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Best Supertrend CCI Multi Timeframe Trading Strategy

Author: ChaoZhang, Date: 2024-01-18 15:09:33
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Overview

This strategy integrates the Supertrend indicator and the Commodity Channel Index (CCI) to realize a multi timeframe trend tracking and trade signal generation. The main idea is to use the CCI indicator to judge short-term trend direction while combining the Supertrend indicator to determine medium-to-long term trend direction. Trading signals are generated when the short-term and medium-to-long term trends align.

Strategy Logic

CCI Indicator for Short-term Trend

The CCI indicator can identify overbought and oversold scenarios. An upward crossover of the 0 line is a bullish signal while a downward one is a bearish signal. This strategy utilizes this feature to determine short-term trend direction.

cci_period = input(28, "CCI Period")
cci = cci(source, cci_period)  
ML = input(0, "CCI Mid Line pivot")

The above code defines the CCI period and mid line position.

TrendUp := cci[1] > ML ? max(Up,TrendUp[1]) : Up
TrendDown := cci[1]< ML ? min(Dn,TrendDown[1]) : Dn

This code checks if cci crosses above/below the 0 line to update Supertrend’s upper/lower band.

Supertrend for Medium-to-long Term Trend

The Supertrend indicator combines ATR with price to determine mid-to-long term trends. An upward penetration of the upper band signals an uptrend while a downward one signals downtrend.

Supertrend is calculated as:

Up=hl2-(Factor*atr(Pd))
Dn=hl2+(Factor*atr(Pd))

Where Factor and Pd are adjustable parameters.

The Trend variable determines current Supertrend direction:

Trend := cci > ML ? 1: cci < ML ? -1: nz(Trend[1],1)

Integrate CCI and Supertrend

By integrating CCI and Supertrend, this strategy realizes multi timeframe trend judgment. CCI captures short-term swings while Supertrend focuses on bigger moves.

When directions agree, more reliable trading signals are generated.

isLong = st_trend == 1 
isShort = st_trend == -1

Entries when short and medium-term align, exits when directions disagree.

Advantages

Multi Timeframe Judgment

Integrates short-term and mid-term indicators for more reliable signals.

Customizable Parameters

Supertrend’s Factor and CCI Period can be adjusted for market conditions.

Simple and Clear

Simple logic and easy to understand, great for beginners.

Wide Applicability

Applicable to stocks, forex, crypto by parameter tuning.

Risks and Solutions

Price Whipsaw

Many false signals may occur when prices fluctuate violently. Increase Supertrend’s Factor to lower frequency.

Lagging Strong Moves

Supertrend has some lagging. Combine momentum indicators to track accelerating trends.

No Stop Loss

Add stop loss based on ATR for risk control.

Optimization Directions

Market Correlation

Adjust parameters for different markets.

Momentum Combination

Combine with MACD, KDJ etc. to catch strong momentum moves.

Machine Learning

Utilize AI and ensemble methods to optimize parameters and rules.

Conclusion

This strategy successfully combines Supertrend and CCI for multi timeframe trend tracking. Simple logic, good reward potential and customizability. Can further improve via parameter tuning, stop loss, and machine learning to become a solid trading system.

/*backtest
start: 2024-01-10 00:00:00
end: 2024-01-17 00:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//@author=Daveatt

StrategyName = "Best Supertrend CCI Strategy"
ShortStrategyName = "Best Supertrend CCI Strategy"

strategy(title=StrategyName, shorttitle=ShortStrategyName, overlay=true )

//////////////////////////
//* COLOR CONSTANTS *//
//////////////////////////

AQUA = #00FFFFFF
BLUE = #0000FFFF
RED  = #FF0000FF
LIME = #00FF00FF
GRAY = #808080FF
DARKRED   = #8B0000FF
DARKGREEN = #006400FF
GOLD = #FFD700
WHITE = color.white

// Plots
GREEN_LIGHT     = color.new(color.green, 40)
RED_LIGHT       = color.new(color.red, 40) 
BLUE_LIGHT      = color.new(color.aqua, 40)
PURPLE_LIGHT    = color.new(color.purple, 40) 

source = input(close)

///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
/////////////////////////////////// CCI /////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

cci_period = input(28, "CCI Period")
cci = cci(source, cci_period)
//UL = input(80, "Upper level")
//LL = input(20, "Lower Level")
ML = input(0, "CCI Mid Line pivot")

///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////// SUPERTREND /////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

Factor=input(3,title="[ST] Factor", minval=1,maxval = 100, type=input.float)
Pd=input(3, title="[ST] PD", minval=1,maxval = 100)

///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
/////////////////////// SUPERTREND DETECTION //////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

f_supertrend(Factor, Pd) =>

    Up=hl2-(Factor*atr(Pd))
    Dn=hl2+(Factor*atr(Pd))
    
    TrendUp = 0.0
    TrendUp := cci[1] > ML ? max(Up,TrendUp[1]) : Up
    TrendDown = 0.0
    TrendDown := cci[1]< ML ? min(Dn,TrendDown[1]) : Dn
    Trend = 0.0
    Trend := cci > ML ? 1: cci < ML ? -1: nz(Trend[1],1)
    Tsl = Trend==1? TrendUp: TrendDown

    [Trend, Tsl]

[st_trend, st_tsl] = f_supertrend(Factor, Pd)

// Plot the ST
linecolor = close >= st_tsl ? color.green : color.red
plot(st_tsl, color = linecolor , linewidth = 3,title = "SuperTrend", transp=0)

isLong  = st_trend == 1
isShort = st_trend == -1

longClose   = isLong[1] and isShort
shortClose  = isShort[1] and isLong

strategy.entry("Long", 1, when=isLong)
strategy.close("Long", when=longClose )

strategy.entry("Short", 0,  when=isShort)
strategy.close("Short", when=shortClose )
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