This strategy utilizes the Nadaraya-Watson envelope to smooth the price data and calculate upper and lower bands based on the smoothed price. It then uses the ADX and DI indicators to determine trend strength and direction, and the RSI indicator to confirm trend momentum. Potential breakouts are identified when the price crosses above or below the envelope bands. Finally, it executes trades based on the combined signals of trend, breakout, and momentum, while employing dynamic stop-loss to manage risk.
This strategy combines the Nadaraya-Watson envelope for price smoothing with trend indicators like ADX and DI, the RSI momentum indicator, and price breakout points to create a comprehensive trading system. Dynamic stop-loss management helps adapt to market changes and control risk to a certain extent. However, in practical application, attention should be paid to optimizing trend identification, dynamic stop-loss, and parameter settings to improve the strategy’s robustness and profitability.
/*backtest start: 2024-04-01 00:00:00 end: 2024-04-18 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy("Nadaraya-Watson Envelope with Multi-Confirmation and Dynamic Stop-Loss", overlay=true) // Input parameters h = input.float(7.2, "Bandwidth", minval=0) mult = input.float(2.1, minval=0) src = input(close, "Source") // ADX and DI Input Parameters adxLength = input.int(14, "ADX Length") adxThreshold = input.float(25, "ADX Threshold") adxSmoothing = input.int(14, "ADX Smoothing") // Calculate ADX and DI [dmiPlus, dmiMinus, adx] = ta.dmi(adxLength, adxSmoothing) strongTrendUp = dmiPlus > dmiMinus and adx > adxThreshold strongTrendDown = dmiMinus > dmiPlus and adx > adxThreshold // Nadaraya-Watson Envelope Calculation gauss(x, h) => math.exp(-(math.pow(x, 2) / (h * h * 2))) coefs = array.new_float(0) den = 0.0 for i = 0 to 100 w = gauss(i, h) array.push(coefs, w) den := array.sum(coefs) out = 0.0 for i = 0 to 100 out += src[i] * array.get(coefs, i) out /= den mae = ta.sma(math.abs(src - out), 100) * mult upper = ta.sma(out + mae, 10) lower = ta.sma(out - mae, 10) // Confirmations breakoutUp = ta.crossover(src, upper) breakoutDown = ta.crossunder(src, lower) // Original RSI period and thresholds rsiPeriod = input.int(14, "RSI Period") rsi = ta.rsi(src, rsiPeriod) momentumUp = rsi > 70 and adx > adxThreshold momentumDown = rsi < 30 and adx > adxThreshold // // Plot ADX-based Trend Confirmation Lines // if (strongTrendUp) // line.new(bar_index, low, bar_index + 1, low, color=color.new(color.blue, 50), width=2, style=line.style_dashed) // if (strongTrendDown) // line.new(bar_index, high, bar_index + 1, high, color=color.new(color.red, 50), width=2, style=line.style_dashed) // Plot Breakout Confirmation Dots plotshape(series=breakoutUp, style=shape.circle, location=location.abovebar, color=color.blue, size=size.tiny, title="Breakout Up") plotshape(series=breakoutDown, style=shape.circle, location=location.belowbar, color=color.orange, size=size.tiny, title="Breakout Down") // Plot Momentum Confirmation Arrows plotshape(series=momentumUp, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.tiny, title="Momentum Up") plotshape(series=momentumDown, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.tiny, title="Momentum Down") // Strategy Entry and Exit var float stopLossLevel = na var float highestPrice = na potentialBuy = strongTrendUp and breakoutUp potentialSell = strongTrendDown and breakoutDown momentumConfirmUp = potentialBuy and momentumUp momentumConfirmDown = potentialSell and momentumDown if (momentumConfirmUp) strategy.entry("Buy", strategy.long) stopLossLevel := close * 0.90 highestPrice := close if (momentumConfirmDown) strategy.entry("Sell", strategy.short) stopLossLevel := close * 1.10 highestPrice := close if (strategy.position_size > 0) highestPrice := math.max(highestPrice, close) stopLossLevel := math.max(highestPrice * 0.85, close * 0.90) if (strategy.position_size < 0) highestPrice := math.min(highestPrice, close) stopLossLevel := math.min(highestPrice * 1.15, close * 1.10) // Close position if stop loss is hit if (strategy.position_size > 0 and close < stopLossLevel) strategy.close("Buy") if (strategy.position_size < 0 and close > stopLossLevel) strategy.close("Sell")template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6