Overview
This strategy is a trend-following system that combines the Variable Index Dynamic Moving Average (VIDYA) indicator with Bollinger Bands, and integrates a multi-layered take-profit mechanism. Unlike traditional trend strategies, this system adopts a more adaptive profit-taking approach, distinguishing between long and short positions through a unique ATR benchmark and percentage target. Its innovation lies in the use of a dynamic multi-layered take-profit approach, especially for short trades, which uses a more aggressive percentage multiplier. This flexibility helps to optimize trade management and profit allocation based on market volatility and trend strength.

Strategy Principle
The core of the strategy is to use the fast and slow VIDYA indicators to analyze price trends while taking into account market volatility. The calculation formula of the VIDYA indicator is:
Smoothing factor (α) = 2/(period + 1)
VIDYA(t) = α * k * price(t) + (1 - α * k) * VIDYA(t-1)
where k = | Chandler Momentum Oscillator (MO)|/100

Bollinger Bands as a volatility filter:
Upper band = MA + (K * standard deviation)
Lower band = MA - (K * standard deviation)

Entry conditions:

Long: Price breaks through the slow VIDYA and the fast VIDYA is trending upward, and the price breaks through the upper Bollinger Band
Short: The price falls below the slow VIDYA and the fast VIDYA is trending downward, and the price falls below the lower Bollinger Band

The multi-layer stop-profit mechanism includes:

Take Profit Based on ATR
Percentage-based take profit
Short trading uses a multiplier to magnify the take-profit ratio

Strategy Advantages

Strong dynamic adaptability: VIDYA indicator can automatically adjust according to market fluctuations and is more sensitive than traditional moving averages
Perfect risk management: multi-layer stop-profit mechanism can lock in profits at different price levels
Differentiated processing: different profit-taking strategies are used for long and short positions, which are more in line with market characteristics.
Volatility filtering: The use of Bollinger Bands can filter out false breakout signals
Flexible parameters: parameters can be adjusted according to different market conditions

Strategy Risks

Risk of volatile markets: false signals may be generated in sideways markets
Slippage impact: Multiple take-profit positions may cause execution price deviation due to slippage
Parameter dependency: Different market environments may require frequent parameter adjustments
System complexity: Multi-layer profit-taking mechanism increases strategy complexity
Fund management pressure: Multiple stop-profit positions may make position management more difficult

Strategy Optimization Direction

Dynamic parameter adjustment: Adaptive parameter system can be developed to automatically adjust according to market conditions
Market environment identification: Add a market environment judgment module and use different parameters under different market conditions
Stop loss optimization: dynamic stop loss mechanism can be added to improve risk control capabilities
Signal filtering: Add auxiliary indicators such as trading volume to improve signal reliability
Position management: Develop smarter position allocation algorithms

Summary
The strategy creates a comprehensive trend tracking system by combining the dynamic adaptability of the VIDYA indicator and the volatility filtering function of the Bollinger Bands. The multi-layer stop-profit mechanism and differentiated long and short handling methods give it good profitability and risk control capabilities. However, users need to pay attention to changes in the market environment, adjust parameters in a timely manner, and establish a sound fund management system. Further optimization of the strategy focuses on parameter adaptation, market environment identification, and risk control.

Strategy source code

/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-10 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © PresentTrading

// This strategy, "VIDYA ProTrend Multi-Tier Profit," is a trend-following system that utilizes fast and slow VIDYA indicators 
// to identify entry and exit points based on the direction and strength of the trend. 
// It incorporates Bollinger Bands as a volatility filter and features a multi-step take profit mechanism, 
// with adjustable ATR-based and percentage-based profit targets for both long and short positions. 
// The strategy allows for more aggressive take profit settings for short trades, making it adaptable to varying market conditions.

//@version=5
strategy("VIDYA ProTrend Multi-Tier Profit", overlay=true, precision=3, commission_value= 0.1, commission_type=strategy.commission.percent, slippage= 1, currency=currency.USD, default_qty_type = strategy.percent_of_equity, default_qty_value = 10, initial_capital=10000)


// User-defined inputs
tradeDirection = input.string(title="Trading Direction", defval="Both", options=["Long", "Short", "Both"])
fastVidyaLength = input.int(10, title="Fast VIDYA Length", minval=1)
slowVidyaLength = input.int(30, title="Slow VIDYA Length", minval=1)
minSlopeThreshold = input.float(0.05, title="Minimum VIDYA Slope Threshold", step=0.01)

// Bollinger Bands Inputs
bbLength = input.int(20, title="Bollinger Bands Length", minval=1)
bbMultiplier = input.float(1.0, title="Bollinger Bands Multiplier", step=0.1)

// Multi-Step Take Profit Settings
group_tp = "Multi-Step Take Profit"
useMultiStepTP = input.bool(true, title="Enable Multi-Step Take Profit", group=group_tp)
tp_direction = input.string(title="Take Profit Direction", defval="Both", options=["Long", "Short", "Both"], group=group_tp)
atrLengthTP =  input.int(14, title="ATR Length", group=group_tp)


// ATR-based Take Profit Steps
atrMultiplierTP1 = input.float(2.618, title="ATR Multiplier for TP 1", group=group_tp)
atrMultiplierTP2 = input.float(5.0, title="ATR Multiplier for TP 2", group=group_tp)
atrMultiplierTP3 = input.float(10.0, title="ATR Multiplier for TP 3", group=group_tp)

// Short Position Multiplier for Take Profit Percentages
shortTPPercentMultiplier = input.float(1.5, title="Short TP Percent Multiplier", group=group_tp)

// Percentage-based Take Profit Steps (Long)
tp_level_percent1 = input.float(title="Take Profit Level 1 (%)", defval=3.0, group=group_tp)
tp_level_percent2 = input.float(title="Take Profit Level 2 (%)", defval=8.0, group=group_tp)
tp_level_percent3 = input.float(title="Take Profit Level 3 (%)", defval=17.0, group=group_tp)

// Percentage-based Take Profit Allocation (Long)
tp_percent1 = input.float(title="Take Profit Percent 1 (%)", defval=12.0, group=group_tp)
tp_percent2 = input.float(title="Take Profit Percent 2 (%)", defval=8.0, group=group_tp)
tp_percent3 = input.float(title="Take Profit Percent 3 (%)", defval=10.0, group=group_tp)

// ATR-based Take Profit Percent Allocation (Long)
tp_percentATR1 = input.float(title="ATR TP Percent 1 (%)", defval=10.0, group=group_tp)
tp_percentATR2 = input.float(title="ATR TP Percent 2 (%)", defval=10.0, group=group_tp)
tp_percentATR3 = input.float(title="ATR TP Percent 3 (%)", defval=10.0, group=group_tp)

// Short position percentage allocations using the multiplier
tp_percent1_short = tp_percent1 * shortTPPercentMultiplier
tp_percent2_short = tp_percent2 * shortTPPercentMultiplier
tp_percent3_short = tp_percent3 * shortTPPercentMultiplier

tp_percentATR1_short = tp_percentATR1 * shortTPPercentMultiplier
tp_percentATR2_short = tp_percentATR2 * shortTPPercentMultiplier
tp_percentATR3_short = tp_percentATR3 * shortTPPercentMultiplier

// VIDYA Calculation Function
calcVIDYA(src, length) =>
    alpha = 2 / (length + 1)
    momm = ta.change(src)
    m1 = momm >= 0.0 ? momm : 0.0
    m2 = momm < 0.0 ? -momm : 0.0
    sm1 = math.sum(m1, length)
    sm2 = math.sum(m2, length)
    chandeMO = nz(100 * (sm1 - sm2) / (sm1 + sm2))
    k = math.abs(chandeMO) / 100
    var float vidya = na
    vidya := na(vidya[1]) ? src : (alpha * k * src + (1 - alpha * k) * vidya[1])
    vidya

// Calculate VIDYAs
fastVIDYA = calcVIDYA(close, fastVidyaLength)
slowVIDYA = calcVIDYA(close, slowVidyaLength)

// Bollinger Bands Calculation
[bbUpper, bbBasis, bbLower] = ta.bb(close, bbLength, bbMultiplier)

// Manual Slope Calculation (price difference over time)
calcSlope(current, previous, length) =>
    (current - previous) / length

// Slope of fast and slow VIDYA (comparing current value with value 'length' bars ago)
fastSlope = calcSlope(fastVIDYA, fastVIDYA[fastVidyaLength], fastVidyaLength)
slowSlope = calcSlope(slowVIDYA, slowVIDYA[slowVidyaLength], slowVidyaLength)

// Conditions for long entry with Bollinger Bands filter
longCondition = close > slowVIDYA and fastVIDYA > slowSlope and fastSlope > minSlopeThreshold and slowSlope > 1/2*minSlopeThreshold and close > bbUpper

// Conditions for short entry with Bollinger Bands filter
shortCondition = close < slowVIDYA and fastSlope < slowSlope and fastSlope < -minSlopeThreshold and slowSlope < -1/2*minSlopeThreshold and close < bbLower

// Exit conditions (opposite crossovers or flat slopes)
exitLongCondition = fastSlope < -minSlopeThreshold and slowSlope < -1/2*minSlopeThreshold or shortCondition
exitShortCondition = fastSlope > minSlopeThreshold and slowSlope > 1/2*minSlopeThreshold or longCondition

// Entry and Exit logic with trading direction
if (longCondition) and (strategy.position_size == 0) and (tradeDirection == "Long" or tradeDirection == "Both")
    strategy.entry("Long", strategy.long)

if (exitLongCondition) and strategy.position_size > 0 and (tradeDirection == "Long" or tradeDirection == "Both")
    strategy.close("Long")

if (shortCondition) and (strategy.position_size == 0) and (tradeDirection == "Short" or tradeDirection == "Both")
    strategy.entry("Short", strategy.short)

if (exitShortCondition) and strategy.position_size < 0 and (tradeDirection == "Short" or tradeDirection == "Both")
    strategy.close("Short")


if useMultiStepTP
    if strategy.position_size > 0 and (tp_direction == "Long" or tp_direction == "Both")
        // ATR-based Take Profit (Long)
        tp_priceATR1_long = strategy.position_avg_price + atrMultiplierTP1 * ta.atr(atrLengthTP)
        tp_priceATR2_long = strategy.position_avg_price + atrMultiplierTP2 * ta.atr(atrLengthTP)
        tp_priceATR3_long = strategy.position_avg_price + atrMultiplierTP3 * ta.atr(atrLengthTP)

        // Percentage-based Take Profit (Long)
        tp_pricePercent1_long = strategy.position_avg_price * (1 + tp_level_percent1 / 100)
        tp_pricePercent2_long = strategy.position_avg_price * (1 + tp_level_percent2 / 100)
        tp_pricePercent3_long = strategy.position_avg_price * (1 + tp_level_percent3 / 100)

        // Execute ATR-based exits for Long
        strategy.exit("TP ATR 1 Long", from_entry="Long", qty_percent=tp_percentATR1, limit=tp_priceATR1_long)
        strategy.exit("TP ATR 2 Long", from_entry="Long", qty_percent=tp_percentATR2, limit=tp_priceATR2_long)
        strategy.exit("TP ATR 3 Long", from_entry="Long", qty_percent=tp_percentATR3, limit=tp_priceATR3_long)

        // Execute Percentage-based exits for Long
        strategy.exit("TP Percent 1 Long", from_entry="Long", qty_percent=tp_percent1, limit=tp_pricePercent1_long)
        strategy.exit("TP Percent 2 Long", from_entry="Long", qty_percent=tp_percent2, limit=tp_pricePercent2_long)
        strategy.exit("TP Percent 3 Long", from_entry="Long", qty_percent=tp_percent3, limit=tp_pricePercent3_long)

    if strategy.position_size < 0 and (tp_direction == "Short" or tp_direction == "Both")
        // ATR-based Take Profit (Short) - using the same ATR levels as long
        tp_priceATR1_short = strategy.position_avg_price - atrMultiplierTP1 * ta.atr(atrLengthTP)
        tp_priceATR2_short = strategy.position_avg_price - atrMultiplierTP2 * ta.atr(atrLengthTP)
        tp_priceATR3_short = strategy.position_avg_price - atrMultiplierTP3 * ta.atr(atrLengthTP)

        // Percentage-based Take Profit (Short) - using the same levels, but more aggressive percentages
        tp_pricePercent1_short = strategy.position_avg_price * (1 - tp_level_percent1 / 100)
        tp_pricePercent2_short = strategy.position_avg_price * (1 - tp_level_percent2 / 100)
        tp_pricePercent3_short = strategy.position_avg_price * (1 - tp_level_percent3 / 100)

        // Execute ATR-based exits for Short (using the percentage multiplier for short)
        strategy.exit("TP ATR 1 Short", from_entry="Short", qty_percent=tp_percentATR1_short, limit=tp_priceATR1_short)
        strategy.exit("TP ATR 2 Short", from_entry="Short", qty_percent=tp_percentATR2_short, limit=tp_priceATR2_short)
        strategy.exit("TP ATR 3 Short", from_entry="Short", qty_percent=tp_percentATR3_short, limit=tp_priceATR3_short)

        // Execute Percentage-based exits for Short
        strategy.exit("TP Percent 1 Short", from_entry="Short", qty_percent=tp_percent1_short, limit=tp_pricePercent1_short)
        strategy.exit("TP Percent 2 Short", from_entry="Short", qty_percent=tp_percent2_short, limit=tp_pricePercent2_short)
        strategy.exit("TP Percent 3 Short", from_entry="Short", qty_percent=tp_percent3_short, limit=tp_pricePercent3_short)
// Plot VIDYAs
plot(fastVIDYA, color=color.green, title="Fast VIDYA")
plot(slowVIDYA, color=color.red, title="Slow VIDYA")

Strategy Parameters

The original address: Variable Index Dynamic Average Multi-Tier Profit Trend Following Strategy