security(syminfo.tickerid, tf, pivotHigh(leftLenH, rightLenH), barmerge.gaps_off, barmerge.lookahead_on)
pl = request.security(syminfo.tickerid, tf, pivotLow(leftLenL, rightLenL), barmerge.gaps_off, barmerge.lookahead_on)

drawLabel(_offset, _pivot, _style, _color) =>
    if not na(_pivot)
        label.new(bar_index[_offset], _pivot, str.tostring(_pivot, format.mintick), style=_style, color=_color, textcolor=#131722)

//-----------------------------------------------------------------------------------------------------------------------//

VWAP = ta.vwap(ohlc4)

longcondition = ta.crossunder(close,pl) and close > close[150]
exitcondition = close > ph

shortcondition = ta.crossover(close,ph) and close < close[150]
covercondition = close < pl

strategy.entry("long", strategy.long, when = longcondition)
strategy.close("long", when = exitcondition)

strategy.entry("Short", strategy.short, when = shortcondition)
strategy.close("Short", when = covercondition)

Published by ChaoZhang on the FMZ strategy square · last modified 2024-01-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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