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Strategy vault / Trend following

Pivot Based Trailing Maxima Minima

This indicator returns trailing maximums/minimums and their average resetting at the occurrence of a pivot point high/low, thus allowing the highlighting of past and current support and resistance levels. Settings…

Author
ChaoZhang
Complexity
Starter · 83 lines
Parameters
6
Backtest bar
1d · swing
Tested on
BTC/USDT · futures

This indicator returns trailing maximums/minimums and their average resetting at the occurrence of a pivot point high/low, thus allowing the highlighting of past and current support and resistance levels.

Settings

Length: Determines the pivot high/low lookback, with higher values allowing to detect longer term tops and bottoms.

Usage

snapshot

The indicator can highlight points of support and resistances - these are points where price bounced of the average line. These points can eventually be used to draw trendlines .

snapshot

The trailing maximum/minimum and their average extends to the most recent bar, allowing real time applications of the indicator.

Additionally, users can easily analyze past trends and determine their type by observing the trailing maximum/minimum behavior. For example, trailing maximums/minimums not making new higher high/lower low would indicate a ranging market.

snapshot

The frequency of new higher high/lower low can also help determine how bullish / bearish a trend was.

backtest

IMG

Parameters

NameDefaultWhat it controls
v_input_int_114length
v_input_color_1teal(?Style)Trailing Maximum Color
v_input_color_2redTrailing Minimum Color
v_input_color_3#ff5d00Trailing Maximum Color
v_input_color_4tealUptrend Area
v_input_color_5redDowntrend Area

Source Pine Script

/*backtest
start: 2022-02-24 00:00:00
end: 2022-05-23 23:59:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This work is licensed under a Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) https://creativecommons.org/licenses/by-nc-sa/4.0/
// © LuxAlgo

//@version=5
indicator("Pivot Based Trailing Maxima & Minima [LUX]",overlay=true,max_bars_back=500,max_lines_count=500)
length = input.int(14,minval=2,maxval=500)

max_color = input.color(color.teal,'Trailing Maximum Color',group='Style')
min_color = input.color(color.red,'Trailing Minimum Color',group='Style')
avg_color = input.color(#ff5d00,'Trailing Maximum Color',group='Style')

bull_fill = input.color(color.new(color.teal,80),'Uptrend Area',group='Style')
bear_fill = input.color(color.new(color.red,80),'Downtrend Area',group='Style')
//----
var max = 0.
var min = 0.

ph = ta.pivothigh(length,length)
pl = ta.pivotlow(length,length)

if ph or pl
    max := high[length]
    min := low[length]

max := math.max(high[length],max)
min := math.min(low[length],min)

avg = math.avg(max,min)

//----
plot1 = plot(max,'Trailing Maximum',ph or pl ? na : max_color,1,plot.style_linebr,offset=-length)
plot2 = plot(min,'Trailing Minimum',ph or pl ? na : min_color,1,plot.style_linebr,offset=-length)

fill_css = fixnan(ph ? bear_fill : pl ? bull_fill : na)
fill(plot1,plot2,ph or pl ? na : fill_css)

plot(avg,'Average',ph or pl ? na : avg_color,1,plot.style_linebr,offset=-length)

plotshape(pl ? pl : na,"Pivot High",shape.labelup,location.absolute,max_color,-length,text="▲",textcolor=color.white,size=size.tiny)
plotshape(ph ? ph : na,"Pivot Low",shape.labeldown,location.absolute,min_color,-length,text="▼",textcolor=color.white,size=size.tiny)

// //----
// n = bar_index

// max_prev = max
// min_prev = min
// avg_prev = avg
// max2 = max
// min2 = min

// if barstate.islast
//     for line_object in line.all
//         line.delete(line_object)

//     for i = 0 to length-1
//         max2 := math.max(high[length-1-i],max_prev)
//         min2 := math.min(low[length-1-i],min_prev)
//         avg2 = math.avg(max2,min2)
        
//         line1 = line.new(n-(length-i),max_prev,n-(length-1-i),max2,color=max_color)
//         line2 = line.new(n-(length-i),min_prev,n-(length-1-i),min2,color=min_color)
//         linefill.new(line1,line2,color.new(fill_css,80))
        
//         line.new(n-(length-i),avg_prev,n-(length-1-i),avg2,color=avg_color)
        
//         max_prev := max2
//         min_prev := min2
//         avg_prev := avg2



if pl
    strategy.entry("Enter Long", strategy.long)
else if ph
    strategy.entry("Enter Short", strategy.short)

Published by ChaoZhang on the FMZ strategy square · last modified 2022-05-25. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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