A momentum strategy combining the TTM Squeeze oscillator with an RSI filter. It calculates linear regression momentum relative to Bollinger Bands and Keltner Channels alongside an RSI oscillator. Long signals trigger when momentum rises from below zero while R
Strategy · Pine Script v4 · Own pane
Undercut
Undercut is a momentum and volatility strategy that evaluates relative strength, choppiness, and stochastic indicators in a separate pane.
GitHub stars2on the repository
Pine versionv4older, still runs
Lines of code48
Settings9inputs
LicenceMIT
Last update5 years ago17 Mar 2021
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
48 lines of Pine Script v4 from scripts/undercut.pine, published under MIT. Keep the author's credit and licence lines when you reuse it.
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © kat3samsin
//@version=4
strategy("Undercut", overlay=false, process_orders_on_close=true)
//rsi
rsiPeriod = input(14, title="RSI", minval=1)
_rsi = rsi(close, rsiPeriod)
//ALMA
source = close
windowsize = input(title="Window Size", type=input.integer, defval=15)
ALMAoffset = input(title="ALMA Offset", type=input.float, defval=0.85)
sigma = input(title="Sigma", type=input.float, defval=6)
ALMA15 = alma(source, windowsize, ALMAoffset, sigma)
// chop28
chopPeriod = input(28, title="CHOP", minval=1)
ci = 100 * log10(sum(atr(1), chopPeriod) / (highest(chopPeriod) - lowest(chopPeriod))) / log10(chopPeriod)
//stochastics
periodK = input(14, title="K", minval=1)
periodD = input(3, title="D", minval=1)
smoothK = input(3, title="Smooth", minval=1)
k = sma(stoch(close, high, low, periodK), smoothK)
d = sma(k, periodD)
//condition
//rsi should be above CI in past x days
_period = input(5, title="RSI/CI Lookback period", minval=1)
_rsiAboveCI = barssince(crossover(_rsi, ci)) >= _period
stochCrossoverCI = crossover(k, ci)
stochIsUp = k > d
undercutEntry = _rsiAboveCI and stochCrossoverCI and stochIsUp and _rsi > ci
undercutExit = k < d
//entry/exit
strategy.entry(id="Undercut", long = true, qty = strategy.equity/close, when = undercutEntry)
strategy.close(id="Undercut", when = undercutExit)
//plots
plotchar(undercutEntry, "UNDERCUT", "🔼", location.top)
plot(_rsi, color=color.green, linewidth=2)
plot(ci, color=color.red, linewidth=2)
plot(k, color=color.blue)
plot(d, color=color.orange)
Overview
Undercut enters long trades when RSI remains above the Choppiness Index for a specified lookback period and Stochastic %K crosses above the Choppiness Index while remaining above %D. Exits occur when %K falls below %D. Input options adjust parameters for RSI, ALMA, Choppiness Index, and Stochastic oscillators. The strategy uses dynamic equity-based position sizing and does not include a defined stop-loss mechanism.
- Combines RSI, Choppiness Index, and Stochastic oscillators
- RSI relative to Choppiness Index lookback filter
- Stochastic crossover entry and exit signals
- Separate pane indicator plots with entry markers
Details
Published by
kat3samsin on GitHub
Type
Strategy, Pine Script v4
Draws
Separate pane below the chart
Category
Oscillators & momentum, Volatility & bands
Markets
Any symbol
Timeframes
Any timeframe
Risk Notes
- The strategy enters trades without a stop loss
Settings
The inputs you can change from the gear icon on the chart. Defaults are the author's.
| Setting | Type | Default | Variable |
|---|---|---|---|
| RSI | int | 14 | rsiPeriod |
| Window Size | int | 15 | windowsize |
| ALMA Offset | float | 0.85 | ALMAoffset |
| Sigma | float | 6 | sigma |
| CHOP | int | 28 | chopPeriod |
| K | int | 14 | periodK |
| D | int | 3 | periodD |
| Smooth | int | 3 | smoothK |
| RSI/CI Lookback period | int | 5 | _period |
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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