SuperTrend Dual Direction Strategy

This strategy uses the upper and lower bands calculated based on the ATR indicator to determine the current trend direction and generate buy and sell signals. It suggests long when the price breaks above the upper…

Pine ScriptTrend following Machine learning Breakout SMA ATR Supertrend

Author: ChaoZhang
Complexity: Intermediate · 83 lines
Parameters: 12
Backtest bar: 3d · position
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

Calculate the ATR indicator, representing the average price volatility range.
Calculate the upper and lower bands based on the ATR value multiplied by a factor.
Determine the trend direction based on the price's relationship with the bands.
- When the price is above the upper band, it's an uptrend.
- When the price is below the lower band, it's a downtrend.
Generate buy and sell signals when the trend changes direction.
- A buy signal is generated near the upper band when trend changes from downtrend to uptrend.
- A sell signal is generated near the lower band when trend changes from uptrend to downtrend.
Visualize the upper/lower bands, trend direction and trade signals.

Advantage Analysis

Using ATR to determine trend can adapt the bands to market volatility by adjusting parameters.
Captures trend reversal timely by breakout of the bands.
Filters signals by trend direction to avoid fake breakouts.
Clear visualization of bands and signals.

Risk Analysis

Inappropriate ATR period may detach bands from price.
Too large/small multiplier causes more false signals and lagging signals.
Inaccurate reversal timing leads to losses from reverse trading.
Needs other filters to reduce being whipsawed.

Optimization Directions

Dynamic optimization of ATR period to fit market volatility.
Parameter tuning for different products and timeframes.
Combine other indicators like volume for trend validation.
Utilize machine learning for parameter optimization.

Summary

This strategy implements the idea of determining dual-directional trend based on ATR. Breakout signals are generated and filtered by trend direction to avoid fake signals. Parameters can be tuned for different market environments. There are still some risks that need further optimization. Overall speaking, this is a simple and practical strategy worth researching and improving.

Parameters

Name	Default	What it controls
v_input_1	true	From Day
v_input_2	true	From Month
v_input_3	2018	From Year
v_input_4	true	To Day
v_input_5	true	To Month
v_input_6	2100	To Year
v_input_7	10	ATR Period
v_input_8_hl2	0	Source: hl2 \| high \| low \| open \| close \| hlc3 \| hlcc4 \| ohlc4
v_input_9	3	ATR Multiplier
v_input_10	true	Change ATR Calculation Method ?
v_input_11	true	Show Buy/Sell Signals ?
v_input_12	true	Highlighter On/Off ?

Source Pine Script

/*backtest
start: 2022-10-01 00:00:00
end: 2023-10-07 00:00:00
period: 3d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

TradeId = "RVG"

InitCapital = 1000
InitPosition = 1000
InitCommission = 0.075
InitPyramidMax = 1
CalcOnorderFills = true
CalcOnTick = true

//@version=4
// strategy("Supertrend RG", overlay = true,process_orders_on_close=true,commission_type=strategy.commission.percent,commission_value=InitCommission,
//  currency=currency.USD,initial_capital=InitCapital,default_qty_type=strategy.cash, default_qty_value=InitPosition, calc_on_order_fills=CalcOnorderFills, calc_on_every_tick=CalcOnTick,pyramiding=InitPyramidMax)

//
////////////////////////////////////////////////////////////////////////////////
// BACKTESTING RANGE

// From Date Inputs
fromDay = input(defval=1, title="From Day", minval=1, maxval=31)
fromMonth = input(defval=1, title="From Month", minval=1, maxval=12)
fromYear = input(defval=2018, title="From Year", minval=1970)

// To Date Inputs
toDay = input(defval=1, title="To Day", minval=1, maxval=31)
toMonth = input(defval=1, title="To Month", minval=1, maxval=12)
toYear = input(defval=2100, title="To Year", minval=1970)

// Calculate start/end date and time condition
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = 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=true)
highlighting = input(title="Highlighter 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)
alertcondition(buySignal, title="SuperTrend Buy", message="SuperTrend Buy!")
alertcondition(sellSignal, title="SuperTrend Sell", message="SuperTrend Sell!")
changeCond = trend != trend[1]
alertcondition(changeCond, title="SuperTrend Direction Change", message="SuperTrend has changed direction!")


strategy.entry(TradeId + " Long", true, when=buySignal[1] and time_cond)
strategy.entry(TradeId + " Short", false, when=sellSignal[1] and time_cond)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-10-08. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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