Cyatophilum Swing Trader [BACKTEST]

5 בספט׳ 2020

This is an indicator for swing trading which allows you to build your own strategies, backtest and alert. This version is the backtest which allows to use the Strategy Tester. The alert version can be found in my profile scripts page.

The particularity of this indicator is that it contains several indicators, including a custom one, that you can choose in a drop down list, as well as a trailing stop loss and take profit system.

The current indicators are :

• CYATO AI: a custom indicator inspired by Donchian Channels that will catch each big trend and important reversal points.
  The indicator has two major "bands" or channels and two minor bands. The major bands are bigger and are always displayed.
  When price reaches a major band, acting as a support/resistance, it will either bounce on it or break through it. This is how "tops" and "bottoms", and breakouts are caught.
  The minor bands are used to catch smaller moves inside the major bands. A combination of volume, momentum and price action is used to calculate the signals.
  Advantages of this indicator: it should catch top and bottoms better than other swing trade indicators.
  Cons of this indicator: Some minor moves might be ignored. Sometimes the script will catch a fakeout due to the Bands design.
  Best timeframes to use it : 2H~4H
  Sample:
  
  
  Other indicators available:
  
• SARMA: A combination of Parabolic Stop and Reverse and Exponential Moving Average (20 and 40).
  
• SAR: Regular Parabolic Stop and Reverse.
  
• QQE: An indicator based on Quantitative Qualitative Estimation.
  
• SUPERTREND: A reversal indicator based on Average True Range.
  
• CHANNELS: The classic Donchian Channels.
  

More indicators might be added in the future.


About the signals: each entry (long & short) is calculated at bar close to avoid repainting. Exits (SL & TP) can either be intra-bar or at bar close using the Exit alert type parameter.

STOP LOSS SYSTEM

The base indicators listed above can be used with or without TP/SL.
TP and SL can be both turned on and off and configured for both directions.



The system can be configured with 3 parameters as follows:

• Stop Loss Base % Price: Starting Value for LONG/SHORT stop loss
  
• Trailing Stop % Price to Trigger First parameter related to the trailing stop loss. Percentage of price movement in the right direction required to make the stop loss line move.
  
• Trailing Stop % Price Movement: Second parameter related to the trailing stop loss. Percentage for the stop loss trailing movement.
  

Another option is the "Reverse order on Stop Loss". Use this if you want the strategy to trigger a reverse order when a stop loss is hit.

TAKE PROFIT SYSTEM



The system can be configured with 2 parameters as follows:

• Take Profit %: Take profit value in percentage of price.
  
• Trailing Profit Deviation %: Percent deviation for the trailing take profit.
  

Combining indicators and Take Profit/Stop Loss

One thing to note is that if a reversal signal triggers during a trade, the trade will be closed before SL or TP is reached.
Indeed, the base indicators are reversal indicators, they will trigger long/short signals to follow the trend.
It is possible to use a takeprofit without stop loss, like in this example, knowing that the signal will reverse if the trade goes badly.

The base indicators settings can be changed in the "Advanced Parameters" section.

Configuration used for this snapshot:


BACKTEST SETTINGS
· Initial Capital: 10 000 $
· Order Size: 10% equity (to avoid compounding effect)
· Commission : 0.1% per order (total commission paid: 244.41 €)
· Slippage: 5 ticks

Oldest trade: 2014-04-01
Backtest Period: From 2014-04-01 to 2020-09-04


Use the link below to obtain access to this indicator.

8 בספט׳ 2020

הערות שחרור

NEW FEATURE: Trendlines!

You can add a trendline that you choose from a drop-down menu:
"EXTERNAL","EMA","WMA","SMA","HMA","TILSON T3","KAMA","SMMA","VIDYA","VWMA","FRAMA","DEMA"

The "EXTERNAL" option allows you to plug in any external indicator for your trendline. To make it work, the external indicator must be added on the chart.

The trendline can be configured through a source and length input (the external trendline is configured in the external indicator directly).

With this trendline, you can create signals based on either "SLOPE CHANGE" or "CROSSOVER".
The slope is wether the trendline is going up or going down. A "slope smoothing" setting can be used to reduce noise.

Example of slope change condition:


Example of crossover condition:


Tips:
Some trendlines like Tilson, KAMA, SMMA, VIDYA, DEMA work better with slope change since they are adaptative moving averages.
I don't recommend strategies using trendline crossover alone.

Note:
You can combine above swing trade indicators with a trendline. Both signals will add up.
The option "Use trendline to filter base indicator trades?" will turn the trendline into a trend filter based on the "signal condition". If "SLOPE CHANGE" is selected, the swing indicator will trigger long signals only when the trendline is going up, and short signals when going down. If "CROSSOVER" is selected, the swing indicator will trigger long signals only when price is above the trendline, and short signals when it is below.

24 בספט׳ 2020

הערות שחרור

New indicator added: "ADAPTIVE CHANNELS"

I took the original Donchian Channels, made it adaptive thanks to the new dynamic length functions of TradingView, and smoothed the result a bit.

This gives the following:


The "Adaptive Channels Ratio" setting will allow to use it on several timeframes.

1 באוק׳ 2020

הערות שחרור

Removed weird background color

1 באוק׳ 2020

הערות שחרור

bug fixes : trendline condition

1 באוק׳ 2020

הערות שחרור

typo

4 בנוב׳ 2020

הערות שחרור

New graphic option added to show trend with candle colors only.

19 בנוב׳ 2020

הערות שחרור

Create alerts from the backtest version!

-> Added Strategy Alerts text inputs.
How to use:
Write your alert messages for EXIT, LONG and SHORT orders in the settings (Backtest section).
Then click add alert, and in the placeholder, write the following:
{{strategy.order.alert_message}}

1 בדצמ׳ 2020

הערות שחרור

Added: Volume Filter feature. Use auto or manual threshold to filter trades entries with low volume.

19 בינו׳ 2021

הערות שחרור

New base indicators:
- "DOUBLE CHANNELS LONG"
- "DOUBLE CHANNELS SHORT"

The Double Donchian Channel applied to long and short strategies.

Here is an example of a long strategy:

19 בינו׳ 2021

הערות שחרור

Style bug fixes

27 בינו׳ 2021

הערות שחרור

Configuration panel udpated: smaller and better placement.

Added new alert system!
To use it:
1. Write your alert messages in the indicator settings (alert section at the bottom)
2. Click "Create Alert" as usual, but choose "alert() function calls only"

That's all! You will receive alerts for every event.

9 במרץ 2021

הערות שחרור

Added ADX Filter

14 באפר׳ 2021

הערות שחרור

Added Buy & Hold Comparator panel.
The buy & Hold Comparator is an additional panel that turns green when the strategy's return is greater than the Buy & Hold return.
Note:
The Strategy Return is the strategy netprofit + the strategy openprofit.
Use longs results only and a 100% equity order size to compare to Buy & Hold.
Enable the panel in the Graphics section of the indicator settings.

9 במאי 2021

הערות שחרור

Improved Trailing Take Profit behavior. Sometimes it would exit too early.

20 ביוני 2021

הערות שחרור

Added a secondary Take Profit option & alert
- Configure your 2nd target in % (should be bigger than the 1rst)
- Configure the % quantity to exit on the 1rst Take Profit, between 0 and 100. The remaining % will be exit on the 2nd TP.

-> A useful feature to improve your strategies risk management!

Added new Backtest Results panel
You can disable it by going in the style tab -> tables, or by clicking the indicator setting "Backtest Results Table".
You can also change its size if you want to make it bigger or smaller.

22 באוג׳ 2022

הערות שחרור

Converted to pine v5
Updated alert inputs

16 בפבר׳ 2023

הערות שחרור

Updated CYATO AI strategy
Updated Backtest panel

24 באוג׳ 2023

הערות שחרור

Added 'Once per bar' entry alert option

20 בספט׳ 2023

הערות שחרור

Updated QQE entries: they now only trigger on QQE line direction change.

17 במאי 2024

הערות שחרור

Added new strategy optimised for Stocks (or any asset mostly trending up with occasional drops during crisis). The strat is great at following the trend and what makes it different is its ability to calculate the average drops over time from the asset in order to buy at a low price during these drops. Note: The strategy makes the assumption that the asset is trending up over time, which can cause drawdowns in prolongated drops.

10 באוג׳ 2024

הערות שחרור

Updated order fills, creating alerts using 'order fills only' is now possible, allowing automation on most exchanges using webhooks.