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Strategy vault / Mean reversion

Demark Reversal Points

Pine Script strategy by ChaoZhang.

Pine ScriptMean reversion
Author
ChaoZhang
Complexity
Starter · 42 lines
Parameters
6
Backtest bar
2h · intraday
Tested on
BTC/USD · spot

The original spec has no written description. Read the source below.

Parameters

NameDefaultWhat it controls
v_input_1_close0Source: close | high | low | open | hl2 | hlc3 | hlcc4 | ohlc4
v_input_int_118000Resolution
v_input_2falseAllow Repainting?
v_input_3trueAllow Bar Color Change?
v_input_int_29Length
v_input_int_34LbLength

Source Pine Script

/*backtest
start: 2022-02-06 00:00:00
end: 2022-05-06 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Bitfinex","currency":"BTC_USD"}]
*/

//@version=5
// Copyright (c) 2019-present, Franklin Moormann (cheatcountry)
// Demark Reversal Points [CC] script may be freely distributed under the MIT license.
//indicator('Demark Reversal Points [CC]', max_bars_back=3000, overlay=true)

inp = input(title='Source', defval=close)
res = input.int(title='Resolution', defval='18000')
rep = input(title='Allow Repainting?', defval=false)
bar = input(title='Allow Bar Color Change?', defval=true)
src = request.security(syminfo.tickerid, res, inp[0])[1]
length = input.int(title='Length', defval=9, minval=1)
lbLength = input.int(title='LbLength', defval=4, minval=1)

uCount = 0
dCount = 0
for i = 0 to length - 1 by 1
    uCount += (nz(src[i]) > nz(src[i + lbLength]) ? 1 : 0)
    dCount += (nz(src[i]) < nz(src[i + lbLength]) ? 1 : 0)
    dCount

drp = dCount == length ? 1 : uCount == length ? -1 : 0

sig = drp > 0 or uCount > dCount ? 1 : drp < 0 or dCount > uCount ? -1 : 0
drpColor = sig > 0 ? color.green : sig < 0 ? color.red : color.black
alertcondition(ta.crossover(drp, 0), 'Buy Signal', 'Bullish Change Detected')
alertcondition(ta.crossunder(drp, 0), 'Sell Signal', 'Bearish Change Detected')
//barcolor(bar ? drpColor : na)
//plotshape(ta.crossover(drp, 0), 'Buy', shape.labelup, location.belowbar, color.new(color.green, 0), text='Buy', textcolor=color.new(color.white, 0))
//plotshape(ta.crossunder(drp, 0), 'Sell', shape.labeldown, location.abovebar, color=color.new(color.red, 0), text='Sell', textcolor=color.new(color.white, 0))

if ta.crossover(drp, 0)
    strategy.entry("Enter Long", strategy.long)
else if ta.crossunder(drp, 0)
    strategy.entry("Enter Short", strategy.short)

Published by ChaoZhang on the FMZ strategy square · last modified 2022-05-07. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

Build this with AgenKit

A spec is not a trading system. Paste this into your coding agent and AgenKit runs a specialist team — architecture, test-first build, risk gates, review — with paper trading on by default.

in Claude Code, Cursor, Codex & 4 more
/agenkit build a production-grade trading bot with a backtest engine, risk controls and paper trading by default from strategies/Demark-Reversal-Points.md
  1. npx agenkit install engineering-kit in your project
  2. Paste the command into your agent and approve each phase
  3. Get tests, backtest, risk controls and a paper-trading switch

Understand it first

Before you run this, read the lesson behind the idea and how to backtest it honestly. Specs like this one are the survivors of an unknown number of trials; deflate their results accordingly.

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