Strategies
趋势追踪交易策略Trend-Following-Strategy
ChaoZhang · PineScript · Trend Following · 2023-09-25 17:50:11
Sizing
Risk control
Exit
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Context terms
Overview
Noro's trend following strategy is a simple trend trading strategy based on price channel, RSI and body filter. It identifies the overall trend using price channel, enters based on RSI overbought/oversold levels, and uses body filter for additional signal confirmation. The strategy suits trending instruments like indices and forex.
Principle
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The key aspects are:
- Price channel determines the overall trend. Channel formed by looking back high/low defines uptrend/downtrend.
- RSI indicates overbought/oversold for entry timing. RSI above 60 is overbought, below 40 is oversold zone.
- Body filter provides final signal. Trades only if candle body exceeds a threshold to avoid noise.
- Entries based on combining trend, RSI signal and body filter. Long entries in uptrend on bullish signals, short entries in downtrend on bearish signals.
- Optional background colors clearly visualize the trend.
- Customizable trading time frames to selectively trade.
Multiple indicators align to create a relatively stable trend following system.
Advantages
The main advantages are:
- Price channel intuitively identifies the overall trend direction.
- RSI effectively detects overbought/oversold levels for timing entry.
- Body filter enhances signal quality and avoids false signals.
- Multi-indicator confirmation improves accuracy.
- Simple indicators reduce curve fitting risks.
- Customizable trading time frames add flexibility.
- Easy to use with minimal parameters. Beginner friendly.
- Background colors provide visual clarity.
Risks
Some risks to consider:
- Price channel trend misidentification risk.
- Inaccurate RSI signal risks.
- Body filter eliminating valid signals.
- Drawdown risk during trend corrections.
- Optimization risk from bad parameter tuning.
- Position sizing risk from default full allocation.
- Instrument selection risk if applied on non-trending assets.
- Trading time frame risks if improperly configured.
Summary
Noro's trend following strategy integrates price channel, RSI and body filter into a simple and practical trend trading system. It can trade along the trends and avoid counter-trend trades. With parameter optimization, risk controls and other improvements, the strategy has potential to become a consistently profitable trend trading strategy. [/trans]
Other
Some enhancement possibilities:
- Add stop loss strategy to control loss per trade.
- Optimize parameters based on instrument behavior.
- Incorporate position sizing rules based on trend strength.
- Implement drawdown limits to contain losses.
- Add volume price analysis for signal verification.
- Introduce machine learning for parameter optimization.
- Specialize parameters based on asset class.
- Refine trading time frame logic for more flexibility.
Parameters
| Parameters | Default | Description |
|---|---|---|
| v_input_1 | true | long |
| v_input_2 | true | short |
| v_input_3 | 21 | MA Period |
| v_input_4 | false | Need trend Background? |
| v_input_5 | 1900 | From Year |
| v_input_6 | 2100 | To Year |
| v_input_7 | true | From Month |
| v_input_8 | 12 | To Month |
| v_input_9 | true | From day |
| v_input_10 | 31 | To day |
Source code (66 lines)
/*backtest
start: 2023-08-25 00:00:00
end: 2023-09-24 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy(title = "Noro's TrendMaster Strategy v1.0", shorttitle = "TrendMaster str 1.0", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)
//Settings
needlong = input(true, defval = true, title = "long")
needshort = input(true, defval = true, title = "short")
len = input(21, defval = 20, minval = 2, maxval = 200, title = "MA Period")
needbg = input(false, defval = false, title = "Need trend Background?")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//PriceChannel 1
lasthigh = highest(close, len)
lastlow = lowest(close, len)
center = (lasthigh + lastlow) / 2
//Trend
trend = low > center and low[1] > center[1] ? 1 : high < center and high[1] < center[1] ? -1 : trend[1]
//Bars
bar = close > open ? 1 : close < open ? -1 : 0
//Fast RSI
fastup = rma(max(change(close), 0), 2)
fastdown = rma(-min(change(close), 0), 2)
rsi = fastdown == 0 ? 100 : fastup == 0 ? 0 : 100 - (100 / (1 + fastup / fastdown))
//Body filter
nbody = abs(close - open)
abody = sma(nbody, 10)
body = nbody > abody / 2
//Signals
up1 = trend == 1 and rsi < 60 and (strategy.position_avg_price > close or strategy.position_size <= 0) and body
dn1 = trend == -1 and rsi > 40 and (strategy.position_avg_price < close or strategy.position_size >= 0) and body
//Lines
plot(center, color = blue, linewidth = 3, transp = 0, title = "MA")
//Background
col = needbg == false ? na : trend == 1 ? lime : red
bgcolor(col, transp = 80)
//Trading
if up1
strategy.entry("Long", strategy.long, needlong == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if dn1
strategy.entry("Short", strategy.short, needshort == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if time > timestamp(toyear, tomonth, today, 23, 59)
strategy.close_all()