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Strategy vault / Breakout

EMA Breakout Filter Long Only Trading Strategy

This long-only strategy uses an ATR channel to filter fake EMA breakouts for stable trend-following long trades. It focuses solely on long side trading. Strategy Logic: 1. Calculate n-period EMA as intermediate-term…

Pine ScriptBreakoutTrend followingEMASMAATR
Author
ChaoZhang
Complexity
Starter · 30 lines
Parameters
1
Backtest bar
7d · position
Tested on
BTC/USDT · futures
Jump to codeView in vaultOriginal on FMZ

This long-only strategy uses an ATR channel to filter fake EMA breakouts for stable trend-following long trades. It focuses solely on long side trading.

Strategy Logic:

  1. Calculate n-period EMA as intermediate-term trend.

  2. Calculate n-period ATR for range channel bands.

  3. Go long when price breaks above channel top.

  4. Exit long when price breaks below channel bottom.

  5. ATR channel filters insignificant or short-term false breakouts.

Advantages:

  1. ATR channel improves reliability of long signals.

  2. Long only reduces complexity and risks.

  3. Simple optimization adapts easily across markets.

Risks:

  1. Unable to profit from short-side moves.

  2. Both EMA and ATR lag, causing poor entry timing.

  3. Hard to sustain signals in prolonged ranges.

In summary, this simple system can perform well in bull trends but requires caution on lagging indicators and ranging markets.

Parameters

NameDefaultWhat it controls
v_input_121Length

Source Pine Script

/*backtest
start: 2020-09-11 00:00:00
end: 2021-04-17 00:00:00
period: 7d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy("EMA Long Only Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

len = input(21,  minval=1, title="Length")

price = sma(close, 2)
average = ema(close, len)
diff = atr(len)
bull_level = average + diff
bear_level = average - diff
bull_cross = crossover(price, bull_level)
bear_cross = crossover(bear_level, price)

strategy.entry("Buy", strategy.long, when=bull_cross) 
strategy.close("Buy", when=bear_cross) //strategy.entry("Sell", strategy.short, when=bear_cross)
    
plot(price, title="price", color=green, transp=50, linewidth = 4)
plot(average, title="average", color=red, transp=50, linewidth = 4)
a1 = plot(bull_level, title="bull", color=red, transp=50, linewidth = 1)
a2 = plot(bear_level, title="bear", color=red, transp=50, linewidth = 1)
fill(a2, a1, color=red, transp=95)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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