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June 4, 2024 06:03
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Turtle Trading Strategy with Supertrend Confirmation
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| // This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ | |
| // © bouroo | |
| //@version=5 | |
| strategy("Turtle Trading Strategy with Supertrend Confirmation", overlay=true) | |
| // Turtle Trading Parameters | |
| length1 = input.int(20, title="Donchian Channel Length (Breakout)") | |
| length2 = input.int(10, title="Donchian Channel Length (Exit)") | |
| risk_pct = input.float(2.0, title="Risk Percentage per Trade") | |
| atr_length = input.int(20, title="ATR Length") | |
| capital = input.float(1000, title="Initial Capital") | |
| // Supertrend Parameters | |
| supertrend_length = input.int(10, title="Supertrend Length") | |
| supertrend_multiplier = input.float(3.0, title="Supertrend Multiplier") | |
| // Calculate the Donchian Channels | |
| upperBreakout = ta.highest(high, length1)[1] | |
| lowerBreakout = ta.lowest(low, length1)[1] | |
| upperExit = ta.highest(high, length2)[1] | |
| lowerExit = ta.lowest(low, length2)[1] | |
| // Calculate ATR | |
| atr = ta.atr(atr_length) | |
| // Position sizing based on ATR and risk percentage | |
| unit_size = (capital * (risk_pct / 100)) / atr | |
| // Supertrend calculation | |
| supertrendFactor = supertrend_multiplier * ta.atr(supertrend_length) | |
| supertrendUpper = (high + low) / 2 + supertrendFactor | |
| supertrendLower = (high + low) / 2 - supertrendFactor | |
| supertrend = 0.0 | |
| if (close > supertrend[1]) | |
| supertrend := supertrendLower | |
| else | |
| supertrend := supertrendUpper | |
| // Entry conditions | |
| longEntry = ta.crossover(close, upperBreakout) and close > supertrend | |
| shortEntry = ta.crossunder(close, lowerBreakout) and close < supertrend | |
| // Exit conditions | |
| longExit = ta.crossunder(close, lowerExit) or close < supertrend | |
| shortExit = ta.crossover(close, upperExit) or close > supertrend | |
| // Execute trades | |
| if (longEntry) | |
| strategy.entry("Long", strategy.long, qty=unit_size) | |
| // if (shortEntry) | |
| // strategy.entry("Short", strategy.short, qty=unit_size) | |
| if (longExit) | |
| strategy.close("Long") | |
| // if (shortExit) | |
| // strategy.close("Short") | |
| // Plotting the Donchian Channels | |
| plot(upperBreakout, color=color.green, title="Upper Breakout Channel") | |
| plot(lowerBreakout, color=color.red, title="Lower Breakout Channel") | |
| plot(upperExit, color=color.blue, title="Upper Exit Channel") | |
| plot(lowerExit, color=color.orange, title="Lower Exit Channel") | |
| // Plot Supertrend | |
| plot(supertrend, color=color.purple, linewidth = 2, title="Supertrend") | |
| // Plot buy/sell signals | |
| // plotshape(series=longEntry, location=location.belowbar, color=color.green, style=shape.labelup, text="Buy") | |
| // plotshape(series=shortEntry, location=location.abovebar, color=color.red, style=shape.labeldown, text="Sell") | |
| // plotshape(series=longExit, location=location.abovebar, color=color.blue, style=shape.labeldown, text="Sell Exit") | |
| // plotshape(series=shortExit, location=location.belowbar, color=color.orange, style=shape.labelup, text="Buy Exit") |
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