This strategy is based on the CCT Bollinger Band Oscillator (CCTBO) indicator developed by Steve Karnish. It identifies price reversals by detecting price breakouts of moving averages combined with a trailing stop mechanism.
The strategy uses high price as the source data to calculate the value of CCTBBO. The oscillator fluctuates between -200 and 200, where 0 represents the mean price minus 2 standard deviations and 100 is the mean price plus 2 standard deviations. Trading signals are generated when the oscillator crosses over or falls below its EMA line. Specifically, when the oscillator crosses above its EMA line and the distance between them is greater than the set margin value, a long position is opened. When the oscillator falls below its EMA line and the distance is less than the negative set margin value, a short position is opened. Position size is calculated according to the set percentage. In addition, the strategy uses a trailing stop loss based on percentage price change or number of tick movements to exit positions.
Risk Management:
The strategy can be optimized in the following aspects:
In summary, this is a quantitative trading strategy for identifying price reversals using the CCT Bollinger Band indicator. It has certain advantages but also room for improvement. By optimizing parameters, adding filters, using Feature engineering, introducing machine learning, etc, the stability and profitability of this strategy can be further enhanced.
/*backtest start: 2023-11-15 00:00:00 end: 2023-11-17 11:00:00 period: 45m basePeriod: 5m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=2 // This strategy is based on the CCT Bollinger Band Oscillator (CCTBO) // developed by Steve Karnish of Cedar Creek Trading and coded by LazyBear. // Indicator is available here https://www.tradingview.com/v/iA4XGCJW/ strategy("Strategy CCTBBO v2 | Fadior", shorttitle="Strategy CCTBBO v2", pyramiding=0, precision=2, calc_on_order_fills=false, initial_capital=1000, default_qty_type=strategy.percent_of_equity, currency="USD", default_qty_value=100, overlay=false) length_stddev=input(title="Stddev loopback period",defval=20) length_ema=input(title="EMA period", defval=2) margin=input(title="Margin", defval=0, type=float, step=0.1) price = input(title="Source", defval=high) digits= input(title="Number of digits",defval=2,step=1,minval=2,maxval=6) offset = input(title="Trailing offset (0.01 = 1%) :", defval=0.013, type=float, step=0.01) pips= input(title="Offset in ticks ?",defval=false,type=bool) src=request.security(syminfo.tickerid, "1440", price) cctbbo=100 * ( src + 2*stdev( src, length_stddev) - sma( src, length_stddev ) ) / ( 4 * stdev( src, length_stddev ) ) ul=hline(150, color=gray, editable=true) ll=hline(-50, color=gray) hline(50, color=gray) fill(ul,ll, color=green, transp=90) plot(style=line, series=cctbbo, color=blue, linewidth=2) plot(ema(cctbbo, length_ema), color=red) d = digits == 2 ? 100 : digits == 3 ? 1000 : digits == 4 ? 10000 : digits == 5 ? 100000 : digits == 6 ? 1000000 : na TS = 1 TO = pips ? offset : close*offset*d CQ = 100 TSP = TS TOP = (TO > 0) ? TO : na longCondition = crossover(cctbbo, ema(cctbbo, length_ema)) and cctbbo - ema(cctbbo, length_ema) > margin if (longCondition) strategy.entry("Long", strategy.long) strategy.exit("Close Long", "Long", qty_percent=CQ, trail_points=TSP, trail_offset=TOP) shortCondition = crossunder(cctbbo, ema(cctbbo, length_ema)) and cctbbo - ema(cctbbo, length_ema) < -margin if (shortCondition) strategy.entry("Short", strategy.short) strategy.exit("Close Short", "Short", qty_percent=CQ, trail_points=TSP, trail_offset=TOP)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6