Cross Timeframe SuperTrend Breakout Strategy

Author: ChaoZhang, Date: 2023-11-24 10:27:52
Tags:

Overview

The strategy incorporates the SuperTrend indicator across multiple timeframes and Bollinger Bands to identify trend direction and key support/resistance levels, and enters trades on breakouts during volatility. It is designed mainly for highly volatile commodity futures like gold, silver, crude oil etc.

Strategy Logic

Custom Pine Script function pine_supertrend() implemented to compute SuperTrend across different timeframes (e.g. 1 min and 5 min) and determine the direction of larger timeframe trend.

Bollinger Bands upper/lower bands act as channels. Breakouts signals trend directionality. Close above upper band signifies bullish breakout. Close below lower band signifies bearish breakdown.

Entry Signals:

Long: Close > Upper Band AND Close > SuperTrend (multiple TF) Short: Close < Lower Band AND Close < SuperTrend (multiple TF)

Exits:

Long Exit: Close < 5m SuperTrend Short Exit: Close > 5m SuperTrend

So it aims to capture resonance breakouts between SuperTrend and BB in volatile momentum.

Advantage Analysis

Uses SuperTrend across timeframes to determine high-conviction trend directionality
BB Bands act as key support/resistance levels to avoid false breakouts
SuperTrend acts as dynamic stop loss to control risk

Risk Analysis

SuperTrend can lag turning points and trend reversals
Suboptimal BB parameters may cause too many or few trades
Sharp overnight gaps or news events can hit stop loss

Risk Mitigations:

Add more indicators to confirm signals and avoid false breakouts
Optimize BB parameters for best balance
Widen stop loss buffer to accommodate gaps

Enhancement Opportunities

Test other trend indicators like KDJ MACD for additional signal confirmation
Add ML model for breakout probability
Parameter tuning for optimal parameter set

Conclusion

The strategy combines the power of SuperTrend and Bollinger Bands using cross timeframe analysis and channel breakouts for high-probability trading. It effectively controls risk and can generate good profits in volatile instruments. Further optimizations and indicator combinations can improve performance.

/*backtest
start: 2023-10-24 00:00:00
end: 2023-11-23 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/
// © ambreshc95

//@version=5
strategy("Comodity_SPL_Strategy_01", overlay=false)

// function of st
// [supertrend, direction] = ta.supertrend(3, 10)
// plot(direction < 0 ? supertrend : na, "Up direction", color = color.green, style=plot.style_linebr)
// plot(direction > 0 ? supertrend : na, "Down direction", color = color.red, style=plot.style_linebr)

// VWAP
// src_vwap = input(title = "Source", defval = hlc3, group="VWAP Settings")
// [_Vwap,stdv,_] = ta.vwap(src_vwap,false,1)
// plot(_Vwap, title="VWAP", color = color.rgb(0, 0, 0))



// The same on Pine Script®
pine_supertrend(factor, atrPeriod,len_ma) =>
    
    h= ta.sma(high,len_ma)
    l= ta.sma(low,len_ma)
    hlc_3 = (h+l)/2
    src = hlc_3
    atr = ta.atr(atrPeriod)
    upperBand = src + factor * atr
    lowerBand = src - factor * atr
    prevLowerBand = nz(lowerBand[1])
    prevUpperBand = nz(upperBand[1])

    lowerBand := lowerBand > prevLowerBand or close[1] < prevLowerBand ? lowerBand : prevLowerBand
    upperBand := upperBand < prevUpperBand or close[1] > prevUpperBand ? upperBand : prevUpperBand
    int direction = na
    float superTrend = na
    prevSuperTrend = superTrend[1]
    if na(atr[1])
        direction := 1
    else if prevSuperTrend == prevUpperBand
        direction := close > upperBand ? -1 : 1
    else
        direction := close < lowerBand ? 1 : -1
    superTrend := direction == -1 ? lowerBand : upperBand
    [superTrend, direction]
len_ma_given = input(75, title="MA_SMA_ST")
[Pine_Supertrend, pineDirection] = pine_supertrend(3, 10,len_ma_given)
// plot(pineDirection < 0 ? Pine_Supertrend : na, "Up direction", color = color.green, style=plot.style_linebr)
// plot(pineDirection > 0 ? Pine_Supertrend : na, "Down direction", color = color.red, style=plot.style_linebr)
// 
// Define Supertrend parameters
atrLength = input(10, title="ATR Length")
factor = input(3.0, title="Factor")

// // Calculate Supertrend
[supertrend, direction] = ta.supertrend(factor, atrLength)

st_color = supertrend > close ? color.red : color.green
// // Plot Supertrend
// plot(supertrend, "Supertrend", st_color)
// 

// BB Ploting
length = input.int(75, minval=1)
maType = input.string("SMA", "Basis MA Type", options = ["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])
src = input(close, title="Source")
mult = input.float(2.5, minval=0.001, maxval=50, title="StdDev")

ma(source, length, _type) =>
    switch _type
        "SMA" => ta.sma(source, length)
        "EMA" => ta.ema(source, length)
        "SMMA (RMA)" => ta.rma(source, length)
        "WMA" => ta.wma(source, length)
        "VWMA" => ta.vwma(source, length)

basis = ma(src, length, maType)
dev = mult * ta.stdev(src, length)
upper = basis + dev
lower = basis - dev
offset = input.int(0, "Offset", minval = -500, maxval = 500)
plot(basis, "Basis", color=#FF6D00, offset = offset)
p1 = plot(upper, "Upper", color=#2962FF, offset = offset)
p2 = plot(lower, "Lower", color=#2962FF, offset = offset)
fill(p1, p2, title = "Background", color=color.rgb(33, 150, 243, 95))





// h= ta.sma(high,60)
// l= ta.sma(low,60)
// c= sma(close,60)
// hlc_3 = (h+l)/2
// supertrend60 = request.security(syminfo.tickerid,  supertrend)

// // Define timeframes for signals
tf1 = input(title="Timeframe 1", defval="1")
tf2 = input(title="Timeframe 2",defval="5")
// tf3 = input(title="Timeframe 3",defval="30")


// // // Calculate Supertrend on multiple timeframes
supertrend_60 = request.security(syminfo.tickerid, tf1, Pine_Supertrend)
supertrend_5m = request.security(syminfo.tickerid, tf2, supertrend)
// supertrend3 = request.security(syminfo.tickerid, tf3, supertrend)

// // Plot Supertrend_60
st_color_60 = supertrend_60 > close ? color.rgb(210, 202, 202, 69) : color.rgb(203, 211, 203, 52)
plot(supertrend_60, "Supertrend_60", st_color_60)

// // Plot Supertrend_5m
st_color_5m = supertrend_5m > close ? color.red : color.green
plot(supertrend_5m, "Supertrend_5m", st_color_5m)



ma21 = ta.sma(close,21)
// rsi = ta.rsi(close,14)
// rsima = ta.sma(rsi,14)

// Define the Indian Standard Time (IST) offset from GMT
ist_offset = 5.5 // IST is GMT+5:30

// Define the start and end times of the trading session in IST
// start_time = timestamp("GMT", year, month, dayofmonth, 10, 0) + ist_offset * 60 * 60
// end_time = timestamp("GMT", year, month, dayofmonth, 14, 0) + ist_offset * 60 * 60
// Check if the current time is within the trading session
// in_trading_session = timenow >= start_time and timenow <= end_time

in_trading_session = not na(time(timeframe.period, "0945-1430"))
// bgcolor(inSession ? color.silver : na)
out_trading_session = not na(time(timeframe.period, "1515-1530"))
// // // Define buy and sell signals
buySignal = close>upper and close > supertrend_5m and close > supertrend_60 and close > ma21  and in_trading_session //close > supertrend and
sellSignal = close<lower and close < supertrend_5m and close < supertrend_60 and close < ma21  and in_trading_session //close < supertrend and

var bool long_position = false
var bool long_exit = false
var float long_entry_price = 0
var float short_entry_price = 0

if buySignal and not long_position
    // label.new(bar_index, na, yloc = yloc.belowbar, style = label.style_label_up, color = color.green, size = size.small)
    long_position := true
    strategy.entry("Buy",strategy.long)

long_exit := (close < supertrend_5m)
if long_position and long_exit
    // label.new(bar_index, na, yloc = yloc.belowbar, style = label.style_xcross, color = color.green, size = size.tiny)
    long_position := false
    strategy.exit("Exit","Buy",stop = close)

var bool short_position = false
var bool short_exit = false
if sellSignal and not short_position
    // label.new(bar_index, na, yloc = yloc.abovebar, style = label.style_label_down, color = color.red, size = size.small)
    short_position := true
    strategy.entry("Sell",strategy.short)

short_exit := (close > supertrend_5m)
if short_position and short_exit
    // label.new(bar_index, na, yloc = yloc.belowbar, style = label.style_xcross, color = color.red, size = size.tiny)
    short_position := false
    strategy.exit("Exit","Sell", stop = close)

if out_trading_session
    long_position := false
    strategy.exit("Exit","Buy",stop = close)
    short_position := false
    strategy.exit("Exit","Sell", stop = close)

// if long_position
//     long_entry_price := close[1] + 50//bar_index

// if short_position
//     short_entry_price := close[1] - 50//bar_index

// if (long_position and high[1] > long_entry_price)
//     label.new(bar_index, na, yloc = yloc.abovebar, style = label.style_triangledown, color = color.yellow, size = size.tiny)

// if (short_position and low[1] < short_entry_price)
//     label.new(bar_index, na, yloc = yloc.belowbar, style = label.style_triangleup, color = color.yellow, size = size.tiny)

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