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Strategy vault / Breakout

SonicR Mean Reversion Channel Breakout Strategy

This strategy identifies trends using mean reversion channels based on the SonicR system and trades breakouts for trend following. It combines channel and moving average indicators for systematic trend trading…

Pine ScriptBreakoutMean reversionTrend followingEMA
Author
ChaoZhang
Complexity
Starter · 31 lines
Parameters
2
Backtest bar
4h · intraday
Tested on
BTC/USDT · futures
Jump to codeView in vaultOriginal on FMZ

This strategy identifies trends using mean reversion channels based on the SonicR system and trades breakouts for trend following. It combines channel and moving average indicators for systematic trend trading.

Strategy Logic:

  1. Calculate mean reversion channel with close EMA as midline and high/low EMAs as upper/lower bands.

  2. Calculate a longer period moving average line as trading signal line.

  3. Go long when close breaks above signal line.

  4. Go short when close breaks below signal line.

  5. Use channel fill for visualization.

Advantages:

  1. Channels clearly define trends and breakouts.

  2. Moving averages filter out short-term noise.

  3. Simple rules avoid emotional interference.

Risks:

  1. Lagging channels and moving averages may miss best entries.

  2. Parameter tuning needed to avoid excessive false signals.

  3. Mechanical systems can face larger drawdowns, requiring risk management.

In summary, this SonicR-based strategy identifies channel direction for systematic breakout trading. The simple rules benefit algorithmic trading but still require optimization and risk control for steady long-term gains.

Parameters

NameDefaultWhat it controls
v_input_189EMA Signal
v_input_234High Low channel Length

Source Pine Script

/*backtest
start: 2022-09-11 00:00:00
end: 2022-11-12 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
//Sonic R
// strategy("SonicR",shorttitle="Sonic R",overlay=true,default_qty_value=10000,initial_capital=1000,currency=currency.USD)
EMA = input(defval=89, title="EMA Signal")
HiLoLen     = input(34, minval=2,title="High Low channel Length")
pacC        = ema(close,HiLoLen)
pacL        = ema(low,HiLoLen)
pacH        = ema(high,HiLoLen)
DODGERBLUE = #1E90FFFF
// Plot the Price Action Channel (PAC) base on EMA high,low and close
L=plot(pacL, color=DODGERBLUE, linewidth=1, title="High PAC EMA",transp=50)
H=plot(pacH, color=DODGERBLUE, linewidth=1, title="Low PAC EMA",transp=50)
C=plot(pacC, color=DODGERBLUE, linewidth=2, title="Close PAC EMA",transp=0)
fill(L,H, color=aqua,transp=90,title="Fill HiLo PAC")
//Moving Average
signalMA =ema(close,EMA)
plot(signalMA,title="EMA Signal",color=white,linewidth=4,style=line)
//Strategy
goLong() => crossover(pacC,signalMA)
strategy.entry(id = "Go to Buy", long = true, when = goLong())
goShort() => crossunder(pacC,signalMA)
strategy.entry(id = "Go to Sell", long = false, when = goShort())

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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