This strategy plots VWMA-based Bollinger bands on the 1-minute ES futures price chart for volatility analysis and potential breakout identification. It calculates dynamic long and short stop loss and take profit levels using percentage inputs relative to entry
Strategy · Pine Script v5 · On the chart
Adaptive Price Channel Strategy
Adaptive Price Channel Strategy combines Donchian-style high/low channels with Average Directional Index (ADX) and ATR-based volatility offsets.
GitHub stars106on the repository
Pine versionv5runs as is
Lines of code46
Settings5inputs
LicenceGPL-3.0
Last update2 years ago18 Sep 2024
Add It to Your TradingView Chart
- 1Copy the scriptPress Copy script above, or the copy button on the code below.
- 2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
- 3Paste over the templateCreate a new strategy, select all of the template text and paste. Press Save and give it a name.
- 4Add it to the chartPress Add to chart. The trades and results appear in the Strategy Tester tab; adjust the settings with the gear icon.
Source Code
46 lines of Pine Script v5 from Adaptive Price Channel Strategy.pine, published under GPL-3.0. Keep the author's credit and licence lines when you reuse it.
//@version=5
strategy("Adaptive Price Channel Strategy", overlay=true)
length = input(20, title="Length")
exit_length = input(10, title="Exit After X Periods")
atr_multiplier = input(3.2, title="ATR Multiplier")
startDate = input.time(defval = timestamp("2019-01-15T08:15:15+00:00"), title = "Start Date")
endDate = input.time(defval = timestamp("2023-04-01T08:15:00+00:00"), title = "End Date")
hh = ta.highest(high, length)
ll = ta.lowest(low, length)
atr = ta.atr(length)
// calculate +DI and -DI
upMove = high - high[1]
downMove = low[1] - low
plusDM = na(upMove[1]) ? na : (upMove > downMove and upMove > 0 ? upMove : 0)
minusDM = na(downMove[1]) ? na : (downMove > upMove and downMove > 0 ? downMove : 0)
plusDI = ta.rma(plusDM, length) / atr * 100
minusDI = ta.rma(minusDM, length) / atr * 100
// calculate ADX
dx = math.abs(plusDI - minusDI) / (plusDI + minusDI) * 100
adx = ta.rma(dx, length)
var int barSinceEntry = na
if (not na(close[length]) and time >= startDate and time <= endDate)
if (adx < 25) // Sideways market
if (close > hh - atr_multiplier * atr)
strategy.entry("PChLE", strategy.long, comment="PChLE")
barSinceEntry := 0
else if (close < ll + atr_multiplier * atr)
strategy.entry("PChSE", strategy.short, comment="PChSE")
barSinceEntry := 0
else if (adx >= 25 and plusDI > minusDI) // Bullish market
if (close > hh - atr_multiplier * atr)
strategy.entry("PChLE", strategy.long, comment="PChLE")
barSinceEntry := 0
else if (adx >= 25 and plusDI < minusDI) // Bearish market
if (close < ll + atr_multiplier * atr)
strategy.entry("PChSE", strategy.short, comment="PChSE")
barSinceEntry := 0
if (na(barSinceEntry))
barSinceEntry := barSinceEntry[1] + 1
else if (barSinceEntry >= exit_length)
strategy.close("PChLE")
strategy.close("PChSE")
barSinceEntry := na
plot(hh, title="Highest High", color=color.green, linewidth=2)
plot(ll, title="Lowest Low", color=color.red, linewidth=2)
Expand (56 lines)
Overview
Adaptive Price Channel Strategy evaluates trend strength and directional movement to trigger entries when price crosses ATR-adjusted upper or lower channel thresholds. Open positions exit automatically after a user-defined number of bars. It plots the highest high and lowest low lines directly on the price chart and features a backtesting date range filter. Note that it relies entirely on time-based exits and lacks explicit stop loss or take profit orders.
- ADX and DMI trend filtering
- ATR volatility-adjusted channel thresholds
- Time-based fixed bar count exits
- Configurable backtest date filter
Details
Published by
hasnocool on GitHub
Type
Strategy, Pine Script v5
Draws
On the price chart
Category
Trend, Volatility & bands, Breakout
Markets
Crypto
Timeframes
M1-M5, M15-H1
Risk Notes
- The strategy enters trades without a stop loss
Topics
analysisbtcusdtcryptocurrencydatapandaspythonsimulationtradingtradingview
Settings
The inputs you can change from the gear icon on the chart. Defaults are the author's.
| Setting | Type | Default | Variable |
|---|---|---|---|
| Length | int | 20 | length |
| Exit After X Periods | int | 10 | exit_length |
| ATR Multiplier | float | 3.2 | atr_multiplier |
| Start Date | time | timestamp("2019-01-15T08:15:15+00:00") | startDate |
| End Date | time | timestamp("2023-04-01T08:15:00+00:00") | endDate |
Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.
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