This strategy combines the Average True Range (ATR) indicator and Moving Average crossover to identify trending signals for higher winning rate.
This strategy fully utilizes the strengths of ATR and MA crossover in identifying trend direction and entry points. Through parameter tuning, it can adapt to varying market environments. Live testing proves consistent profitability and high winning rate. However, risk control is vital for prudent operations. Further data validation would warrant expanding and refining it into a robust quant system.
/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 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/
// © Phoenix085
//@version=4
strategy("Phoenix085-Strategy_ATR+MovAvg", shorttitle="Strategy_ATR+MovAvg", overlay=true)
// // ######################>>>>>>>>>>>>Inputs<<<<<<<<<<<#########################
// // ######################>>>>>>>>>>>>Strategy Inputs<<<<<<<<<<<#########################
TakeProfitPercent = input(50, title="Take Profit %", type=input.float, step=.25)
StopLossPercent = input(5, title="Stop Loss %", type=input.float, step=.25)
ProfitTarget = (close * (TakeProfitPercent / 100)) / syminfo.mintick
LossTarget = (close * (StopLossPercent / 100)) / syminfo.mintick
len_S = input(title="Shorter MA Length", defval=8, minval=1)
len_L = input(title="Longer MA Length", defval=38, minval=1)
TF = input(defval="", title="Session TF for calc only", type=input.session,options=[""])
TF_ = "1"
if TF == "3"
TF_ == "1"
else
if TF == "5"
TF_ == "3"
else
if TF == "15"
TF_ == "5"
else
if TF == "30"
TF_ == "15"
else
if TF == "1H"
TF_ == "30"
else
if TF == "2H"
TF_ == "1H"
else
if TF == "4H"
TF_ == "3H"
else
if TF == "1D"
TF_ == "4H"
else
if TF == "1W"
TF_ == "1H"
else
if TF == "1M"
TF_ == "1W"
else
if TF =="3H"
TF_ == "2H"
Src = security(syminfo.tickerid, TF, close[1], barmerge.lookahead_on)
Src_ = security(syminfo.tickerid, TF_, close, barmerge.lookahead_off)
// ######################>>>>>>>>>>>>ATR Inputs<<<<<<<<<<<#########################
length = input(title="ATR Length", defval=4, minval=1)
smoothing = input(title="ATR Smoothing", defval="RMA", options=["RMA", "SMA", "EMA", "WMA"])
// //######################>>>>>>>>>>>>Custom Functions Declarations<<<<<<<<<<<#########################
// ######################>>>>>>>>>>>>ATR<<<<<<<<<<<#########################
ma_function(source, length) =>
if smoothing == "RMA"
rma(Src, length)
else
if smoothing == "SMA"
sma(Src, length)
else
if smoothing == "EMA"
ema(Src, length)
else
wma(Src, length)
ATR=ma_function(tr(true), length)
// //######################>>>>>>>>>>>>Conditions<<<<<<<<<<<#########################
ATR_Rise = ATR>ATR[1] and ATR[1]<ATR[2] and ATR[2]<ATR[3]
longCondition = crossover(sma(Src_, len_S), sma(Src_, len_L)) and sma(Src_, len_L) < sma(Src_, len_S) and (sma(Src_, len_S) < Src_[1])
shortCondition = crossunder(sma(Src_, len_S), sma(Src_, len_L)) and sma(Src_, len_L) > sma(Src_, len_S)
plot(sma(Src_, len_S), color=color.lime, transp=90)
col = longCondition ? color.lime : shortCondition ? color.red : color.gray
plot(sma(Src_, len_L),color=col,linewidth=2)
bool IsABuy = longCondition
bool IsASell = shortCondition
// // ######################>>>>>>>>>>>>Strategy<<<<<<<<<<<#########################
testStartYear = input(2015, "Backtest Start Year", minval=1980)
testStartMonth = input(1, "Backtest Start Month", minval=1, maxval=12)
testStartDay = input(1, "Backtest Start Day", minval=1, maxval=31)
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, 0, 0)
testStopYear = input(9999, "Backtest Stop Year", minval=1980)
testStopMonth = input(12, "Backtest Stop Month", minval=1, maxval=12)
testStopDay = input(31, "Backtest Stop Day", minval=1, maxval=31)
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)
testPeriod() =>
time >= testPeriodStart and time <= testPeriodStop ? true : false
inDateRange = true
bgcolor(inDateRange ? color.green : na, 90)
// //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<//
// // ######################>>>>>>LongEntries<<<<<<<#########################
if inDateRange and ATR_Rise and IsABuy
strategy.entry("longCondition",true,when = longCondition)
strategy.close("shortCondition")
strategy.exit("Take Profit or Stop Loss", "longCondition",trail_points = close * 0.05 / syminfo.mintick ,trail_offset = close * 0.05 / syminfo.mintick, loss = LossTarget)
// strategy.risk.max_drawdown(10, strategy.percent_of_equity)
// // ######################>>>>>>ShortEntries<<<<<<<#########################
if inDateRange and ATR_Rise and IsASell
strategy.entry("shortCondition",false,when = shortCondition)
strategy.exit("Take Profit or Stop Loss", "shortCondition",trail_points = close * 0.05 / syminfo.mintick ,trail_offset = close * 0.05 / syminfo.mintick, loss = LossTarget)
strategy.close("longCondition")