Adaptive Zero Lag EMA Trading Strategy
This strategy uses the Adaptive Zero Lag EMA indicator for trend determination and trade signals. The adaptive EMA dynamically tunes parameters to eliminate lag. It aims for trend following.
Strategy Logic:
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Calculate Adaptive Zero Lag EMA with cosine and I-Q adaptive algorithms.
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EMA is normal EMA, EC is adaptive zero lag EMA.
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Go long when EC crosses above EMA, and short when crossing below.
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Compute error curve and set threshold to filter false signals.
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Use fixed points for stop loss and take profit for risk control.
Advantages:
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Adaptive EMA significantly reduces indicator lag.
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Threshold filtering improves signal quality and avoids false breakouts.
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Simple stops and targets are easy to implement.
Risks:
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Adaptive EMA parameters can become unstable.
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Fixed stops/targets fail to adapt to changing market conditions.
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No limit on loss size, risks large losing trades.
In summary, this strategy uses adaptive EMA for trend following, reducing lag to some extent. But parameter stability and optimized stops are needed to control risks.
/*backtest
start: 2023-09-05 00:00:00
end: 2023-09-12 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy(title="Adaptive Zero Lag EMA v2 (w/ Backtest Date Range)", shorttitle="AZLEMA", overlay = true, commission_type=strategy.commission.cash_per_contract, slippage = 5, pyramiding=1, calc_on_every_tick=true)
src = input(title="Source", defval=close)- 1