Turtle Trading Strategy with Supertrend Confirmation

TurtleTrading.pine

// 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")