ChaoZhang
Strategy Logic
This strategy combines range, momentum and trend-following indicators to capture short-term trends. The rules are:
Calculate the price range over a period (high minus low) and smooth it to get a smooth range indicator. This measures trend strength.
Compute a momentum indicator like the Hull curve over a timeframe. The Hull curve is effective in gauging short-term trend direction and strength.
When the smoothed range indicator changes color (e.g. red to green), it signals expanding range, and a long entry is taken if the Hull curve aligns (e.g. pointing up).
When the smoothed range flips color (e.g. green to red), it signals contracting range, and a short entry if taken if the Hull curve aligns (e.g. pointing down).
Add a trend-following stop loss mechanism like exiting longs if the Hull curve turns down.
Expanding ranges with directional momentum allows fast capturing of short-term trends. Trend-following stops control risk.
Advantages
- Combines multiple indicators for robust signals
- Range measures expansion, momentum gives direction
- Quickly capitalizes on short-term opportunities
Risks
- Prone to getting trapped, need timely stops
- Higher trade frequency means more costs
- Less effective in long sideways ranges
Summary
This strategy uses multiple technical indicators to quickly capitalize on short-term trends. Compared to long-term strategies, it trades more frequently to capture price swings. Strict stops are required to control risks.
Strategy source code
/*backtest
start: 2023-01-01 00:00:00
end: 2023-04-30 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/
// © flygalaxies
// Strategy based on the Follow Line Indicator by Dreadblitz, Hull Suite by InSilico and Range Filter Buy and Sell 5 min by guikroth
// Designed for the purpose of back testing
// Strategy:
// - When the Range Filter Color Changes, And the HULL Suite is in that direction, Enter In that direction
// - e.g Range Filter Changes color from red to green, and Hull Suite is in Green. Enter Long
// - e.g Range Filter Changes color from green to red, and Hull Suite is in red. Enter Short
//
// Credits:
// Hull Suite by InSilico https://www.tradingview.com/u/InSilico/
// Range Filter Buy and Sell 5 min https://www.tradingview.com/u/guikroth/
// Follow Line Indicator by Dreadblitz https://www.tradingview.com/u/Dreadblitz/
// Follow line not used at this moment
//@version=5
strategy("Follow The Ranging Hull", overlay=true, initial_capital = 50000)
////////////////////
// COLOR INPUTS ///
//////////////////
rngFilterColorUp = input.color(title="Range Filter Color Up", defval = color.green, group="Color")
rngFilterColorDown = input.color(title="Range Filter Color Up", defval = color.red, group="Color")
hullColorUp = input.color(title="Hull Color Up", defval = color.green, group="Color")
hullColorDown = input.color(title="Hull Color Up", defval = color.red, group="Color")
fliColorUp = input.color(title="Follow Line Color Up", defval = color.green, group="Color")
fliColorDown = input.color(title="Follow Line Color Up", defval = color.red, group="Color")
///////////////////////////
// Range Filter INPUTS ///
/////////////////////////
src = input(defval=ohlc4, title="Source", group="Range Filter")
per = input.int(defval=33, minval=1, title="Sampling Period", group="Range Filter")
mult = input.float(defval=2.1, minval=0.1, title="Range Multiplier", group="Range Filter", step=0.1)
/////////////////////////
// Hull Suite INPUTS ///
///////////////////////
srcHull = input(close, title="Source", group="Hull Suite")
modeSwitch = input("Ehma", title="Hull Variation", options=["Hma", "Thma", "Ehma"], group="Hull Suite")
length = input(55, title="Length(180-200 for floating S/R , 55 for swing entry)")
switchColor = input(true, "Color Hull according to trend?", group="Hull Suite")
visualSwitch = input(true, title="Show as a Band?", group="Hull Suite")
thicknesSwitch = input(1, title="Line Thickness", group="Hull Suite")
transpSwitch = input.int(40, title="Band Transparency",step=5, group="Hull Suite")
//////////////////////////
// FOLLOW LINE INPUTS ///
////////////////////////
BBperiod = input.int(defval = 21, title = "BB Period", minval = 1)
BBdeviations = input.float(defval = 1.00, title = "BB Deviations", minval = 0.1, step=0.05)
UseATRfilter = input.bool(defval = true, title = "ATR Filter")
ATRperiod = input.int(defval = 5, title = "ATR Period", minval = 1)
hl = input.bool(defval = false, title = "Hide Labels")
//////////////////////////
// Range Filter Logic ///
////////////////////////
smoothrng(x, t, m) =>
wper = t * 2 - 1
avrng = ta.ema(math.abs(x - x[1]), t)
smoothrng = ta.ema(avrng, wper) * m
smoothrng
smrng = smoothrng(src, per, mult)
rngfilt(x, r) =>
rngfilt = x
rngfilt := x > nz(rngfilt[1]) ? x - r < nz(rngfilt[1]) ? nz(rngfilt[1]) : x - r :
x + r > nz(rngfilt[1]) ? nz(rngfilt[1]) : x + r
rngfilt
filt = rngfilt(src, smrng)
upward = 0.0
upward := filt > filt[1] ? nz(upward[1]) + 1 : filt < filt[1] ? 0 : nz(upward[1])
downward = 0.0
downward := filt < filt[1] ? nz(downward[1]) + 1 : filt > filt[1] ? 0 : nz(downward[1])
filtcolor = upward > 0 ? rngFilterColorUp : downward > 0 ? rngFilterColorDown : color.orange
filtplot = plot(filt, color=filtcolor, linewidth=3, title="Range Filter")
////////////////////////
// Hull Suite Logic ///
//////////////////////
HMA(_srcHull, _length) => ta.wma(2 * ta.wma(_srcHull, _length / 2) - ta.wma(_srcHull, _length), math.round(math.sqrt(_length)))
EHMA(_srcHull, _length) => ta.ema(2 * ta.ema(_srcHull, _length / 2) - ta.ema(_srcHull, _length), math.round(math.sqrt(_length)))
THMA(_srcHull, _length) => ta.wma(ta.wma(_srcHull,_length / 3) * 3 - ta.wma(_srcHull, _length / 2) - ta.wma(_srcHull, _length), _length)
Mode(modeSwitch, src, len) =>
modeSwitch == "Hma" ? HMA(src, len) :
modeSwitch == "Ehma" ? EHMA(src, len) :
modeSwitch == "Thma" ? THMA(src, len/2) : na
_hull = Mode(modeSwitch, src, int(length))
HULL = _hull
MHULL = HULL[0]
SHULL = HULL[2]
hullColor = switchColor ? (HULL > HULL[2] ? hullColorUp : hullColorDown) : #ff9800
Fi1 = plot(MHULL, title="MHULL", color=hullColor, linewidth=thicknesSwitch, transp=50)
Fi2 = plot(visualSwitch ? SHULL : na, title="SHULL", color=hullColor, linewidth=thicknesSwitch, transp=50)
fill(Fi1, Fi2, title="Band Filler", color=hullColor, transp=transpSwitch)
/////////////////////////
// Follow Line Logic ///
///////////////////////
BBUpper=ta.sma (close,BBperiod)+ta.stdev(close, BBperiod)*BBdeviations
BBLower=ta.sma (close,BBperiod)-ta.stdev(close, BBperiod)*BBdeviations
TrendLine = 0.0
iTrend = 0.0
buy = 0.0
sell = 0.0
BBSignal = close>BBUpper? 1 : close<BBLower? -1 : 0
if BBSignal == 1 and UseATRfilter == 1
TrendLine:=low-ta.atr(ATRperiod)
if TrendLine<TrendLine[1]
TrendLine:=TrendLine[1]
if BBSignal == -1 and UseATRfilter == 1
TrendLine:=high+ta.atr(ATRperiod)
if TrendLine>TrendLine[1]
TrendLine:=TrendLine[1]
if BBSignal == 0 and UseATRfilter == 1
TrendLine:=TrendLine[1]
//
if BBSignal == 1 and UseATRfilter == 0
TrendLine:=low
if TrendLine<TrendLine[1]
TrendLine:=TrendLine[1]
if BBSignal == -1 and UseATRfilter == 0
TrendLine:=high
if TrendLine>TrendLine[1]
TrendLine:=TrendLine[1]
if BBSignal == 0 and UseATRfilter == 0
TrendLine:=TrendLine[1]
//
iTrend:=iTrend[1]
if TrendLine>TrendLine[1]
iTrend:=1
if TrendLine<TrendLine[1]
iTrend:=-1
//
buy:=iTrend[1]==-1 and iTrend==1 ? 1 : na
sell:=iTrend[1]==1 and iTrend==-1? 1 : na
//
plot(TrendLine, color=iTrend > 0? fliColorUp : fliColorDown ,style=plot.style_line,linewidth=2,transp=0,title="Trend Line")
plotshape(buy == 1 and hl == false? TrendLine-ta.atr(8) :na, text='💣', style= shape.labelup, location=location.absolute, color=color.blue, textcolor=color.white, offset=0, transp=0,size=size.auto)
plotshape(sell == 1 and hl == false ?TrendLine+ta.atr(8):na, text='🔨', style=shape.labeldown, location=location.absolute, color=color.red, textcolor=color.white, offset=0, transp=0,size=size.auto)
if(true)
// RANGE FILTER ENTRY LONG WITH HULL
// if(filtcolor[1] == rngFilterColorDown and filtcolor == rngFilterColorUp)
strategy.entry("rngFiltLong", strategy.long, when = buy == 1 and hl == false)
// RANGE FILTER ENTRY SHORT WITH HULL
// if(filtcolor[1] == rngFilterColorUp and filtcolor == rngFilterColorDown)
strategy.entry("rngFiltShort", strategy.short, when = sell == 1 and hl == false)
// strategy.close("rngFiltLong", when = HULL < HULL[2] )
// strategy.close("rngFiltShort", when = HULL > HULL[2] )