This strategy trades the price breakout of Bollinger Bands. It aims to capture trend opportunities from channel breakouts.
Strategy Logic:
Calculate Bollinger Bands with n-period moving average as midline and volatility bands above and below.
Enter short when price breaks down below lower band. Enter long when breaking above upper band.
Set stops outside opposite band for risk control.
Adjust band width based on max drawdown for parameter optimization.
Add volume filter to avoid false breakouts.
Advantages:
Breaking bands effectively identifies trend turns.
Bollinger parameter optimization is simple and practical.
Volume filter improves quality by avoiding falseouts.
Risks:
Lagging bands may miss best entry timing.
Post-breakout reversals are common, requiring reasonable stops.
Seeking low-frequency trades in optimization can miss opportunities.
In summary, this is a typical channel breakout strategy trading Bollinger breaks. The relatively simple rules benefit optimization but lag and stop placement issues remain that impact long-term steady gains.
/*backtest
start: 2023-08-12 00:00:00
end: 2023-09-11 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
// strategy("ChannelBreakOutStrategyV2.1", commission_type = "percent", commission_value = 0.1, calc_on_order_fills = true, overlay=true)
length = input(title="Length", minval=1, maxval=1000, defval=40)
maxR = input(title = "R", minval = 1.0, maxval = 10, defval = 3, step = 0.1)
adoptR = input(title = "Auto Adjust R", defval = false)
stepR = input(title = "Step in R", minval = 0.01, maxval = 0.1, step = 0.01, defval = 0.02)
baseYear = input(title = "Base Year", minval = 2000, maxval = 2016, defval = 2000)
volumeTh = input(title = "Volume Threadhold", minval = 100.0, maxval = 200, defval = 120, step = 5)
hasLong = input(title = "Include Long", defval = true)
hasShort = input(title = "Include Short", defval = true)
usePositionSizing = input(title = "Enable Position Sizing", defval = true)
getTrailStop(val, current) =>
s = val > 1.6 ? 0.8 : val >= 1.4 ? 0.85 : val >= 1.3 ? 0.9 : 0.93
s * current
upBound = highest(high, length)
downBound = lowest(low, length)
hasVol = (volume / sma(volume, length) * 100 >= volumeTh) ? 1 : 0
hasPos = strategy.position_size != 0 ? 1 : 0
trailstop = atr(length) * 3
ptvalue = syminfo.pointvalue
equity = strategy.openprofit > 0 ? strategy.equity - strategy.openprofit : strategy.equity
curR = adoptR == false ? maxR : n == 0 ? maxR : hasPos == 1 ? curR[1] : (rising(equity,1) > 0? curR[1] + stepR : falling(equity, 1) > 0 ? curR[1] <= 2.0 ? 2.0 : curR[1] - stepR : curR[1])
contracts = usePositionSizing == false ? 20 : floor(equity / 100 * curR / (trailstop * ptvalue))
realbuystop = close - trailstop
realsellstop = close + trailstop
isPFst = (hasPos[1] == 0 and hasPos == 1) ? 1 : 0
isPOn = (hasPos[1] + hasPos == 2) ? 1 : 0
largestR = hasPos == 0 or isPFst == 1 ? -1 : nz(largestR[1]) < close ? close : largestR[1]
pctRise = largestR / strategy.position_avg_price
rbs = strategy.position_size <= 0 ? realbuystop : isPFst ? strategy.position_avg_price - trailstop : pctRise >= 1.3 ? getTrailStop(pctRise, largestR) : (isPOn and realbuystop > rbs[1] and close > close[1]) ? realbuystop : rbs[1]
rss = strategy.position_size >= 0 ? realsellstop : isPFst ? strategy.position_avg_price + trailstop : (isPOn and realsellstop < rss[1] and close < close[1]) ? realsellstop : rss[1]
isStart = na(rbs) or na(rss) ? 0 : 1
buyARun = close - open > 0 ? 0 : open - close
sellARun = open - close > 0 ? 0 : close - open
if (strategy.position_size > 0 and buyARun >= trailstop / 3 * 2 and pctRise < 1.3)
strategy.close("buy")
strategy.cancel("exit")
if (strategy.position_size < 0 and sellARun >= trailstop / 3 * 2)
strategy.close("sell")
strategy.cancel("exit")
strategy.cancel("buy")
strategy.cancel("sell")
conLong = hasLong == true and hasPos == 0 and year > baseYear and (isStart + hasVol) == 2
strategy.order("buy", strategy.long, qty = contracts, stop=upBound + syminfo.mintick * 5, comment="BUY", when = conLong)
if (rbs > high)
strategy.close("buy")
strategy.exit("exit", "buy", stop = rbs, when = hasPos == 1 and isStart == 1)
conShort = hasShort == true and hasPos == 0 and year > baseYear and (isStart + hasVol) == 2
strategy.order("sell", strategy.short, qty = contracts, stop=downBound - syminfo.mintick * 5, comment="SELL", when = conShort)
if (rss < low)
strategy.close("sell")
strategy.exit("exit", "sell", stop = rss, when = hasPos == 1 and isStart == 1)
plot(series = rbs, color=blue)
plot(series = realbuystop, color=green)
plot(series = rss, color=red)
plot(series = realsellstop, color=yellow)