Fibonacci Band Oscillation Strategy

Pine ScriptBreakout Trend following Volatility EMA SMA ATR Fibonacci

Author: ChaoZhang
Complexity: Intermediate · 145 lines
Parameters: 23
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

The Fibonacci Band Oscillation Strategy is a quantitative strategy designed based on the Fibonacci theory. It mainly uses the Fibonacci ratio to calculate multiple price bands to form upper and lower bands. When the price breaks through the bands, trading signals are generated to capture the oscillation characteristics between the bands for profit.

Strategy Logic

The core logic of the code is to calculate the Fibonacci price bands as key points. The main steps are:

Calculate the 14-period EMA as the middle line
Calculate the upper and lower 4 band lines according to the ATR and Fibonacci ratios
Generate trading signals when price breaks through the downside bands or upside bands
Set stop loss and take profit to track price oscillation for profits

With this breakthrough-based method, it can effectively capture short-term fluctuations in the market and make round-trip trades between bands for profits.

Advantages

The biggest advantage of this strategy is that it utilizes the important theoretical indicator of the Fibonacci ratio to locate key price points, thereby increasing the probability of profit. The specific advantages are mainly reflected in:

Clear Fibonacci bands, easy to judge breakout points
Reasonable band range, not too fragmented or too loose
Multiple bands can be selected for both aggressive and conservative trading
Significant band oscillation characteristics, good effect for short-term trading strategies

Risks

Since the strategy pursues short-term profits, there are also some risks to note:

Unable to profit under large cycle trends
High stop loss risk under violent price fluctuations
Many breakthrough signals require cautious selection
Invalid when band oscillation characteristics disappear

These risks can be controlled by appropriately adjusting parameters, selecting appropriate bands, and capital management methods.

Optimization

There is still room for further optimization of the strategy:

Combine with trend indicators to generate signals only in certain trend directions
Close the strategy before and after specific time periods or important events
Dynamically adjust the stop loss amplitude according to market volatility frequency
Optimize parameters by selecting EMAs of different cycles as the benchmark line

Conclusion

In general, the Fibonacci Band Oscillation Strategy is a very practical short-term strategy. It uses the Fibonacci theory to set price key points. When the price oscillates around these points, generous profits can be obtained. This breakout-based method is suitable for markets with a certain degree of volatility and characteristics. It can be used alone or combined with other strategies. With parameter tuning and proper capital management, the strategy can operate stably in the long run.

Parameters

Name	Default	What it controls
v_input_int_1	true	From Day
v_input_int_2	2	From Month
v_input_int_3	2022	From Year
v_input_int_4	true	Thru Day
v_input_int_5	true	Thru Month
v_input_int_6	2112	Thru Year
v_input_string_1	0	(?Bot)Long veya Short: Both \| Short \| Long
v_input_1	{{strategy.order.alert_message}}	alert message to copy/paste
v_input_int_7	14	(?Fibonacci)EMAperiod
v_input_int_8	14	ATRperiod
v_input_2	1.618	Fibonacci Ratio 2
v_input_3	2.618	Fibonacci Ratio 3
v_input_4	4.236	Fibonacci Ratio 4
v_input_string_2	0	(?Long)Fibo: close>FIBOTOP1(purple) \| close>FIBOTOP3(aqua) \| close>FIBOTOP2(gray) \| close>FIBOTOP4(orange) \| Disable
v_input_float_1	4	Stop %
v_input_float_2	1.5	TP %
v_input_string_3	0	(?Short)Fibo: close<FIBOBOT1(green) \| close<FIBOBOT2(yellow) \| close<FIBOBOT3(blue) \| close<FIBOBOT4(aqua) \| Disable
v_input_float_3	4	Stop %
v_input_float_4	1.5	TP %
v_input_5	Long Code	(?Long Code)Long İlk Alım
v_input_7	Long Exit Code	Long Exit
v_input_6	Short Code	(?Short Code)Short İlk Alım
v_input_8	Short Exit Code	Short Exit

Source Pine Script

/*backtest
start: 2022-11-14 00:00:00
end: 2023-11-20 00:00:00
period: 1d
basePeriod: 1h
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/
// © drhakankilic

//@version=5
strategy("FIBONACCI BANDS Strategy", shorttitle="FBANDS Strategy", overlay=true)
// === Date === { 
//Backtest dates
fromDay = input.int(defval=1, title='From Day',minval=1,maxval=31)
fromMonth = input.int(defval=2, title='From Month',minval=1,maxval=12)
fromYear = input.int(defval=2022, title='From Year')
thruDay = input.int(defval=1, title='Thru Day',minval=1,maxval=31)
thruMonth = input.int(defval=1, title='Thru Month',minval=1,maxval=12)
thruYear = input.int(defval=2112, title='Thru Year')
showDate = true  // input(defval=true, title="Show Date Range")
start = timestamp(fromYear, fromMonth, fromDay, 00, 00)  // backtest start window
finish = timestamp(thruYear, thruMonth, thruDay, 23, 59)  // backtest finish window
window() =>  // create function "within window of time"
    time >= start and time <= finish ? true : false
// }

// === Long or Short ===  
tradeDirection = input.string(title="Long veya Short", options=["Long", "Short", "Both"], defval="Both",                                       group="Bot")
// Translate input into trading conditions
longOK  = (tradeDirection == "Long") or (tradeDirection == "Both")
shortOK = (tradeDirection == "Short") or (tradeDirection == "Both")
copypaste   = input('{{strategy.order.alert_message}}',         title='alert message to copy/paste',                                    group="Bot")
// }

// === FIBONACCI BANDS === {
EMAperiod = input.int(14, title='EMAperiod', minval=1, maxval=500, group="Fibonacci")
ATRperiod = input.int(14, title='ATRperiod', minval=1, maxval=500, group="Fibonacci")
EMA = ta.ema(close, EMAperiod)
TR1 = math.max(high - low, math.abs(high - close[1]))
TR = math.max(TR1, math.abs(low - close[1]))
ATR = ta.sma(TR, ATRperiod)
F2 = input(defval=1.618, title='Fibonacci Ratio 2', group="Fibonacci")
F3 = input(defval=2.618, title='Fibonacci Ratio 3', group="Fibonacci")
F4 = input(defval=4.236, title='Fibonacci Ratio 4', group="Fibonacci")
R1 = ATR
R2 = ATR * F2
R3 = ATR * F3
R4 = ATR * F4
FIBOTOP4 = EMA + R4
FIBOTOP3 = EMA + R3
FIBOTOP2 = EMA + R2
FIBOTOP1 = EMA + R1
FIBOBOT1 = EMA - R1
FIBOBOT2 = EMA - R2
FIBOBOT3 = EMA - R3
FIBOBOT4 = EMA - R4
plot(FIBOTOP4[1], title='FIBOTOP4', linewidth=1, color=color.new(color.orange, 0))
plot(FIBOTOP3[1], title='FIBOTOP3', linewidth=1, color=color.new(color.aqua, 20))
plot(FIBOTOP2[1], title='FIBOTOP2', linewidth=1, color=color.new(color.gray, 40))
plot(FIBOTOP1[1], title='FIBOTOP1', linewidth=1, color=color.new(color.purple, 40))

plot(FIBOBOT1[1], title='FIBOBOT1', linewidth=1, color=color.new(color.green, 40))
plot(FIBOBOT2[1], title='FIBOBOT2', linewidth=1, color=color.new(color.yellow, 40))
plot(FIBOBOT3[1], title='FIBOBOT3', linewidth=1, color=color.new(color.blue, 20))
plot(FIBOBOT4[1], title='FIBOBOT4', linewidth=1, color=color.new(color.aqua, 0))
// plot(EMA[1], style=plot.style_cross, title='EMA', color=color.new(color.red, 0))

prefm = input.string(title="Fibo", options=["close>FIBOTOP4(orange)", "close>FIBOTOP3(aqua)","close>FIBOTOP2(gray)","close>FIBOTOP1(purple)", "Disable"] , defval="close>FIBOTOP1(purple)", group="Long")
_prefm = false 
if (prefm == "close>FIBOTOP4(orange)" )
    _prefm := close>FIBOTOP4[1]
    
if (prefm == "close>FIBOTOP3(aqua)" )
    _prefm := close>FIBOTOP3[1]

if (prefm == "close>FIBOTOP2(gray)" )
    _prefm := close>FIBOTOP2[1]
    
if (prefm == "close>FIBOTOP1(purple)" )
    _prefm := close>FIBOTOP2[1]
 
 
if (prefm == "Disable" )
    _prefm := low<low[1] or low>low[1]  
    
prefmS = input.string(title="Fibo", options=["close<FIBOBOT1(green)", "close<FIBOBOT2(yellow)", "close<FIBOBOT3(blue)", "close<FIBOBOT4(aqua)", "Disable"] , defval="close<FIBOBOT1(green)", group="Short")
_prefmS = false 
if (prefmS == "close<FIBOBOT1(green)" )
    _prefmS := close<FIBOBOT1[1]
  
if (prefmS == "close<FIBOBOT2(yellow)" )
    _prefmS := close<FIBOBOT2[1]

if (prefmS == "close<FIBOBOT3(blue)" )
    _prefmS := close<FIBOBOT3[1]
  
if (prefmS == "close<FIBOBOT4(aqua)" )
    _prefmS := close<FIBOBOT4[1]

if (prefmS == "Disable" )
    _prefmS := low<low[1] or low>low[1]  

// }

long2= _prefm 

short2= _prefmS
//

// === Bot Codes === { 
enterlong = input("Long Code", title='Long İlk Alım', group="Long Code")
entershort= input("Short Code", title='Short İlk Alım', group="Short Code")
exitlong = input("Long Exit Code", title='Long Exit', group="Long Code")
exitshort= input("Short Exit Code", title='Short Exit', group="Short Code")
// }

////////////////////////////////////////////////////////////////////////////////////////////TPSL
// Inputs
sl_inp = input.float(4, title='Stop %', step=0.1, group="Long") / 100
tp_inp = input.float(1.5, title='TP %', step=0.1, group="Long") / 100

sl_inp2 = input.float(4, title='Stop %', step=0.1, group="Short") / 100
tp_inp2 = input.float(1.5, title='TP %', step=0.1, group="Short") / 100

longtp = strategy.position_avg_price * (1 + tp_inp) 
longstop=  strategy.position_avg_price * (1 - sl_inp)

shortstop=  strategy.position_avg_price * (1 + sl_inp2)
shorttp = strategy.position_avg_price * (1 - tp_inp2) 
////////////////////////////////////////////////////////////////////////////////////////////
if window() and strategy.position_size==0 and longOK
    strategy.entry("Long", strategy.long, when= long2, alert_message=enterlong, comment="Long")
    
if strategy.position_size>0
    strategy.exit("Long", stop= longstop, limit=longtp, alert_message=exitlong, comment="TPSL")
////////////////////////////////////////////////////////////////////////////////////////////SHORT
if window() and strategy.position_size==0 and shortOK 
    strategy.entry("Short", strategy.short, when= short2, alert_message=entershort, comment="Short")
    
if strategy.position_size<0
    strategy.exit("Short", stop= shortstop, limit= shorttp, alert_message=exitshort, comment="TPSL")

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-21. 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/Fibonacci-Band-Oscillation-Strategy.md

npx agenkit install engineering-kit in your project
Paste the command into your agent and approve each phase
Get tests, backtest, risk controls and a paper-trading switch

Get AgenKit How /agenkit works

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.