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Multi Timeframe Momentum Breakout Strategy

Author: ChaoZhang, Date: 2023-12-29 16:56:09
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Overview

This strategy combines multiple technical indicators like RSI, ADX, ATR and momentum to identify trends and capture breakout points. It also uses Fibonacci retracements and moving averages to further improve identification of key levels and trends.

Strategy Logic

  1. Use RSI, ADX, DI+, DI- etc to determine trend direction and strength. RSI shows overbought/oversold levels, ADX shows trend strength, while DI+/DI- indicate bullish/bearish trends. These indicators are displayed in a table for easy reference.

  2. Use moving averages to determine trend direction. 5 & 9-day EMAs define short-term trend, 21-day WMA medium-term trend and 60-day WMA long-term trend. Golden cross signals potential uptrend.

  3. Identify key 0.5, 0.618 Fibonacci retracement levels that often act as support/resistance zones for reversal.

  4. Set stop loss based on ATR and stop loss % to control risk. Take profit based on ATR and take profit % to lock in gains.

  5. Consider reversal on RSI overbought/oversold signals. Consider riding trend on golden cross with increased volume. Set stop loss and take profit after entry.

Advantage Analysis

  1. Combination of indicators improves decision accuracy on trend and strength.

  2. ATR-based stop loss & take profit controls risk effectively.

  3. Fibonacci improves identification of reversal points.

  4. Volume filter avoids false breakouts when following trends.

  5. Table provides clear view of indicator values for quick decisions.

Risk Analysis

  1. Possibility of inaccurate signals cannot be fully avoided, causing incorrect trades. Can optimize parameters to improve indicator accuracy.

  2. ATR and stop loss % affects actual stop loss price. Inappropriate setting can increase risk. Requires fine tuning.

  3. Volume filter cannot fully avoid false breakouts. Needs checking price action details.

  4. Fibonacci levels not always reliable. Price may break through completely.

Optimization Directions

  1. Test and optimize parameters like RSI, ADX, ATR to find best combinations.

  2. Test different moving average combinations for best trend identification.

  3. Test different stop loss/take profit ratios for best risk-reward.

  4. Consider adding Bollinger Bands to check for volume expansion.

Conclusion

This strategy combines trend analysis, key level identification, volume analysis and more. Further parameter optimization can improve accuracy and profitability. Stop loss & take profit manages risk and maximizes reward. It is effective in gauging medium-long term trends and capturing short-term reversals. Continued optimizations can make the strategy more robust.

/*backtest
start: 2022-12-22 00:00:00
end: 2023-12-28 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/
// © amit74sharma135

//@version=5

strategy(" KritikSharma Strategy for NIFTY,BNIFTY,NG,CRUDE,WTICrude,BTC,GOLD,SILVER,COPPER", overlay=true)
plotHVB = input.bool(defval=true, title='Plot HVB')
plotPVT = input.bool(defval=false, title='Plot Pivots')
hvbEMAPeriod = input.int(defval=12, minval=1, title='Volume EMA Period')
hvbMultiplier = input.float(defval=1.5, title='Volume Multiplier')
pivotLookup = input.int(defval=2, minval=1, maxval=15, title='Pivot Lookup')
ShowAvg1 = input(false, title="Show trend line", group="TREND LINE Moving Average", tooltip="Display a trend line based on EMA.")
showLines1 = input.bool(defval=false, title="Draw EMA,WMA Line")
ema200_length= input.int(defval=200, minval=1, maxval=500, title='ema1')
ema300_length= input.int(defval=300, minval=1, maxval=500, title='ema2')
wma60_length= input.int(defval=60, minval=1, maxval=100, title='wma60')
ema5 = ta.ema(close, 5)
ema9 = ta.ema(close, 9)
wma21=ta.wma(close,21)
wma60=ta.wma(close,wma60_length)
len1 = input.int(11, minval=1, maxval=500, title="Length", group="TREND LINE Moving Average", tooltip="Set EMA length.")
ema=ta.ema(close, len1)
rsiLength = input.int(14, title="RSI Length", minval=1, maxval=50, group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
adxLength = input.int(14, title="ADX Length", minval=1, maxval=50, group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
adxThreshold = input.int(20, title="ADX Threshold", group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
diThreshold = input.int(25, title="DI Threshold", group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
atr = input.int(14, title="ATR values", group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
////////////////////////////////////////////////

hvbBullColor = color.rgb(181, 37, 225)
hvbBearColor = #ffbb00ad

pvtTopColor = color.new(#154bef, 0)
pvtBottomColor = color.new(#b81657, 0)

//////////////////// Pivots //////////////////// 
hih = ta.pivothigh(high, pivotLookup, pivotLookup)
lol = ta.pivotlow(low , pivotLookup, pivotLookup)
top1 = ta.valuewhen(hih, high[pivotLookup], 0)
bottom1 = ta.valuewhen(lol, low [pivotLookup], 0)
plot(top1, offset=-pivotLookup, linewidth=1, color=(top1 != top1[1] ? na : (plotPVT ? pvtTopColor : na)), title="Pivot Top")
plot(bottom1, offset=-pivotLookup, linewidth=1, color=(bottom1 != bottom1[1] ? na : (plotPVT ? pvtBottomColor : na)), title="Pivot Bottom")

//////////////////////////////////////Functions
isUp(index) =>
    close[index] > open[index]

isDown(index) =>
    close[index] < open[index]

isObUp(index) =>
    isDown(index + 1) and isUp(index) and close[index] > high[index + 1]

isObDown(index) =>
    isUp(index + 1) and isDown(index) and close[index] < low[index + 1]
////////////////// High Volume Bars //////////////////
volEma = ta.ema(volume, hvbEMAPeriod)
isHighVolume = volume > (hvbMultiplier * volEma)
barcolor(plotHVB and isUp(0) and isHighVolume ? hvbBullColor : na, title="Bullish HVB")
barcolor(plotHVB and isDown(0) and isHighVolume ? hvbBearColor : na, title="Bearish HVB")

// Calculate ADX, DI+,  DI-,RSI,ATR
[diplus, diminus, adx] = ta.dmi(adxLength, adxThreshold)
rsi=ta.rsi(close,rsiLength)
atrValue=ta.atr(atr)

// Check for oversold,Overbought condition
oversold_condition = rsi < 20
overbought_condition = rsi > 80

// Plot Trend Line
trendColor = ema5 > ema9 ? color.rgb(22, 203, 28) : ema5 < ema9 ? color.rgb(224, 15, 15) : na
plot(ShowAvg1? ema:na, color=trendColor, linewidth=6, title="Trend Line Upper Ribbon")

/////////////////////////plot ema,wma
plot(showLines1 ? ta.ema(close, ema200_length) : na, color=color.rgb(102, 110, 103), style=plot.style_line, title="ema1",linewidth = 4)
plot(showLines1 ? ta.ema(close, ema300_length) : na, color=color.rgb(18, 20, 18), style=plot.style_line, title="ema2",linewidth = 4)
plot(showLines1 ? ta.wma(close, wma60_length) : na, color=color.rgb(238, 75, 211), style=plot.style_line, title="wma60",linewidth = 3)

// Plot signals with smaller text
plotshape(oversold_condition ? 1 : na, title="RSI Oversold Signal", color=color.rgb(238, 8, 8), style=shape.labelup, location=location.belowbar, text="RSI OS", textcolor=color.rgb(17, 17, 17), size=size.tiny)
plotshape(overbought_condition ? 1 : na, title="RSI Overbought Signal", color=#08f710, style=shape.labeldown, location=location.abovebar, text="RSI OB", textcolor=color.rgb(8, 8, 8), size=size.tiny)
///////////////////////////////////////////////////////////////////////////////////////////////

// Define input options
showTable = input(false, title="Show Table ADX, RSI, DI values with RED, GREEN and YELLOW Signal")
tablePosition = input.string("Top Right", title="Table Position", options=["Top Right", "Top Left", "Top Center", "Bottom Right", "Bottom Left", "Bottom Center"])

// Define colors for the table cells
colorRsi = rsi > 55 ? color.green : rsi < 45 ? color.red : color.yellow
colorDiPlus = diplus > diThreshold ? color.green : color.red
colorDiMinus = diminus > diThreshold ? color.red : color.green
colorAdx = (rsi < 45 and diplus < diThreshold and diminus > diThreshold and adx > adxThreshold) ? color.red : 
           (rsi > 55 and diplus > diThreshold and diminus < diThreshold and adx > adxThreshold) ? color.green : 
           color.yellow

// Create the table
var table testTable = na
if showTable
    var position = tablePosition == "Top Right" ? position.top_right :
                   tablePosition == "Top Left" ? position.top_left :
                   tablePosition == "Top Center" ? position.top_center :
                   tablePosition == "Bottom Right" ? position.bottom_right :
                   tablePosition == "Bottom Left" ? position.bottom_left :
                   position.bottom_center

    testTable := table.new(position, columns = 4, rows = 2, border_width = 1, border_color = color.black, frame_width = 1, frame_color = color.black)

    // Column Headings
    table.cell(table_id = testTable, column = 0, row = 0, text = " DI+ ", bgcolor=color.aqua, text_color = color.white)
    table.cell(table_id = testTable, column = 1, row = 0, text = " DI- ", bgcolor=color.aqua, text_color = color.white)
    table.cell(table_id = testTable, column = 2, row = 0, text = " ADX ", bgcolor=color.aqua, text_color = color.white)
    table.cell(table_id = testTable, column = 3, row = 0, text = " RSI ", bgcolor=color.aqua, text_color = color.white)

    // Column values
    table.cell(table_id = testTable, column = 0, row = 1, text = str.tostring(math.round(diplus, 0)), bgcolor=colorDiPlus, text_color = color.black)
    table.cell(table_id = testTable, column = 1, row = 1, text = str.tostring(math.round(diminus, 0)), bgcolor=colorDiMinus, text_color = color.black)
    table.cell(table_id = testTable, column = 2, row = 1, text = str.tostring(math.round(adx, 0)), bgcolor=colorAdx, text_color = color.black)
    table.cell(table_id = testTable, column = 3, row = 1, text = str.tostring(math.round(rsi, 0)), bgcolor=colorRsi, text_color = color.black)


// Initialize variables to keep track of the previous condition
var bool prev_oversold = na
var bool prev_overbought = na

plotshape(ta.crossover(ema,wma60) and isHighVolume,  style=shape.labelup, location=location.belowbar, color=#1adaf3,size=size.small)
plotshape(ta.crossunder(ema,wma60) and isHighVolume,  style=shape.labeldown, location=location.abovebar, color=#f30aa9, size=size.small)
//////////////////////////////////////////////////   
plotFibRetracement = input.bool(title="Plot Fibonacci Retracement", defval=false)
fibLevel1 = input.float(title="Fibonacci Level", defval=0.5, minval=0, maxval=1, step=0.01)
fibLevel2 = input.float(title="Fibonacci Level", defval=0.618, minval=0, maxval=1, step=0.01)
fibLevel3 = input.float(title="Fibonacci Level", defval=0.368, minval=0, maxval=1, step=0.01) 
// Calculate Fibonacci Levels
highPrice = ta.highest(high, 100)
lowPrice = ta.lowest(low, 100)
priceRange = highPrice - lowPrice
fibonacciLevel1 = lowPrice + priceRange * fibLevel1
fibonacciLevel2 = lowPrice + priceRange * fibLevel2
fibonacciLevel3 = lowPrice + priceRange * fibLevel3

// Plot Fibonacci Levels
if plotFibRetracement
    line.new(x1=bar_index[1], y1=fibonacciLevel1, x2=bar_index, y2=fibonacciLevel1, color=color.blue, width=2)
    line.new(x1=bar_index[1], y1=fibonacciLevel2, x2=bar_index, y2=fibonacciLevel2, color=color.blue, width=2)
    line.new(x1=bar_index[1], y1=fibonacciLevel3, x2=bar_index, y2=fibonacciLevel3, color=color.blue, width=2)
// Draw Trendline
var float trendlineY1 = na
var float trendlineY2 = na

if bar_index % 50 == 0
    trendlineY1 := low
    trendlineY2 := high

// line.new(x1=bar_index, y1=trendlineY1, x2=bar_index - 100, y2=trendlineY2, color=#3708a5, width=2)

////////////////////////////////////////////////entry, exit, profit booking, stoploss///////////////////////
if (rsi > 63 and adx> adxThreshold and diplus>diThreshold)
    strategy.entry("Buy", strategy.long, qty = 1)

if (rsi < 40 and adx> adxThreshold and diminus>diThreshold)
    strategy.entry("Sell", strategy.short, qty = 1)

// Set stop loss and take profit levels
stop_loss = input(1.5, title = "Stop Loss (%)") * atrValue
take_profit = input(4.0, title = "Take Profit (%)") * atrValue
strategy.exit("Take Profit/Stop Loss", from_entry = "Buy", stop = close - stop_loss, limit = close + take_profit)
strategy.exit("Take Profit/Stop Loss", from_entry = "Sell", stop = close + stop_loss, limit = close - take_profit)
////////////////////////
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