This strategy uses double Bollinger Bands to identify consolidation zones and breakout signals to implement low-buy-high-sell trading strategy. When price breaks through the neutral zone, it signals the start of a new trend and time to enter long position. When price breaks back below the neutral zone, it signals the end of the trend and time to close position.
The strategy employs two Bollinger Bands. The inner BB has upper/lower bands of 20SMA ± 1 standard deviation. The outer BB has upper/lower bands of 20SMA ± 2 standard deviations. The area between the two BBs is defined as the neutral zone.
When price stays inside the neutral zone for two consecutive candles, it is considered consolidation. When price closes above the upper band of the inner BB after two consecutive neutral zone candles, a long signal is generated.
After entering long, stop loss is set at lowest price - 2xATR to lock in profit and control risk. Position is closed when price breaks back below the upper band of the inner BB.
This strategy combines indicators and trend to identify consolidation zones and determine trend start, allowing low-buy-high-sell trading with large profit potential. The stop loss strategy locks in profit and enhances stability.
The strategy relies on breakout signals which can turn out to be false breakouts, resulting in losing trades. Also, stops being too tight may risk premature liquidation.
Solutions include optimizing BB parameters, adding filters to reduce false signals, and allowing wider stops.
This strategy integrates double BBs and trend strategies for low-buy-high-sell trading with large profit potential. The stop loss strategy also enhances stability. Further optimizations can improve strategy performance for live trading.
/*backtest start: 2022-12-06 00:00:00 end: 2023-12-12 00:00:00 period: 1d basePeriod: 1h 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/ // © DojiEmoji //@version=4 strategy("[KL] Double BB Strategy",overlay=true,pyramiding=1) ENUM_LONG = "LONG" // Timeframe { backtest_timeframe_start = input(defval = timestamp("01 Apr 2020 13:30 +0000"), title = "Backtest Start Time", type = input.time) USE_ENDTIME = input(false,title="Define backtest end-time (If false, will test up to most recent candle)") backtest_timeframe_end = input(defval = timestamp("19 Apr 2021 19:30 +0000"), title = "Backtest End Time (if checked above)", type = input.time) within_timeframe = true // } // Bollinger bands BOLL_length = 20, BOLL_src = close, SMA20 = sma(BOLL_src, BOLL_length) BOLL_sDEV = stdev(BOLL_src, BOLL_length) BOLL_upper1 = SMA20 + BOLL_sDEV, BOLL_lower1 = SMA20 - BOLL_sDEV BOLL_upper2 = SMA20 + BOLL_sDEV*2, BOLL_lower2 = SMA20 - BOLL_sDEV*2 SMA_20_plot = plot(SMA20, "Basis", color=#872323, offset = 0) BOLL_upper1_plot = plot(BOLL_upper1, "BOLL Upper1", color=color.navy, offset = 0, transp=50) BOLL_lower1_plot = plot(BOLL_lower1, "BOLL Lower1", color=color.navy, offset = 0, transp=50) BOLL_upper2_plot = plot(BOLL_upper2, "BOLL Upper2", color=color.navy, offset = 0, transp=50) BOLL_lower2_plot = plot(BOLL_lower2, "BOLL Lower2", color=color.navy, offset = 0, transp=50) fill(BOLL_upper2_plot, BOLL_upper1_plot, title = "Background", color=#198787, transp=85) fill(BOLL_upper1_plot, SMA_20_plot, title = "Background", color=#198787, transp=75) fill(SMA_20_plot, BOLL_lower1_plot, title = "Background", color=#198787, transp=75) fill(BOLL_lower1_plot, BOLL_lower2_plot, title = "Background", color=#198787, transp=85) // Trailing stop loss { ATR_X2_TSL = atr(input(14,title="Length of ATR for trailing stop loss")) * input(2.0,title="ATR Multiplier for trailing stop loss",type=input.float) TSL_source = low var stop_loss_price = float(0) TSL_line_color = color.green, TSL_transp = 100 if strategy.position_size == 0 or not within_timeframe TSL_line_color := color.black stop_loss_price := TSL_source - ATR_X2_TSL else if strategy.position_size > 0 stop_loss_price := max(stop_loss_price, TSL_source - ATR_X2_TSL) TSL_transp := 0 plot(stop_loss_price, color=color.new(TSL_line_color, TSL_transp)) // } // Signals for entry is_neutral = close < BOLL_upper1 and close > BOLL_lower2 is_consol = is_neutral and is_neutral[2] entry_signal = is_consol[1] and close > BOLL_upper1 // MAIN: if within_timeframe // EXIT :::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: exit_msg = close <= strategy.position_avg_price ? "stop loss" : "take profit" end_of_rally = close < BOLL_upper1 and strategy.position_avg_price > stop_loss_price // also detects false breakouts if strategy.position_size > 0 and (TSL_source <= stop_loss_price or end_of_rally) strategy.close(ENUM_LONG, comment=exit_msg) // ENTRY ::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: if (strategy.position_size == 0 or (strategy.position_size > 0 and close > stop_loss_price)) and entry_signal entry_msg = strategy.position_size > 0 ? "adding" : "initial" strategy.entry(ENUM_LONG, strategy.long, comment=entry_msg) // CLEAN UP: if strategy.position_size == 0 stop_loss_price := float(0)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6