The “Fibonacci Trend Reversal Strategy” is a trading strategy that utilizes Fibonacci retracement levels and the Trend Strength Over Time (TSOT) indicator to capture potential trend reversal points in the market. The strategy implements dynamic ATR stop-loss and partial take-profit to manage risk and maximize profits. It is optimized for scalping (5-minute timeframe) in the expandable market.
The strategy employs Fibonacci retracement levels (0.236, 0.5, and 0.786) to identify potential trend reversal points. Additionally, the TSOT indicator measures trend strength using percentile rankings of price action. When the price surpasses the mid Fibonacci level (0.5) with a bullish/bearish TSOT signal, the strategy enters a long/short position. Stop-loss levels are dynamically calculated using ATR, while take-profit levels are set based on partial profit-taking and risk-reward ratio. Moreover, the strategy allows for position reversal based on new TSOT signals.
The “Fibonacci Trend Reversal Strategy” effectively captures trend reversal points by combining Fibonacci retracement levels with the TSOT indicator, while managing risk and profit targets through dynamic stop-loss and partial take-profit. The strategy performs well in markets with clear trends but requires caution in choppy conditions. Future improvements can focus on signal confirmation, optimization of take-profit and stop-loss, and reversal management to enhance the strategy’s robustness and profitability.
/*backtest start: 2023-04-22 00:00:00 end: 2024-04-27 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © nioboi //@version=5 strategy("Fibonacci Trend Reversals", overlay=true, process_orders_on_close = true, commission_value = 0.055, initial_capital = 1000) // ========================================= // Input Groups // ========================================= string rsi_group = "RSI" string main_group = "Fib Sensitivity" string atr_sl_finder_group = "ATR SL Finder" string trade_execution_group = "Strategy Execution" // ========================================= // Fibonacci Retracement Trend Reversal // ========================================= sensitivity_input = input.float(title = 'Sensitive', step = 0.1, defval = 18, group = main_group) var bool is_long_trend_started = false var bool is_short_trend_started = false var bool is_trend_change = na var bool is_long_trend = false var bool is_short_trend = false var bool can_long = false var bool can_short = false sensitivity = sensitivity_input sensitivity *= 10 high_line = ta.highest(high, int(sensitivity)) low_line = ta.lowest(low, int(sensitivity)) channel_range = high_line - low_line fib_236 = high_line - channel_range * (0.236) fib_5 = high_line - channel_range * 0.5 fib_786 = high_line - channel_range * (0.786) imba_trend_line = fib_5 // ========================================= // TSOT | Trend Strength Over Time // ========================================= // Calculate 75th percentile of price for each length percentile_13H = ta.percentile_nearest_rank(high, 13, 75) percentile_21H = ta.percentile_nearest_rank(high, 21, 75) percentile_34H = ta.percentile_nearest_rank(high, 34, 75) percentile_55H = ta.percentile_nearest_rank(high, 55, 75) percentile_89H = ta.percentile_nearest_rank(high, 89, 75) // Calculate 25th percentile of price for each length percentile_13L = ta.percentile_nearest_rank(low, 13, 25) percentile_21L = ta.percentile_nearest_rank(low, 21, 25) percentile_34L = ta.percentile_nearest_rank(low, 34, 25) percentile_55L = ta.percentile_nearest_rank(low, 55, 25) percentile_89L = ta.percentile_nearest_rank(low, 89, 25) // Calculate 75th and 25th for length 144 (longest length) highest_high = ta.percentile_nearest_rank(high, 144, 75) lowest_low = ta.percentile_nearest_rank(low, 144, 25) // Calculate trend strength conditions trendBull1 = percentile_13H > highest_high trendBull2 = percentile_21H > highest_high trendBull3 = percentile_34H > highest_high trendBull4 = percentile_55H > highest_high trendBull5 = percentile_89H > highest_high trendBull6 = percentile_13L > highest_high trendBull7 = percentile_21L > highest_high trendBull8 = percentile_34L > highest_high trendBull9 = percentile_55L > highest_high trendBull10 = percentile_89L > highest_high trendBear1 = percentile_13H < lowest_low trendBear2 = percentile_21H < lowest_low trendBear3 = percentile_34H < lowest_low trendBear4 = percentile_55H < lowest_low trendBear5 = percentile_89H < lowest_low trendBear6 = percentile_13L < lowest_low trendBear7 = percentile_21L < lowest_low trendBear8 = percentile_34L < lowest_low trendBear9 = percentile_55L < lowest_low trendBear10 = percentile_89L < lowest_low countBull = (trendBull1 ? 1 : 0) + (trendBull2 ? 1 : 0) + (trendBull3 ? 1 : 0) + (trendBull4 ? 1 : 0) + (trendBull5 ? 1 : 0) + (trendBull6 ? 1 : 0) + (trendBull7 ? 1 : 0) + (trendBull8 ? 1 : 0) + (trendBull9 ? 1 : 0) + (trendBull10 ? 1 : 0) countBear = (trendBear1 ? 1 : 0) + (trendBear2 ? 1 : 0) + (trendBear3 ? 1 : 0) + (trendBear4 ? 1 : 0) + (trendBear5 ? 1 : 0) + (trendBear6 ? 1 : 0) + (trendBear7 ? 1 : 0) + (trendBear8 ? 1 : 0) + (trendBear9 ? 1 : 0) + (trendBear10 ? 1 : 0) // Calculate weak bull count weakBullCount = (percentile_13L < highest_high and percentile_13L > lowest_low ? 1 : 0) + (percentile_21L < highest_high and percentile_21L > lowest_low ? 1 : 0) + (percentile_34L < highest_high and percentile_34L > lowest_low ? 1 : 0) + (percentile_55L < highest_high and percentile_55L > lowest_low ? 1 : 0) + (percentile_89L < highest_high and percentile_89L > lowest_low ? 1 : 0) // Calculate weak bear count weakBearCount = (percentile_13H > lowest_low and percentile_13H < highest_high ? 1 : 0) + (percentile_21H > lowest_low and percentile_21H < highest_high ? 1 : 0) + (percentile_34H > lowest_low and percentile_34H < highest_high ? 1 : 0) + (percentile_55H > lowest_low and percentile_55H < highest_high ? 1 : 0) + (percentile_89H > lowest_low and percentile_89H < highest_high ? 1 : 0) // Calculate bull strength and bear strength bullStrength = 10 * (countBull + 0.5*weakBullCount - 0.5*weakBearCount - countBear) bearStrength = 10 * (countBear + 0.5*weakBearCount - 0.5*weakBullCount - countBull) // Calculate the current trend currentTrendValue = bullStrength - bearStrength tsot_bullish = currentTrendValue > 0 tsot_bearish = currentTrendValue < 0 // CAN LONG/SHORT can_long := close >= imba_trend_line and close >= fib_236 and not is_long_trend and tsot_bullish can_short := close <= imba_trend_line and close <= fib_786 and not is_short_trend and tsot_bearish if can_long is_long_trend := true is_short_trend := false is_long_trend_started := is_long_trend_started ? false : true else if can_short is_short_trend := true is_long_trend := false is_short_trend_started := is_short_trend_started ? false : true else is_trend_change := false can_long := false can_short := false is_short_trend_started := false is_long_trend_started := false is_trend_change := is_short_trend_started or is_long_trend_started plotshape(is_long_trend and is_long_trend_started ? imba_trend_line : na, title="Long", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small) plotshape(is_short_trend and is_short_trend_started ? imba_trend_line : na, title="Short", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small) plot(imba_trend_line, color = is_long_trend[1] ? color.green : color.red, linewidth = 3) // ========================================= // ATR SL Finder // ========================================= atrlength = input.int(title='Length', defval=14, minval=1, group = atr_sl_finder_group) smoothing = input.string(title='Smoothing', defval='RMA', options=['RMA', 'SMA', 'EMA', 'WMA'], group = atr_sl_finder_group) m = input(3.5, 'Multiplier', group = atr_sl_finder_group) src1 = high src2 = low ma_function(source, length) => if smoothing == 'RMA' ta.rma(source, length) else if smoothing == 'SMA' ta.sma(source, length) else if smoothing == 'EMA' ta.ema(source, length) else ta.wma(source, length) x = ma_function(ta.tr(true), atrlength) * m + src1 // SHORT SL x2 = src2 - ma_function(ta.tr(true), atrlength) * m // LONG SL p1 = plot(x, title="ATR Short Stop Loss", color=color.red) p2 = plot(x2, title="ATR Long Stop Loss", color=color.green) // ========================================= // Strategy Execution // ========================================= tradeDirection = input.string("Both", "Trade Direction", ["Long Only", "Short Only", "Both"], group = trade_execution_group, tooltip = "Select if you want this strategy to run only Long or Only Short positions, or Both") risk_reward_ratio = input.float(2, "Risk Reward Ratio", group = trade_execution_group) partialTp = input.bool(true, "Use Partial Take Profit", tooltip = "Enable this if you want to exit 50% of your position when half point of your Risk Reward is reached.", group = trade_execution_group) allowReversePosition = input.bool(true, "Allow Reversing of Position", tooltip = "Enable this if you want to reverse position when new opposite signal occurs", group = trade_execution_group) // Long or Short Conditions enterLong = can_long and (tradeDirection == "Long Only" or tradeDirection == "Both") enterShort = can_short and (tradeDirection == "Short Only" or tradeDirection == "Both") // Long Entry Variables var bool plotMarkers_long = false var bool firstTPHit_long = false var float sl_long = na var float breakEven_long = na var float tp1_long = na var float tp2_long = na var float entryPrice_long = na var bool inLongPosition = false // Short Entry Variables var bool plotMarkers_short = false var bool firstTPHit_short = false var float sl_short = na var float breakEven_short = na var float tp1_short = na var float tp2_short = na var float entryPrice_short = na var bool inShortPosition = false // Reversal Logic if inLongPosition and can_short and allowReversePosition // in a long position and signal to enter short and havent yet hit first tp strategy.close("Long", "Reversing Long to Short") // close Long in preparation to enter short in the next few lines inLongPosition := false else if inShortPosition and can_long and allowReversePosition // in a short position and signal to enter long and havent yet hit first tp strategy.close("Short", "Reversing Short to Long") // close Short in preparation to enter long in the next few lines inShortPosition := false // Long Entries if enterLong entryPrice_long := close sl_long := x2 risk = entryPrice_long - sl_long tp1_long := entryPrice_long + ((risk_reward_ratio * risk) / 2) tp2_long := entryPrice_long + (risk_reward_ratio * risk) breakEven_long := entryPrice_long + (entryPrice_long * 0.002) strategy.entry("Long", strategy.long) if not partialTp strategy.exit("Exit Long", "Long", limit = tp2_long, stop = sl_long) firstTPHit_long := false inLongPosition := true // Short Entries if enterShort entryPrice_short := close sl_short := x risk = sl_short - entryPrice_short tp1_short := entryPrice_short - ((risk_reward_ratio * risk)/2) tp2_short := entryPrice_short - (risk_reward_ratio * risk) breakEven_short := entryPrice_short - (entryPrice_short * 0.002) strategy.entry("Short", strategy.short) if not partialTp strategy.exit("Exit Short", "Short", limit = tp2_short, stop = sl_short) firstTPHit_short := false inShortPosition := true // Dynamic TP and exit strategy for Longs if inLongPosition and partialTp // in long position and partial TP for exit strategy is enabled if high >= tp1_long and not firstTPHit_long // high of candle hit first TP of long, and not yet hit first TP before strategy.close("Long", "TP-1 Long", qty_percent = 50) // close 50% of our long position sl_long := breakEven_long firstTPHit_long := true // set the first TP checker flag to true else if high >= tp2_long and firstTPHit_long // already hit the first TP and we hit our 2nd tp strategy.close("Long", "TP-2 long") // close the remaining of the long position inLongPosition := false // not in long position anymore else if low <= sl_long and not firstTPHit_long // not yet hit first TP but hit our SL strategy.close("Long", "SL long") // close the entire long position inLongPosition := false // not in long position anymore else if low <= breakEven_long and firstTPHit_long // already hit first TP and retraced back to breakEven strategy.close("Long", "BE Long") inLongPosition := false // not in long position anymore // Dynamic TP and exit strategy for Shorts if inShortPosition and partialTp // in short position and partial TP for exit strategy is enabled if low <= tp1_short and not firstTPHit_short // low of candle hit first TP of short, and not yet hit first TP before strategy.close("Short", "TP-1 Short", qty_percent = 50) // close 50% of our short position firstTPHit_short := true // set the first TP checker flag to true sl_short := breakEven_short else if low <= tp2_short and firstTPHit_short // already hit the first TP and we hit our 2nd tp strategy.close("Short", "TP-2 Short") // close the remaining of the short position inShortPosition := false // not in short position anymore else if high >= sl_short and not firstTPHit_short // not yet hit first TP but hit our SL strategy.close("Short", "SL Short") // close the entire long position inShortPosition := false // not in long position anymore else if high >= breakEven_short and firstTPHit_short // already hit first TP and retraced back to breakEven strategy.close("Short", "BE Short") inShortPosition := false // not in long position anymore // ========================================= // Entry Visuals // ========================================= // Entry Visual Flags if inLongPosition plotMarkers_long := true plotMarkers_short := false else if inShortPosition plotMarkers_long := false plotMarkers_short := true showEntryVisuals = input.bool(true, "Show Entry Visuals", group = trade_execution_group) plot(plotMarkers_long and showEntryVisuals?sl_long:na, "SL Marker L", color = #ff0000a4, linewidth = 1, style = plot.style_linebr) plot(plotMarkers_long and showEntryVisuals?tp1_long:na, "TP1 Marker L", color = #00ff08a8, linewidth = 1, style = plot.style_linebr) plot(plotMarkers_long and showEntryVisuals?tp2_long:na, "TP2 Marker L", color = #1100ffa9, linewidth = 1, style = plot.style_linebr) plot(plotMarkers_short and showEntryVisuals?sl_short:na, "SL Marker S", color = #ff0000a4, linewidth = 1, style = plot.style_linebr) plot(plotMarkers_short and showEntryVisuals?tp1_short:na, "TP1 Marker S", color = #00ff08a8, linewidth = 1, style = plot.style_linebr) plot(plotMarkers_short and showEntryVisuals?tp2_short:na, "TP2 Marker S", color = #1100ffa9, linewidth = 1, style = plot.style_linebr)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6