This strategy combines the WaveTrend Oscillator (WT) and the Volume Weighted Average Price (VWAP) to capture potential trend reversal opportunities by identifying divergences between price and the indicator. The strategy uses the Average True Range (ATR) to determine stop-loss levels and dynamically adjusts position sizing based on account risk percentage. The main strengths of the strategy lie in its trend-following capabilities and risk management measures, but it may suffer losses in choppy markets. Optimization directions include adding additional filters and improving entry and exit rules.
The WaveTrend Oscillator Divergence Strategy combines the WaveTrend indicator and the Volume Weighted Average Price to identify potential trend reversal opportunities. The strategy’s strengths lie in its trend-following capabilities and risk management measures, but it may face risks in choppy markets. The strategy can be further optimized by introducing additional filters, dynamic parameter adjustments, and improved entry and exit rules. Thorough backtesting and forward-looking analysis are crucial before implementing the strategy.
/*backtest start: 2023-05-22 00:00:00 end: 2024-05-27 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy("PipShiesty Swagger", overlay=true) // WaveTrend Oscillator (WT) n1 = input.int(10, "Channel Length") n2 = input.int(21, "Average Length") obLevel1 = input.float(60.0, "Overbought Level 1") obLevel2 = input.float(53.0, "Overbought Level 2") osLevel1 = input.float(-60.0, "Oversold Level 1") osLevel2 = input.float(-53.0, "Oversold Level 2") ap = hlc3 esa = ta.ema(ap, n1) d = ta.ema(math.abs(ap - esa), n1) ci = (ap - esa) / (0.015 * d) tci = ta.ema(ci, n2) // VWAP vwap = ta.vwma(close, n1) // Signal Line wt1 = tci wt2 = ta.sma(wt1, 4) // Bullish and Bearish Divergences bullishDivergence = (ta.lowest(close, 5) > ta.lowest(close[1], 5)) and (wt1 < wt1[1]) and (close > close[1]) bearishDivergence = (ta.highest(close, 5) < ta.highest(close[1], 5)) and (wt1 > wt1[1]) and (close < close[1]) // Plot WaveTrend Oscillator plot(wt1, title="WT1", color=color.blue) plot(wt2, title="WT2", color=color.red) // Plot Divergences plotshape(series=bullishDivergence, location=location.belowbar, color=color.green, style=shape.labelup, title="Bullish Divergence") plotshape(series=bearishDivergence, location=location.abovebar, color=color.red, style=shape.labeldown, title="Bearish Divergence") // Risk Management Parameters riskPercentage = input.float(1, title="Risk Percentage per Trade", minval=0.1, step=0.1) / 100 stopLossATR = input.float(1.5, title="Stop Loss ATR Multiplier", minval=0.5, step=0.1) // ATR Calculation atr = ta.atr(14) // Position Size Calculation calculatePositionSize(stopLoss) => riskAmount = strategy.equity * riskPercentage positionSize = riskAmount / stopLoss positionSize // Entry and Exit Logic with Stop Loss if bullishDivergence stopLoss = low - atr * stopLossATR positionSize = calculatePositionSize(close - stopLoss) strategy.entry("Buy", strategy.long, qty=positionSize) strategy.exit("Sell", from_entry="Buy", stop=stopLoss) if bearishDivergence strategy.close("Buy") // Plot VWAP plot(vwap, title="VWAP", color=color.orange) // Background color to indicate Overbought/Oversold conditions bgcolor(wt1 > obLevel1 ? color.new(color.red, 90) : na, title="Overbought Level 1") bgcolor(wt1 < osLevel1 ? color.new(color.green, 90) : na, title="Oversold Level 1") bgcolor(wt1 > obLevel2 ? color.new(color.red, 70) : na, title="Overbought Level 2") bgcolor(wt1 < osLevel2 ? color.new(color.green, 70) : na, title="Oversold Level 2")template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6