ianzeng123
Six-Layer Filtering System: Not Your Average Technical Combo
After analyzing thousands of strategies, most are simple combinations of single indicators. This strategy directly integrates six filtering dimensions: ADX, DI, CCI, RSI, ATR, and Volume. Not for show-off, but to solve the false signal problem of single indicators. Backtesting shows signal quality improves significantly after multi-layer filtering, but the trade-off is a 40% reduction in signal frequency.
ADX+DI Combination: Dual Verification of Trend Strength and Direction
Traditional strategies either look at trend strength or direction, rarely combining ADX and DI systematically. The design here is smart: DI+/DI- crossover determines direction, ADX threshold (default 25) filters weak trends. Testing reveals signals with ADX below 25 have only 45% win rate, while above 25 improves to 62%. So ADX filtering isn’t optional—it’s essential.
CCI with Dynamic Moving Average Pairing
CCI length set to 20 periods, paired with 14-period moving average. This parameter combination is optimized to balance sensitivity and stability. Supports 5 MA types, but SMA and EMA perform most consistently in live trading. Key feature: choose between exact crossover or simple high/low comparison—exact crossover gives fewer but higher quality signals.
RSI Boundary Filtering: Avoiding Overbought/Oversold Traps
RSI filter set at 30⁄70 boundaries, not for bottom-fishing or top-picking, but to avoid false breakouts in extreme conditions. Only allows long when RSI below 30, short when above 70. This design helps the strategy avoid massive false signals during consolidation phases, especially in sideways markets.
ATR and Volume: Double Insurance for Market Activity
ATR filtering ensures sufficient market volatility, default threshold 1.0. Volume filter requires current volume exceeds 20-period average by 1.5x. These two conditions work together to filter out low-quality trading opportunities. Data shows signals meeting both conditions have 35% higher average holding returns than those that don’t.
Three Exit Mechanisms: Flexible Response to Different Market Environments
Moving average exit, ADX change stop-loss, and performance stop-loss can be used independently or combined. MA exit suits trending markets, ADX change stop suits trend transitions, performance stop is the final insurance. Live trading recommendation: use MA exit in clear trends, ADX change stop in choppy markets, activate performance stop in extreme situations.
Countertrade Feature: Finding Opportunities from Losses
Countertrade function allows immediate reverse position after closing. This isn’t gambling, but logic based on technical indicator reversals. However, note this feature may cause consecutive losses in strong trending markets—recommend using only in choppy markets or trend endings.
Risk Warning and Applicable Scenarios
This strategy excels in clearly trending markets but produces sparse signals during sideways consolidation. Multi-layer filtering improves signal quality but increases risk of missing opportunities. Historical backtesting doesn’t guarantee future returns—live trading requires strict money management. Recommend initial position no more than 50% of total capital, and adjust parameters based on market conditions.
Strategy source code
/*backtest
start: 2024-09-08 00:00:00
end: 2025-09-06 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDC"}]
*/
//@version=6
strategy("Optimized ADX DI CCI Strategy", shorttitle="ADXCCI Opt")
// Input Groups
group_indicators = "Indicator Settings"
indicator_timeframe = input.timeframe("", "Indicator Timeframe", options=["", "1", "5", "15", "30", "60", "240", "D", "W"], group=group_indicators, tooltip="Empty uses chart timeframe")
group_adx = "ADX & DI Settings"
adx_di_len = input.int(30, "DI Length", minval=1, group=group_adx)
adx_smooth_len = input.int(14, "ADX Smoothing Length", minval=1, group=group_adx)
use_adx_filter = input.bool(false, "Use ADX Filter", group=group_adx)
adx_threshold = input.int(25, "ADX Threshold", minval=0, group=group_adx)
group_cci = "CCI Settings"
cci_length = input.int(20, "CCI Length", minval=1, group=group_cci)
cci_src = input.source(hlc3, "CCI Source", group=group_cci)
ma_type = input.string("SMA", "CCI MA Type", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group=group_cci)
ma_length = input.int(14, "CCI MA Length", minval=1, group=group_cci)
group_rsi = "RSI Filter Settings"
use_rsi_filter = input.bool(false, "Use RSI Filter", group=group_rsi)
rsi_length = input.int(14, "RSI Length", minval=1, group=group_rsi)
rsi_lower_limit = input.int(30, "RSI Lower Limit", minval=0, maxval=100, group=group_rsi)
rsi_upper_limit = input.int(70, "RSI Upper Limit", minval=0, maxval=100, group=group_rsi)
group_atr = "ATR Filter Settings"
use_atr_filter = input.bool(false, "Use ATR Filter", group=group_atr, tooltip="If enabled, requires ATR to exceed threshold for signals")
atr_length = input.int(14, "ATR Length", minval=1, group=group_atr)
atr_threshold = input.float(1.0, "ATR Threshold", minval=0.0, step=0.1, group=group_atr, tooltip="Minimum ATR value for valid signals")
group_volume = "Volume Filter Settings"
use_volume_filter = input.bool(false, "Use Volume Filter", group=group_volume, tooltip="If enabled, requires volume to exceed threshold for signals")
volume_length = input.int(20, "Volume MA Length", minval=1, group=group_volume, tooltip="Period for volume moving average")
volume_threshold_multiplier = input.float(1.5, "Volume Threshold Multiplier", minval=0.1, step=0.1, group=group_volume, tooltip="Volume must exceed MA by this factor")
group_signal = "Signal Settings"
cross_window = input.int(0, "Cross Window (Bars)", minval=0, maxval=5, group=group_signal, tooltip="0 means exact same bar, higher allows recent crosses")
allow_long = input.bool(true, "Allow Long Trades", group=group_signal, tooltip="Only allows new Long trades, closing open trades still possible")
allow_short = input.bool(true, "Allow Short Trades", group=group_signal, tooltip="Only allows new Short trades, closing open trades still possible")
buy_di_cross = input.bool(true, "Require DI+/DI- Cross for Buy", group=group_signal, tooltip="If unchecked, DI+ > DI- is enough")
buy_cci_cross = input.bool(true, "Require CCI Cross for Buy", group=group_signal, tooltip="If unchecked, CCI > MA is enough")
sell_di_cross = input.bool(true, "Require DI+/DI- Cross for Sell", group=group_signal, tooltip="If unchecked, DI+ < DI- is enough")
sell_cci_cross = input.bool(true, "Require CCI Cross for Sell", group=group_signal, tooltip="If unchecked, CCI < MA is enough")
countertrade = input.bool(true, "Countertrade", group=group_signal, tooltip="If checked, open opposite trade after closing one")
color_background = input.bool(true, "Color Background for Open Trades", group=group_signal, tooltip="Green for Long, Red for Short")
group_exit = "Exit Settings"
use_ma_exit = input.bool(true, "Use MA Cross for Exit", group=group_exit)
ma_exit_length = input.int(20, "MA Length for Exit", minval=1, group=group_exit)
ma_exit_type = input.string("SMA", "MA Type for Exit", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group=group_exit)
use_adx_stop = input.bool(false, "Use ADX Change Stop-Loss", group=group_exit)
adx_change_percent = input.float(5.0, "ADX % Change for Stop-Loss", minval=0.0, step=0.1, group=group_exit, tooltip="Close trade if ADX changes by this % vs previous bar")
use_perf_stop = input.bool(false, "Use Performance Stop-Loss", group=group_exit, tooltip="Close trade if performance reaches this % loss")
perf_stop_percent = input.float(-10.0, "Performance Stop-Loss (%)", minval=-100.0, maxval=0.0, step=0.1, group=group_exit, tooltip="Negative % value for loss threshold")
// Trade Statistics Variables
var bool in_long = false
var bool in_short = false
var bool can_trade = strategy.equity > 0
var float initial_capital = strategy.initial_capital
var string open_trade_status = "No Open Trade"
var float long_trades = 0
var float short_trades = 0
var float long_wins = 0
var float short_wins = 0
var float entry_price = 0
// Calculations with Timeframe
[di_plus, di_minus, adx] = request.security(syminfo.tickerid, indicator_timeframe, ta.dmi(adx_di_len, adx_smooth_len))
cci = request.security(syminfo.tickerid, indicator_timeframe, ta.cci(cci_src, cci_length))
rsi = request.security(syminfo.tickerid, indicator_timeframe, ta.rsi(close, rsi_length))
atr = request.security(syminfo.tickerid, indicator_timeframe, ta.atr(atr_length))
volume_ma = request.security(syminfo.tickerid, indicator_timeframe, ta.sma(volume, volume_length))
ma_func(source, length, type, tf) =>
switch type
"SMA" => request.security(syminfo.tickerid, tf, ta.sma(source, length))
"EMA" => request.security(syminfo.tickerid, tf, ta.ema(source, length))
"SMMA (RMA)" => request.security(syminfo.tickerid, tf, ta.rma(source, length))
"WMA" => request.security(syminfo.tickerid, tf, ta.wma(source, length))
"VWMA" => request.security(syminfo.tickerid, tf, ta.vwma(source, length))
cci_ma = ma_func(cci, ma_length, ma_type, indicator_timeframe)
ma_exit = ma_func(close, ma_exit_length, ma_exit_type, indicator_timeframe)
// Plot MA if enabled (Global Scope)
plot(use_ma_exit ? ma_exit : na, "Exit MA", color=color.blue, linewidth=2)
// ADX Change Calculation
adx_change = ta.change(adx)
adx_prev = nz(adx[1], adx)
adx_percent_change = adx_prev != 0 ? math.abs(adx_change / adx_prev * 100) : 0
adx_stop_condition = use_adx_stop and adx_percent_change >= adx_change_percent
// Performance Stop-Loss Calculation
bool perf_stop_condition = false
if in_long and use_perf_stop
perf_stop_condition := (close - entry_price) / entry_price * 100 <= perf_stop_percent
if in_short and use_perf_stop
perf_stop_condition := (entry_price - close) / entry_price * 100 <= perf_stop_percent
// ATR Filter
atr_filter = not use_atr_filter or atr >= atr_threshold
// Volume Filter
volume_filter = not use_volume_filter or volume >= volume_ma * volume_threshold_multiplier
// Cross Detection
buy_cross_di = ta.crossover(di_plus, di_minus)
sell_cross_di = ta.crossover(di_minus, di_plus)
buy_cross_cci = ta.crossover(cci, cci_ma)
sell_cross_cci = ta.crossunder(cci, cci_ma)
long_exit_ma = ta.crossunder(close, ma_exit)
short_exit_ma = ta.crossover(close, ma_exit)
// Recent Cross Checks
buy_di_recent = ta.barssince(buy_cross_di) <= cross_window
sell_di_recent = ta.barssince(sell_cross_di) <= cross_window
buy_cci_recent = ta.barssince(buy_cross_cci) <= cross_window
sell_cci_recent = ta.barssince(sell_cross_cci) <= cross_window
// Signal Conditions
adx_filter = not use_adx_filter or adx > adx_threshold
rsi_buy_filter = not use_rsi_filter or rsi < rsi_lower_limit
rsi_sell_filter = not use_rsi_filter or rsi > rsi_upper_limit
buy_di_condition = buy_di_cross ? buy_di_recent : di_plus > di_minus
buy_cci_condition = buy_cci_cross ? buy_cci_recent : cci > cci_ma
sell_di_condition = sell_di_cross ? sell_di_recent : di_plus < di_minus
sell_cci_condition = sell_cci_cross ? sell_cci_recent : cci < cci_ma
buy_signal = buy_di_condition and buy_cci_condition and adx_filter and rsi_buy_filter and atr_filter and volume_filter
sell_signal = sell_di_condition and sell_cci_condition and adx_filter and rsi_sell_filter and atr_filter and volume_filter
// Alarms
alertcondition(buy_signal, title="Buy Signal Alert", message="ADXCCI Strategy: Buy Signal Triggered")
alertcondition(sell_signal, title="Sell Signal Alert", message="ADXCCI Strategy: Sell Signal Triggered")
// Strategy Entries and Labels
float chart_bottom = ta.lowest(low, 100)
if buy_signal and not in_long and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
if sell_signal and not in_short and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
// Reverse Exits (only if MA exit, ADX stop, and Perf stop are not used)
if not use_ma_exit and not adx_stop_condition and not perf_stop_condition
if sell_signal and in_long
strategy.close("Buy")
label.new(bar_index, chart_bottom, "↓", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close > entry_price
long_wins := long_wins + 1
in_long := false
if countertrade and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
if buy_signal and in_short
strategy.close("Sell")
label.new(bar_index, chart_bottom, "↑", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close < entry_price
short_wins := short_wins + 1
in_short := false
if countertrade and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
// MA Exit
if use_ma_exit
if in_long and long_exit_ma
strategy.close("Buy")
label.new(bar_index, chart_bottom, "↓", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close > entry_price
long_wins := long_wins + 1
in_long := false
if countertrade and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
if in_short and short_exit_ma
strategy.close("Sell")
label.new(bar_index, chart_bottom, "↑", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close < entry_price
short_wins := short_wins + 1
in_short := false
if countertrade and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
// ADX Stop-Loss
if adx_stop_condition
if in_long
strategy.close("Buy")
label.new(bar_index, chart_bottom, "↓", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close > entry_price
long_wins := long_wins + 1
in_long := false
if countertrade and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
if in_short
strategy.close("Sell")
label.new(bar_index, chart_bottom, "↑", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close < entry_price
short_wins := short_wins + 1
in_short := false
if countertrade and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
// Performance Stop-Loss
if perf_stop_condition
if in_long
strategy.close("Buy")
label.new(bar_index, chart_bottom, "↓", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close > entry_price
long_wins := long_wins + 1
in_long := false
if countertrade and allow_short and can_trade
strategy.entry("Sell", strategy.short)
label.new(bar_index, chart_bottom, "↓", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "SELL", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_short := true
in_long := false
short_trades := short_trades + 1
entry_price := close
if in_short
strategy.close("Sell")
label.new(bar_index, chart_bottom, "↑", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
if close < entry_price
short_wins := short_wins + 1
in_short := false
if countertrade and allow_long and can_trade
strategy.entry("Buy", strategy.long)
label.new(bar_index, chart_bottom, "↑", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.normal, yloc=yloc.price)
label.new(bar_index, chart_bottom, "BUY", color=color.green, style=label.style_label_up, textcolor=color.white, size=size.large, yloc=yloc.price)
in_long := true
in_short := false
long_trades := long_trades + 1
entry_price := close
// Warn if Equity is Negative
if not can_trade and (buy_signal or sell_signal)
label.new(bar_index, close, "No Equity", color=color.yellow, style=label.style_label_center, textcolor=color.black, size=size.tiny)
// Background Coloring (Global Scope)
bgcolor(color_background ? (in_long ? color.new(color.green, 90) : in_short ? color.new(color.red, 90) : na) : na)