ChaoZhang
Overview
This strategy is a trend-following system based on RSI and Supertrend indicators, combined with ATR volatility for risk management. The strategy determines entry timing through trend signals and overbought/oversold zones, using dynamic stop-loss and take-profit levels based on market volatility. It operates on a 15-minute timeframe with a default 15% capital allocation rule.
Strategy Principles
The strategy operates on several core elements: 1. Uses Supertrend indicator (factor 2.76) as the primary trend determination tool, generating signals on direction changes 2. Incorporates RSI (period 12) as a filter to prevent counter-trend trading in overbought/oversold zones 3. Employs ATR (period 12) for dynamic calculation of stop-loss and take-profit levels 4. Long entry conditions: Supertrend indicates buy and RSI below 70 5. Short entry conditions: Supertrend indicates sell and RSI above 30 6. Stop-loss set at current price ±4 times ATR 7. Take-profit set at current price ±2 or 2.237 times ATR
Strategy Advantages
- Combines trend following with momentum filtering for improved signal reliability
- Volatility-based dynamic stop-loss and take-profit settings offer strong adaptability
- Percentage-based money management effectively controls risk exposure
- Optimized indicator parameters reduce false signals
- Clear strategy logic, easy to understand and implement
- Well-suited for highly volatile market conditions
Strategy Risks
- May generate frequent false breakout signals in ranging markets
- RSI filtering might miss important trend beginnings
- Wide ATR-based stop-loss positions can lead to significant drawdowns
- Fixed capital allocation percentage may be too risky under certain market conditions
- Strategy relies on technical indicators, requiring adjustment when market structure changes
Strategy Optimization Directions
- Introduce additional market environment filters, such as volatility range assessment
- Optimize money management system with dynamic position sizing based on market volatility
- Add trend strength confirmation indicators to improve entry signal quality
- Consider adding time filters to avoid trading during unfavorable periods
- Study optimal parameter combinations for different market environments
- Explore more flexible stop-loss and take-profit mechanisms
Summary
This is a well-structured trend-following strategy with clear logic. By organically combining Supertrend, RSI, and ATR indicators, it achieves both trend capture and risk control. The strategy’s core strengths lie in its adaptability and risk management framework, though practical application requires appropriate parameter adjustment and optimization based on market conditions.
/*backtest
start: 2023-12-02 00:00:00
end: 2024-11-28 08:00:00
period: 3d
basePeriod: 3d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("ETH Signal 15m", overlay=true)
// Backtest period
start_time = input(timestamp("2024-08-01 00:00"), title="Backtest Start Time")
end_time = input(timestamp("2054-01-01 00:00"), title="Backtest End Time")
atrPeriod = input(12, "ATR Length")
factor = input.float(2.76, "Factor", step=0.01)
rsiLength = input(12, title="RSI Length")
rsiOverbought = input(70, title="RSI Overbought Level")
rsiOversold = input(30, title="RSI Oversold Level")
[_, direction] = ta.supertrend(factor, atrPeriod)
rsi = ta.rsi(close, rsiLength)
// Ensure current time is within the backtest period
in_date_range = true
// Long condition: Supertrend buy signal and RSI not overbought
if in_date_range and ta.change(direction) < 0 and rsi < rsiOverbought
strategy.entry("Long", strategy.long)
// Short condition: Supertrend sell signal and RSI not oversold
if in_date_range and ta.change(direction) > 0 and rsi > rsiOversold
strategy.entry("Short", strategy.short)
// Optional: Add stop loss and take profit using ATR
atr = ta.atr(atrPeriod)
strategy.exit("Exit Long", "Long", stop=close - 4 * atr, limit=close + 2 * atr)
strategy.exit("Exit Short", "Short", stop=close + 4 * atr, limit=close - 2.237 * atr)