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Strategy vault / Mean reversion

Fibonacci Progression With Breaks

This indicator highlights points where price significantly deviates from a central level. This deviation distance is determined by a user-set value or using a multiple of a period 200 Atr and is multiplied by…

Author
ChaoZhang
Complexity
Starter · 59 lines
Parameters
3
Backtest bar
5m · intraday
Tested on
BTC/USDT · futures

This indicator highlights points where price significantly deviates from a central level. This deviation distance is determined by a user-set value or using a multiple of a period 200 Atr and is multiplied by successive values of the Fibonacci sequence.

Settings

Method: Distance method, options include "Manual" or "Atr" Size: Distance in points if the selected method is "Manual" or Atr multiplier if the selected method is "Atr" Sequence Length: Determines the maximum number of significant deviations allowed.

Usage

The indicator allows highlighting potential reversal points, but it can also determine trends using the central level, with an uptrend detected if the central level is higher than its previous value and vice versa for a downtrend.

When an uptrend is detected, and the price deviates significantly upward from it a first checkmark will be highlighted alongside the Fibonacci sequence used as a multiplier, if the price deviates downward, a cross will be shown instead, then the distance threshold will be multiplied by the next value in the Fibonacci sequence.

If the price deviates from the central level such that the length of the sequence is greater than the user set Sequence Length, a break label will be shown alongside a new central level with a value determined by the current closing price, while the Fibonacci multiplier will be reset to 1.

Upper and lower extremities made from the central level and threshold distance are highlighted and can be used as support and resistances.

backtest

IMG

Parameters

NameDefaultWhat it controls
v_input_string_10method: Atr | Manual
v_input_1truesize
v_input_23Sequence Length

Source Pine Script

/*backtest
start: 2022-04-10 00:00:00
end: 2022-05-07 23:59:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This work is licensed under a Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) https://creativecommons.org/licenses/by-nc-sa/4.0/
// © LuxAlgo

//@version=5
indicator("Fibonacci Progression With Breaks [LUX]",overlay=1,max_labels_count=500,max_lines_count=500)
method = input.string('Atr',options=['Atr','Manual'],inline='inline1')
size   = input(1.,'',inline='inline1')
max    = input(3,'Sequence Length')
//----
var fib = array.from(1,1)
var dist = 0.,var avg = 0.,var fib_n = 1,var os = 0

src = close
n = bar_index

if barstate.isfirst
    for i = 1 to max
        array.push(fib,array.get(fib,i-1) + array.get(fib,i))
//----
if method == 'Atr'
    dist := ta.atr(200)*size*array.get(fib,fib_n)
else
    dist := size*array.get(fib,fib_n)

fib_n := math.abs(src-avg) > dist ? fib_n+1 : fib_n
avg := nz(fib_n > max+1 ? src : avg[1],src)
fib_n := fib_n > max+1 ? 1 : fib_n

buy = avg > avg[1]
sell = avg < avg[1]
os := buy ? 1 : sell ? 0 : os

tp = avg != avg[1] ? na : os == 1 ? avg + dist : avg - dist
sl = avg != avg[1] ? na : os == 0 ? avg + dist : avg - dist
//----
css = os == 1 ? #0cb51a : #ff1100
plot0 = plot(src,color=na)
plot1 = plot(avg,color=na)
fill(plot0,plot1,color.new(css,80))
//----
plotshape(buy ? low : na,"Buy Label",shape.labelup,location.absolute,#0cb51a,0,text="B",textcolor=color.white,size=size.tiny)
plotshape(sell ? high : na,"Sell Label",shape.labeldown,location.absolute,#ff1100,0,text="S",textcolor=color.white,size=size.tiny)

plot(tp,'Target',#0cb51a,1,plot.style_linebr)
plot(sl,'Stop',#ff1100,1,plot.style_linebr)


if buy
    strategy.entry("Enter Long", strategy.long)
else if sell
    strategy.entry("Enter Short", strategy.short)

Published by ChaoZhang on the FMZ strategy square · last modified 2022-05-17. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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