OPEN-SOURCE SCRIPT
Обновлено TRADLEWARE-Gaussian Channel + StochRSI BTC
TRADLEWARE - Gaussian Channel + Stochastic RSI
This strategy combines a Gaussian Channel with a Stochastic RSI filter to capture momentum continuation in trending markets on the daily timeframe.
How it works
The Gaussian Channel is a smoothed price envelope built with an IIR (infinite impulse response) filter — a mathematically elegant alternative to a simple moving average. Instead of weighting recent bars linearly, the Gaussian filter applies a bell-curve weighting that produces very smooth, low-lag output. The channel is formed by adding and subtracting a filtered measure of true range (volatility) around the central filter line.
The channel turns green when the filter is rising (uptrend) and red when it is falling (downtrend).
Entry
A long position is opened when all three conditions are true simultaneously:
- The channel is green (filter rising — uptrend confirmed)
- Price closes above the upper band (breakout above the channel)
- Stochastic RSI %K is either above 80 (strong momentum confirming the breakout) or below 15 (oversold dip within the uptrend)
The dual Stochastic RSI threshold captures two different entry scenarios: a momentum breakout and a pullback-and-recover within an ongoing trend.
Exit
The position is closed when either:
- Price closes back below the upper band (breakout has failed or the trend is cooling), or
- The channel reverses from green to red (trend direction has flipped)
An optional stop-loss (on by default) is placed at the lower band and trails as the channel moves, providing a floor on losses if price drops sharply through both the upper and lower bands in the same move.
Parameters
- Poles: 4 (filter smoothness — higher = smoother but more lag)
- Sampling Period: 144 (slow channel, suited to daily trends)
- True Range Multiplier: 1.414 (controls channel width)
- Stochastic RSI overbought threshold: 80
- Stochastic RSI oversold threshold: 15
- Stop-loss at lower band: on by default, can be disabled
- Start/End date range inputs let you restrict the backtest window without editing code
Costs modelled
0.1% commission per side, 3 ticks slippage, fills at next bar's open.
Intended assets and timeframe
Daily bars. Designed and validated on BTC/USDT. Likely applicable to other trending crypto assets; not validated on equities.
Known limitations
Underperforms in choppy or ranging markets — the upper band breakout condition generates whipsaws when price oscillates without directional conviction. The filter requires several hundred bars of history to fully converge; results on very short histories may differ from the validated backtest. The strategy trades infrequently (around 30 trades from 2018 to present on BTC/USDT), so treat any single backtest run as a small sample rather than a statistically strong result.
Credit
The Gaussian Channel filter is from the open-source "Gaussian Channel (DW)" indicator by DonovanWall. This script reuses that filter and adds the Stochastic RSI entry filter, exit rules, stop-loss, and full strategy order management on top of it.
Информация о релизе
added author in the script for easier referenceИнформация о релизе
Update notes- Added two new optional entry filters under a new "Entry Filter" settings group, both off by default: a bullish-candle confirmation (requires the signal bar's own close above its own open) and an entry breakout buffer (requires price to clear the upper band by a configurable percentage instead of just barely crossing it).
- Both new filters were tested at multiple settings on this asset during development and found not to improve results here, so they ship disabled. They're included for anyone who wants to experiment, not because they're recommended on BTC.
- Clarified in-code attribution for the underlying Gaussian Channel filter (from DonovanWall's open-source indicator) versus the logic added for this strategy.
Скрипт с открытым кодом
В истинном духе TradingView, создатель этого скрипта сделал его открытым исходным кодом, чтобы трейдеры могли проверить и убедиться в его функциональности. Браво автору! Вы можете использовать его бесплатно, но помните, что перепубликация кода подчиняется нашим Правилам поведения.
Отказ от ответственности
Информация и публикации не предназначены для предоставления и не являются финансовыми, инвестиционными, торговыми или другими видами советов или рекомендаций, предоставленных или одобренных TradingView. Подробнее читайте в Условиях использования.
Скрипт с открытым кодом
В истинном духе TradingView, создатель этого скрипта сделал его открытым исходным кодом, чтобы трейдеры могли проверить и убедиться в его функциональности. Браво автору! Вы можете использовать его бесплатно, но помните, что перепубликация кода подчиняется нашим Правилам поведения.
Отказ от ответственности
Информация и публикации не предназначены для предоставления и не являются финансовыми, инвестиционными, торговыми или другими видами советов или рекомендаций, предоставленных или одобренных TradingView. Подробнее читайте в Условиях использования.