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Strategy vault / Trend following

Indicator WaveTrend Oscillator

WaveTrend Oscillator is a port of a famous TS /MT indicator. When the oscillator is above the overbought band (red lines) and crosses down the signal (dotted line), it is usually a good SELL signal. Similarly, when…

Pine ScriptTrend followingMean reversionEMASMA
Author
ChaoZhang
Complexity
Starter · 48 lines
Parameters
6
Backtest bar
1h · intraday
Tested on
BTC/USDT · futures
Jump to codeView in vaultOriginal on FMZ

WaveTrend Oscillator is a port of a famous TS /MT indicator. When the oscillator is above the overbought band (red lines) and crosses down the signal (dotted line), it is usually a good SELL signal. Similarly, when the oscillator crosses above the signal when below the Oversold band (green lines), it is a good BUY signal.

I have marked some cross-overs in the above chart. As you can see, they are not the only useful signals WT generates. Try it on your instrument and let me know what you think.

backtest IMG

Parameters

NameDefaultWhat it controls
v_input_110Channel Length
v_input_221Average Length
v_input_360Over Bought Level 1
v_input_453Over Bought Level 2
v_input_5-60Over Sold Level 1
v_input_6-53Over Sold Level 2

Source Pine Script

/*backtest
start: 2021-05-05 00:00:00
end: 2022-05-04 23:59:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["v_input_3",40]]
*/

//
// @author LazyBear
//
// If you use this code in its original/modified form, do drop me a note. 
//
study(title="WaveTrend [LazyBear]", shorttitle="WT_LB")
n1 = input(10, "Channel Length")
n2 = input(21, "Average Length")
obLevel1 = input(60, "Over Bought Level 1")
obLevel2 = input(53, "Over Bought Level 2")
osLevel1 = input(-60, "Over Sold Level 1")
osLevel2 = input(-53, "Over Sold Level 2")
 
ap = hlc3 
esa = ta.ema(ap, n1)
d = ta.ema(math.abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * d)
tci = ta.ema(ci, n2)
 
wt1 = tci
wt2 = ta.sma(wt1,4)

plot(0, color=color.gray)
plot(obLevel1, color=color.red)
plot(osLevel1, color=color.green)
plot(obLevel2, color=color.red, style=3)
plot(osLevel2, color=color.green, style=3)

plot(wt1, color=color.green)
plot(wt2, color=color.red, style=3)
plot(wt1-wt2, color=color.blue, transp=80)
if wt1 >obLevel1
    strategy.entry("entry short", strategy.short)
else if wt1 < osLevel1
    strategy.entry("entry long", strategy.long)

Published by ChaoZhang on the FMZ strategy square · last modified 2022-05-08. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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