Multi Indicator Trend Momentum Trading Strategy A Comprehensive Quantitative Trading System Based on Bollinger Bands RSI and OBV

Pine ScriptMomentum Trend following Breakout RSI EMA SMA Bollinger Bands OBV Volume

Author: ChaoZhang
Complexity: Starter · 55 lines
Parameters: 0
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy is a trend-following and momentum trading system based on multiple technical indicators. It combines Bollinger Bands (BB), Relative Strength Index (RSI), and On-Balance Volume (OBV) to identify market trends and trading opportunities by analyzing price movements, momentum, and trading volume. The strategy adopts a medium to long-term holding approach, entering long positions when the market shows a clear upward trend with strong momentum and exiting when the price breaks below the lower Bollinger Band.

Strategy Principles

The core logic of the strategy is based on three aspects:

Using Bollinger Bands (BB) to determine price trends - When price is above the middle band, it confirms an upward trend. BB parameters are set to 20-day moving average and 2 standard deviations.
Using Relative Strength Index (RSI) to confirm price momentum - RSI above 50 indicates upward momentum. RSI parameter is set to 14 days.
Using On-Balance Volume (OBV) to verify volume support - Rising 10-day exponential moving average of OBV shows volume confirms price increases.

Entry signals require simultaneous satisfaction of: price above BB middle band, RSI above 50, and upward OBV trend. Exit signal is: price breaking below the lower BB band.

Strategy Advantages

Multiple technical indicators cross-validation improves signal reliability
Combines price, momentum, and volume analysis
Trend-following approach captures major market moves
Clear exit conditions effectively control drawdown risk
Reasonable indicator parameters avoid over-optimization

Strategy Risks

Potential losses from frequent trading in choppy markets
Significant drawdowns possible during trend reversals
Slippage losses in sharp decline scenarios
Volume indicators may be ineffective in certain markets
Fixed parameters may not adapt to all market conditions

Strategy Optimization Directions

Add market environment classification for different parameter sets
Implement stop-loss mechanisms to control single trade risk
Optimize exit mechanism to lock in partial profits
Add volume filters to avoid false breakouts
Incorporate volatility adaptation for dynamic parameter adjustment

Summary

This strategy is a robust trend-following system that effectively captures market trends through the coordinated use of multiple technical indicators. The strategy logic is clear, with reasonable parameter settings and good practicality. Through the suggested optimization directions, the strategy's stability and profitability can be further improved. When applying to live trading, it is recommended to make appropriate adjustments based on specific market characteristics and capital scale.

Source Pine Script

/*backtest
start: 2024-02-18 00:00:00
end: 2025-02-17 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © ahmetkaratas4238

//@version=5
strategy("İstanbul Stratejisi", overlay=true)

// Bollinger Bantları Hesaplamaları
bbLength = 20
bbMult = 2.0
basis = ta.sma(close, bbLength)
dev = bbMult * ta.stdev(close, bbLength)
upperBand = basis + dev
lowerBand = basis - dev

// RSI Hesaplamaları
rsiLength = 14
rsi = ta.rsi(close, rsiLength)
rsiThreshold = 50

// OBV Hesaplaması
obv = ta.cum(volume * math.sign(ta.change(close)))  // ta.cum yerine ta.cumulative kullanılmalı
obvTrend = ta.ema(obv, 10) > ta.ema(obv[1], 10)  // OBV'nin yükseliş trendinde olup olmadığını kontrol eder

// ALIM ŞARTLARI
buyCondition = close > basis and rsi > rsiThreshold and obvTrend

// SATIM ŞARTI
sellCondition = close < lowerBand

// Alım İşlemi Aç
if buyCondition
    strategy.entry("Long", strategy.long)

// Satım İşlemi Yap (Pozisyon Kapat)
if sellCondition
    strategy.close("Long")

// Bollinger Bantlarını Göster
plot(upperBand, title="Üst Bollinger Bandı", color=color.red)
plot(lowerBand, title="Alt Bollinger Bandı", color=color.green)
plot(basis, title="Orta Bollinger Bandı", color=color.blue)

// Alım ve Satım Sinyallerini İşaretle
plotshape(series=buyCondition, location=location.belowbar, color=color.green, style=shape.labelup, title="Alım Sinyali")
plotshape(series=sellCondition, location=location.abovebar, color=color.red, style=shape.labeldown, title="Satım Sinyali")

Published by ChaoZhang on the FMZ strategy square · last modified 2025-02-18. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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