Tracking Supertrend Strategy

This is a tracking supertrend strategy that mainly combines supertrend indicators with different parameter settings to achieve a tracking effect and uses a filter indicator for risk control. The core idea of the…

Pine ScriptTrend following Breakout Volatility SMA ATR Supertrend

Author: ChaoZhang
Complexity: Intermediate · 99 lines
Parameters: 10
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Principle

This strategy consists mainly of three groups of supertrend indicators with different parameter settings. The first group is the main supertrend indicator that uses the default parameters for basic judgment of market trends. The second group is the deputy supertrend indicator which achieves more sensitive tracking of price changes by reducing the ATR period and increasing the ATR multiplier. The third group is the filter supertrend indicator which appropriately increases the ATR period and ATR multiplier to filter false breakouts.

When the main supertrend issues a buy signal, if the deputy supertrend also issues a synchronized signal and the filter supertrend direction is upward, the strategy will take tracking buy. When the main supertrend issues a sell signal, if the deputy supertrend also issues a synchronized signal and the filter supertrend direction is downward, the strategy will take tracking sell. This can capture the main trend while using the flexible deputy supertrend indicator to track minor adjustments and achieve timely entry and stop loss.

Advantages

The strategy idea is simple and clear, easy to understand, suitable for beginners to learn
The strategy parameter setting is reasonable to effectively track the market and control risks
The strategy signal is more accurate and reliable with higher win rate
Combining different parameter combinations to achieve tracking effect
Adding filter mechanism can effectively filter false signals and control risks

Risks

Systematic risks inherent in the stock itself
Supertrend indicator may lag in some markets
Improper ATR parameter settings may cause signal deviations
Insufficient trading volume may make it difficult to fully cut losses

Main Risk Prevention Measures:

Choose stocks with good liquidity and large fluctuations
Reasonably optimize parameters to reduce the possibility of lagging
Parameter testing and optimization to improve signal accuracy
Appropriately increase transaction volume to ensure loss cutting space

Optimization Directions

Test different combinations of ATR periods to optimize tracking effect
Try other volatility indicators to replace ATR
Increase or decrease the number of supertrend combinations to test the effect
Try to combine with other indicators for signal filtering optimization
Test different stop loss methods to find the optimal solution

Summary

The overall idea of this strategy is clear and simple. By coordinating multiple groups of supertrend indicators with different parameter settings, it realizes tracking entry and risk control. The strategy signal is more accurate with good live performance. It is suitable for beginners to learn, and can also be used as a template for testing and optimizing various indicators and parameters. This is a supertrend strategy worth recommending.

Parameters

Name	Default	What it controls
v_input_1	4	ATR Period
v_input_2_hl2	0	Source: hl2 \| high \| low \| open \| close \| hlc3 \| hlcc4 \| ohlc4
v_input_3	4.7	ATR Multiplier
v_input_4	true	Change ATR Calculation Method ?
v_input_5	true	Show Buy/Sell Signals ?
v_input_6	true	Highlighter On/Off ?
v_input_7	8	ATR Period
v_input_8	1.5	dop ATR Multiplier
v_input_9	10	ATR Period
v_input_10	5	filter ATR Multiplier

Source Pine Script

/*backtest
start: 2023-11-25 00:00:00
end: 2023-12-25 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Supertrend TEST 2 Strategy", overlay = true, format=format.price, precision=2)

Periods = input(title="ATR Period", type=input.integer, defval=4)
src = input(hl2, title="Source")
Multiplier = input(title="ATR Multiplier", type=input.float, step=0.1, defval=4.7)
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)
tp=close
sl=close

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 )
plotshape(buySignal and showsignals ? up : na, title="Лонг", text="Лонг", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white )
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 )
plotshape(sellSignal and showsignals ? dn : na, title="Шорт", text="Шорт", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white )
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

sPeriods=input(title="ATR Period", type=input.integer, defval=8)
sMultiplier=input(title="dop ATR Multiplier", type=input.float, step=0.1, defval=1.5)
satr2 = sma(tr, sPeriods)
satr= changeATR ? atr(sPeriods) : satr2
ssup=ohlc4-(sMultiplier*satr)
ssup1 = nz(ssup[1],ssup)
ssup := close[1] > ssup1 ? max(ssup,ssup1) : ssup
sdn=ohlc4+(sMultiplier*satr)
sdn1 = nz(sdn[1], sdn)
sdn := close[1] < sdn1 ? min(sdn, sdn1) : sdn
strend = 1
strend := nz(strend[1], strend)
strend := strend == -1 and close > sdn1 ? 1 : strend == 1 and close < ssup1 ? -1 : strend
sbuySignal = strend == 1 and strend[1] == -1
ssellSignal = strend == -1 and strend[1] == 1

fPeriods=input(title="ATR Period", type=input.integer, defval=10)
fMultiplier=input(title="filter ATR Multiplier", type=input.float, step=0.1, defval=5)
fatr2 = sma(tr, fPeriods)
fatr= changeATR ? atr(fPeriods) : fatr2
fup=ohlc4-(fMultiplier*fatr)
fup1 = nz(fup[1],fup)
fup := close[1] > fup1 ? max(fup,fup1) : fup
fdn=ohlc4+(fMultiplier*fatr)
fdn1 = nz(fdn[1], fdn)
fdn := close[1] < fdn1 ? min(fdn, fdn1) : fdn
ftrend = 1
ftrend := nz(ftrend[1], ftrend)
ftrend := ftrend == -1 and close > fdn1 ? 1 : ftrend == 1 and close < fup1 ? -1 : ftrend
fbuySignal = ftrend == 1 and ftrend[1] == -1
fsellSignal = ftrend == -1 and ftrend[1] == 1
tcolor=color.new(color.gray,50)
fdnPlot = plot(ftrend == 1 ? na : fdn, title="Down Trend", style=plot.style_linebr, linewidth=2, color=tcolor)
fupPlot = plot(ftrend == 1 ? fup : na, title="Up Trend", style=plot.style_linebr, linewidth=2, color=tcolor)



if (strategy.position_size > 0)
	tp:=tp[1]
	sl:=up
	strategy.exit("Long_TP/SL","Long",limit=tp, stop=sl)
	
if (strategy.position_size < 0)
	tp:=tp[1]
	sl:=dn
	strategy.exit("Short_TP/SL","Short",limit=tp, stop=sl)



if ((buySignal and  ftrend==1) or (sbuySignal and trend==1 and  ftrend==1)) 
	tp:=close+(close-up)*0.382
    strategy.entry("Long", strategy.long,  limit=tp, comment=tostring(round(tp)))
if ((sellSignal and ftrend==-1) or (ssellSignal and trend==-1 and  ftrend==-1)) 
	tp:=close-(dn-close)*0.382
    strategy.entry("Short", strategy.short, limit=tp, comment=tostring(round(tp)))

Published by ChaoZhang on the FMZ strategy square · last modified 2023-12-26. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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