This strategy is an advanced trading system that combines dynamic trailing stops, risk-reward ratios, and RSI extreme exits. It identifies specific patterns (parallel bar patterns and pin bar patterns) for trade entry, while utilizing ATR and recent lows for dynamic stop loss placement, and determines profit targets based on preset risk-reward ratios. The system also incorporates an RSI-based market overbought/oversold exit mechanism.
The core logic includes several key components:
This is a well-designed trading strategy that combines multiple mature technical analysis concepts to build a complete trading system. The strategy’s strengths lie in its comprehensive risk management system and flexible trading rules, while attention needs to be paid to parameter optimization and market adaptability. Through the suggested optimization directions, there is room for further improvement of the strategy.
/*backtest start: 2024-11-10 00:00:00 end: 2024-12-09 08:00:00 period: 2h basePeriod: 2h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © ZenAndTheArtOfTrading | www.TheArtOfTrading.com // @version=5 strategy("Trailing stop 1", overlay=true) // Get user input int BAR_LOOKBACK = input.int(10, "Bar Lookback") int ATR_LENGTH = input.int(14, "ATR Length") float ATR_MULTIPLIER = input.float(1.0, "ATR Multiplier") rr = input.float(title="Risk:Reward", defval=3) // Basic definition var float shares=na risk = 1000 var float R=na E = strategy.position_avg_price // Input option to choose long, short, or both side = input.string("Long", title="Side", options=["Long", "Short", "Both"]) // RSI exit option RSIexit = input.string("Yes", title="Exit at RSI extreme?", options=["Yes", "No"]) RSIup = input(75) RSIdown = input(25) // Get indicator values float atrValue = ta.atr(ATR_LENGTH) // Calculate stop loss values var float trailingStopLoss = na float longStop = ta.lowest(low, BAR_LOOKBACK) - (atrValue * ATR_MULTIPLIER) float shortStop = ta.highest(high, BAR_LOOKBACK) + (atrValue * ATR_MULTIPLIER) // Check if we can take trades bool canTakeTrades = not na(atrValue) bgcolor(canTakeTrades ? na : color.red) //Long pattern //Two pin bar onepinbar = (math.min(close,open)-low)/(high-low)>0.6 and math.min(close,open)-low>ta.sma(high-low,14) twopinbar = onepinbar and onepinbar[1] notatbottom = low>ta.lowest(low[1],10) // Parallel bigred = (open-close)/(high-low)>0.8 and high-low>ta.sma(high-low,14) biggreen = (close-open)/(high-low)>0.8 and high-low>ta.sma(high-low,14) parallel = bigred[1] and biggreen atbottom = low==ta.lowest(low,10) // Enter long trades (replace this entry condition) longCondition = parallel if (longCondition and canTakeTrades and strategy.position_size == 0 and (side == "Long" or side == "Both")) R:= close-longStop shares:= risk/R strategy.entry("Long", strategy.long,qty=shares) // Enter short trades (replace this entry condition) shortCondition = parallel if (shortCondition and canTakeTrades and strategy.position_size == 0 and (side == "Short" or side == "Both")) R:= shortStop - close shares:= risk/R strategy.entry("Short", strategy.short,qty=shares) // Update trailing stop if (strategy.position_size > 0) if (na(trailingStopLoss) or longStop > trailingStopLoss) trailingStopLoss := longStop else if (strategy.position_size < 0) if (na(trailingStopLoss) or shortStop < trailingStopLoss) trailingStopLoss := shortStop else trailingStopLoss := na // Exit trades with trailing stop strategy.exit("Long Exit", "Long", stop=trailingStopLoss, limit = E + rr*R ) strategy.exit("Short Exit", "Short", stop=trailingStopLoss, limit = E - rr*R) //Close trades at RSI extreme if ta.rsi(high,14)>RSIup and RSIexit == "Yes" strategy.close("Long") if ta.rsi(low,14)<RSIdown and RSIexit == "Yes" strategy.close("Short") // Draw stop loss plot(trailingStopLoss, "Stop Loss", color.red, 1, plot.style_linebr)