This strategy is called SuperTrend Trading Strategy with Multiple Filters. It adds multiple indicators as filters on top of the Supertrend to strictly control entries.
How the strategy works:
Advantages of this strategy:
Risks of this strategy:
In summary, the SuperTrend Trading Strategy with Multiple Filters considers both trend following and indicator analysis, improving signal quality through multiple confirmations. Reasonable stop loss and take profit mechanisms are key to reducing trading risks. The strategy is suitable for traders with some experience.
/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-14 00:00:00
period: 1h
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/
// © mathlabel
//@version=5
strategy("My strategy", overlay=true, margin_long=100, margin_short=100)
atrPeriod = input(10, "ATR Length")
factor = input.float(3.0, "Factor", step = 0.01)
stopLossFactor = input(2.0, "Stop Loss Factor")
takeProfitFactor = input(1.5, "Take Profit Factor")
stochlenght= input(14,'stochlenght')
oversold_level = input(title = 'Oversold', defval = 20)
overbought_level = input(title = 'Overbought', defval = 80)
use_atr_exits=input.bool(false)
use_bollinger_exits=input.bool(false)
use_cci_filter=input.bool(false)
longLossPerc = input.float(title='Long Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01
shortLossPerc = input.float(title='Short Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01
longprofitPerc = input.float(title='Long profit (%)', minval=0.0, step=0.1, defval=1) * 0.01
shortprofitPerc = input.float(title='Short profit (%)', minval=0.0, step=0.1, defval=1) * 0.01
// Calculate ATR
atr = ta.atr(atrPeriod)
plotsuper=input.bool(false)
[supertrend, direction] = ta.supertrend(factor, atrPeriod)
upTrend = plot(plotsuper? (direction < 0 ? supertrend : na) : na, "Up Trend", color = color.green, style=plot.style_linebr)
downTrend = plot(plotsuper ? (direction < 0? na : supertrend):na, "Down Trend", color = color.red, style=plot.style_linebr)
long_supertrend_filter= (direction < 0 ? supertrend : na)
short_supertrend_filter= (direction < 0? na : supertrend)
//--trama--
lengths = input(99,title='Trama lenght')
src =(close)
ama = 0.
hh = math.max(math.sign(ta.change(ta.highest(lengths))), 0)
ll = math.max(math.sign(ta.change(ta.lowest(lengths)) * -1), 0)
tc = math.pow(ta.sma(hh or ll ? 1 : 0, lengths), 2)
ama := nz(ama[1] + tc * (src - ama[1]), src)
plottrama=input.bool(false, title="Show Lux TRAMA")
plot(plottrama?ama : na, 'Plot', color.new(#ff1100, 0), 2)
use_LUX_trama_filter=input.bool(false)
long_LUX_trama_filter= (close > ama)
short_LUX_trama_filter= (close < ama)
// highest high
highest = ta.highest(high, stochlenght)
// lowest low
lowest = ta.lowest(low, stochlenght)
// stochastic oscillator
stochastic_K = ((close - lowest) / (highest - lowest)) * 100
stochastic_D = ta.sma(stochastic_K, 3)
use_stochastic_filter = input.bool(false)
long_stoch_filter = stochastic_K > oversold_level and stochastic_K[1] < oversold_level
short_stoch_filter = stochastic_K < overbought_level and stochastic_K[1] > overbought_level
//Define a ATR band upline and bottome line.
upline = open + (atr* takeProfitFactor)
bottomline = open -(atr*stopLossFactor)
plot(use_atr_exits ? upline : na, color=color.white)
plot(use_atr_exits ? bottomline:na, color=color.white)
// Calculate stop loss and take profit levels
stopLoss = stopLossFactor * atr
takeProfit = takeProfitFactor * atr
//input macd
ma_fast=ta.sma(close,input(14,title='ma fast for macd filter'))
ma_slow=ta.sma(close,input(28, title='ma slowfor macd filter'))
use_macd_filter=input.bool(false)
[macdLine, signalLine, histLine]= ta.macd(close,12,26,9)
long_macd_filter= (macdLine > signalLine) and ta.crossover(ma_fast,ma_slow)
short_macd_filter= (macdLine < signalLine) and ta.crossunder(ma_fast,ma_slow)
// ema 200
ema1= ta.ema(close,1)
ema2= ta.ema(close,200)
use_ema200_filter= input.bool(false)
long_ema_filter = (close > ema2)
short_ema_filter= (close < ema2)
plotAverage = input.bool(true, title="Plot EMA200")
plot(plotAverage ? ta.ema(close, 200) : na, title="Exponential Average")
// mfi
signalLength = input(title="mfi Signal Length", defval=9)
length1 = input(title="mfi Length", defval=14)
src1 = hlc3
mf = ta.mfi(src1, length1)
signal = ta.ema(mf, signalLength)
use_mfi_filter=input.bool(false)
long_mfi_filter= ta.crossover(mf,signal) ?mf:na
short_mfi_filter= ta.crossunder(mf,signal)? mf : na
//cci
cci_l = input(50, title='CCI Period Length')
atr_l = input(5, title=' CCI ATR Length')
level = 0
sd_length = 20
cci = ta.cci(src, cci_l)
atr2 = ta.atr(atr_l)
var st = 0.
if cci >= level
st := low - atr
st
if cci <= level
st := high + atr
st
var tu = 0.
var td = 0.
var optimal_line = 0.
if cci >= level and cci[1] < level
tu := td[1]
tu
if cci <= level and cci[1] > level
td := tu[1]
td
if cci > level
tu := low - atr2
if tu < tu[1] and cci[1] >= level
tu := tu[1]
tu
if cci < level
td := high + atr2
if td > td[1] and cci[1] <= level
td := td[1]
td
optimal_line := math.max(tu, td)
// Creating a Price Channel,
avg_st8 = ta.ema(st, 8)
avg_st13 = ta.ema(st, 13)
avg_st21 = ta.ema(st, 21)
avg_st34 = ta.ema(st, 21)
avg_st55 = ta.ema(st, 55)
avg_st89 = ta.ema(st, 89)
avg_st144 = ta.ema(st, 144)
avg_st233 = ta.ema(st, 233)
average_weighting = (optimal_line + avg_st8 + avg_st13 + avg_st21 + avg_st34 + avg_st55 + avg_st89 + avg_st144 + avg_st233) / 9
basis = ta.sma(average_weighting, sd_length)
devs = ta.stdev(average_weighting, sd_length)
upperS = basis + devs
lowerS = basis - devs
plot(use_cci_filter ? basis: na, 'Basis', color=color.new(#872323, 0))
p3 = plot(use_cci_filter ? upperS : na, 'UpperS', color=color.new(color.teal, 0))
p4 = plot(use_cci_filter ? lowerS: na ,'LowerS', color=color.new(color.teal, 0))
long_cci_filter= ta.crossover(close,upperS)
short_cci_filter= ta.crossunder(close,lowerS)
var isLong = false
var isShort = false
long = (not use_LUX_trama_filter or long_LUX_trama_filter) and ( long_supertrend_filter) and (not use_ema200_filter or long_ema_filter) and (not isLong) and (not use_stochastic_filter or long_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or long_mfi_filter) and (not use_cci_filter or long_cci_filter)
short= (not use_LUX_trama_filter or short_LUX_trama_filter) and ( short_supertrend_filter) and (not use_ema200_filter or short_ema_filter) and (not isShort) and ( not use_stochastic_filter or short_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or short_mfi_filter) and (not use_cci_filter or short_cci_filter)
if long
isLong := true
isShort := false
if short
isLong := false
isShort := true
plotshape(long, title='Buy', text='Buy', style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), textcolor=color.new(color.white, 0), size=size.tiny)
plotshape(short, title='Sell', text='Sell', style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), textcolor=color.new(color.white, 0), size=size.tiny)
//bollinger
lengthss = input(20, title='bollinger lenght')
mult = input.float(2.0, minval=0.001, maxval=50, title="bollinger StdDev")
basiss = ta.sma(src, lengthss)
dev = mult * ta.stdev(src, lengthss)
upper = basiss + dev
lower = basiss - dev
offset = input.int(0, "bollinger Offset", minval = -500, maxval = 500)
plot(use_bollinger_exits ? basiss : na, "Basis", color=#FF6D00, offset = offset)
p1 = plot(use_bollinger_exits ? upper : na, "Upper", color=#2962FF, offset = offset)
p2 = plot(use_bollinger_exits ? lower: na, "Lower", color=#2962FF, offset = offset)
long_bollinger_exits= close > upper
short_bollinger_exits=close < lower
long_atr_exits = close > upline
short_atr_exits = close < bottomline
takelong = (not use_atr_exits or long_atr_exits) and (not use_bollinger_exits or long_bollinger_exits)
takeshort = (not use_atr_exits or short_atr_exits) and (not use_bollinger_exits or short_bollinger_exits)
plotshape(use_atr_exits? takelong : na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)
plotshape(use_atr_exits ? takeshort : na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)
plotshape(use_bollinger_exits ? takelong: na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)
plotshape(use_bollinger_exits ? takeshort: na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)
alertcondition(long,'long','buy')
alertcondition(short,'short','short')
alertcondition(takeshort,'trail short close','short trailing take profit')
alertcondition(takelong ,'trail long close','long trailing take profit')
use_trailing_stop_loss=input.bool(title = 'use trailing stop loss (atr or bollinger)?', defval = true)
// Determine stop loss price
longStopPrice = strategy.position_avg_price * (1 - longLossPerc)
shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)
// Determine take profit price
longprofitPrice = strategy.position_avg_price * (1 + longprofitPerc)
shortprofitPrice = strategy.position_avg_price * (1 - shortprofitPerc)
// Plot stop loss values for confirmation
plot(series=strategy.position_size > 0 ? longStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Long Stop Loss')
plot(series=strategy.position_size < 0 ? shortStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Short Stop Loss')
plot(series=strategy.position_size > 0 ? longprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Long profit')
plot(series=strategy.position_size < 0 ? shortprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Short profit')
longCondition = long
if (longCondition)
strategy.entry("Long Entry", strategy.long)
shortCondition = short
if (shortCondition)
strategy.entry("Short Entry", strategy.short,stop = shortStopPrice)
if use_trailing_stop_loss
if takelong or close < longStopPrice
strategy.close("Long Entry")
if takeshort or close > shortStopPrice
strategy.close("Short Entry")
else
if close < longStopPrice or close > longprofitPrice
strategy.close("Long Entry")
if close < shortprofitPrice or close > shortStopPrice
strategy.close("Short Entry")