Multi Indicator Filtered Trading Strategy with Bollinger Bands and Woodies CCI

Pine ScriptTrend following Volatility Tools & templates SMA Bollinger Bands ATR CCI OBV Volume

Author: ChaoZhang
Complexity: Intermediate · 96 lines
Parameters: 0
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy is a multi-indicator trading system combining Bollinger Bands, Woodies CCI (Commodity Channel Index), Moving Averages (MA), and On-Balance Volume (OBV). It uses Bollinger Bands to provide market volatility ranges, CCI indicators for signal filtering, and combines MA systems with volume confirmation to execute trades when market trends are clear. Additionally, it employs ATR for dynamic stop-loss and take-profit placement to effectively control risk.

Strategy Principles

The core logic is based on the following key elements:

Uses two standard deviation Bollinger Bands (1x and 2x) to construct price volatility channels
Employs 6-period and 14-period CCI indicators as signal filters, requiring confirmation from both periods
Combines 50-period and 200-period moving averages to determine market trends
Confirms volume trends through 10-period smoothed OBV
Uses 14-period ATR for dynamic stop-loss and take-profit levels

Strategy Advantages

Multiple indicator cross-validation significantly reduces false signals
Bollinger Bands and CCI combination provides accurate market volatility judgment
Long and short-term MA systems effectively capture major trends
OBV confirms volume support, increasing signal reliability
Dynamic stop-loss and take-profit settings adapt to different market conditions
Clear trading signals with standardized execution, suitable for quantitative implementation

Strategy Risks

Multiple indicators may lead to delayed signals
Frequent stop-losses in ranging markets
Risk of parameter optimization overfitting
Stop-losses may not trigger quickly enough in volatile periods Mitigation measures:

Dynamically adjust indicator parameters for different market cycles
Monitor drawdown for position control
Regular parameter validation
Set maximum loss limits

Optimization Directions

Introduce volatility indicators to adjust positions in high volatility periods
Add trend strength filtering to avoid ranging market trades
Optimize CCI period selection for improved signal sensitivity
Enhance profit/loss management with partial profit-taking
Implement volume anomaly warning system

Summary

This is a complete trading system based on technical indicator combinations that improves trading accuracy through multiple signal confirmations. The strategy design is reasonable with proper risk control and has good practical application value. It is recommended to test with conservative positions in live trading and continuously optimize parameters based on market conditions.

Source Pine Script

/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-25 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy(shorttitle="BB Debug + Woodies CCI Filter", title="Debug Buy/Sell Signals with Woodies CCI Filter", overlay=true)

// Input Parameters
length = input.int(20, minval=1, title="BB MA Length")
src = input.source(close, title="BB Source")
mult1 = input.float(1.0, minval=0.001, maxval=50, title="BB Multiplier 1 (Std Dev 1)")
mult2 = input.float(2.0, minval=0.001, maxval=50, title="BB Multiplier 2 (Std Dev 2)")
ma_length = input.int(50, minval=1, title="MA Length")
ma_long_length = input.int(200, minval=1, title="Long MA Length")
obv_smoothing = input.int(10, minval=1, title="OBV Smoothing Length")
atr_length = input.int(14, minval=1, title="ATR Length") // ATR Length for TP/SL

// Bollinger Bands
basis = ta.sma(src, length)
dev1 = mult1 * ta.stdev(src, length)
dev2 = mult2 * ta.stdev(src, length)

upper_1 = basis + dev1
lower_1 = basis - dev1
upper_2 = basis + dev2
lower_2 = basis - dev2

plot(basis, color=color.blue, title="BB MA")
p1 = plot(upper_1, color=color.new(color.green, 80), title="BB Upper 1")
p2 = plot(lower_1, color=color.new(color.green, 80), title="BB Lower 1")
p3 = plot(upper_2, color=color.new(color.red, 80), title="BB Upper 2")
p4 = plot(lower_2, color=color.new(color.red, 80), title="BB Lower 2")

fill(p1, p2, color=color.new(color.green, 90))
fill(p3, p4, color=color.new(color.red, 90))

// Moving Averages
ma_short = ta.sma(close, ma_length)
ma_long = ta.sma(close, ma_long_length)
plot(ma_short, color=color.orange, title="MA Short")
plot(ma_long, color=color.yellow, title="MA Long")

// OBV and Smoothing
obv = ta.cum(ta.change(close) > 0 ? volume : ta.change(close) < 0 ? -volume : 0)
obv_smooth = ta.sma(obv, obv_smoothing)

// Debugging: Buy/Sell Signals
debugBuy = ta.crossover(close, ma_short)
debugSell = ta.crossunder(close, ma_short)

// Woodies CCI
cciTurboLength = 6
cci14Length = 14
cciTurbo = ta.cci(src, cciTurboLength)
cci14 = ta.cci(src, cci14Length)

// Filter: Only allow trades when CCI confirms the signal
cciBuyFilter = cciTurbo > 0 and cci14 > 0
cciSellFilter = cciTurbo < 0 and cci14 < 0

finalBuySignal = debugBuy and cciBuyFilter
finalSellSignal = debugSell and cciSellFilter

// Plot Debug Buy/Sell Signals
plotshape(finalBuySignal, title="Filtered Buy", location=location.belowbar, color=color.lime, style=shape.triangleup, size=size.normal)
plotshape(finalSellSignal, title="Filtered Sell", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.normal)

// Change candle color based on filtered signals
barcolor(finalBuySignal ? color.lime : finalSellSignal ? color.red : na)

// ATR for Stop Loss and Take Profit
atr = ta.atr(atr_length)
tp_long = close + 2 * atr  // Take Profit for Long = 2x ATR
sl_long = close - 1 * atr  // Stop Loss for Long = 1x ATR
tp_short = close - 2 * atr // Take Profit for Short = 2x ATR
sl_short = close + 1 * atr // Stop Loss for Short = 1x ATR

// Strategy Execution
if (finalBuySignal)
    strategy.entry("Buy", strategy.long)
    strategy.exit("Take Profit/Stop Loss", "Buy", limit=tp_long, stop=sl_long)

if (finalSellSignal)
    strategy.entry("Sell", strategy.short)
    strategy.exit("Take Profit/Stop Loss", "Sell", limit=tp_short, stop=sl_short)

// Check for BTC/USDT pair
isBTCUSDT = syminfo.ticker == "BTCUSDT"

// Add alerts only for BTC/USDT
alertcondition(isBTCUSDT and finalBuySignal, title="BTCUSDT Buy Signal", message="Buy signal detected for BTCUSDT!")
alertcondition(isBTCUSDT and finalSellSignal, title="BTCUSDT Sell Signal", message="Sell signal detected for BTCUSDT!")

Published by ChaoZhang on the FMZ strategy square · last modified 2024-12-27. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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