The Positive Bars Percentage Breakout Strategy is a quantitative trading strategy based on price action judgments. It calculates the percentage of uptrend candles in a specified period to determine whether the market is currently in an uptrend state. When the percentage of uptrend candles is higher than the user-defined upper limit, the strategy judges that the market is currently in an uptrend and goes long. When the percentage is lower than the user-defined lower limit, the strategy judges that the market is currently in a downtrend and goes short.
The core indicator of this strategy is the percentage of uptrend candles. An uptrend candle opens below the previous low and closes above the open, indicating the price rose during that period. The strategy counts the number of uptrend candles in the user-defined lookback period and calculates the percentage of uptrend candles among all candles. When the percentage is higher than the upper limit, the strategy judges the market is in a persistent uptrend and goes long. When the percentage is lower than the lower limit, the strategy judges the market is in a downtrend and goes short. The stop loss and take profit orders are set according to the stop loss method defined by the user.
For example, if the user sets the lookback period to 20, upper limit to 70, lower limit to 30, the strategy traces back the latest 20 candles. If 16 of them are uptrend candles, the percentage would be 16/20=80%. Since 80% is higher than the 70% upper limit, the strategy will execute a long order. If among the latest 20 candles, only 5 are uptrend candles, then the percentage would be 5/20=25%. This is lower than the 30% lower limit, the strategy will execute a short order.
The main advantages of this strategy are:
The main risks of this strategy are:
The risks can be reduced by:
The main directions to optimize this strategy include:
The Positive Bars Percentage Breakout Strategy has a simple and straightforward logic to capture trends by statistically judging persistence of uptrends/downtrends. It is easy to understand and user-friendly, suitable for beginner quants. But its reliance on a single indicator and parameter optimization requires further improvements on risk control for stable profitability across different markets.
/*backtest start: 2023-12-31 00:00:00 end: 2024-01-04 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/ // © ZenAndTheArtOfTrading // © TweakerID // Based on the calculations by ZenAndTheArtOfTrading, I added stop loss, take profit and reverse line codes. // The Positive Bars % calculates the number of green (positive) bars, relative to a lookback period, defined // by the user. If the percentage is low, it means that there was a bigger number of red candles in the // lookback period. The strategy goes long when the percentage is high and short when it's low, although // this logic can be reversed with positive results on different time frames. //@version=4 strategy("Positive Bars % Strat", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=10000, commission_value=0.04, calc_on_every_tick=false, slippage=0) direction = input(0, title = "Strategy Direction", type=input.integer, minval=-1, maxval=1) strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long)) /////////////////////// STRATEGY INPUTS //////////////////////////////////////// title1=input(true, "-----------------Strategy Inputs-------------------") lookback = input(title="Lookback", type=input.integer, defval=13) upperLimit = input(title="Upper Limit", type=input.integer, defval=70) lowerLimit = input(title="Lower Limit", type=input.integer, defval=30) /////////////////////// BACKTESTER ///////////////////////////////////////////// title2=input(true, "-----------------General Inputs-------------------") // Backtester General Inputs i_SL=input(true, title="Use Stop Loss and Take Profit") i_SLType=input(defval="ATR Stop", title="Type Of Stop", options=["Strategy Stop", "Swing Lo/Hi", "ATR Stop"]) i_SPL=input(defval=10, title="Swing Point Lookback") i_PercIncrement=input(defval=2, step=.1, title="Swing Point SL Perc Increment")*0.01 i_ATR = input(14, title="ATR Length") i_ATRMult = input(10, step=.1, title="ATR Multiple") i_TPRRR = input(1.6, step=.1, title="Take Profit Risk Reward Ratio") // Bought and Sold Boolean Signal bought = strategy.position_size > strategy.position_size[1] or strategy.position_size < strategy.position_size[1] // Price Action Stop and Take Profit LL=(lowest(i_SPL))*(1-i_PercIncrement) HH=(highest(i_SPL))*(1+i_PercIncrement) LL_price = valuewhen(bought, LL, 0) HH_price = valuewhen(bought, HH, 0) entry_LL_price = strategy.position_size > 0 ? LL_price : na entry_HH_price = strategy.position_size < 0 ? HH_price : na tp=strategy.position_avg_price + (strategy.position_avg_price - entry_LL_price)*i_TPRRR stp=strategy.position_avg_price - (entry_HH_price - strategy.position_avg_price)*i_TPRRR // ATR Stop ATR=atr(i_ATR)*i_ATRMult ATRLong = ohlc4 - ATR ATRShort = ohlc4 + ATR ATRLongStop = valuewhen(bought, ATRLong, 0) ATRShortStop = valuewhen(bought, ATRShort, 0) LongSL_ATR_price = strategy.position_size > 0 ? ATRLongStop : na ShortSL_ATR_price = strategy.position_size < 0 ? ATRShortStop : na ATRtp=strategy.position_avg_price + (strategy.position_avg_price - LongSL_ATR_price)*i_TPRRR ATRstp=strategy.position_avg_price - (ShortSL_ATR_price - strategy.position_avg_price)*i_TPRRR // Strategy Stop float LongStop = na float ShortStop = na float StratTP = na float StratSTP = na /////////////////////// STRATEGY LOGIC ///////////////////////////////////////// //Calculations positiveBars = 0 for i = (lookback - 1) to 0 if close[i] > open[i] positiveBars := positiveBars + 1 positiveBarsPercent = (positiveBars / lookback) * 100 BUY=positiveBarsPercent >= upperLimit SELL=positiveBarsPercent <= lowerLimit //Trading Inputs DPR=input(true, "Allow Direct Position Reverse") reverse=input(false, "Reverse Trades") // Entries if reverse if not DPR strategy.entry("long", strategy.long, when=SELL and strategy.position_size == 0) strategy.entry("short", strategy.short, when=BUY and strategy.position_size == 0) else strategy.entry("long", strategy.long, when=SELL) strategy.entry("short", strategy.short, when=BUY) else if not DPR strategy.entry("long", strategy.long, when=BUY and strategy.position_size == 0) strategy.entry("short", strategy.short, when=SELL and strategy.position_size == 0) else strategy.entry("long", strategy.long, when=BUY) strategy.entry("short", strategy.short, when=SELL) SL= i_SLType == "Swing Lo/Hi" ? entry_LL_price : i_SLType == "ATR Stop" ? LongSL_ATR_price : LongStop SSL= i_SLType == "Swing Lo/Hi" ? entry_HH_price : i_SLType == "ATR Stop" ? ShortSL_ATR_price : ShortStop TP= i_SLType == "Swing Lo/Hi" ? tp : i_SLType == "ATR Stop" ? ATRtp : StratTP STP= i_SLType == "Swing Lo/Hi" ? stp : i_SLType == "ATR Stop" ? ATRstp : StratSTP strategy.exit("TP & SL", "long", limit=TP, stop=SL, when=i_SL) strategy.exit("TP & SL", "short", limit=STP, stop=SSL, when=i_SL) /////////////////////// PLOTS ////////////////////////////////////////////////// plot(i_SL and strategy.position_size > 0 ? SL : na , title='SL', style=plot.style_cross, color=color.red) plot(i_SL and strategy.position_size < 0 ? SSL : na , title='SSL', style=plot.style_cross, color=color.red) plot(i_SL and strategy.position_size > 0 ? TP : na, title='TP', style=plot.style_cross, color=color.green) plot(i_SL and strategy.position_size < 0 ? STP : na, title='STP', style=plot.style_cross, color=color.green) // Draw price action setup arrows plotshape(BUY ? 1 : na, style=shape.triangleup, location=location.belowbar, color=color.green, title="Bullish Setup", size=size.auto) plotshape(SELL ? 1 : na, style=shape.triangledown, location=location.abovebar, color=color.red, title="Bearish Setup", size=size.auto)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6