Leledec DEC Strategy

The Leledec strategy identifies trend reversals by detecting exhaustion patterns in the Leledec indicator. It goes long when major Leledec exhaustion appears and goes short when minor Leledec exhaustion appears. The…

Pine ScriptMean reversion Trend following

Author: ChaoZhang
Complexity: Intermediate · 92 lines
Parameters: 16
Backtest bar: 2h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The Leledec indicator identifies local extremum points of price. It does so by analyzing the relationship between close and open prices over several bars.

The core logic of the strategy is:

Calculate the major Leledec indicator (maj) using parameters bar count (maj_qual) and lookback period (maj_len).
When major Leledec breaks above maj_qual bars consecutively, and the high of the bar exceeds the highest high over the past maj_len bars, a major Leledec upside exhaustion is identified which generates a long signal.
Calculate the minor Leledec indicator (min) using parameters bar count (min_qual) and lookback period (min_len).
When minor Leledec breaks below min_qual bars consecutively, and the low of the bar is below the lowest low over the past min_len bars, a minor Leledec downside exhaustion is identified which generates a short signal.

According to the logic of the Leledec indicator, exhaustion patterns represent potential extremum points and trend reversals, hence the trading signals.

Advantage Analysis

The strategy has strong capabilities in trend identification. Leledec can effectively detect local extremum points.
Flexibility in adapting to different timeframes and market conditions through parameter tuning.
Can use major Leledec alone or incorporate minor Leledec for more comprehensive signals.
Customizable sensitivity through bar count and lookback period parameters.

Risk Analysis

Potential for false signals, requires validation using other indicators.
Parameter optimization needed for different products and timeframes. Improper parameters may cause over-trading or missed trades.
Mainly relies on candlestick patterns, may miss opportunities during short term price oscillations.
Need to watch real bodies of signal bars for failed trend reversals.

Optimization

Optimize parameter combinations for better adaptability. Consider dynamic optimization.
Incorporate other indicators like volume, moving averages etc. to filter signals.
Implement stop loss to control downside on single trades.
Incorporate short term indicators to catch opportunities from minor oscillations.
Test on different products to find optimal environment.
Optimize money management strategies like position sizing, risk per trade etc.

Conclusion

The Leledec strategy catches trend reversals by identifying extremum patterns in the Leledec indicator. It is an effective trend following methodology. While advantageous in assessing trends, further optimization, additional signal validation, and proper risk management is needed for long term profitability. Overall, the Leledec strategy provides a valuable addition to a trader's toolkit.

Parameters

Name	Default	What it controls
v_input_1	true	Major Leledec Exhausion Bar :: Show
v_input_2	false	Minor Leledec Exhausion Bar :: Show
v_input_3_close	0	Major Leledec Exhausion Bar :: Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_4	6	Major Leledec Exhausion Bar :: Bar count no
v_input_5	30	Major Leledec Exhausion Bar :: Highest / Lowest
v_input_6	5	Minor Leledec Exhausion Bar :: Bar count no
v_input_7	5	Minor Leledec Exhausion Bar :: Bar count no
v_input_8	true	bindexSindex
v_input_9	4	Close
v_input_10	true	From Month
v_input_11	true	From Day
v_input_12	2018	From Year
v_input_13	12	Thru Month
v_input_14	true	Thru Day
v_input_15	2030	Thru Year
v_input_16	true	Show Date Range

Source Pine Script

/*backtest
start: 2023-09-01 00:00:00
end: 2023-09-30 23:59:59
period: 2h
basePeriod: 15m
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/
// © Joy_Bangla

//@version=4
strategy("A Strategy for Leledec", shorttitle ="Leledec Strategy", overlay=true, commission_value=0.075, initial_capital=10000, default_qty_type = strategy.percent_of_equity, default_qty_value = 10)

maj = input(true, "Major Leledec Exhausion Bar ::  Show")
min=input(false, "Minor Leledec Exhausion Bar ::  Show")
leledcSrc = input(close, "Major Leledec Exhausion Bar ::  Source")
maj_qual = input(6, "Major Leledec Exhausion Bar ::  Bar count no")
maj_len = input(30, "Major Leledec Exhausion Bar ::  Highest / Lowest")
min_qual=input(5, "Minor Leledec Exhausion Bar ::  Bar count no")
min_len=input(5, "Minor Leledec Exhausion Bar ::  Bar count no")
bindexSindex = input(1, "bindexSindex")
closeVal = input(4, "Close")

lele(qual, len) =>
    bindex = 0
    sindex = 0
    bindex := nz(bindex[bindexSindex], 0)
    sindex := nz(sindex[bindexSindex], 0)
    ret = 0
    if close > close[closeVal]
        bindex := bindex + 1
        bindex
    if close < close[closeVal]
        sindex := sindex + 1
        sindex
    if bindex > qual and close < open and high >= highest(high, len)
        bindex := 0
        ret := -1
        ret
    if sindex > qual and close > open and low <= lowest(low, len)
        sindex := 0
        ret := 1
        ret
    return = ret
    return

major = lele(maj_qual, maj_len)
minor=lele(min_qual,min_len)

plotchar(maj ? major == -1 ? high : na : na, char='•', location=location.absolute, color=color.red, transp=0, size=size.large)
plotchar(maj ? major == 1 ? low : na : na, char='•', location=location.absolute, color=color.lime, transp=0, size=size.large)

plotchar(min ? (minor==1?high:na) : na, char='x', location=location.absolute, color=color.red, transp=0, size=size.small)
plotchar(min ? (minor==-1?low:na) : na, char='x', location=location.absolute, color=color.lime, transp=0, size=size.small)

leledecMajorBullish = major==1?low:na
leledecMajorBearish = major==-1?high:na

leledecMinorBullish = minor==1?low:na
leledecMinorBearish = minor==-1?high:na



buySignalBasedOnMajorLeledecOnly = major==1?low:na
sellSignalBasedOnMajorLeldecOnly = minor==-1?high:na


// === INPUT BACKTEST RANGE ===
fromMonth = input(defval = 1,    title = "From Month",      type = input.integer, minval = 1, maxval = 12)
fromDay   = input(defval = 1,    title = "From Day",        type = input.integer, minval = 1, maxval = 31)
fromYear  = input(defval = 2018, title = "From Year",       type = input.integer, minval = 2017, maxval = 2030)
thruMonth = input(defval = 12,    title = "Thru Month",      type = input.integer, minval = 1, maxval = 11)
thruDay   = input(defval = 1,    title = "Thru Day",        type = input.integer, minval = 1, maxval = 30)
thruYear  = input(defval = 2030, title = "Thru Year",       type = input.integer, minval = 2017, maxval = 2030)

// === INPUT SHOW PLOT ===
showDate  = input(defval = true, title = "Show Date Range", type = input.bool)

// === FUNCTION EXAMPLE ===
start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => time >= start and time <= finish ? true : false       // create function "within window of time"

if (window())
    strategy.entry("buy", strategy.long, when=buySignalBasedOnMajorLeledecOnly)
    strategy.entry("sell", strategy.short, when=sellSignalBasedOnMajorLeldecOnly)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-10-31. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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