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Dual Breakthrough Strategy

Author: ChaoZhang, Date: 2024-01-30 17:27:01
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Overview

This is a dual breakthrough trading strategy based on K-line. It will generate trading signals when the closing price of the current K-line has a breakthrough relative to the highest and lowest prices of the previous two K-lines.

Strategy Principle

The basic logic of the strategy is:

  1. Define bull signal: bull = close > open and close > math.max(close[2], open[2]) and low[1] < low[2] and high[1] < high[2]. That is, the closing price of the current K-line is greater than the opening price, and greater than the highest price of the previous two K-lines, while the lowest price of the current K-line is lower than the lowest price of the previous K-line.

  2. Define bear signal: bear = close < open and close < math.min(close[2], open[2]) and low[1] > low[2] and high[1] > high[2]. That is, the closing price of the current K-line is less than the opening price, and less than the lowest price of the previous two K-lines, while the highest price of the current K-line is higher than the highest price of the previous K-line.

  3. When a bull signal is triggered, go long; when a bear signal is triggered, go short.

  4. Stop loss and take profit can be set.

The strategy utilizes the characteristics of dual breakthroughs to judge changes in trends through breakthroughs of key price zones, thereby generating trading signals.

Advantage Analysis

This is a relatively simple and intuitive breakout strategy with the following advantages:

  1. The logic is clear and easy to understand and implement, with a low barrier to entry.

  2. Breakthroughs are common trading signals that tend to form trends easily.

  3. Going both long and short allows for dual directional trading, increasing profit opportunities.

  4. Flexible stop loss and take profit settings help control risk.

Risk Analysis

The strategy also carries some risks:

  1. Dual directional trading carries higher risks and requires close monitoring.

  2. Breakouts can be vulnerable to traps, potentially forming false signals.

  3. Improper parameter settings may lead to overtrading.

  4. Improper stop loss and take profit settings can also affect profit potential.

Risks can be reduced by optimizing parameters and appropriately filtering products.

Optimization Directions

The strategy can be optimized in the following aspects:

  1. Optimize parameters like breakout cycle, stop loss/take profit range etc.

  2. Add filtering conditions to avoid errors from arbitrage, sideways movements etc.

  3. Incorporate trend indicators to avoid consolidation ranges.

  4. Optimize capital management, improve position algorithms.

  5. Different parameters for different products, test and optimize separately.

Summary

This is a simple strategy based on the dual breakout concept. It has the advantage of clear logic and easy implementation, but also carries certain monitoring risks. Better strategy results can be expected through parameter and condition optimization.

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5

// # ========================================================================= #
// #                   |   Strategy  |
// # ========================================================================= #

SystemName = "Strategy Template Autoview"
TradeId = "S"
// These values are used both in the strategy() header and in the script's relevant inputs as default values so they match.
// Unless these values match in the script's Inputs and the TV backtesting Properties, results between them cannot be compared.
InitCapital = 1000000
InitPosition = 2
InitCommission = 0.075
InitPyramidMax = 1
CalcOnorderFills = false
ProcessOrdersOnClose = true // display the signals one candle earlier
CalcOnEveryTick = true // forward testing
//CloseEntriesRule = "ANY"

strategy(title=SystemName, shorttitle=SystemName, 
 overlay=true, pyramiding=InitPyramidMax, initial_capital=InitCapital, default_qty_type=strategy.fixed, process_orders_on_close=ProcessOrdersOnClose,
 default_qty_value=InitPosition, commission_type=strategy.commission.percent, commission_value=InitCommission, calc_on_order_fills=CalcOnorderFills, 
 calc_on_every_tick=CalcOnEveryTick, 
 precision=6, max_lines_count=500, max_labels_count=500)

// # ========================================================================= #
// # ========================================================================= #
// #                   ||   Alerts  ||
// # ========================================================================= #
// # ========================================================================= #

show_alerts_debug = input.bool(true, title = "Show Alerts Debug Label?", group = "Debug")

//i_alert_txt_entry_long = input.text_area(defval = "", title = "Long Entry Message", group = "Alerts")
//i_alert_txt_entry_short = input.text_area(defval = "", title = "Short Entry Message", group = "Alerts")
//i_alert_txt_exit_long = input.text_area(defval = "", title = "Long Exit Message", group = "Alerts")
//i_alert_txt_exit_short = input.text_area(defval = "", title = "Short Exit Message", group = "Alerts")

i_broker_mode = input.string("DEMO", title = "Use Demo or Live Broker", options=["DEMO", "LIVE"], group = "Automation")
i_broker_name = input.string("Tradovate", title = "Broker Name", options=["Tradovate", "AscendEX", "Binance", "Binance Futures", "Binance US", "Binance Delivery", "Kraken", "Deribit", "Poloniex", "Okcoin", "Bitfinex", "Oanda", "Kucoin", "Okex", "Bybit", "FTX", "Bitmex", "Alpaca", "Gemini"], group = "Automation")

i_enable_trades = input.bool(true, title = "Enable trades?", group = "Automation", tooltip = "If not enabled, disables live trades, but more importantly, it will output what Autoview is going to do when you go live.")

i_account_name = input.string("*", title = "Account Name", group = "Automation")
i_symbol_name  = input.string("btcusd_perp", title = "Symbol Name", group = "Automation")
nb_contracts = input.int(2, title = "Nb Contracts", group = "Automation")

use_delay = input.bool(false, title = "Use Delay between orders", group = "Automation", inline = "delay")
i_delay_qty = input.int(1, title = "Delay in seconds", group = "Automation", inline = "delay")

i_use_borrow_repay   = input.bool(false, title = "Use Borrow/Repay Mode?", group = "Binance Automation")
i_asset_borrow_repay = input.string("BTC", title = "Asset to Borrow/Repay", group = "Binance Automation")
i_qty_borrow_repay   = input.float(1., title = "Quantity of assets to borrow?", group = "Binance Automation")

// # ========================================================================= #
// # ========================================================================= #
// #                   ||   Dates Range Filtering  ||
// # ========================================================================= #
// # ========================================================================= #

DateFilter = input(false, "Date Range Filtering", group="Date")

// ————— Syntax coming from https://www.tradingview.com/blog/en/new-parameter-for-date-input-added-to-pine-21812/
i_startTime = input(defval = timestamp("01 Jan 2019 13:30 +0000"), title = "Start Time", group="Date")
i_endTime = input(defval = timestamp("30 Dec 2021 23:30 +0000"), title = "End Time", group="Date")

TradeDateIsAllowed() => true


// # ========================================================================= #
// #                   |   Custom Exits |
// # ========================================================================= #

//use_custom_exit = input.bool(true, title = "Use Custom Exits?", group = "Custom Exits")

// # ========================================================================= #
// #                   |   Stop Loss |
// # ========================================================================= #

use_sl        = input.string("None", title = "Select Stop Loss Mode", options=["None", "Percent", "Price"], group = "Stop Loss")
sl_input_perc = input.float(3, minval = 0, title = "Stop Loss (%)", group = "Stop Loss (%)") * 0.01
sl_input_pips = input.float(30, minval = 0, title = "Stop Loss (USD)", group = "Stop Loss (USD)")

// # ========================================================================= #
// #                   |   Take Profit |
// # ========================================================================= #

use_tp       = input.string("None", title = "Select Take Profit Mode", options=["None", "Percent", "Price"], group = "Take Profit")
tp_input_perc = input.float(3, minval = 0, title = "Take Profit (%)", group = "Take Profit (%)") * 0.01
tp_input_pips = input.float(30, minval = 0, title = "Take Profit (USD)", group = "Take Profit (USD)")


// # ========================================================================= #
// #                   |   Consolidated Entries |
// # ========================================================================= #

bull = close > open and close > math.max(close[2], open[2]) and low[1] < low[2] and high[1] < high[2] // low < low[1] and low[1] < low[2] 
bear = close < open and close < math.min(close[2], open[2]) and low[1] > low[2] and high[1] > high[2] // low < low[1] and low[1] < low[2] 

// # ========================================================================= #
// #       |   Entry Price |
// # ========================================================================= #

entry_long_price  = ta.valuewhen(condition=bull and strategy.position_size[1] <= 0, source=close, occurrence=0)
entry_short_price = ta.valuewhen(condition=bear and strategy.position_size[1] >= 0, source=close, occurrence=0)

var float entry_price = 0.

if bull
    entry_price := entry_long_price
if bear
    entry_price := entry_short_price

// # ========================================================================= #
// #                   ||   Global Trend Variables ||
// # ========================================================================= #

T1_sinceUP = ta.barssince(bull)
T1_sinceDN = ta.barssince(bear)

T1_nUP = ta.crossunder(T1_sinceUP,T1_sinceDN)
T1_nDN = ta.crossover(T1_sinceUP,T1_sinceDN)

T1_sinceNUP = ta.barssince(T1_nUP)
T1_sinceNDN = ta.barssince(T1_nDN)

T1_BuyTrend  = T1_sinceDN > T1_sinceUP
T1_SellTrend = T1_sinceDN < T1_sinceUP

T1_SellToBuy   = T1_BuyTrend and T1_SellTrend[1]
T1_BuyToSell   = T1_SellTrend and T1_BuyTrend[1]
T1_ChangeTrend = T1_BuyToSell or T1_SellToBuy

// # ========================================================================= #
// #                   |   Stop Loss |
// # ========================================================================= #

var float final_SL_Long  = 0.
var float final_SL_Short = 0.

if use_sl == "Percent"
    final_SL_Long := entry_long_price * (1 - sl_input_perc)
    final_SL_Short := entry_short_price * (1 + sl_input_perc)
else if use_sl == "Price"
    final_SL_Long := entry_long_price - (sl_input_pips)
    final_SL_Short := entry_short_price + (sl_input_pips)

plot(strategy.position_size > 0 and use_sl != "None" ? final_SL_Long : na, title = "SL Long", color = color.fuchsia, linewidth=2, style=plot.style_linebr)
plot(strategy.position_size < 0 and use_sl != "None" ? final_SL_Short : na, title = "SL Short", color = color.fuchsia, linewidth=2, style=plot.style_linebr)

// # ========================================================================= #
// #                   |   Take Profit |
// # ========================================================================= #

var float final_TP_Long  = 0.
var float final_TP_Short = 0.

if use_tp == "Percent"
    final_TP_Long := entry_long_price   * (1 + tp_input_perc)
    final_TP_Short := entry_short_price * (1 - tp_input_perc)
else if use_tp == "Price"
    final_TP_Long := entry_long_price   + (tp_input_pips)
    final_TP_Short := entry_short_price - (tp_input_pips)

plot(strategy.position_size > 0 and use_tp != "None" ? final_TP_Long : na, title = "TP Long", color = color.orange, linewidth=2, style=plot.style_linebr)
plot(strategy.position_size < 0 and use_tp != "None" ? final_TP_Short : na, title = "TP Short", color = color.orange, linewidth=2, style=plot.style_linebr)

// # ========================================================================= #
// #                   |   AutoView Calls |
// # ========================================================================= #

float quantity = nb_contracts

string product_type_ticker = i_symbol_name

var string broker_mode = ""

if i_broker_mode == "DEMO"

    broker_mode := switch i_broker_name
        "Tradovate" => "tradovatesim"
        "Ascendex"  => "ascendex-sandbox"
        "Binance Futures" => "binancefuturestestnet"
        "Binance Delivery" => "binancedeliverytestnet"
        "Oanda" => "oandapractice"
        "Bitmex" => "bitmextestnet"
        "Bybit" => "bybittestnet"
        "Alpaca" => "alpacapaper"
        "Kucoin" => "kucoinsandbox"
        "Deribit" => "deribittestnet"
        "Gemini" => "gemini-sandbox"
        => i_broker_name

else // "LIVE"

    broker_mode := switch i_broker_name
        "Tradovate" => "tradovate"
        "Ascendex"  => "ascendex"
        "Binance Futures" => "binancefutures"
        "Binance Delivery" => "binancedelivery"
        "Binance" => "binance"
        "Oanda" => "oanda"
        "Kraken" => "kraken"
        "Deribit" => "deribit"
        "Bitfinex" => "bitfinex"
        "Poloniex" => "poloniex"
        "Bybit" => "bybit"
        "Okcoin" => "okcoin"
        "Kucoin" => "kucoin"
        "FTX" => "ftx"
        "Bitmex" => "bitmex"
        "Alpaca" => "alpaca"
        "Gemini" => "gemini"
        => i_broker_name

enable_trades = i_enable_trades ? "" : " d=1"
string delay_qty = use_delay ? " delay=" + str.tostring(i_delay_qty) : ""

i_alert_txt_entry_long = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=short c=position t=market" + 
 "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty
 
i_alert_txt_entry_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=long c=position t=market" + 
 "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty

var string temp_txt_SL_long = ""
var string temp_txt_SL_short = ""

var string temp_txt_TP_long = ""
var string temp_txt_TP_short = ""

if use_sl == "Percent"

    temp_txt_SL_long  := "sl=-" + str.tostring(sl_input_perc * 100) + "%"
    temp_txt_SL_short := "sl=" + str.tostring(sl_input_perc * 100) + "%"

else if use_sl == "Price"

    temp_txt_SL_long  := "fsl=" + str.tostring(final_SL_Long)
    temp_txt_SL_short := "fsl=" + str.tostring(final_SL_Short)

if use_tp == "Percent"

    temp_txt_TP_long := "p=" + str.tostring(tp_input_perc * 100) + "%" 
    temp_txt_TP_short := "p=-" + str.tostring(tp_input_perc * 100) + "%" 

else if use_tp == "Price"

    temp_txt_TP_long  := "fpx=" + str.tostring(final_TP_Long)
    temp_txt_TP_short := "fpx=" + str.tostring(final_TP_Short)  

i_alert_txt_exit_SL_long  = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long c=position t=market " + temp_txt_SL_long + enable_trades 
i_alert_txt_exit_SL_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short c=position t=market " + temp_txt_SL_short + enable_trades 
i_alert_txt_exit_TP_long  = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long c=position t=market " + temp_txt_TP_long + enable_trades 
i_alert_txt_exit_TP_short = "a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short c=position t=market " + temp_txt_TP_short + enable_trades 

string final_alert_txt_entry_long = i_alert_txt_entry_long
string final_alert_txt_entry_short = i_alert_txt_entry_short

if i_use_borrow_repay and i_broker_name == "Binance"

    final_alert_txt_entry_long := "a=" + i_account_name + " e=" + broker_mode + "y=borrow w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades +
     "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=short c=position t=market" + delay_qty +
     "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=long q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty +
     "\n a=" + i_account_name + " e=" + broker_mode + "y=repay w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades

    final_alert_txt_entry_short := "a=" + i_account_name + " e=" + broker_mode + "y=borrow w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades +
     "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + enable_trades + " b=long c=position t=market" + delay_qty +
     "\n a=" + i_account_name + " e=" + broker_mode + " s=" + product_type_ticker + " b=short q=" + str.tostring(quantity, "#") + " t=market" + enable_trades + delay_qty +
     "\n a=" + i_account_name + " e=" + broker_mode + "y=repay w=" + i_asset_borrow_repay + " q=" + str.tostring(i_qty_borrow_repay, "#") + enable_trades

//i_alert_txt_entry_long  := final_alert_txt_entry_long
//i_alert_txt_entry_short := final_alert_txt_entry_short

if show_alerts_debug and barstate.islastconfirmedhistory

    var label lblTest = na

    label.delete(lblTest)

    string label_txt = i_alert_txt_entry_long

    if use_sl != "None"
        label_txt := label_txt + "\n" + i_alert_txt_exit_SL_long

    if use_tp != "None"
        label_txt := label_txt + "\n" + i_alert_txt_exit_TP_long

    t = time + (time - time[1]) * 25

    lblTest := label.new(
     x            = t,
     y            = ta.highest(50),
     text         = label_txt,
     xloc         = xloc.bar_time,
     yloc         = yloc.price,
     color        = color.new(color = color.gray, transp = 0),
     style        = label.style_label_left,
     textcolor    = color.new(color = color.white, transp = 0),
     size         =  size.large
     )

// # ========================================================================= #
// #                   |   Strategy Calls and Alerts |
// # ========================================================================= #

if bull and TradeDateIsAllowed() 

    strategy.entry(id = "Long", direction =  strategy.long, comment = "Long", alert_message = i_alert_txt_entry_long, qty = nb_contracts)
    alert(i_alert_txt_entry_long, alert.freq_once_per_bar)
    
else if bear and TradeDateIsAllowed()
    strategy.entry(id = "Short", direction =  strategy.short, comment = "Short", alert_message = i_alert_txt_entry_short, qty = nb_contracts)
    alert(i_alert_txt_entry_short, alert.freq_once_per_bar)

//quantity := quantity * 2

strategy.exit(id = "Exit Long",  from_entry = "Long",  stop = (use_sl != "None") ? final_SL_Long : na,  comment_loss = "Long Exit SL", alert_loss  = (use_sl != "None") ? i_alert_txt_exit_SL_long : na,   limit = (use_tp != "None") ? final_TP_Long  : na, comment_profit = "Long Exit TP", alert_profit = (use_tp != "None") ? i_alert_txt_exit_TP_long : na)   
strategy.exit(id = "Exit Short", from_entry = "Short", stop = (use_sl != "None") ? final_SL_Short : na, comment_loss = "Short Exit SL", alert_loss = (use_sl != "None") ? i_alert_txt_exit_SL_short : na, limit = (use_tp != "None") ? final_TP_Short : na, comment_profit = "Short Exit TP", alert_profit = (use_tp != "None") ? i_alert_txt_exit_TP_short : na)   

if strategy.position_size > 0 and low < final_SL_Long and use_sl != "None"
    alert(i_alert_txt_exit_SL_long, alert.freq_once_per_bar)

else if strategy.position_size < 0 and high > final_SL_Short and use_sl != "None"
    alert(i_alert_txt_exit_SL_short, alert.freq_once_per_bar)

if strategy.position_size > 0 and high > final_TP_Long and use_tp != "None"
    alert(i_alert_txt_exit_TP_long, alert.freq_once_per_bar)

else if strategy.position_size < 0 and low < final_TP_Short and use_tp != "None"
    alert(i_alert_txt_exit_TP_short, alert.freq_once_per_bar)

// # ========================================================================= #
// #                   |   Reset Variables |
// # ========================================================================= #
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