V20Shift Exit Strategy v20

This strategy enters and exits trades at shifted prices to follow trends.

Pine ScriptMean reversion Trend following

Author: ChaoZhang
Complexity: Intermediate · 44 lines
Parameters: 11
Backtest bar: 4d · position
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy enters and exits trades at shifted prices to follow trends.

How it Works

Calculate shifted prices based on previous close's percentage.
Downward shifted price is buy line, upward shifted price is sell line.
Enter long when price hits buy line.
Exit when price hits sell line.

Advantages

Auto trailing stop loss/profit take without manual intervention
Customizable shift percentage for parameter optimization
Long only reduces trade frequency
Can limit trading time range

Risks

Unable to effectively determine trend end
Time lag, may miss quick reversals

Optimization Directions

Test different shift percentage parameters
Optimize incremental setting of parameters
Incorporate dynamic shifts based on trend
Consider pyramiding on new highs

Conclusion

The strategy achieves auto trailing profit takes via shifted entry/exit levels. Further improvements through parameter optimization and logic enhancements can improve performance. But whipsaw risks need to be managed. Overall a simple and practical approach for trend following trading.

Parameters

Name	Default	What it controls
v_input_1	-10	Buy, src-%
v_input_2	false	Sell, src+%
v_input_3_low	0	Source for buy: low \| high \| close \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_4_ohlc4	0	Source for sell: ohlc4 \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| close
v_input_5	true	offset
v_input_6	1900	From Year
v_input_7	2100	To Year
v_input_8	true	From Month
v_input_9	12	To Month
v_input_10	true	From day
v_input_11	31	To day

Source Pine Script

/*backtest
start: 2022-09-14 00:00:00
end: 2023-09-20 00:00:00
period: 4d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2019

//@version=3
strategy(title = "Noro's ShiftEx Strategy v2.0", shorttitle = "ShiftEx 2.0", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)

//Settings
buy = input(-10.0, title = "Buy, src-%")
sell = input(0.0, title = "Sell, src+%")
buysrc = input(low, title = "Source for buy")
sellsrc = input(ohlc4, title = "Source for sell")
offset = input(true)
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")

//Levels
bar = close > open ? 1 : close < open ? -1 : 0
mult = 1 / syminfo.mintick
lb = bar == -1 ? buysrc + ((buysrc / 100) * (buy * 1)) : buysrc + ((buysrc / 100) * (buy * 2))
levelbuy = round(lb * mult) / mult
ls = sellsrc + ((sellsrc / 100) * sell)
levelsell = round(ls * mult) / mult

//Lines
os = offset ? 1 : 0
plot(levelbuy, offset = os, linewidth = 2, color = lime, title = "Buy")
plot(levelsell, offset = os, linewidth = 2, color = blue, title = "Sell")

//Trading
if low[1] > 0
    strategy.entry("long", strategy.long, limit = levelbuy, when = (time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
    strategy.entry("close", strategy.short, 0, limit = levelsell, when = (time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-21. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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