Weis Wave Bollinger Band Trading Strategy

This strategy combines the Weis Wave indicator and Bollinger Bands to determine market trend, trading breakouts at key support/resistance levels. It is a typical trend-following breakout system. Strategy Logic: 1…

Pine ScriptBreakout Trend following SMA Bollinger Bands ATR Pivots / S&R

Author: ChaoZhang
Complexity: Intermediate · 76 lines
Parameters: 11
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

This strategy combines the Weis Wave indicator and Bollinger Bands to determine market trend, trading breakouts at key support/resistance levels. It is a typical trend-following breakout system.

Strategy Logic:

Calculate Weis Wave and use column trend to determine price trend.
Compute BB upper/lower bands, entering trades when price breaks bands.
Go long when Weis Wave shows bullish trend and price breaks above BB top.
Go short when Weis Wave shows bearish trend and price breaks below BB bottom.
Use profit/loss exits when reverse trend appears.

Advantages:

Weis Wave accurately assesses major trend direction.
BB identifies key support/resistance levels.
Combining indicators improves accuracy.

Risks:

Both Weis Wave and BB lag, causing poor entry timing.
Breakouts prone to traps, requiring stops.
Hard to find persistent trends and clear breaks in ranging markets.

In summary, this strategy combines Weis Wave and BB for trend bias and trades breakouts. It can improve accuracy somewhat but requires caution on lags and ranging price action.

Parameters

Name	Default	What it controls
v_input_1	true	Max Intraday Loss(%)
v_input_2	0	Renko Assignment Method: ATR \| Traditional \| Part of Price
v_input_3	14	Value
v_input_4	0	Price Source: Close \| Open / Close \| High / Low
v_input_5	0	Use True Range instead of Volume: Auto \| Always \| Never
v_input_6	false	Oscillating
v_input_7	false	Normalize
v_input_8	14	length
v_input_9_close	0	Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_10	2	StdDev
v_input_11	false	Offset

Source Pine Script

/*backtest
start: 2023-08-13 00:00:00
end: 2023-09-12 00:00:00
period: 1h
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/
// © sharatgbhat

//@version=4
// strategy("Weis BB Strategy", overlay=false, default_qty_type = strategy.percent_of_equity, default_qty_value = 10,max_lines_count = 500, max_labels_count = 500)
maxIdLossPcnt = input(1, "Max Intraday Loss(%)", type=input.float)
// strategy.risk.max_intraday_loss(maxIdLossPcnt, strategy.percent_of_equity)

method = input(defval="ATR", options=["ATR", "Traditional", "Part of Price"], title="Renko Assignment Method")
methodvalue = input(defval=14.0, type=input.float, minval=0, title="Value")
pricesource = input(defval="Close", options=["Close", "Open / Close", "High / Low"], title="Price Source")
useClose = pricesource == "Close"
useOpenClose = pricesource == "Open / Close" or useClose
useTrueRange = input(defval="Auto", options=["Always", "Auto", "Never"], title="Use True Range instead of Volume")
isOscillating = input(defval=false, type=input.bool, title="Oscillating")
normalize = input(defval=false, type=input.bool, title="Normalize")
vol = useTrueRange == "Always" or useTrueRange == "Auto" and na(volume) ? tr : volume
op = useClose ? close : open
hi = useOpenClose ? close >= op ? close : op : high
lo = useOpenClose ? close <= op ? close : op : low

if method == "ATR"
    methodvalue := atr(round(methodvalue))
if method == "Part of Price"
    methodvalue := close / methodvalue

currclose = float(na)
prevclose = nz(currclose[1])
prevhigh = prevclose + methodvalue
prevlow = prevclose - methodvalue
currclose := hi > prevhigh ? hi : lo < prevlow ? lo : prevclose

direction = int(na)
direction := currclose > prevclose ? 1 : currclose < prevclose ? -1 : nz(direction[1])
directionHasChanged = change(direction) != 0
directionIsUp = direction > 0
directionIsDown = direction < 0

barcount = 1
barcount := not directionHasChanged and normalize ? barcount[1] + barcount : barcount
vol := not directionHasChanged ? vol[1] + vol : vol
res = barcount > 1 ? vol / barcount : vol

plot(isOscillating and directionIsDown ? -res : res, style=plot.style_columns, color=directionIsUp ? color.green : color.red, transp=75, linewidth=3, title="Wave Volume")

length = input(14, minval=1)
src = input(close, title="Source")
mult = input(2, minval=0.001, maxval=50, title="StdDev")
basis = sma(src, length)
dev = mult * stdev(src, length)
upper = basis + dev
lower = basis - dev
offset = input(0, "Offset", type = input.integer, minval = -500, maxval = 500)
plot(basis, "Basis", color=#FF6D00, offset = offset)
p1 = plot(upper, "Upper", color=#2962FF, offset = offset)
p2 = plot(lower, "Lower", color=#2962FF, offset = offset)
fill(p1, p2, title = "Background", color=color.rgb(33, 150, 243, 95))

MomentumBull = close>upper
MomentumBear = close<lower

if (MomentumBull and directionIsUp)
	strategy.entry("Buy", strategy.long)
if (MomentumBear and directionIsDown)
	strategy.entry("Sell", strategy.short)
    strategy.exit("exit","Buy",when=directionIsDown,qty_percent=100,profit=20,loss=10)
    strategy.exit("exit","Sell",when=directionIsUp,qty_percent=100,profit=20,loss=10)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-13. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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