High-Frequency Trading Strategy Analysis System Based on Bollinger Bands and MACD Indicators

/*backtest
start: 2024-05-20 00:00:00
end: 2024-09-20 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"TRB_USDT"}]
*/

//@version=5
// Bollinger Bounce Reversal Strategy - Visual Edition
//
// Description:
// This strategy seeks to capture reversal moves at extreme price levels (“bounce points”) using Bollinger Bands.
// A long entry is triggered when the price, after being below the lower Bollinger Band, crosses upward above it,
// provided that the MACD line is above its signal line (indicating bullish momentum) and volume is strong.
// Conversely, a short entry is triggered when the price, after being above the upper Bollinger Band, crosses downward
// below it, with the MACD line below its signal line and high volume.
// To help avoid overtrading, the strategy limits entries to a maximum of 5 trades per day.
// Risk management is applied via fixed stop‑loss and take‑profit orders.
// This version overlays many visual cues on the chart: filled Bollinger Bands, signal markers, background colors,
// and an on‑chart information table displaying key values.
//
// Backtesting Parameters:
// • Initial Capital: $10,000  
// • Commission: 0.1% per trade  
// • Slippage: 1 tick per bar
//
// Disclaimer:
// Past performance is not indicative of future results. This strategy is experimental and provided solely for educational
// purposes. Please backtest and paper trade under your own conditions before live deployment.
//
// Author: [Your Name]
// Date: [Date]

strategy("Bollinger Bounce Reversal Strategy - Visual Edition", overlay=true, initial_capital=10000, 
     default_qty_type=strategy.percent_of_equity, default_qty_value=5, 
     commission_type=strategy.commission.percent, commission_value=0.1, slippage=1)

// ─── INPUTS ─────────────────────────────────────────────────────────────
bbPeriod        = input.int(20, "Bollinger Bands Period", minval=1)
bbStd           = input.float(2.0, "BB StdDev Multiplier", step=0.1)
macdFast        = input.int(12, "MACD Fast Length", minval=1)
macdSlow        = input.int(26, "MACD Slow Length", minval=1)
macdSignal      = input.int(9,  "MACD Signal Length", minval=1)
volAvgPeriod    = input.int(20, "Volume MA Period", minval=1)
volFactor       = input.float(1.0, "Volume Spike Factor", step=0.1)  // Volume must be >= volAvg * factor
stopLossPerc    = input.float(2.0,  "Stop Loss (%)", step=0.1) * 0.01
takeProfitPerc  = input.float(4.0,  "Take Profit (%)", step=0.1) * 0.01

// ─── CALCULATIONS ─────────────────────────────────────────────────────────
basis    = ta.sma(close, bbPeriod)
dev      = bbStd * ta.stdev(close, bbPeriod)
upperBB  = basis + dev
lowerBB  = basis - dev

[macdLine, signalLine, _] = ta.macd(close, macdFast, macdSlow, macdSignal)
volAvg   = ta.sma(volume, volAvgPeriod)

// ─── VISUALS: Bollinger Bands & Fill ───────────────────────────────────────
pBasis = plot(basis, color=color.gray, title="BB Basis")
pUpper = plot(upperBB, color=color.red, title="Upper BB")
pLower = plot(lowerBB, color=color.green, title="Lower BB")
fill(pUpper, pLower, color=color.new(color.blue, 90), title="BB Fill")

// ─── DAILY TRADE LIMIT ─────────────────────────────────────────────────────
// Reset the daily trade count at the start of each new day; limit entries to 5 per day.
var int tradesToday = 0
if ta.change(time("D"))
    tradesToday := 0

// ─── SIGNAL LOGIC ─────────────────────────────────────────────────────────
// Define a "bounce" signal:
// For a long signal, require that the previous bar was below the lower band and the current bar crosses above it,
// the MACD line is above its signal, and volume is high.
longSignal = (close[1] < lowerBB and close > lowerBB) and (macdLine > signalLine) and (volume >= volFactor * volAvg)
// For a short signal, require that the previous bar was above the upper band and the current bar crosses below it,
// the MACD line is below its signal, and volume is high.
shortSignal = (close[1] > upperBB and close < upperBB) and (macdLine < signalLine) and (volume >= volFactor * volAvg)

// Plot visual signal markers on the chart.
plotshape(longSignal, title="Long Signal", style=shape.labelup, location=location.belowbar, color=color.green, text="Long", size=size.small)
plotshape(shortSignal, title="Short Signal", style=shape.labeldown, location=location.abovebar, color=color.red, text="Short", size=size.small)

// Change background color on signal bars for an extra cue.
bgcolor(longSignal ? color.new(color.green, 80) : shortSignal ? color.new(color.red, 80) : na, title="Signal BG")

// Only enter trades if fewer than 5 have been taken today.
if longSignal and (tradesToday < 5)
    strategy.entry("Long", strategy.long)
    tradesToday += 1

if shortSignal and (tradesToday < 5)
    strategy.entry("Short", strategy.short)
    tradesToday += 1

// ─── RISK MANAGEMENT: STOP-LOSS & TAKE-PROFIT ─────────────────────────────
// For long positions: set stop loss and take profit relative to the entry price.
if strategy.position_size > 0
    strategy.exit("Long Exit", "Long", stop=strategy.position_avg_price*(1 - stopLossPerc), limit=strategy.position_avg_price*(1 + takeProfitPerc))
// For short positions: set stop loss and take profit relative to the entry price.
if strategy.position_size < 0
    strategy.exit("Short Exit", "Short", stop=strategy.position_avg_price*(1 + stopLossPerc), limit=strategy.position_avg_price*(1 - takeProfitPerc))