This strategy uses the Average True Range (ATR) indicator to determine the trend direction. It goes long when the trend goes up and goes short when the trend goes down. It belongs to the trend following strategy type.
The strategy first calculates the simple moving average (sma) and exponential moving average (ema) of the price. Then it calculates the ATR indicator, which is the average range of price movement over the past N days.
The strategy uses the ema average line, upper band (ema + ATR * coefficient) and lower band (ema - ATR * coefficient) to determine the trend direction. It goes long when the price breaks above the upper band, and goes short when the price breaks below the lower band.
Main logic in the code:
By dynamically adjusting positions based on ATR, it can effectively follow trend directions.
Solutions:
The ATR trend following strategy has clear logic to determine trend direction using ATR. It is a typical trend following system. The advantages are simplicity and ability to follow trends. But it also has risks that require optimizations for different markets. Overall, it has great potential and value as a quantitative trading tool.
/*backtest start: 2023-08-28 00:00:00 end: 2023-09-27 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/ // © Investoz //@version=4 strategy("ATR Strategy FOREX", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100) len = input(26, type=input.integer, minval=1, title="Length") mul = input(2.618, type=input.float, minval=0, title="Length") mullow = input(2.386, type=input.float, minval=0, title="Length") price = sma(close, 1) average = ema(close, len) diff = atr(len) * mul difflow = atr(len) * mullow bull_level = average + diff bear_level = average - difflow bull_cross = crossunder(price, bear_level) bear_cross = crossunder(bull_level, price) FromMonth = input(defval = 8, title = "From Month", minval = 1, maxval = 12) FromDay = input(defval = 18, title = "From Day", minval = 1, maxval = 31) FromYear = input(defval = 2008, title = "From Year", minval = 2008) ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12) ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31) ToYear = input(defval = 2020, title = "To Year", minval = 2019) start = timestamp(FromYear, FromMonth, FromDay, 00, 00) finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) startTimeOk() => true if (startTimeOk()) and ema(close,1) > ema(close,528) strategy.entry("KOP", strategy.long, when=bull_cross) strategy.close("KOP", when=bear_cross) if (startTimeOk()) and ema(close,1) < ema(close,528) strategy.entry("SALJ", strategy.short, when=bear_cross) strategy.close("SALJ", when=bull_cross) plot(price, title="price", color=color.black, transp=50, linewidth=2) a0 = plot(average, title="average", color=color.red, transp=50, linewidth=1) a1 = plot(bull_level, title="bull", color=color.green, transp=50, linewidth=1) a2 = plot(bear_level, title="bear", color=color.red, transp=50, linewidth=1) fill(a0, a1, color=color.green, transp=97) fill(a0, a2, color=color.red, transp=97)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6