Trend Catcher Strategy

Author: ChaoZhang
Complexity: Starter · 63 lines
Parameters: 6
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

The Trend Catcher Strategy is a strategy that detects trend formations using its own unique method and opens positions in the direction of the trend. It calculates a percentage value called the "limit" by dividing the difference between the highest and lowest prices in a certain range by the sum of the lengths of the candles in that range. The closer this value is to 100, the stronger the trend. When this value exceeds a set limit and the moving average is rising, the strategy opens a long position; when this value exceeds a set limit and the moving average is falling, the strategy opens a short position. After opening a position, the strategy closes a part of the position when the price reaches a certain level and moves the remaining position to a point where it believes the trend is over.

Strategy Principle

Calculate the difference between the highest and lowest prices in a certain range, as well as the sum of the lengths of all candles in that range.
Divide the difference by the sum of the candle lengths and multiply by 100 to get a percentage value called the "limit".
When the limit exceeds a set value and the moving average is rising, open a long position; when the limit exceeds a set value and the moving average is falling, open a short position.
After opening a position, close a part of the position when the price reaches the take profit level and move the remaining position to the stop loss level.
When the moving average crosses downward, close the long position; when the moving average crosses upward, close the short position.

Strategy Advantages

The strategy uses a unique method to detect trend formations. By calculating the limit value to determine the strength of the trend, it helps to open positions at the beginning of the trend.
After opening a position, the strategy controls risk by closing a part of the position and moving the stop loss level of the remaining position.
The strategy uses the upward and downward crossings of the moving average to determine the end of the trend, which helps to close positions in a timely manner.

Strategy Risks

The strategy opens positions at the beginning of the trend. If the trend cannot be sustained, it may cause losses.
The strategy uses fixed take profit and stop loss levels, which may not be flexible enough in some cases.
The strategy only uses the moving average to determine trends, which may miss some trend opportunities.

Strategy Optimization Direction

Consider using other indicators such as MACD and RSI to assist in determining trends and improve the accuracy of opening positions.
Dynamically adjust take profit and stop loss levels based on market volatility to better control risk.
Consider opening positions only after the trend is confirmed to reduce risks at the beginning of the trend.

Summary

The Trend Catcher Strategy uses a unique method to detect trend formations and opens positions in the direction of the trend. It calculates the limit value to determine the strength of the trend and uses the crossing of the moving average to determine the end of the trend. The strategy controls risk by closing a part of the position and moving the stop loss level after opening a position. However, the strategy may face certain risks when opening positions at the beginning of the trend, using fixed take profit and stop loss levels may not be flexible enough, and only using the moving average to determine trends may miss some opportunities. In the future, we can consider introducing other indicators, dynamically adjusting take profit and stop loss levels, and opening positions only after the trend is confirmed to optimize the strategy.

Parameters

Name	Default	What it controls
v_input_int_1	10	len
v_input_float_1	2.5	tp
v_input_float_2	2.5	sl
v_input_int_2	5	malen
v_input_int_3	50	limit
v_input_int_4	50	qty_balance

Source Pine Script

/*backtest
start: 2023-04-20 00:00:00
end: 2024-04-25 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/
// © faytterro

//@version=5
strategy("Trend Catcher Strategy", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100)
len = input.int(10)
tp = input.float(2.5, step = 0.1)
sl = input.float(2.5, step = 0.1)
malen = input.int(5)
limit = input.int(50)
ma = ta.sma(close,malen)
sum = 0.0
for i = 0 to len-1
    sum := sum + high[i]-low[i]
frs = 100*(ta.highest(high,len)-ta.lowest(low,len))/sum
//hline(50)
//plot(frs, color = color.white)
l = ta.crossover(frs,limit) and ma>ma[1]
s = ta.crossover(frs,limit) and ma<ma[1]
cl = ma<ma[1]
cs = ma>ma[1]
qty_balance=input.int(50, maxval = 100)
if (l)
    strategy.entry("My Long Entry Id", strategy.long)
    strategy.exit("exit long", "My Long Entry Id", qty_percent = qty_balance, limit = close*(100+tp)/100, stop = close*(100-sl)/100)

if (s)
    strategy.entry("My Short Entry Id", strategy.short)
    strategy.exit("exit short", "My Short Entry Id", qty_percent = qty_balance, limit = close*(100-tp)/100, stop = close*(100+sl)/100)

if (cl)
    strategy.close("My Long Entry Id")
if (cs)
    strategy.close("My Short Entry Id")

l:= l and strategy.opentrades<1
s:= s and strategy.opentrades<1
transp = strategy.opentrades>0? 0 : 100
pma=plot(ma, color = ma<ma[1]? color.rgb(255, 82, 82, transp) : color.rgb(76, 175, 79, transp))
price = open/2+close/2
pprice = plot(price, display = display.none)
fill(pma,pprice, color = ma<ma[1]? color.rgb(255, 82, 82, transp+90) : color.rgb(76, 175, 79, transp+90))

spm=plot(ta.valuewhen(s,close,0), color = (strategy.opentrades>0 and ma<ma[1] and ma[1]<ma[2])? color.white : color.rgb(1,1,1,100), offset=1)
lpm=plot(ta.valuewhen(l,close,0), color = (strategy.opentrades>0 and ma>ma[1] and ma[1]>ma[2])? color.white : color.rgb(1,1,1,100), offset=1)

ltp=plot(ta.valuewhen(l,close,0)*(100+ta.valuewhen(l,tp,0))/100,  color = (strategy.opentrades>0 and ma>ma[1] and ma[1]>ma[2])? color.green : color.rgb(1,1,1,100), offset=1)
lsl=plot(ta.valuewhen(l,close,0)*(100-ta.valuewhen(l,sl,0))/100,  color = (strategy.opentrades>0 and ma>ma[1] and ma[1]>ma[2])? color.red : color.rgb(1,1,1,100), offset=1)

stp=plot(ta.valuewhen(s,close,0)*(100-ta.valuewhen(s,tp,0))/100, color = (strategy.opentrades>0 and ma<ma[1] and ma[1]<ma[2])? color.green : color.rgb(1,1,1,100), offset=1)
ssl=plot(ta.valuewhen(s,close,0)*(100+ta.valuewhen(s,sl,0))/100, color = (strategy.opentrades>0 and ma<ma[1] and ma[1]<ma[2])? color.red : color.rgb(1,1,1,100), offset=1)
fill(stp,spm, color = (strategy.opentrades>0 and ma<ma[1] and ma[1]<ma[2])? color.rgb(76, 175, 79, 90) : color.rgb(1,1,1,100))
fill(ssl,spm, color = (strategy.opentrades>0 and ma<ma[1] and ma[1]<ma[2])? color.rgb(255, 82, 82, 90) : color.rgb(1,1,1,100))
fill(ltp,lpm, color = (strategy.opentrades>0 and ma>ma[1] and ma[1]>ma[2])? color.rgb(76, 175, 79, 90) : color.rgb(1,1,1,100))
fill(lsl,lpm, color = (strategy.opentrades>0 and ma>ma[1] and ma[1]>ma[2])? color.rgb(255, 82, 82, 90) : color.rgb(1,1,1,100))

Published by ChaoZhang on the FMZ strategy square · last modified 2024-04-26. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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