Supertrend Bollinger Bands Strategy

The Supertrend Bollinger Bands strategy is a common trailing stop indicator strategy based on the ATR (Average True Range). This strategy uses the Supertrend indicator to draw bullish and bearish trend channels on…

Pine ScriptTrend following Breakout Mean reversion SMA Bollinger Bands ATR Supertrend Pivots / S&R

Author: ChaoZhang
Complexity: Intermediate · 64 lines
Parameters: 13
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The strategy uses two main parameters - period and multiplier, with default values of 10 and 3 respectively, to calculate the Supertrend lines. The specific calculation formula is as follows:

Upper Line: Close - (Multiplier x ATR) Lower Line: Close + (Multiplier x ATR)

When the closing price is higher than the previous upper line, it is considered a bullish signal. When the closing price breaks below the previous lower line, it is considered a bearish signal.

The strategy also incorporates the Bollinger Bands indicator, using the middle band as the baseline, and the upper and lower bands located two standard deviations away from it. A buy signal is generated when the price breaks above the middle band from below. A sell signal is generated when the price breaks below the middle band from above.

Advantages

Use ATR to dynamically calculate volatility, quickly capturing market trend changes
Combining Bollinger Bands makes trading signals more reliable
Customizable parameters suit different market environments

Risks

Prone to false signals in sideways markets
Improper parameter settings may cause over-trading
Unable to determine trend reversal points, with certain lag

Optimization Directions

Optimize ATR period parameter to reduce noise trades using filters
Incorporate other indicators to determine support/resistance to reduce profit retracement probability
Add position sizing rules to limit per trade loss

Summary

The Supertrend Bollinger Bands strategy integrates the strengths of multiple technical indicators and utilizes a dynamic trailing stop mechanism to effectively track market trends. This highly customizable strategy adapts well to different markets, making it a recommended breakout chasing strategy. However, risks like whipsaws and over-trading should be addressed by further optimizations to suit more complex market environments.

Parameters

Name	Default	What it controls
v_input_1	10	ATR Period
v_input_2_hl2	0	Source: hl2 \| high \| low \| open \| close \| hlc3 \| hlcc4 \| ohlc4
v_input_3	3	ATR Multiplier
v_input_4	true	Change ATR Calculation Method ?
v_input_5	false	Show Buy/Sell Signals ?
v_input_6	true	Highlighter On/Off ?
v_input_7	true	Bar Coloring On/Off ?
v_input_8	9	From Month
v_input_9	true	From Day
v_input_10	2018	From Year
v_input_11	true	To Month
v_input_12	true	To Day
v_input_13	9999	To Year

Source Pine Script

/*backtest
start: 2022-11-24 00:00:00
end: 2023-11-30 00:00:00
period: 1d
basePeriod: 1h
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/
// © KivancOzbilgic


//@version=4
strategy("SuperTrend STRATEGY", overlay=true)
Periods = input(title="ATR Period", type=input.integer, defval=10)
src = input(hl2, title="Source")
Multiplier = input(title="ATR Multiplier", type=input.float, step=0.1, defval=3.0)
changeATR= input(title="Change ATR Calculation Method ?", type=input.bool, defval=true)
showsignals = input(title="Show Buy/Sell Signals ?", type=input.bool, defval=false)
highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true)
barcoloring = input(title="Bar Coloring On/Off ?", type=input.bool, defval=true)
atr2 = sma(tr, Periods)
atr= changeATR ? atr(Periods) : atr2
up=src-(Multiplier*atr)
up1 = nz(up[1],up)
up := close[1] > up1 ? max(up,up1) : up
dn=src+(Multiplier*atr)
dn1 = nz(dn[1], dn)
dn := close[1] < dn1 ? min(dn, dn1) : dn
trend = 1
trend := nz(trend[1], trend)
trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend
upPlot = plot(trend == 1 ? up : na, title="Up Trend", style=plot.style_linebr, linewidth=2, color=color.green)
buySignal = trend == 1 and trend[1] == -1
plotshape(buySignal ? up : na, title="UpTrend Begins", location=location.absolute, style=shape.circle, size=size.tiny, color=color.green, transp=0)
plotshape(buySignal and showsignals ? up : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0)
dnPlot = plot(trend == 1 ? na : dn, title="Down Trend", style=plot.style_linebr, linewidth=2, color=color.red)
sellSignal = trend == -1 and trend[1] == 1
plotshape(sellSignal ? dn : na, title="DownTrend Begins", location=location.absolute, style=shape.circle, size=size.tiny, color=color.red, transp=0)
plotshape(sellSignal and showsignals ? dn : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0)
mPlot = plot(ohlc4, title="", style=plot.style_circles, linewidth=0)
longFillColor = highlighting ? (trend == 1 ? color.green : color.white) : color.white
shortFillColor = highlighting ? (trend == -1 ? color.red : color.white) : color.white
fill(mPlot, upPlot, title="UpTrend Highligter", color=longFillColor)
fill(mPlot, dnPlot, title="DownTrend Highligter", color=shortFillColor)
FromMonth = input(defval = 9, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2018, title = "From Year", minval = 999)
ToMonth   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear    = input(defval = 9999, title = "To Year", minval = 999)
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)       
window()  => time >= start and time <= finish ? true : false
longCondition = buySignal
if (longCondition)
    strategy.entry("BUY", strategy.long)
shortCondition = sellSignal
if (shortCondition)
    strategy.entry("SELL", strategy.short)
buy1= barssince(buySignal)
sell1 = barssince(sellSignal)
color1 = buy1[1] < sell1[1] ? color.green : buy1[1] > sell1[1] ? color.red : na
barcolor(barcoloring ? color1 : na)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-12-01. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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