Heikin Ashi PSAR Trend Trading Strategy

This strategy combines Heikin-Ashi candlesticks and the PSAR indicator for trend identification and trade signals. It uses Heikin-Ashi noise filtering with PSAR for trend reversal detection, aiming to capture…

Pine ScriptTrend following Mean reversion Heikin Ashi

Author: ChaoZhang
Complexity: Intermediate · 91 lines
Parameters: 9
Backtest bar: 2h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Strategy Logic:

Calculate Heikin-Ashi open, close, high and low.
Candle color determines interim bull/bear trend.
Calculate PSAR and identify trend reversal when it crosses Heikin-Ashi price.
Go long on PSAR downtrend and short on PSAR uptrend.
PSAR adapts based on new highs/lows and acceleration factor.

Advantages:

Combination improves accuracy - Heikin-Ashi filters noise, PSAR catches reversals.
Adaptive PSAR adjustable to changing market conditions.
Clear rules benefit parameter optimization.

Risks:

Lagging Heikin-Ashi and PSAR may miss best entries.
PSAR prone to false signals in choppy trends.
Strict risk management needed to defend against whipsaws.

In summary, this strategy pairs Heikin-Ashi for trend context with PSAR for timing. Lag and false signals require caution but can be overcome through optimization for long-term steady gains.

Parameters

Name	Default	What it controls
v_input_1	0.02	PSAR Start
v_input_2	0.02	PSAR Increment
v_input_3	0.2	PSAR Max
v_input_4	2018	Start Year
v_input_5	true	Start Month
v_input_6	true	Start Day
v_input_7	2100	End Year
v_input_8	true	End Month
v_input_9	true	End Day

Source Pine Script

/*backtest
start: 2023-08-12 00:00:00
end: 2023-09-11 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("QuantNomad - Heikin-Ashi PSAR Strategy", shorttitle = "HA-PSAR[QN]", overlay = false)

////////////
// INPUTS //

start      = input(0.02, title = "PSAR Start")
increment  = input(0.02, title = "PSAR Increment")
maximum    = input(0.2,  title = "PSAR Max")

start_year  = input(2018, 'Start Year',  input.integer)
start_month = input(1,    'Start Month', input.integer)
start_day   = input(1,    'Start Day',   input.integer)

end_year  = input(2100, 'End Year',  input.integer)
end_month = input(1,    'End Month', input.integer)
end_day   = input(1,    'End Day',   input.integer)

date_start = timestamp(start_year, start_month, start_day, 00, 00)
date_end   = timestamp(end_year,   end_month,   end_day,   00, 00)

// if time is in correct period
time_cond = time >= date_start and time <= date_end

// Calculation HA Values 
haopen  = 0.0
haclose = (open + high + low + close) / 4
haopen := na(haopen[1]) ? (open + close) / 2 : (haopen[1] + haclose[1]) / 2
hahigh  = max(high, max(haopen, haclose))
halow   = min(low,  min(haopen, haclose))

// HA colors
hacolor = haclose > haopen ? color.green : color.red

psar        = 0.0 // PSAR
af          = 0.0 // Acceleration Factor
trend_dir   = 0   // Current direction of PSAR
ep          = 0.0 // Extreme point
trend_bars  = 0

sar_long_to_short = trend_dir[1] == 1  and haclose <= psar[1] // PSAR switches from long to short
sar_short_to_long = trend_dir[1] == -1 and haclose >= psar[1] // PSAR switches from short to long

trend_change = barstate.isfirst[1] or sar_long_to_short or sar_short_to_long

// Calculate trend direction
trend_dir    := barstate.isfirst[1] and haclose[1] > haopen[1] ? 1 : 
   barstate.isfirst[1] and haclose[1] <= haopen[1] ? -1 : 
   sar_long_to_short ? -1 : 
   sar_short_to_long ?  1 : nz(trend_dir[1])

trend_bars := sar_long_to_short ? -1 : 
              sar_short_to_long ?  1 : 
              trend_dir ==  1   ? nz(trend_bars[1]) + 1 : 
              trend_dir == -1   ? nz(trend_bars[1]) - 1 : 
              nz(trend_bars[1])

// Calculate  Acceleration Factor
af := trend_change ? start : 
   (trend_dir == 1 and hahigh > ep[1]) or  
   (trend_dir == -1 and low < ep[1]) ? 
   min(maximum, af[1] + increment) : 
   af[1]

// Calculate extreme point
ep := trend_change and trend_dir == 1 ? hahigh :  
   trend_change and trend_dir == -1 ? halow : 
   trend_dir == 1 ? max(ep[1], hahigh) : 
   min(ep[1], halow)

// Calculate PSAR
psar := barstate.isfirst[1] and haclose[1] > haopen[1] ? halow[1] : 
   barstate.isfirst[1] and haclose[1] <= haopen[1] ? hahigh[1] : 
   trend_change ? ep[1] :    
   trend_dir == 1 ? psar[1] + af * (ep - psar[1]) : psar[1] - af * (psar[1] - ep) 

plotcandle(haopen, hahigh, halow, haclose, title = "HA", color = hacolor)
plot(psar, style=plot.style_cross, color=trend_dir == 1 ? color.green : color.red,  linewidth = 2)

// Strategy
strategy.entry("long",  true,  when = sar_short_to_long and time_cond)
strategy.entry("short", false, when = sar_long_to_short and time_cond)

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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