SuperTrend Trading Strategy with Multiple Filters (2024)

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2. SuperTrend Trading Strategy with Multiple Filters

Author: ChaoZhang, Date: 2023-09-15 16:19:57
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/*backteststart: 2023-09-07 00:00:00end: 2023-09-14 00:00:00period: 1hbasePeriod: 15mexchanges: [{"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/// © mathlabel//@version=5strategy("My strategy", overlay=true, margin_long=100, margin_short=100)atrPeriod = input(10, "ATR Length")factor = input.float(3.0, "Factor", step = 0.01)stopLossFactor = input(2.0, "Stop Loss Factor")takeProfitFactor = input(1.5, "Take Profit Factor")stochlenght= input(14,'stochlenght')oversold_level = input(title = 'Oversold', defval = 20)overbought_level = input(title = 'Overbought', defval = 80)use_atr_exits=input.bool(false)use_bollinger_exits=input.bool(false)use_cci_filter=input.bool(false)longLossPerc = input.float(title='Long Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01shortLossPerc = input.float(title='Short Stop Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01longprofitPerc = input.float(title='Long profit (%)', minval=0.0, step=0.1, defval=1) * 0.01shortprofitPerc = input.float(title='Short profit (%)', minval=0.0, step=0.1, defval=1) * 0.01// Calculate ATRatr = ta.atr(atrPeriod)plotsuper=input.bool(false)[supertrend, direction] = ta.supertrend(factor, atrPeriod)upTrend = plot(plotsuper? (direction < 0 ? supertrend : na) : na, "Up Trend", color = color.green, style=plot.style_linebr)downTrend = plot(plotsuper ? (direction < 0? na : supertrend):na, "Down Trend", color = color.red, style=plot.style_linebr)long_supertrend_filter= (direction < 0 ? supertrend : na)short_supertrend_filter= (direction < 0? na : supertrend)//--trama--lengths = input(99,title='Trama lenght')src =(close)ama = 0.hh = math.max(math.sign(ta.change(ta.highest(lengths))), 0)ll = math.max(math.sign(ta.change(ta.lowest(lengths)) * -1), 0)tc = math.pow(ta.sma(hh or ll ? 1 : 0, lengths), 2)ama := nz(ama[1] + tc * (src - ama[1]), src)plottrama=input.bool(false, title="Show Lux TRAMA")plot(plottrama?ama : na, 'Plot', color.new(#ff1100, 0), 2)use_LUX_trama_filter=input.bool(false)long_LUX_trama_filter= (close > ama)short_LUX_trama_filter= (close < ama)// highest highhighest = ta.highest(high, stochlenght)// lowest lowlowest = ta.lowest(low, stochlenght)// stochastic oscillatorstochastic_K = ((close - lowest) / (highest - lowest)) * 100stochastic_D = ta.sma(stochastic_K, 3)use_stochastic_filter = input.bool(false)long_stoch_filter = stochastic_K > oversold_level and stochastic_K[1] < oversold_levelshort_stoch_filter = stochastic_K < overbought_level and stochastic_K[1] > overbought_level//Define a ATR band upline and bottome line.upline = open + (atr* takeProfitFactor)bottomline = open -(atr*stopLossFactor)plot(use_atr_exits ? upline : na, color=color.white)plot(use_atr_exits ? bottomline:na, color=color.white)// Calculate stop loss and take profit levelsstopLoss = stopLossFactor * atrtakeProfit = takeProfitFactor * atr//input macdma_fast=ta.sma(close,input(14,title='ma fast for macd filter'))ma_slow=ta.sma(close,input(28, title='ma slowfor macd filter'))use_macd_filter=input.bool(false)[macdLine, signalLine, histLine]= ta.macd(close,12,26,9)long_macd_filter= (macdLine > signalLine) and ta.crossover(ma_fast,ma_slow)short_macd_filter= (macdLine < signalLine) and ta.crossunder(ma_fast,ma_slow)// ema 200ema1= ta.ema(close,1)ema2= ta.ema(close,200)use_ema200_filter= input.bool(false)long_ema_filter = (close > ema2)short_ema_filter= (close < ema2)plotAverage = input.bool(true, title="Plot EMA200")plot(plotAverage ? ta.ema(close, 200) : na, title="Exponential Average")// mfisignalLength = input(title="mfi Signal Length", defval=9)length1 = input(title="mfi Length", defval=14)src1 = hlc3mf = ta.mfi(src1, length1)signal = ta.ema(mf, signalLength)use_mfi_filter=input.bool(false)long_mfi_filter= ta.crossover(mf,signal) ?mf:na short_mfi_filter= ta.crossunder(mf,signal)? mf : na//ccicci_l = input(50, title='CCI Period Length')atr_l = input(5, title=' CCI ATR Length')level = 0sd_length = 20cci = ta.cci(src, cci_l)atr2 = ta.atr(atr_l)var st = 0.if cci >= level st := low - atr stif cci <= level st := high + atr stvar tu = 0.var td = 0.var optimal_line = 0.if cci >= level and cci[1] < level tu := td[1] tuif cci <= level and cci[1] > level td := tu[1] tdif cci > level tu := low - atr2 if tu < tu[1] and cci[1] >= level tu := tu[1] tuif cci < level td := high + atr2 if td > td[1] and cci[1] <= level td := td[1] tdoptimal_line := math.max(tu, td)// Creating a Price Channel, avg_st8 = ta.ema(st, 8)avg_st13 = ta.ema(st, 13)avg_st21 = ta.ema(st, 21)avg_st34 = ta.ema(st, 21)avg_st55 = ta.ema(st, 55)avg_st89 = ta.ema(st, 89)avg_st144 = ta.ema(st, 144)avg_st233 = ta.ema(st, 233)average_weighting = (optimal_line + avg_st8 + avg_st13 + avg_st21 + avg_st34 + avg_st55 + avg_st89 + avg_st144 + avg_st233) / 9basis = ta.sma(average_weighting, sd_length)devs = ta.stdev(average_weighting, sd_length)upperS = basis + devslowerS = basis - devsplot(use_cci_filter ? basis: na, 'Basis', color=color.new(#872323, 0))p3 = plot(use_cci_filter ? upperS : na, 'UpperS', color=color.new(color.teal, 0))p4 = plot(use_cci_filter ? lowerS: na ,'LowerS', color=color.new(color.teal, 0))long_cci_filter= ta.crossover(close,upperS) short_cci_filter= ta.crossunder(close,lowerS) var isLong = falsevar isShort = falselong = (not use_LUX_trama_filter or long_LUX_trama_filter) and ( long_supertrend_filter) and (not use_ema200_filter or long_ema_filter) and (not isLong) and (not use_stochastic_filter or long_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or long_mfi_filter) and (not use_cci_filter or long_cci_filter)short= (not use_LUX_trama_filter or short_LUX_trama_filter) and ( short_supertrend_filter) and (not use_ema200_filter or short_ema_filter) and (not isShort) and ( not use_stochastic_filter or short_stoch_filter) and (not use_macd_filter or long_macd_filter) and (not use_mfi_filter or short_mfi_filter) and (not use_cci_filter or short_cci_filter)if long isLong := true isShort := falseif short isLong := false isShort := trueplotshape(long, 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(short, 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)//bollingerlengthss = input(20, title='bollinger lenght')mult = input.float(2.0, minval=0.001, maxval=50, title="bollinger StdDev")basiss = ta.sma(src, lengthss)dev = mult * ta.stdev(src, lengthss)upper = basiss + devlower = basiss - devoffset = input.int(0, "bollinger Offset", minval = -500, maxval = 500)plot(use_bollinger_exits ? basiss : na, "Basis", color=#FF6D00, offset = offset)p1 = plot(use_bollinger_exits ? upper : na, "Upper", color=#2962FF, offset = offset)p2 = plot(use_bollinger_exits ? lower: na, "Lower", color=#2962FF, offset = offset)long_bollinger_exits= close > uppershort_bollinger_exits=close < lowerlong_atr_exits = close > upline short_atr_exits = close < bottomlinetakelong = (not use_atr_exits or long_atr_exits) and (not use_bollinger_exits or long_bollinger_exits)takeshort = (not use_atr_exits or short_atr_exits) and (not use_bollinger_exits or short_bollinger_exits)plotshape(use_atr_exits? takelong : na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)plotshape(use_atr_exits ? takeshort : na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)plotshape(use_bollinger_exits ? takelong: na,title = 'take profit',text='high SL/TP',style=shape.cross,location = location.abovebar, color=color.new(color.green,0) , size=size.tiny)plotshape(use_bollinger_exits ? takeshort: na,title = 'take profit',text='low SL/TP',style=shape.cross,location = location.belowbar, color=color.new(color.green,0), size=size.tiny)alertcondition(long,'long','buy')alertcondition(short,'short','short')alertcondition(takeshort,'trail short close','short trailing take profit')alertcondition(takelong ,'trail long close','long trailing take profit')use_trailing_stop_loss=input.bool(title = 'use trailing stop loss (atr or bollinger)?', defval = true)// Determine stop loss pricelongStopPrice = strategy.position_avg_price * (1 - longLossPerc)shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)// Determine take profit pricelongprofitPrice = strategy.position_avg_price * (1 + longprofitPerc)shortprofitPrice = strategy.position_avg_price * (1 - shortprofitPerc)// Plot stop loss values for confirmationplot(series=strategy.position_size > 0 ? longStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Long Stop Loss')plot(series=strategy.position_size < 0 ? shortStopPrice : na, color=color.new(color.red, 0), style=plot.style_cross, linewidth=1, title='Short Stop Loss')plot(series=strategy.position_size > 0 ? longprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Long profit')plot(series=strategy.position_size < 0 ? shortprofitPrice : na, color=color.new(color.green, 0), style=plot.style_cross, linewidth=1, title='Short profit')longCondition = longif (longCondition) strategy.entry("Long Entry", strategy.long)shortCondition = shortif (shortCondition) strategy.entry("Short Entry", strategy.short,stop = shortStopPrice)if use_trailing_stop_loss if takelong or close < longStopPrice strategy.close("Long Entry") if takeshort or close > shortStopPrice strategy.close("Short Entry")else if close < longStopPrice or close > longprofitPrice strategy.close("Long Entry") if close < shortprofitPrice or close > shortStopPrice strategy.close("Short Entry")

template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6