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The Solid as a Rock VIP Quant Strategy

Author: ChaoZhang, Date: 2023-12-19 13:54:05
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Overview

This strategy is called “The Solid as a Rock VIP Quant Strategy”. It combines the Modified WMA indicator and the SSL Channel indicator to build a stable and reliable quantitative trading framework.

Principle

The strategy incorporates two indicators. One is the Modified WMA indicator, which calculates the average price of each candlestick and then applies the exponential moving average method to determine the trend direction. The other one is the SSL Channel indicator, which uses moving averages of highest and lowest prices to determine the price channel and judge the current trend status.

When the Modified WMA indicator generates a buy signal, that is, the golden cross, we combine the SSL Channel indicator to determine if the price in the channel is suitable. If the candle body is completely below the channel’s lower limit, we will place the buy order.

Advantages

  1. Combining two indicators makes the buy signal more reliable to avoid false breakouts.
  2. The Modified WMA Indicator can determine turning points more precisely.
  3. The SSL Channel clearly judges the price channel to avoid buying at high levels.
  4. Using the exponential moving average method is more conducive to determining long-term trends.

Risks and Solutions

  1. Stop loss points may be easily triggered in volatile markets. We can appropriately expand the stop loss range.
  2. Moving average systems are sensitive to short-term market noise, which may generate incorrect signals. We can properly increase the moving average parameters to enhance the filtering effect.
  3. Improper parameter settings can also affect strategy performance. We can optimize parameters through backtesting to find the best parameter combination.

Optimization Directions

  1. We can test different types of moving averages, such as EMA and VWMA, to find the best matching average line indicator.
  2. We can add volume indicators to avoid signals in low volume areas.
  3. We can try different methods of channel drawing, such as Donchian Channel, to make the channel boundaries more reliable.
  4. We can add other auxiliary indicators, such as MACD and RSI, to further confirm entry timing.

Summary

Through the ingenious combination of the Modified WMA indicator and the SSL Channel indicator, this strategy builds a stable and reliable quantitative trading framework. It has a strong ability to filter market noise while avoiding the risk of buying at high levels. With proper parameter settings and certain optimizations, it will be a highly outperforming strategy.

/*backtest
start: 2022-12-12 00:00:00
end: 2023-12-18 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Darshana_Alwis

//@version=5
strategy("VIP", overlay=true, initial_capital=1000,currency=currency.USD,default_qty_type=strategy.percent_of_equity,default_qty_value=100,pyramiding=0)
//SSS = Sultan+Saud Strategy

//The original idea of the code belonges to saudALThaidy
//The strategy code is basically made out of two other indicators, edited and combined by me.
// 1- NSDT HAMA Candles => https://www.tradingview.com/script/k7nrF2oI-NSDT-HAMA-Candles/
// 2- SSL Channel => https://www.tradingview.com/script/6y9SkpnV-SSL-Channel/


//MA INFO
WickColor = input.color(color.rgb(80, 80, 80, 100), title='Wick Color', tooltip='Suggest Full Transparency.')
LengthMA = input.int(100, minval=1, title='MA Line Length', inline='MA Info')
TakeProfit = input.float(1, minval=0, title='Take Profit Percentage', step=1)
UseStopLose = input.bool(false, title='Use Stop Percentage')
StopLose = input.float(1, minval=0, title='StopLose Percentage', step=1)

MASource = close

ma(source, length, type) =>
    type == "SMA" ? ta.sma(source, length) :
     type == "EMA" ? ta.ema(source, length) :
     type == "SMMA (RMA)" ? ta.rma(source, length) :
     type == "WMA" ? ta.wma(source, length) :
     type == "VWMA" ? ta.vwma(source, length) :
     na

ma1_color  = color.rgb(230, 172, 0)
ma1 = ma(high, 200, "SMA")

ma2_color  = color.red
ma2 = ma(low, 200, "SMA")

Hlv1 = float(na)
Hlv1 := close > ma1 ? 1 : close < ma2 ? -1 : Hlv1[1]
sslUp1   = Hlv1 < 0 ? ma2 : ma1
sslDown1 = Hlv1 < 0 ? ma1 : ma2

Color1 = Hlv1 == 1 ? ma1_color : ma2_color
fillColor1 = color.new(Color1, 90)

highLine1 = plot(sslUp1, title="UP", linewidth=2, color = Color1)
lowLine1 = plot(sslDown1, title="DOWN", linewidth=2, color = Color1)

OpenLength = 25
HighLength = 20
LowLength = 20
CloseLength = 20


     
SourceOpen = (open[1] + close[1]) / 2
SourceHigh = math.max(high, close)
SourceLow = math.min(low, close)
SourceClose = (open + high + low + close) / 4

funcCalcMA1(src1, len1) => ta.ema(src1, len1)
funcCalcOpen(SourceOpen, OpenLength) => ta.ema(SourceOpen, OpenLength)
funcCalcHigh(SourceHigh, HighLength) => ta.ema(SourceHigh, HighLength)
funcCalcLow(SourceLow, LowLength) => ta.ema(SourceLow, LowLength)
funcCalcClose(SourceClose, CloseLength) => ta.ema(SourceClose, CloseLength)

MA_1 = funcCalcMA1(MASource, LengthMA)

CandleOpen = funcCalcOpen(SourceOpen, OpenLength)
CandleHigh = funcCalcHigh(SourceHigh, HighLength)
CandleLow = funcCalcLow(SourceLow, LowLength)
CandleClose = funcCalcClose(SourceClose, CloseLength)

//PLOT CANDLES
//-------------------------------NSDT HAMA Candels
BodyColor = CandleOpen > CandleOpen[1] ? color.rgb(230, 172, 0) : color.red
barcolor(BodyColor)
plotcandle(CandleOpen, CandleHigh, CandleLow, CandleClose, color=BodyColor, title='HAMA Candles', wickcolor=WickColor, bordercolor=na)
plot(MA_1, title='MA Line', color=BodyColor, style=plot.style_line, linewidth=2)

//------------------------------SSL Channel


plot_buy = false
avg = ((high-low)/2)+low
LongCondition = (Hlv1 == 1 and Hlv1[1] == -1) and (BodyColor == color.rgb(230, 172, 0)) and (MA_1 < avg) and (CandleHigh < avg) and (strategy.opentrades == 0)
if LongCondition
    strategy.entry("BUY with VIP", strategy.long)
    plot_buy := true

base = strategy.opentrades.entry_price(0)
baseProfit = (base+((base/100)*TakeProfit))
baseLose = (base-((base/100)*StopLose))

strategy.exit("SELL with VIP","BUY with VIP",limit = baseProfit)
if UseStopLose and (close < MA_1)
    strategy.exit("SELL with VIP","BUY with VIP",stop = baseLose)
if not UseStopLose and (close < MA_1)
    strategy.exit("SELL with VIP","BUY with VIP", stop = close)
    
plotshape(plot_buy, title="Buy Label", text="Buy", location=location.belowbar, style=shape.labelup, size=size.tiny, color=Color1, textcolor=color.white)

fill(highLine1, lowLine1, color = fillColor1)
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