SuperTrend Basic Strategy

Pine ScriptTrend following Machine learning Breakout RSI MACD EMA ATR Supertrend

Author: ChaoZhang
Complexity: Intermediate · 124 lines
Parameters: 16
Backtest bar: 2h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

The SuperTrend basic strategy is a reliable and profitable algorithmic trading strategy based on three powerful indicators: SuperTrend (ATR), RSI and EMA. It aims to identify the direction and strength of market trends, enter the market at optimal points, and exit when stop loss or take profit is reached.

Strategy Logic

The strategy uses SuperTrend indicator to determine if price is in an uptrend or downtrend. SuperTrend is based on Average True Range and a factor, above SuperTrend is uptrend and below is downtrend.

RSI is used to detect overbought/oversold conditions. Above 50 is bullish and below 50 bearish. RSI filters out false signals.

EMA judges long term trend direction. Above EMA is uptrend, below is downtrend. It confirms trade direction.

The trading signals are:

Long entry: Price above SuperTrend and RSI above 50 and Price above EMA Long exit: Price closes below SuperTrend or Stop loss or Take profit

Short entry: Price below SuperTrend and RSI below 50 and Price below EMA Short exit: Price closes above SuperTrend or Stop loss or Take profit

Stop loss and take profit can be set as percentage of entry price.

Advantage Analysis

The advantages of this strategy:

Combination of 3 indicators, reliable trend detection
SuperTrend clearly identifies uptrend and downtrend
RSI filters out false breakouts, avoids overbought/oversold
EMA confirms overall trend direction
Simple and clear trading signals, easy to follow
Customizable ATR period, RSI parameters and EMA period for optimization
Stop loss and take profit to control risk
Long only or short only mode for different markets
Applicable to any timeframe

Risk Analysis

The main risks:

Lagging of SuperTrend in trend reversal, may cause losses
Small stop loss/take profit fails to catch big moves
EMA cannot spot trend reversal points
No divergence detection
Still has volatility risk and time risk

Solutions:

Add other indicators to detect reversal
Optimize stop loss/take profit
Add other indicators to spot reversal
Incorporate divergence indicators
Adjust position sizing

Optimization Directions

Ways to optimize the strategy:

Optimize ATR period for sensitivity and stability
Optimize RSI parameters for higher accuracy
Optimize EMA period for different markets
Add indicators like MACD, KD for reversal detection
Add divergence indicators
Use Elliott Waves to spot reversals
Use machine learning to dynamically optimize parameters
Advanced stop loss algorithms like trailing stop loss
Optimize position sizing for different volatility
Test more complex entry and exit conditions

Conclusion

The SuperTrend basic strategy integrates SuperTrend, RSI and EMA into a simple and practical trend following system. It identifies trend direction clearly, filters out false signals and confirms overall trend. Clear entry, exit rules and stop loss/take profit configuration. Easy to use, reliable profitability. Applicable to any timeframe. It can be further optimized by tuning parameters, adding reversal tools, enhancing stops to become a more powerful trading system.

Parameters

Name	Default	What it controls
v_input_string_1	0	Type Of Strategy: Pullback \| Simple
v_input_1	10	(?Supertrend Settings)ATR Length
v_input_float_1	3	Factor
v_input_bool_1	true	(?Ema Settings)Ema Condition On/Off
v_input_int_1	200	Ema Length
v_input_source_1_close	0	Ema Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_bool_2	true	(?Rsi Settings)Rsi Condition On/Off
v_input_2_close	0	RSI Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_3	14	RSI Length
v_input_4	50	RSI BUY Level
v_input_5	50	RSI SELL Level
v_input_6	timestamp(2005-01-01)	(?Backtest Period)Start calculations from
v_input_7	timestamp(2045-03-01)	End calculations
v_input_string_2	0	(?Trade Direction)Trade Direction: Both \| Short \| Long
v_input_float_2	true	(?Sl/Tp Settings)Stop Loss %
v_input_float_3	true	Take Profit %

Source Pine Script

/*backtest
start: 2023-09-10 00:00:00
end: 2023-10-10 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © JS_TechTrading

//@version=5
// strategy("Supertrend", overlay=true,default_qty_type =strategy.percent_of_equity,default_qty_value = 1,process_orders_on_close = false)

// group string////
var string group_text000="Choose Strategy"
var string group_text0="Supertrend Settings"
var string group_text0000="Ema Settings"
var string group_text00="Rsi Settings"
var string group_text1="Backtest Period"
var string group_text2="Trade Direction"
// var string group_text3="Quantity Settings"
var string group_text4="Sl/Tp Settings"
////////////////////
option_ch=input.string('Pullback',title = "Type Of Strategy",options =['Pullback','Simple'])

//atr period input supertrend 
atrPeriod = input(10, "ATR Length",group = group_text0)
factor = input.float(3.0, "Factor", step = 0.01,group=group_text0)

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

bodyMiddle = plot((open + close) / 2, display=display.none)
upTrend = plot(direction < 0 ? supertrend : na, "Up Trend", color = color.green, style=plot.style_linebr)
downTrend = plot(direction < 0? na : supertrend, "Down Trend", color = color.red, style=plot.style_linebr)

fill(bodyMiddle, upTrend, color.new(color.green, 90), fillgaps=false)
fill(bodyMiddle, downTrend, color.new(color.red, 90), fillgaps=false)

long=direction < 0 ? supertrend : na
short=direction < 0? na : supertrend

longpos=false
shortpos=false

longpos :=long?true :short?false:longpos[1]
shortpos:=short?true:long?false:shortpos[1]

fin_pullbuy= (ta.crossunder(low[1],long) and long and high>high[1])
fin_pullsell=(ta.crossover(high[1],short) and short and low<low[1]) 

//Ema 1
on_ma=input.bool(true,"Ema Condition On/Off",group=group_text0000)
ma_len= input.int(200, minval=1, title="Ema Length",group = group_text0000)
ma_src = input.source(close, title="Ema Source",group = group_text0000)
ma_out = ta.ema(ma_src, ma_len)

ma_buy=on_ma?close>ma_out?true:false:true
ma_sell=on_ma?close<ma_out?true:false:true

// rsi indicator and condition
// Get user input
en_rsi    = input.bool(true,"Rsi Condition On/Off",group = group_text00)
rsiSource = input(title='RSI Source', defval=close,group = group_text00)
rsiLength = input(title='RSI Length', defval=14,group = group_text00)
rsiOverbought = input(title='RSI BUY Level', defval=50,group = group_text00)
rsiOversold   = input(title='RSI SELL Level', defval=50,group = group_text00)

// Get RSI value
rsiValue = ta.rsi(rsiSource, rsiLength)

rsi_buy=en_rsi?rsiValue>=rsiOverbought ?true:false:true
rsi_sell=en_rsi?rsiValue<=rsiOversold?true:false:true

// final condition
buy_cond=option_ch=='Simple'?long and not(longpos[1]) and rsi_buy and ma_buy:option_ch=='Pullback'?fin_pullbuy and rsi_buy and ma_buy:na
sell_cond=option_ch=='Simple'?short and not(shortpos[1]) and rsi_sell and ma_sell:option_ch=='Pullback'?fin_pullsell and rsi_sell and ma_sell:na

//backtest engine
start = input(timestamp('2005-01-01'), title='Start calculations from',group=group_text1)
end=input(timestamp('2045-03-01'), title='End calculations',group=group_text1)
time_cond =true

// Make input option to configure trade direction

tradeDirection = input.string(title='Trade Direction', options=['Long', 'Short', 'Both'], defval='Both',group = group_text2)

// Translate input into trading conditions
longOK  = (tradeDirection == "Long") or (tradeDirection == "Both")
shortOK = (tradeDirection == "Short") or (tradeDirection == "Both")



// strategy start
if buy_cond and longOK and time_cond and strategy.position_size==0
    strategy.entry('long',direction = strategy.long)
if sell_cond and shortOK and time_cond and strategy.position_size==0
    strategy.entry('short',direction =strategy.short)

// fixed percentage based stop loss and take profit 

// User Options to Change Inputs (%)
stopPer = input.float(1.0,step=0.10, title='Stop Loss %',group =group_text4) / 100
takePer = input.float(1.0,step =0.10, title='Take Profit %',group =group_text4) / 100

// Determine where you've entered and in what direction
longStop  = strategy.position_avg_price * (1 - stopPer)
shortStop = strategy.position_avg_price * (1 + stopPer)
shortTake = strategy.position_avg_price * (1 - takePer)
longTake  = strategy.position_avg_price * (1 + takePer)


if strategy.position_size > 0
    strategy.exit(id='Close Long',stop=longStop, limit=longTake)
if strategy.position_size < 0
    strategy.exit(id='Close Short',stop=shortStop, limit=shortTake)

//PLOT FIXED SLTP LINE
plot(strategy.position_size > 0 ? longStop : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Long Fixed SL')
plot(strategy.position_size < 0 ? shortStop :na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Short Fixed SL')
plot(strategy.position_size > 0 ? longTake : na, style=plot.style_linebr, color=color.new(color.green, 0), linewidth=1, title='Long Take Profit')
plot(strategy.position_size < 0 ? shortTake : na, style=plot.style_linebr, color=color.new(color.green, 0), linewidth=1, title='Short Take Profit')

//

Published by ChaoZhang on the FMZ strategy square · last modified 2023-10-11. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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