This strategy calculates the middle, upper and lower rails of the Keltner Channel. It fills the color ABOVE the middle and lower rails. After determining the direction of the channel, it breaks through and buys and sells. It is a kind of trend tracking strategy.
The core indicator is the Keltner Channel. The middle rail of the channel is the N-day weighted moving average of the typical price (highest price + lowest price + closing price)/3. The upper and lower rail lines of the channel are respectively one trading range N-day weighted moving average away from the middle rail line. Where the trading range can choose the true volatility ATR, or directly take the amplitude (highest price - lowest price). The latter is adopted in this strategy.
Specifically, the strategy mainly judges whether the price breaks through the upper rail or the lower rail, and makes long or short decisions with the middle rail as the boundary. If the closing price is greater than the upper rail, go long; if the closing price is less than the lower rail, go short. The stop loss line is the MA value of the middle rail.
In general, this strategy is relatively simple and direct, and it is a common price breakthrough strategy. The advantage is that the idea is clear and easy to understand and implement, which is suitable for beginners to learn. But there are also certain limitations. It is sensitive to parameters, the results are uneven, and repeated testing and optimization are required. If it can be combined with more complex judgment indicators, it can form a more powerful trading strategy.
/*backtest start: 2023-12-01 00:00:00 end: 2023-12-31 23:59:59 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/ // © WMX_Q_System_Trading //@version=3 strategy(title = "WMX Keltner Channels strategy", shorttitle = "WMX Keltner Channels strategy", overlay = true) useTrueRange = input(true) length = input(20, minval=5) mult = input(2.618, minval=0.1) mah =ema(ema( ema(high, length),length),length) mal =ema(ema( ema(low, length),length),length) range = useTrueRange ? tr : high - low rangema =ema(ema( ema(range, length),length),length) upper = mah + rangema * mult lower = mal - rangema * mult ma=(upper+lower)/2 uc = red lc=green u = plot(upper, color=uc, title="Upper") basis=plot(ma, color=yellow, title="Basis") l = plot(lower, color=lc, title="Lower") fill(u, basis, color=uc, transp=95) fill(l, basis, color=lc, transp=95) strategy.entry("Long", strategy.long, stop = upper, when = strategy.position_size <= 0 and close >upper) strategy.entry("Short", strategy.short, stop = lower, when = strategy.position_size >= 0 and close<lower) if strategy.position_size > 0 strategy.exit("Stop Long", "Long", stop = ma) if strategy.position_size < 0 strategy.exit("Stop Short", "Short", stop = ma)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6