Neural Network Super Trend Strategy

Author: ChaoZhang, Date: 2023-09-14 16:49:38
Tags:

Strategy Logic

This strategy combines a neural network model, RSI indicator and Super Trend indicator for trading.

The logic is:

  1. Build a neural network model with inputs including volume change, Bollinger Bands, RSI etc.

  2. The network predicts future price change rate

  3. Calculate RSI values and combine with predicted price change

  4. Generate dynamic stop loss lines based on RSI

  5. Go short when price breaks above up stop loss; go long when price breaks below down stop

  6. Use Super Trend trend judgment for filtration

The strategy leverages neural networks’ ability to model complex data, with additional signal verification from indicators like RSI and Super Trend to improve accuracy while controlling risk.

Advantages

  • Neural networks model multidimensional data to determine trends

  • RSI stops protect profits, Super Trend assists judgement

  • Multiple indicators combine to improve signal quality

Risks

  • Requires large datasets for neural network training

  • Fine-tuning of RSI and Super Trend parameters needed

  • Performance depends on model predictions, uncertainties exist

Summary

This strategy combines machine learning with traditional techniques for efficiency with risk controls. But parameters and model interpretability need improvement.


/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//ANN taken from https://www.tradingview.com/script/Eq4zZsTI-ANN-MACD-BTC/
//it only work for BTC as the ANN is trained for this data only
//super trend https://www.tradingview.com/script/VLWVV7tH-SuperTrend/
// Strategy version created for @che_trader
strategy ("ANN RSI SUPER TREND STRATEGY BY che_trader", overlay = true)
qty = input(10000, "Buy quantity")

testStartYear = input(2019, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testStartHour = input(0, "Backtest Start Hour")
testStartMin = input(0, "Backtest Start Minute")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,testStartHour,testStartMin)
testStopYear = input(2099, "Backtest Stop Year")
testStopMonth = input(1, "Backtest Stop Month")
testStopDay = input(30, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
testPeriod() => true

max_bars_back = (21)
src = close[0]

// Essential Functions

// Highest - Lowest Functions ( All efforts goes to RicardoSantos )

f_highest(_src, _length)=>
    _adjusted_length = _length < 1 ? 1 : _length
    _value = _src
    for _i = 0 to (_adjusted_length-1)
        _value := _src[_i] >= _value ? _src[_i] : _value
    _return = _value

f_lowest(_src, _length)=>
    _adjusted_length = _length < 1 ? 1 : _length
    _value = _src
    for _i = 0 to (_adjusted_length-1)
        _value := _src[_i] <= _value ? _src[_i] : _value
    _return = _value

// Function Sum  

f_sum(_src , _length) => 

    _output  = 0.00 
    
    _length_adjusted = _length < 1 ? 1 : _length
    
    for i = 0 to _length_adjusted-1
        _output := _output + _src[i]


// Unlocked Exponential Moving Average Function

f_ema(_src, _length)=>
    _length_adjusted = _length < 1 ? 1 : _length
    _multiplier = 2 / (_length_adjusted + 1)
    _return  = 0.00
    _return := na(_return[1]) ? _src : ((_src - _return[1]) * _multiplier) + _return[1]


// Unlocked Moving Average Function 

f_sma(_src, _length)=>
    
    _output = 0.00
    _length_adjusted = _length < 0 ? 0 : _length
    w = cum(_src)

    _output:= (w - w[_length_adjusted]) / _length_adjusted
   
    _output    


// Definition : Function Bollinger Bands

Multiplier = 2 
_length_bb = 20


e_r = f_sma(src,_length_bb)


// Function Standard Deviation : 

f_stdev(_src,_length) =>

    float _output = na 
    _length_adjusted = _length < 2 ? 2 : _length
    _avg  = f_ema(_src , _length_adjusted)
    evar  = (_src - _avg) * (_src - _avg)
    evar2 = ((f_sum(evar,_length_adjusted))/_length_adjusted)
    
    _output := sqrt(evar2)


std_r = f_stdev(src , _length_bb )


upband = e_r + (Multiplier * std_r)  // Upband
dnband = e_r - (Multiplier * std_r)  // Lowband
basis  = e_r                         // Midband

// Function : RSI


length = input(14, minval=1) // 


f_rma(_src, _length) =>
    _length_adjusted = _length < 1 ? 1 : _length
    alpha = _length_adjusted
    sum = 0.0
    sum := (_src + (alpha - 1) * nz(sum[1])) / alpha



f_rsi(_src, _length) => 

    _output = 0.00 
    _length_adjusted = _length < 0 ? 0 : _length

    u = _length_adjusted < 1 ? max(_src - _src[_length_adjusted], 0) : max(_src - _src[1] , 0) // upward change
    d = _length_adjusted < 1 ? max(_src[_length_adjusted] - _src, 0) : max(_src[1] - _src , 0) // downward change
    rs = f_rma(u, _length) / f_rma(d, _length)
    res = 100 - 100 / (1 + rs)
    res


_rsi = f_rsi(src, length)


// MACD 

_fastLength   = input(12 , title = "MACD Fast Length")
_slowlength   = input(26 , title = "MACD Slow Length")
_signalLength = input(9  , title = "MACD Signal Length")


_macd   = f_ema(close, _fastLength) - f_ema(close, _slowlength)
_signal = f_ema(_macd, _signalLength)
	   
_macdhist = _macd - _signal


// Inputs on Tangent Function : 

tangentdiff(_src) => nz((_src - _src[1]) / _src[1] ) 


// Deep Learning Activation Function (Tanh) : 

ActivationFunctionTanh(v) => (1 - exp(-2 * v))/( 1 + exp(-2 * v))


// DEEP LEARNING 

// INPUTS : 

input_1 = tangentdiff(volume)
input_2 = tangentdiff(dnband)
input_3 = tangentdiff(e_r)
input_4 = tangentdiff(upband)
input_5 = tangentdiff(_rsi)
input_6 = tangentdiff(_macdhist)

// LAYERS : 

// Input Layers 

n_0 = ActivationFunctionTanh(input_1 + 0)   
n_1 = ActivationFunctionTanh(input_2 + 0) 
n_2 = ActivationFunctionTanh(input_3 + 0) 
n_3 = ActivationFunctionTanh(input_4 + 0) 
n_4 = ActivationFunctionTanh(input_5 + 0)
n_5 = ActivationFunctionTanh(input_6 + 0)


// Hidden Layers 

n_6   = ActivationFunctionTanh( -2.580743 * n_0 + -1.883627 * n_1 + -3.512462 * n_2 + -0.891063 * n_3 + -0.767728 * n_4 + -0.542699 * n_5 +  0.221093) 
n_7   = ActivationFunctionTanh( -0.131977 * n_0 + -1.543499 * n_1 +  0.019450 * n_2 +  0.041301 * n_3 + -0.926690 * n_4 + -0.797512 * n_5 + -1.804061) 
n_8   = ActivationFunctionTanh( -0.587905 * n_0 + -7.528007 * n_1 + -5.273207 * n_2 +  1.633836 * n_3 +  6.099666 * n_4 +  3.509443 * n_5 + -4.384254) 
n_9   = ActivationFunctionTanh( -1.026331 * n_0 + -1.289491 * n_1 + -1.702887 * n_2 + -1.052681 * n_3 + -1.031452 * n_4 + -0.597999 * n_5 + -1.178839) 
n_10  = ActivationFunctionTanh( -5.393730 * n_0 + -2.486204 * n_1 +  3.655614 * n_2 +  1.051512 * n_3 + -2.763198 * n_4 +  6.062295 * n_5 + -6.367982) 
n_11  = ActivationFunctionTanh(  1.246882 * n_0 + -1.993206 * n_1 +  1.599518 * n_2 +  1.871801 * n_3 +  0.294797 * n_4 + -0.607512 * n_5 + -3.092821) 
n_12  = ActivationFunctionTanh( -2.325161 * n_0 + -1.433500 * n_1 + -2.928094 * n_2 + -0.715416 * n_3 + -0.914663 * n_4 + -0.485397 * n_5 + -0.411227) 
n_13  = ActivationFunctionTanh( -0.350585 * n_0 + -0.810108 * n_1 + -1.756149 * n_2 + -0.567176 * n_3 + -0.954021 * n_4 + -1.027830 * n_5 + -1.349766) 


// Output Layer 

_output  = ActivationFunctionTanh(2.588784 * n_6  + 0.100819 * n_7  + -5.305373 * n_8  + 1.167093 * n_9  + 
                                  3.770143 * n_10 + 1.269190 * n_11 +  2.090862 * n_12 + 0.839791 * n_13 + -0.196165)

_chg_src = tangentdiff(src) * 100

_seed = (_output - _chg_src)
// BEGIN ACTUAL STRATEGY
length1 = input(title="RSI Period", type=input.integer, defval=21)
mult = input(title="RSI Multiplier", type=input.float, step=0.1, defval=4.0)
wicks = input(title="Take Wicks into Account ?", type=input.bool, defval=false)
showLabels = input(title="Show Buy/Sell Labels ?", type=input.bool, defval=true)

srsi = mult* rsi(_seed ,length1)

longStop = hl2 - srsi
longStopPrev = nz(longStop[1], longStop)
longStop := (wicks ? low[1] : close[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop

shortStop = hl2 + srsi
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (wicks ? high[1] : close[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop

dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (wicks ? high : close) > shortStopPrev ? 1 : dir == 1 and (wicks ? low : close) < longStopPrev ? -1 : dir

longColor = color.green
shortColor = color.red

plot(dir == 1 ? longStop : na, title="Long Stop", style=plot.style_linebr, linewidth=2, color=longColor)
buySignal = dir == 1 and dir[1] == -1
plotshape(buySignal ? longStop : na, title="Long Stop Start", location=location.absolute, style=shape.circle, size=size.tiny, color=longColor, transp=0)
plotshape(buySignal and showLabels ? longStop : na, title="Buy Label", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=longColor, textcolor=color.white, transp=0)

plot(dir == 1 ? na : shortStop, title="Short Stop", style=plot.style_linebr, linewidth=2, color=shortColor)
sellSignal = dir == -1 and dir[1] == 1
plotshape(sellSignal ? shortStop : na, title="Short Stop Start", location=location.absolute, style=shape.circle, size=size.tiny, color=shortColor, transp=0)
plotshape(sellSignal and showLabels ? shortStop : na, title="Sell Label", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=shortColor, textcolor=color.white, transp=0)





if testPeriod() and buySignal
    strategy.entry("Long",strategy.long)

if testPeriod() and sellSignal
    strategy.entry("Short",strategy.short)

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