Sunny Supertrend Strategy

The Sunny Supertrend strategy is a trend-following strategy based on the ATR and SuperTrend indicators. It can accurately predict trend reversals and works perfectly as a timing indicator. The strategy can increase…

Pine ScriptTrend following Mean reversion Volatility ATR Supertrend

Author: ChaoZhang
Complexity: Intermediate · 81 lines
Parameters: 8
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The strategy uses the SuperTrend indicator to determine the current trend direction. When the SuperTrend indicator changes direction, we think a trend reversal may occur. In addition, the strategy also uses the direction of candlestick bodies for auxiliary judgment. When a potential reversal signal appears and the candlestick body direction is consistent with the previous one, the invalid signal is filtered out.

Specifically, the strategy generates trading signals according to the following logic:

Use the SuperTrend indicator to determine the main trend direction
When the SuperTrend indicator direction changes, a potential reversal signal is generated
If the candlestick body direction is consistent with the previous one at this time, the reversal signal is filtered out
If the candlestick body direction changes, the reversal signal is confirmed and a trading signal is generated

Advantage Analysis

Based on the Supertrend indicator, it can accurately determine trend reversal points
Filter out invalid signals by combining candlestick body directions to improve signal quality
Suitable as a timing indicator to guide investors to choose reasonable entry and exit time
Widely applicable to any timeframe and different varieties with strong adaptability

Risks and Solutions

The Supertrend indicator tends to generate redundant signals which need to be filtered Solution: This strategy uses the candlestick body direction for auxiliary judgment to effectively filter out invalid signals
Supertrend parameters are prone to over-optimization
Solution: Use default parameters to avoid manual tweaking and over-optimization
Unable to process ultra-fast trend reversals Solution: Adjust the ATR period parameter appropriately to cope with faster market movements

Optimization Directions

Try different combinations of ATR period parameters
Add Volume or volatility indicators to help filter signals
Combine with other systems to improve strategy performance
Develop stop loss mechanisms to control single loss

Conclusion

The Sunny Supertrend strategy is an efficient trend reversal strategy based on the SuperTrend indicator. It combines candlestick body directions for auxiliary judgment, which can effectively filter out invalid signals and improve signal quality. This strategy is simple to operate, highly adaptable, and can be widely used across multiple products and timeframes. By reasonably optimizing parameters and increasing stop loss mechanisms, the strategy's performance can be further enhanced.

Parameters

Name	Default	What it controls
v_input_1	10	ATR Length
v_input_float_1	3	Factor
v_input_int_1	true	Start Date
v_input_int_2	true	Start Month
v_input_int_3	2021	Start Year
v_input_int_4	true	End Date
v_input_int_5	2	End Month
v_input_int_6	2021	End Year

Source Pine Script

/*backtest
start: 2023-11-12 00:00:00
end: 2023-12-12 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Sunny Supertrend Strategy", overlay=true, default_qty_type=strategy.percent_of_equity)

atrPeriod = input(10, "ATR Length")
factor = input.float(3.0, "Factor", step = 0.01)

[_, direction] = ta.supertrend(factor, atrPeriod)

shor= close > open and close[1] > open[1] and close[2] > open[2] 
lon = open > close and open[1] > close[1] and  open[2] > close[2]
tt= ta.change(direction) < 0
ss= ta.change(direction) > 0
long= tt
longexit = lon or ss
short= ss
shortexit = shor or tt

longPosMem = false
longexitPosMem = false
shortPosMem = false
shortexitPosMem = false

longPosMem := long ? true : short ? false : longPosMem[1]
longexitPosMem := longexit ? true : shortexit ? false : longexitPosMem[1]
shortPosMem := short ? true : long ? false : shortPosMem[1]
shortexitPosMem := shortexit ? true : longexit ? false : shortexitPosMem[1]

longy = long and not(longPosMem[1])
longexity = longexit and not(longexitPosMem[1])
shorty = short and not(shortPosMem[1])
shortexity = shortexit and not(shortexitPosMem[1])

//Use this to customize the look of the arrows to suit your needs.
plotshape(longy, location=location.abovebar, color=color.green, style=shape.arrowup, text="Buy")
plotshape(longexity, location=location.top, color=color.green, style=shape.xcross, text="Buy exit")
plotshape(shorty, location=location.belowbar, color=color.red, style=shape.arrowdown, text="Sell")
plotshape(shortexity, location=location.bottom, color=color.red, style=shape.xcross, text="Sell exit")


//plot(strategy.equity, title="equity", color=color.red, linewidth=2, style=plot.style_areabr)
// STEP 1:
// Make input options that configure backtest date range
startDate = input.int(title="Start Date", defval=1, minval=1, maxval=31)
startMonth = input.int(title="Start Month", 
     defval=1, minval=1, maxval=12)
startYear = input.int(title="Start Year",
     defval=2021, minval=1800, maxval=2100)

endDate = input.int(title="End Date",
     defval=1, minval=1, maxval=31)
endMonth = input.int(title="End Month",
     defval=2, minval=1, maxval=12)
endYear = input.int(title="End Year",
     defval=2021, minval=1800, maxval=2100)

// STEP 2:
// Look if the close time of the current bar
// falls inside the date range
inDateRange =  true



// STEP 3:
// Submit entry orders, but only when bar is inside date range
if (inDateRange and longy)
    strategy.entry("enter long",strategy.long,when= longy)
    strategy.close("long",when=longexity)


if (inDateRange and shorty)
    strategy.entry("enter short",strategy.short,when = shorty)
    strategy.close("short", when=shortexity)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-12-13. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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