Multi Trend Strategy

Author: ChaoZhang, Date: 2023-11-16 11:20:10
Tags:

Overview

This strategy combines multiple indicators to identify trend direction and uses a trend tracking approach to capture trend opportunities over medium to short term. The strategy is designed specifically for trend tracking to increase win rate and reduce drawdown.

Strategy Logic

Use WVAP to judge price level;
RSI to judge momentum;
QQE to identify price breakthrough;
ADX to determine trend strength;
Coral Trend Indicator to judge fundamental trend;
LSMA to assist in trend judgment;
Generate signals based on multiple indicator signals.

The strategy mainly relies on RSI, QQE, ADX and other indicators to determine trend direction and strength, using Coral Trend Indicator curve as the benchmark for fundamental trend. When RSI generates a buy signal and Coral Trend Indicator shows an upward curve, it indicates high probability of uptrend, and the strategy will go long. WVAP is used mainly to determine if price level is reasonable to avoid buying at highs.

Advantages

Combination of multiple indicators improves accuracy;
Emphasizes trend tracking to increase profitability;
Adopts breakout concept to screen for ranging markets;
Incorporates fundamental indicators to avoid counter-trend trades;
Reasonable trade time and position sizing controls risk;
Clear strategy logic, easy to understand and optimize.

The biggest edge of this strategy is the combined signals from multiple indicators, which reduces the probability of misjudgment from any single indicator and improves accuracy. The emphasis on trend tracking and breakout concept also helps screen for reliable medium-term opportunities. In addition, incorporating fundamental indicators prevents trading against major trends. These design choices improve the stability and profitability of the strategy.

Risks

Judgment delay due to multiple indicators, missing best entry price;
Inadequate drawdown control, large drawdown risk;
Potential missed signals when fundamental trend reverses;
Profit deterioration risk when trading costs are considered.

The biggest risk is judgment delay due to multiple indicators, causing missed best entry price and profit potential. Also, drawdown control is far from ideal, with considerable drawdown risk. When fundamental trend reverses while indicators have yet to reflect it, losses may occur. Trading costs in actual deployment may also undermine profits.

Improvement Directions

Incorporate stop loss for better drawdown control;
Optimize parameters to reduce indicator delay;
Add more fundamental indicators to improve accuracy;
Use machine learning for dynamic parameter optimization.

Priorities for optimization include better drawdown control via stop loss to lock in profits and reduce drawdown. Parameter tuning to reduce indicator delay and improve responsiveness is also important. More fundamental indicators could also help improve accuracy. Applying machine learning for dynamic parameter optimization would significantly enhance strategy stability.

Summary

This strategy combines multiple indicators to determine trend direction and uses a trend tracking approach in its design to improve accuracy and profitability. Its strengths include indicator combos, emphasis on trend tracking, and incorporation of fundamental factors. But issues like judgment delay, inadequate drawdown control remain. Future improvements could come from parameter optimization, stop loss integration, more fundamental indicators, and machine learning for dynamic optimization, to make the strategy more effective in practice.

/*backtest
start: 2023-11-08 00:00:00
end: 2023-11-15 00:00:00
period: 1m
basePeriod: 1m
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/
// © RolandoSantos

//@version=4
strategy(title = "VWAP Candles Strategy", overlay=true, shorttitle = "VWAP Cndl",  default_qty_type=strategy.cash, default_qty_value=10000, initial_capital=10000)

//Make inputs that set the take profit % 
longProfitPerc = input(title="Take Long Profit % ", minval=0.0, step=0.1, defval=0.3) / 100
shortProfitPerc = input(title="Take Short Profit % ", minval=0.0, step=0.1, defval=0.95) / 100

tp = input(100, "Take Profit % QTY (How much profit you want to take after take profit target is triggered)")

// Figure out take profit price
longExitPrice  = strategy.position_avg_price * (1 + longProfitPerc)
shortExitPrice  = strategy.position_avg_price * (1 - shortProfitPerc)

//Use NYSE for Copp Curve entries and exits//
security = input("", title="Change this if you want to see Copp Curve calculated for current ticker. All Copp Curve calculations are base on NYSE Composite")
ticker = security(security,"", close)

///Copp Curve////

period_ = input(21, title="Length", minval=1)
isCentered = input(false, title="Centered")
barsback = period_/2 + 1
ma = sma(close, period_)
dpo = isCentered ? close[barsback] - ma : close - ma[barsback]


instructions =input(title="Standard Copp settings are (10, 14, 11) however, DOUBLE these lengths as alternate settings to (20,28,22) and you will find it may produce better results, but less trades", defval="-")
wmaLength = input(title="WMA Length (Experiment changing this to longer lengths for less trades, but higher win %)", type=input.integer, defval=20)
longRoCLength = input(title="Long RoC Length", type=input.integer, defval=28)
shortRoCLength = input(title="Short RoC Length", type=input.integer, defval=22)
source = ticker
curve = wma(roc(source, longRoCLength) + roc(source, shortRoCLength), wmaLength)

//////////// QQE////////////QQE///////////////////QQE////////////////////////

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © KivancOzbilgic

//@version=4
src=input(close)
length = input(25,"RSI Length", minval=1)
SSF=input(9, "SF RSI SMoothing Factor", minval=1)
showsignals = input(title="Show Crossing Signals?", type=input.bool, defval=true)
highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true)
RSII=ema(rsi(src,length),SSF)
TR=abs(RSII-RSII[1])
wwalpha = 1/ length
WWMA = 0.0
WWMA := wwalpha*TR + (1-wwalpha)*nz(WWMA[1])
ATRRSI=0.0
ATRRSI := wwalpha*WWMA + (1-wwalpha)*nz(ATRRSI[1])
QQEF=ema(rsi(src,length),SSF)
QUP=QQEF+ATRRSI*4.236
QDN=QQEF-ATRRSI*4.236
QQES=0.0
QQES:=QUP<nz(QQES[1]) ? QUP : QQEF>nz(QQES[1]) and QQEF[1]<nz(QQES[1]) ? QDN :  QDN>nz(QQES[1]) ? QDN : QQEF<nz(QQES[1]) and QQEF[1]>nz(QQES[1]) ? QUP : nz(QQES[1])
//QQF=plot(QQEF,"FAST",color.maroon,2)
//QQS=plot(QQES,"SLOW",color=color.blue, linewidth=1)
buySignalr = crossover(QQEF, QQES)
sellSignalr = crossunder(QQEF, QQES)
buyr = QQEF > QQES


////QQE////////////////QQE/////////////////QQE/////////////////

//////////////LSMA//////////////////////////


//  LSMA 1 Settings & Plot
lsma1Length = input(100, minval=1, title="LSMA 1")
lsma1Offset = input(title="LSMA 1 Offset", type=input.integer, defval=0)
lsma1Source = input(close, title="LSMA 1 Source")
lsma1 = linreg(lsma1Source, lsma1Length, lsma1Offset)
lsma1_std_dev = stdev(abs(lsma1[1] - lsma1), lsma1Length)
//plot(lsma1, color=(lsma1 > lsma1[1] ? color.yellow : color.blue), title="LSMA 1", linewidth=2, transp=0)

////////////LSMA///////////////////


//////////////////ADX////////////////////

len = input(14)
th = input(20)

TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1])))
DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0
DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0

SmoothedTrueRange = 0.0
SmoothedTrueRange := nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/len) + TrueRange

SmoothedDirectionalMovementPlus = 0.0
SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/len) + DirectionalMovementPlus

SmoothedDirectionalMovementMinus = 0.0
SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/len) + DirectionalMovementMinus

DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
DX = abs(DIPlus-DIMinus) / (DIPlus+DIMinus)*100
ADX = sma(DX, len)

///////////////////ADX/////////////////////


/////////////sqz momentum/////////////////////////

//
// @author LazyBear & ChrisMoody complied by GIS_ABC
//
lengthBB = input(20, title="BB Length")
mult = input(2.0,title="BB MultFactor")
lengthKC=input(20, title="KC Length")
multKC = input(1.5, title="KC MultFactor")

useTrueRange = input(true, title="Use TrueRange (KC)")

// Calculate BB
sourceBB = close
basis = sma(sourceBB, lengthBB)
dev = multKC * stdev(source, lengthBB)
upperBB = basis + dev
lowerBB = basis - dev

// Calculate KC
maKC = sma(sourceBB, lengthKC)
rangeKC = useTrueRange ? tr : (high - low)
rangema = sma(rangeKC, lengthKC)
upperKC = maKC + rangema * multKC
lowerKC = maKC - rangema * multKC

sqzOn  = (lowerBB > lowerKC) and (upperBB < upperKC)
sqzOff = (lowerBB < lowerKC) and (upperBB > upperKC)
noSqz  = (sqzOn == false) and (sqzOff == false)

val = linreg(source  -  avg(avg(highest(high, lengthKC), lowest(low, lengthKC)),sma(close,lengthKC)),lengthKC,0)


////////////////////////////

/////// RSI on EMA/////////////////

lenrsi = input(13, minval=1, title="Length")
srcrsi = linreg(hlc3,100,0)
up = rma(max(change(srcrsi), 0), lenrsi)
down = rma(-min(change(srcrsi), 0), lenrsi)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
rsicolor = rsi > rsi[1] ? color.green : color.red
//plot(rsi,color = rsicolor)
//hline(20,color=color.green)
//hline(80,color=color.red)
vwaprsi = rsi(vwap(hlc3),13)
vwaprsicolor = vwaprsi > vwaprsi[1] ? color.blue : color.yellow
emarsi = ema(rsi,13)
emarsicolor = emarsi > emarsi[1] ? color.green : color.red
//plot(emarsi,color=emarsicolor)
//plot(vwaprsi,color=vwaprsicolor)

/////// RSI on VWMA/////////////////

lenrsiv = input(23, minval=1, title="Length RSI VWMA")
srcrsiv = vwma(linreg(close,23,0),23)
upv = rma(max(change(srcrsiv), 0), lenrsiv)
downv = rma(-min(change(srcrsiv), 0), lenrsiv)
rsiv = downv == 0 ? 100 : upv == 0 ? 0 : 100 - (100 / (1 + upv / downv))
rsicolorv = rsiv > rsiv[1] ? color.green : color.red

/////////////////////////////////////

/////////////////////////////////////

////////////////coral trend////////////////////
//
// @author LazyBear 
// List of all my indicators: 
// https://docs.google.com/document/d/15AGCufJZ8CIUvwFJ9W-IKns88gkWOKBCvByMEvm5MLo/edit?usp=sharing
// 
//study(title="Coral Trend Indicator [LazyBear]", shorttitle="CTI_LB", overlay=true)
srcCT=close
i1 = 1.0
i2 = 1.0
i3 = 1.0
i4 = 1.0
i5 = 1.0
i6 = 1.0

sm =input(21, title="Smoothing Period")
cd = input(0.4, title="Constant D")
ebc=input(false, title="Color Bars")
ribm=input(false, title="Ribbon Mode")
di = (sm - 1.0) / 2.0 + 1.0
c1 = 2 / (di + 1.0)
c2 = 1 - c1
c3 = 3.0 * (cd * cd + cd * cd * cd)
c4 = -3.0 * (2.0 * cd * cd + cd + cd * cd * cd)
c5 = 3.0 * cd + 1.0 + cd * cd * cd + 3.0 * cd * cd
i1 := c1*srcCT + c2*nz(i1[1])
i2 := c1*i1 + c2*nz(i2[1])
i3 := c1*i2 + c2*nz(i3[1])
i4 := c1*i3 + c2*nz(i4[1])
i5 := c1*i4 + c2*nz(i5[1])
i6 := c1*i5 + c2*nz(i6[1])

bfr = -cd*cd*cd*i6 + c3*(i5) + c4*(i4) + c5*(i3)
// --------------------------------------------------------------------------
// For the Pinescript coders: Determining trend based on the mintick step. 
// --------------------------------------------------------------------------
//bfrC = bfr - nz(bfr[1]) > syminfo.mintick ? green : bfr - nz(bfr[1]) < syminfo.mintick ? red : blue
//bfrC = bfr > nz(bfr[1]) ? green : bfr < nz(bfr[1])  ? red : blue
//tc=ebc?gray:bfrC
//plot(ribm?na:bfr, title="Trend", linewidth=3)
//bgcolor(ribm?bfrC:na, transp=50)
//barcolor(ebc?bfrC:na)
////////////////////////////////////////////////////////////////

///////////////////VWAP///////////////////



//------------------------------------------------

//------------------------------------------------
NormalVwap=vwap(hlc3)
H = vwap(high)
L = vwap(low)
O = vwap(open)
C = vwap(close)

left = 30

left_low = lowest(left)
left_high = highest(left)
newlow = low <= left_low
newhigh = high >= left_high

q = barssince(newlow)
w = barssince(newhigh)
col2 = q < w ?  #8B3A3A : #9CBA7F
col2b=O > C?color.red:color.lime


AVGHL=avg(H,L)
AVGOC=avg(O,C)
col=AVGHL>AVGOC?color.lime:color.red
col3=open > AVGOC?color.lime:color.red
//plotcandle(O,H,L,C,color=col2b)
//plot(H, title="VWAP", color=red)
//plot(L, title="VWAP", color=lime)
//plot(O, title="VWAP", color=blue)
//plot(C, title="VWAP", color=black)

//plot(NormalVwap, color=col2b)


/////////////////////////////////////////////////////////////////////////////


///Trade Conditions///
t = time(timeframe.period, "0930-1500")

long = vwaprsi > vwaprsi[1] and rsi>rsi[1] and vwaprsi < 20 //vwaprsi > 98 and rsi > 50 and rsi[1] < rsi and rsi[1] < rsi[2] //crossover(rsi,20)//O<C  and O > linreg(hlc3,100,0) and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C  and close > vwap(hlc3) and ADX > ADX[1]  //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3)  and t  //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]  
close_long = crossover(vwaprsi,99.8)  //C < O // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3) 
close_short = rsiv > rsiv[1] and rsiv[2] > rsiv[1]//vwaprsi > vwaprsi[1] or rsi > rsi[1] // vwaprsi > 99 and rsi > 99 and rsi > rsi[1] and vwaprsi > vwaprsi[1]//vwaprsi > vwaprsi[1] and rsi>rsi[1] and vwaprsi < 20 //vwaprsi > 98 and rsi > 50 and rsi[1] < rsi and rsi[1] < rsi[2] //crossover(rsi,20)//O<C  and O > linreg(hlc3,100,0) and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C  and close > vwap(hlc3) and ADX > ADX[1]  //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3)  and t  //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]  
short = rsiv > 95 and rsiv < rsiv[1] and rsiv[2] < rsiv[1] //vwaprsi < 1 and rsi < 1 and rsi < rsi[1] and vwaprsi < vwaprsi[1] and t //crossover(vwaprsi,99.8)  //C < O // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3) 

//long = vwaprsi > vwaprsi[1] and emarsi > emarsi[1] and emarsi[2] > emarsi[1] and ADX > 25//O<C  and O > linreg(hlc3,100,0) and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C  and close > vwap(hlc3) and ADX > ADX[1]  //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3)  and t  //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]  
//close_long = vwaprsi < vwaprsi[1] or emarsi < emarsi[1]//C < O // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3) 
//close_long = O>C  or lsma1 < H  //  or O > linreg(hlc3,100,0) //and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C  and close > vwap(hlc3) and ADX > ADX[1]  //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3)  and t  //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]  
//long = rsi > rsi[1] and rsi[1] >rsi[2] and lsma1 > lsma1[1] and bfr > bfr[1] and O<C and lsma1 > L  and close > close[1] and ADX > ADX[1] and ADX[1] > ADX[2] and ADX > 20 and rsi > rsi[1] and t   // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3) 

//close_short = O<C  or lsma1 > H  //  or O > linreg(hlc3,100,0) //and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C  and close > vwap(hlc3) and ADX > ADX[1]  //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3)  and t  //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]  
//short = rsi < rsi[1] and rsi[1] <rsi[2] and lsma1 < lsma1[1] and bfr < bfr[1] and O>C and lsma1 < L  and close < close[1] and ADX > ADX[1] and ADX[1] > ADX[2] and ADX > 20 and rsi < rsi[1] and t   // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3) 


/// Start date
startDate = input(title="Start Date", defval=1, minval=1, maxval=31)
startMonth = input(title="Start Month", defval=1, minval=1, maxval=12)
startYear = input(title="Start Year", defval=2021, minval=1800, maxval=2100)


// See if this bar's time happened on/after start date
afterStartDate = true


///Entries and Exits//
if (long and afterStartDate)
    strategy.entry("Long", strategy.long, comment = "Open Long")
//    strategy.close("Short", strategy.short,qty_percent=100, comment = "close Short")
if (short and afterStartDate)
    strategy.entry("Short", strategy.short, comment = "Open Short")
    
    
if (close_long and afterStartDate  )
    strategy.close("Long", strategy.long, qty_percent=100, comment="close Long")
//    strategy.entry("Short", strategy.short, comment="Open Short")

if (close_short and afterStartDate  )
    strategy.close("Short", strategy.short, qty_percent=100, comment="close Long")

if ( hour(time) == 15 and minute(time) > 15 ) 
    strategy.close_all()


//Submit exit orders based on take profit price
if (strategy.position_size > 0 and afterStartDate)
    strategy.exit(id="Long", qty_percent=tp, limit=longExitPrice)

if (strategy.position_size < 0 and afterStartDate)
    strategy.exit(id="Short", qty_percent=tp, limit=shortExitPrice)

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