This trend-following strategy executes a classic Donchian channel breakout system designed to cross-validate backtest results against external framework benchmarks. It triggers a long entry when the closing price breaks above the highest high of the prior entr
Strategy · Pine Script v4 · On the chart
Min-Max Strategy
A strategy that trades breakouts of a rolling high and low channel, filtered by a long moving average adjusted for relative strength.
GitHub stars1on the repository
Pine versionv4older, still runs
Lines of code72
Settings9inputs
LicenceGPL-3.0
Last update3 years ago10 Aug 2023
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
72 lines of Pine Script v4 from Strategies/Min-Max Strategy.pine, published under GPL-3.0. Keep the author's credit and licence lines when you reuse it.
//@version=4
strategy("Min-Max Strategy", overlay=true,
initial_capital=1000000,
commission_type=strategy.commission.percent,
commission_value=0.075,
currency = "USD",
default_qty_type = strategy.percent_of_equity,
default_qty_value = 100)
session_period = input(1, minval=1, title="1 - 24h, 2 - others")
long_term = input(130, minval=1, title="SMA long (days)") // 130 days (24 * 130 / 4)
length_sma_long_term = timeframe.isintraday and timeframe.isminutes ? long_term * 24 / session_period * 60 / timeframe.multiplier: long_term
vlt = input(5, minval=1, title="Volatility window (days)")
vlt_window = timeframe.isintraday and timeframe.isminutes ? vlt * 24 / session_period * 60 / timeframe.multiplier : vlt
sma_long_term = sma(close, length_sma_long_term)
relative_strength = (close - sma_long_term) / sma_long_term
rs = sma_long_term + sma_long_term * sma(relative_strength, length_sma_long_term)
close_upper_channel = highest(high, vlt_window)
close_lower_channel = lowest(low, vlt_window)
// === INPUT BACKTEST RANGE ===
FromYear = input(defval = 2016, title = "From Year", minval = 2009)
FromMonth = input(defval = 6, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
ToYear = input(defval = 9999, title = "To Year", minval = 2017)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
// === FUNCTION EXAMPLE ===
start = timestamp(FromYear, FromMonth, FromDay, 00, 00) // backtest start window
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) // backtest finish window
window() => time >= start and time <= finish ? true : false // create function "within window of time"
float long_stop_limit = na
float short_stop_limit = na
if not na(rs[1])
if rs < close_lower_channel and rs > rs[1]
long_stop_limit := rs
else
long_stop_limit := close_lower_channel
if rs > close_upper_channel and rs < rs[1]
short_stop_limit := rs
else
short_stop_limit := close_upper_channel
// Exit
if strategy.position_size > 0
long_stop_limit := long_stop_limit > long_stop_limit[1] ? long_stop_limit : long_stop_limit[1]
strategy.exit(id="XL STP", stop=long_stop_limit)
short_stop_limit := na
if strategy.position_size < 0
short_stop_limit := short_stop_limit < short_stop_limit[1] ? short_stop_limit : short_stop_limit[1]
strategy.exit(id="XS STP", stop=short_stop_limit)
long_stop_limit := na
if strategy.position_size == 0
strategy.cancel_all()
strategy.order(id="EL-UC", long=true, when=close_lower_channel > rs and window(), stop=close_upper_channel)
strategy.order(id="ES-UC", long=false, when=close_upper_channel < rs and window(), stop=close_lower_channel)
plot(long_stop_limit, color=color.green, style=plot.style_cross, linewidth=2)
plot(short_stop_limit, color=color.red, style=plot.style_cross, linewidth=2)
plot(sma_long_term, color=color.yellow)
plot(rs, color=color.gray)
plot(close_upper_channel, color=color.green)
plot(close_lower_channel, color=color.red)
Overview
Stop orders are placed at the upper channel for longs when the channel low is above the adjusted level, and at the lower channel for shorts in the opposite case, within a chosen backtest date range. Once in a trade, a ratcheting stop follows the lower or upper channel. Day-based lengths scale to the chart timeframe. Orders use the full equity with percentage commission, and the levels draw on the chart.
- Rolling high and low channel stop entries
- Long SMA with relative strength adjustment
- Ratcheting channel-based stop
- Backtest date window
- Timeframe-scaled day lengths
Details
Settings
The inputs you can change from the gear icon on the chart. Defaults are the author's.
| Setting | Type | Default | Variable |
|---|---|---|---|
| 1 - 24h, 2 - others | int | 1 | session_period |
| SMA long (days) | int | 130 | long_term |
| Volatility window (days) | int | 5 | vlt |
| From Year | int | 2016 | FromYear |
| From Month | int | 6 | FromMonth |
| From Day | int | 1 | FromDay |
| To Year | int | 9999 | ToYear |
| To Month | int | 1 | ToMonth |
| To Day | int | 1 | ToDay |
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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