Trend Break + Structure + Range Filter

#pinescript #pinescriptai #tradingview #pinegenai

This strategy focuses on trading continuation moves after price breaks recent structure, while filtering out low-momentum conditions. The goal is to participate in directional markets and reduce entries during sideways activity.

Concept Behind the Strategy

Markets tend to alternate between consolidation and expansion. Instead of reacting to every price movement, this approach waits for a clear break of recent highs or lows, aligned with the prevailing trend.
By combining structure, trend bias, and range filtering, the strategy aims to improve trade selection quality.

How It Works

1. Trend Direction (EMA Filter)
A moving average defines the primary market bias.

Price above the EMA → bullish bias
Price below the EMA → bearish bias Trades are only taken in the direction of this bias.

2. Structure Break

The system monitors the highest high and lowest low over a defined lookback period.
A trade is triggered when price breaks beyond that recent structure.

3. Range Filter (Bollinger Logic)

If price is moving inside a compressed range, entries are avoided.
This helps reduce signals during low-momentum conditions.

4. Risk Management

Stop-loss and take-profit levels are based on ATR (Average True Range), which adapts to current volatility.
A configurable risk-to-reward ratio determines the target distance.

5. Realistic Backtesting Setup

Commission and slippage are included to simulate more practical conditions.

Key Characteristics

Non-repainting logic
Breakout-based entries
Trend-aligned trade direction
Volatility-adjusted exits
Designed for structured testing

When It May Perform Better

Markets with sustained directional movement
Volatility expansion phases
Instruments that respect breakout behavior It may underperform during prolonged sideways or low-volatility environments.

Important Note

This strategy is intended for research and testing purposes. Performance can vary across assets and timeframes. It should be evaluated across different market conditions before considering live use.

//@version=6
strategy(
    "Trend Break + Structure + Range Filter",
    overlay = true,
    initial_capital = 100000,
    default_qty_type = strategy.percent_of_equity,
    default_qty_value = 3,
    commission_type = strategy.commission.percent,
    commission_value = 0.05,
    slippage = 1
)


// ─────────────────────
// INPUTS
// ─────────────────────
emaTrendLen = input.int(50, "Trend EMA Length")
bbLen       = input.int(20, "Range Length")
bbMult      = input.float(1.8, "BB Multiplier")
atrLen      = input.int(14, "ATR Length")
atrMult     = input.float(1.8, "ATR Stop Multiplier")
rr          = input.float(2.0, "Risk-Reward")


// ─────────────────────
// TREND FILTER
// ─────────────────────
emaTrend = ta.ema(close, emaTrendLen)
trendUp  = close > emaTrend
trendDown= close < emaTrend


// ─────────────────────
// RANGE FILTER
// ─────────────────────
basis   = ta.sma(close, bbLen)
dev     = bbMult * ta.stdev(close, bbLen)
upperBB = basis + dev
lowerBB = basis - dev


inRange = close >= lowerBB and close <= upperBB


// ─────────────────────
// STRUCTURE BREAK
// ─────────────────────
highestLevel = ta.highest(high, bbLen)
lowestLevel  = ta.lowest(low, bbLen)


breakHigh = ta.crossover(close, highestLevel[1])
breakLow  = ta.crossunder(close, lowestLevel[1])


// ─────────────────────
// ENTRY CONDITIONS
// ─────────────────────
longCond  = breakHigh and trendUp and not inRange
shortCond = breakLow and trendDown and not inRange


if longCond and strategy.position_size == 0
    strategy.entry("Long", strategy.long)


if shortCond and strategy.position_size == 0
    strategy.entry("Short", strategy.short)


// ─────────────────────
// RISK MANAGEMENT
// ─────────────────────
atrVal = ta.atr(atrLen)


longStop   = strategy.position_avg_price - atrVal * atrMult
longTarget = strategy.position_avg_price + atrVal * atrMult * rr


shortStop   = strategy.position_avg_price + atrVal * atrMult
shortTarget = strategy.position_avg_price - atrVal * atrMult * rr


strategy.exit("Long Exit", from_entry="Long", stop=longStop, limit=longTarget)
strategy.exit("Short Exit", from_entry="Short", stop=shortStop, limit=shortTarget)


// ─────────────────────
// VISUALS
// ─────────────────────
plot(emaTrend, color=color.orange, title="Trend EMA")
plot(upperBB, color=color.green, title="Upper Range")
plot(lowerBB, color=color.red, title="Lower Range")

DEV Community