SuperTrend Trailing Stop Strategy Based on Heikin Ashi

Pine ScriptTrend following Breakout Mean reversion RSI EMA SMA ATR Supertrend Heikin Ashi

Author: ChaoZhang
Complexity: Intermediate · 182 lines
Parameters: 10
Backtest bar: 4h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Strategy Overview

This strategy combines the Heikin Ashi candlesticks and the SuperTrend indicator into a trend following strategy with trailing stop loss. It uses Heikin Ashi to filter out market noise and SuperTrend to determine the trend direction, while taking SuperTrend as a dynamic stop loss line to efficiently track the trend and control risks.

Strategy Logic

Calculate Heikin Ashi candlesticks: open, close, high, low prices.
Calculate SuperTrend indicator: upper band and lower band based on ATR and price.
Determine the trend direction combining Heikin Ashi close and SuperTrend bands.
When Heikin Ashi close gets closer to SuperTrend upper band, it signals an uptrend; when Heikin Ashi close gets closer to SuperTrend lower band, it signals a downtrend.
Use SuperTrend upper band as trailing stop loss in uptrends, and lower band in downtrends.

Advantages

Heikin Ashi filters out false breakouts, leading to more reliable signals.
SuperTrend as dynamic stop loss locks in profits along the trend to avoid huge drawdowns.
Combining timeframes confirms high/lows more precisely.
Scheduled exit avoids irrational moves at certain times.

Risks

Prone to stop out at trend reversal. Can loosen stop loss to mitigate.
Improper tuning of SuperTrend params can lead to stop loss too wide or too narrow. Need exhaustive parameter testing.
Ignores position sizing. Should set proper bet size control.
Ignores trading costs. Should account for costs.

Enhancement Opportunities

Optimize SuperTrend parameters for best performance.
Add position sizing control.
Account for costs like commissions and slippage.
Flexibly adjust stop loss based on trend strength.
Add filters with other indicators to entry signals.

Conclusion

This strategy combines the strengths of Heikin Ashi and SuperTrend to identify trend directions and automatically trail the trend with dynamic stop loss to lock in profits. Main risks come from trend reversal and parameter tuning. Further optimizations on these two aspects can improve strategy performance. Overall this strategy demonstrates how indicator integration can enhance stability and profitability of trading systems.

Parameters

Name	Default	What it controls
v_input_1	4	ATR Period
v_input_2	2	ATR Multiplier
v_input_3	240	Higher Time Frame
v_input_4	20	CCI
v_input_5	5	ATR
v_input_6	true	ATR Multiplier
v_input_7	false	original coloring
v_input_8	15	Exit Hour Of Day
v_input_9	15	Exit Minute Of Day
v_input_10	true	Highlight Background Color?

Source Pine Script

/*backtest
start: 2024-01-06 00:00:00
end: 2024-02-05 00:00:00
period: 4h
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/
// © ringashish

//@version=4
strategy("sa-strategy with HTF-TSL", overlay=true)


Pd = input(title="ATR Period", type=input.integer, defval=4)
Factor = input(title="ATR Multiplier", type=input.float, step=0.1, defval=2)
ST= supertrend(Factor, Pd)

heikinashi_close = security(heikinashi(syminfo.tickerid), timeframe.period, close)
heikinashi_low = security(heikinashi(syminfo.tickerid), timeframe.period, low)
heikinashi_open = security(heikinashi(syminfo.tickerid), timeframe.period, open)
heikinashi_high = security(heikinashi(syminfo.tickerid), timeframe.period, high)

heikinashi_close30 = security(heikinashi(syminfo.tickerid), "30", close)
//res1 = input("30", type=input.resolution, title="higher Timeframe")


//CCI TSL

res = input("240",type=input.resolution,title = "Higher Time Frame")
CCI = input(20)
ATR = input(5)
Multiplier=input(1,title='ATR Multiplier')
original=input(false,title='original coloring')
thisCCI = cci(close, CCI)
lastCCI = nz(thisCCI[1])


calcx()=> 
    bufferDn= high + Multiplier * sma(tr,ATR)
    bufferUp= low - Multiplier * sma(tr,ATR)
    if (thisCCI >= 0 and lastCCI < 0) 
        bufferUp := bufferDn[1]
    if (thisCCI <= 0 and lastCCI > 0) 
        bufferDn := bufferUp[1]

    if (thisCCI >= 0)
        if (bufferUp < bufferUp[1])
            bufferUp := bufferUp[1]
    else
        if (thisCCI <= 0)
            if (bufferDn > bufferDn[1])
                bufferDn := bufferDn[1]

   
    x = 0.0
    x := thisCCI >= 0 ?bufferUp:thisCCI <= 0 ?bufferDn:x[1]
    x

tempx = calcx()

calcswap() =>
    swap = 0.0
    swap := tempx>tempx[1]?1:tempx<tempx[1]?-1:swap[1]
    swap

tempswap = calcswap()

swap2=tempswap==1?color.blue:color.orange
swap3=thisCCI >=0 ?color.blue:color.orange
swap4=original?swap3:swap2

//display current timeframe's Trend

plot(tempx,"CTF",color=swap4,transp=0,linewidth=2, style = plot.style_stepline)


htfx = security(syminfo.tickerid,res,tempx[1],lookahead = barmerge.lookahead_on)
htfswap4 = security(syminfo.tickerid,res,swap4[1],lookahead = barmerge.lookahead_on)

plot(htfx,"HTF",color=htfswap4,transp=0,linewidth=3,style = plot.style_stepline)









//supertrend
Supertrend(Factor, Pd) =>
    Up=hl2-(Factor*atr(Pd))
    Dn=hl2+(Factor*atr(Pd))
    
    TrendUp = 0.0
    TrendUp := heikinashi_close[1]>TrendUp[1] ? max(Up,TrendUp[1]) : Up
    TrendDown = 0.0
    TrendDown := heikinashi_close[1]<TrendDown[1]? min(Dn,TrendDown[1]) : Dn
    Trend = 0.0
    Trend := heikinashi_close > TrendDown[1] ? 1: heikinashi_close< TrendUp[1]? -1: nz(Trend[1],1)
    Tsl = Trend==1? TrendUp: TrendDown
    
    S_Buy = Trend == 1 ? 1 : 0
    S_Sell = Trend != 1 ? 1 : 0
    
    [Trend, Tsl]

[Trend,Tsl] = Supertrend(Factor, Pd)
// Security
//ST1_Trend_MTF = security(syminfo.tickerid, res1, Tsl,barmerge.lookahead_on)
//plot(ST1_Trend_MTF, "higher ST") 

crossdn = crossunder(heikinashi_close,Tsl) or crossunder(heikinashi_close[1],Tsl) or crossunder(heikinashi_close[2],Tsl) or heikinashi_close < Tsl
crossup = crossover(heikinashi_close,Tsl) or crossover(heikinashi_close[1],Tsl) or crossover(heikinashi_close[2],Tsl) or heikinashi_close > Tsl
plot(Tsl,"ST",color = color.black,linewidth =2)
plot(ema(heikinashi_close,20),"EMA 20",color=color.red)
plot(hma(heikinashi_close,15),"HMA 15",color=color.green)
plot(ema(heikinashi_close,15),"EMA 15",color=color.black)

closedown = (heikinashi_close < hma(heikinashi_close,15) and heikinashi_high > hma(heikinashi_close,15)) or(heikinashi_close < ema(heikinashi_close,20) and heikinashi_high > ema(heikinashi_close,20))
closeup = (heikinashi_close > hma(heikinashi_close,15) and heikinashi_low < hma(heikinashi_close,15)) or (heikinashi_close > ema(heikinashi_close,20) and heikinashi_low < ema(heikinashi_close,20))

buy = heikinashi_open == heikinashi_low and closeup and crossup  and close > htfx
//buy = heikinashi_open == heikinashi_low and heikinashi_close > ema(close,20) and heikinashi_low < ema(close,20) and crossup
buyexit = cross(close,tempx) //heikinashi_open == heikinashi_high //and heikinashi_close < ema(close,15) and heikinashi_high > ema(close,15)

//if heikinashi_close30[1] < ST1_Trend_MTF
//sell = heikinashi_open == heikinashi_high and heikinashi_close < ema(close,20) and heikinashi_high > ema(close,20) and rsi(close,14)<60 and crossdn
sell = heikinashi_open == heikinashi_high and closedown and rsi(close,14)<55 and crossdn  and close < htfx
sellexit = cross(close,tempx) //heikinashi_open == heikinashi_low //and heikinashi_close > ema(close,15) and heikinashi_low < ema(close,15)

rg = 0
rg := buy ? 1 : buyexit ? 2 : nz(rg[1])

longLogic = rg != rg[1] and rg == 1 
longExit = rg != rg[1] and rg == 2 

//plotshape(longExit,"exit buy",style = shape.arrowup,location = location.belowbar,color = color.red, text ="buy exit", textcolor = color.red)
//plotshape(longLogic,"BUY",style = shape.arrowup,location = location.belowbar,color = color.green, text ="buy", textcolor= color.green)

nm = 0
nm := sell ? 1 : sellexit ? 2 : nz(nm[1])

shortLogic = nm != nm[1] and nm == 1 
shortExit = nm != nm[1] and nm == 2 

//plotshape(shortExit,"exit sell",style = shape.arrowup,location = location.belowbar,color = color.red, text ="sell exit", textcolor = color.red)
//plotshape(shortLogic,"SELL",style = shape.arrowup,location = location.belowbar,color = color.green, text ="sell", textcolor= color.green)


//Exit at particular time

ExitHour = input(title="Exit Hour Of Day", type=input.integer, defval=15, step = 5, maxval = 24, minval = 0)
ExitMint = input(title="Exit Minute Of Day", type=input.integer, defval=15, step = 5, maxval = 24, minval = 0)
bgc = input(title="Highlight Background Color?", type=input.bool, defval=true)
mRound(num,rem) => (floor(num/rem)*rem)
exitTime = (hour(time) >= ExitHour and (minute == mRound(ExitMint, timeframe.multiplier))) ? 1 : 0
exitTime := exitTime == 0 ? (hour(time) >= ExitHour and (minute + timeframe.multiplier >= ExitMint)) ? 1 : 0 : exitTime

MarketClose =  exitTime and not exitTime[1]

alertcondition(exitTime and not exitTime[1], title="Intraday Session Close Time", message="Close All Positions")
bgcolor(exitTime and not exitTime[1] and bgc ? #445566 : na, transp =40)



longCondition = longLogic
if (longCondition)
    strategy.entry("long", strategy.long)
 
    


shortCondition = shortLogic
if (shortCondition)
    strategy.entry("short", strategy.short)
    

strategy.close("short", when =cross(close,tempx)  or MarketClose)
strategy.close( "long", when =cross(close,tempx) or MarketClose )

Published by ChaoZhang on the FMZ strategy square · last modified 2024-02-06. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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