This strategy combines the Chandelier Exit rule, the Zero-Lag Smoothed Moving Average (ZLSMA), and the Relative Volume (RVOL) spike detection to form a complete trading system. The Chandelier Exit rule dynamically adjusts the stop-loss position based on the Average True Range (ATR), allowing it to better adapt to market changes. The ZLSMA accurately captures price trends, providing direction guidance for trading. The RVOL spike detection helps the strategy avoid low-volatility consolidation markets, improving trading quality.
The ZLSMA-Enhanced Chandelier Exit Strategy with Volume Spike Detection is a trend-following strategy that controls trading risk while capturing trend opportunities through dynamic stop-loss, trend judgment, and volume spike detection. The strategy logic is clear and easy to understand and implement, but it still needs to be optimized and improved based on specific market characteristics and trading instruments when applied in practice. By introducing more signal confirmation indicators, optimizing exit conditions, reasonably setting parameters, and implementing strict position management and risk control, this strategy has the potential to become a robust and efficient trading tool.
/*backtest start: 2024-05-01 00:00:00 end: 2024-05-31 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy("Chandelier Exit Strategy with ZLSMA and Volume Spike Detection", shorttitle="CES with ZLSMA and Volume", overlay=true, process_orders_on_close=true, calc_on_every_tick=false) // Chandelier Exit Inputs lengthAtr = input.int(title='ATR Period', defval=1) mult = input.float(title='ATR Multiplier', step=0.1, defval=2.0) useClose = input.bool(title='Use Close Price for Extremums', defval=true) // Calculate ATR atr = mult * ta.atr(lengthAtr) // Calculate Long and Short Stops longStop = (useClose ? ta.highest(close, lengthAtr) : ta.highest(high, lengthAtr)) - atr shortStop = (useClose ? ta.lowest(close, lengthAtr) : ta.lowest(low, lengthAtr)) + atr // Update stops based on previous values longStop := na(longStop[1]) ? longStop : close[1] > longStop[1] ? math.max(longStop, longStop[1]) : longStop shortStop := na(shortStop[1]) ? shortStop : close[1] < shortStop[1] ? math.min(shortStop, shortStop[1]) : shortStop // Determine Direction var int dir = na dir := na(dir[1]) ? (close > shortStop ? 1 : close < longStop ? -1 : na) : close > shortStop[1] ? 1 : close < longStop[1] ? -1 : dir[1] // ZLSMA Inputs lengthZLSMA = input.int(title="ZLSMA Length", defval=50) offsetZLSMA = input.int(title="ZLSMA Offset", defval=0) srcZLSMA = input.source(close, title="ZLSMA Source") // ZLSMA Calculation lsma = ta.linreg(srcZLSMA, lengthZLSMA, offsetZLSMA) lsma2 = ta.linreg(lsma, lengthZLSMA, offsetZLSMA) eq = lsma - lsma2 zlsma = lsma + eq // Plot ZLSMA plot(zlsma, title="ZLSMA", color=color.purple, linewidth=3) // Swing High/Low Calculation swingHigh = ta.highest(high, 5) swingLow = ta.lowest(low, 5) // Relative Volume (RVOL) Calculation rvolLength = input.int(20, title="RVOL Length") rvolThreshold = input.float(1.5, title="RVOL Threshold") avgVolume = ta.sma(volume, rvolLength) rvol = volume / avgVolume // Define buy and sell signals based on ZLSMA and Volume Spike buySignal = (dir == 1 and dir[1] == -1 and close > zlsma and rvol > rvolThreshold) sellSignal = (dir == -1 and dir[1] == 1 and close < zlsma and rvol > rvolThreshold) // Define exit conditions based on ZLSMA exitLongSignal = (close < zlsma) exitShortSignal = (close > zlsma) // Strategy Entries and Exits if (buySignal) strategy.entry("Long", strategy.long, stop=swingLow) if (sellSignal) strategy.entry("Short", strategy.short, stop=swingHigh) if (exitLongSignal) strategy.close("Long") if (exitShortSignal) strategy.close("Short") // Alerts alertcondition(buySignal, title='Alert: CE Buy', message='Chandelier Exit Buy!') alertcondition(sellSignal, title='Alert: CE Sell', message='Chandelier Exit Sell!')template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6