Automatic Tracking Trend Strategy Based on T3 and ATR
Author: ChaoZhang, Date: 2024-01-03 11:58:25Tags:
Overview
The core of this strategy lies in using the T3 indicator smoothed moving average and ATR indicator dynamic stop loss to identify trend direction and track trends. The strategy combines trend tracking and trend reversal opportunities, aiming to achieve greater profits in trending markets.
Strategy Logic
The strategy uses the T3 indicator to calculate the smoothed moving average of prices, and uses the ATR indicator to calculate the average true range of the current cycle. Trading signals are generated when prices break through the ATR dynamic stop loss. Specifically, a buy signal is generated when prices break above the ATR stop loss line, and a sell signal is generated when prices break below the ATR stop loss line.
To filter false signals, the strategy additionally requires that prices must also break through the T3 moving average before confirming the signal. In addition, the strategy calculates the stop loss and take profit based on ATR values to implement risk management.
Advantage Analysis
Compared with traditional moving averages, the T3 indicator has higher sensitivity and less lag, which can capture changes in price trends faster. In addition, T3 has mathematical advantages that can provide a more accurate, smoothed moving average.
The ATR value reflects the current volatility and risk level of the market. ATR dynamic tracking stops and profits can dynamically adjust position sizes to achieve greater profits in trending markets and reduce losses in volatile markets.
Risk Analysis
The strategy relies on indicator calculations and risks being arbitraged. In addition, T3 smoothed moving averages and ATR dynamic stops have lagging problems that may miss opportunities for rapid price reversals. Parameters can be adjusted accordingly or combined with other indicators for optimization.
When trend fluctuates and reverses, stop losses may be broken leading to greater losses. Reasonable widening of stop loss ranges or using other parameters such as the Handle number can be explored.
Optimization Directions
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Adjust T3 indicator parameters to optimize sensitivity.
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Test different ATR cycle parameters to find optimal values.
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Try different risk reward ratios to determine the best parameters.
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Add other indicators to filter signals, such as Money Flow Index.
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Use machine learning methods to automatically optimize parameter combinations.
Summary
This strategy integrates the trend tracking capability of the T3 smoothed moving average and the ATR’s dynamic stop-loss adjustment capability. With proper parameter optimization and risk control, it promises good returns. The strategy considers both trend tracking and reversal opportunities, making it a versatile quantitative trading strategy.
/*backtest
start: 2023-12-26 00:00:00
end: 2024-01-02 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy(title='NinjaView Example 1 (UTBA "QuantNomad" Strategy)', overlay=true)
T3 = input(100)//600
// Input for Long Settings
// Input for Long Settings
xPrice3 = close
xe1 = ta.ema(xPrice3, T3)
xe2 = ta.ema(xe1, T3)
xe3 = ta.ema(xe2, T3)
xe4 = ta.ema(xe3, T3)
xe5 = ta.ema(xe4, T3)
xe6 = ta.ema(xe5, T3)
b3 = 0.7
c1 = -b3*b3*b3
c2 = 3*b3*b3+3*b3*b3*b3
c3 = -6*b3*b3-3*b3-3*b3*b3*b3
c4 = 1+3*b3+b3*b3*b3+3*b3*b3
nT3Average = c1 * xe6 + c2 * xe5 + c3 * xe4 + c4 * xe3
//plot(nT3Average, color=color.white, title="T3")
// Buy Signal - Price is below T3 Average
buySignal3 = xPrice3 < nT3Average
sellSignal3 = xPrice3 > nT3Average
// Inputs
a = input(1, title='Key Value. "This changes the sensitivity"')
c = input(50, title='ATR Period')
h = input(true, title='Signals from Heikin Ashi Candles')
riskRewardRatio = input(1, title='Risk Reward Ratio')
xATR = ta.atr(c)
nLoss = a * xATR
src = h ? request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close, lookahead=barmerge.lookahead_off) : close
xATRTrailingStop = 0.0
iff_1 = src > nz(xATRTrailingStop[1], 0) ? src - nLoss : src + nLoss
iff_2 = src < nz(xATRTrailingStop[1], 0) and src[1] < nz(xATRTrailingStop[1], 0) ? math.min(nz(xATRTrailingStop[1]), src + nLoss) : iff_1
xATRTrailingStop := src > nz(xATRTrailingStop[1], 0) and src[1] > nz(xATRTrailingStop[1], 0) ? math.max(nz(xATRTrailingStop[1]), src - nLoss) : iff_2
pos = 0
iff_3 = src[1] > nz(xATRTrailingStop[1], 0) and src < nz(xATRTrailingStop[1], 0) ? -1 : nz(pos[1], 0)
pos := src[1] < nz(xATRTrailingStop[1], 0) and src > nz(xATRTrailingStop[1], 0) ? 1 : iff_3
xcolor = pos == -1 ? color.red : pos == 1 ? color.green : color.blue
ema = ta.ema(src, 1)
above = ta.crossover(ema, xATRTrailingStop)
below = ta.crossunder(ema, xATRTrailingStop)
buy = src > xATRTrailingStop and above
sell = src < xATRTrailingStop and below
barbuy = src > xATRTrailingStop
barsell = src < xATRTrailingStop
plotshape(buy, title='Buy', text='Buy', style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), textcolor=color.new(color.white, 0), size=size.tiny)
plotshape(sell, title='Sell', text='Sell', style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), textcolor=color.new(color.white, 0), size=size.tiny)
barcolor(barbuy ? color.new(color.green, 90) : na)
barcolor(barsell ? color.new(color.red, 90) : na)
var float entryPrice = na
var float takeProfitLong = na
var float stopLossLong = na
var float takeProfitShort = na
var float stopLossShort = na
if buy and buySignal3
entryPrice := src
takeProfitLong := entryPrice + nLoss * riskRewardRatio
stopLossLong := entryPrice - nLoss
takeProfitShort := na
stopLossShort := na
if sell and sellSignal3
entryPrice := src
takeProfitShort := entryPrice - nLoss * riskRewardRatio
stopLossShort := entryPrice + nLoss
takeProfitLong := na
stopLossLong := na
// Strategy order conditions
acct = "Sim101"
ticker = "ES 12-23"
qty = 1
OCOMarketLong = '{ "alert": "OCO Market Long", "account": "' + str.tostring(acct) + '", "ticker": "' + str.tostring(ticker) + '", "qty": "' + str.tostring(qty) + '", "take_profit_price": "' + str.tostring(takeProfitLong) + '", "stop_price": "' + str.tostring(stopLossLong) + '", "tif": "DAY" }'
OCOMarketShort = '{ "alert": "OCO Market Short", "account": "' + str.tostring(acct) + '", "ticker": "' + str.tostring(ticker) + '", "qty": "' + str.tostring(qty) + '", "take_profit_price": "' + str.tostring(takeProfitShort) + '", "stop_price": "' + str.tostring(stopLossShort) + '", "tif": "DAY" }'
CloseAll = '{ "alert": "Close All", "account": "' + str.tostring(acct) + '", "ticker": "' + str.tostring(ticker) + '" }'
strategy.entry("Long", strategy.long, when=buy and buySignal3, alert_message=OCOMarketLong)
strategy.entry("Short", strategy.short, when=sell and sellSignal3, alert_message=OCOMarketShort)
// Setting the take profit and stop loss for long trades
strategy.exit("Take Profit/Stop Loss", "Long", stop=stopLossLong, limit=takeProfitLong,alert_message=CloseAll)
// Setting the take profit and stop loss for short trades
strategy.exit("Take Profit/Stop Loss", "Short", stop=stopLossShort, limit=takeProfitShort,alert_message=CloseAll)
// Plot trade setup boxes
bgcolor(buy ? color.new(color.green, 90) : na, transp=0, offset=-1)
bgcolor(sell ? color.new(color.red, 90) : na, transp=0, offset=-1)
// longCondition = buy and not na(entryPrice)
// shortCondition = sell and not na(entryPrice)
// var line longTakeProfitLine = na
// var line longStopLossLine = na
// var line shortTakeProfitLine = na
// var line shortStopLossLine = na
// if longCondition
// longTakeProfitLine := line.new(bar_index, takeProfitLong, bar_index + 1, takeProfitLong, color=color.green, width=2)
// longStopLossLine := line.new(bar_index, stopLossLong, bar_index + 1, stopLossLong, color=color.red, width=2)
// label.new(bar_index + 1, takeProfitLong, str.tostring(takeProfitLong, "#.#####"), color=color.green, style=label.style_none, textcolor=color.green, size=size.tiny)
// label.new(bar_index + 1, stopLossLong, str.tostring(stopLossLong, "#.#####"), color=color.red, style=label.style_none, textcolor=color.red, size=size.tiny)
// if shortCondition
// shortTakeProfitLine := line.new(bar_index, takeProfitShort, bar_index + 1, takeProfitShort, color=color.green, width=2)
// shortStopLossLine := line.new(bar_index, stopLossShort, bar_index + 1, stopLossShort, color=color.red, width=2)
// label.new(bar_index + 1, takeProfitShort, str.tostring(takeProfitShort, "#.#####"), color=color.green, style=label.style_none, textcolor=color.green, size=size.tiny)
// label.new(bar_index + 1, stopLossShort, str.tostring(stopLossShort, "#.#####"), color=color.red, style=label.style_none, textcolor=color.red, size=size.tiny)
alertcondition(buy, 'UT Long', 'UT Long')
alertcondition(sell, 'UT Short', 'UT Short')
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