ChaoZhang
Strategy Logic
This strategy determines asset allocation and hedging based on long-term trends.
The logic is:
Select a base asset, moving average period and resolution
Compute simple moving average of the asset
Price crossing above MA signals long-term bullishness, go long the asset
Price crossing below MA signals long-term bearishness, go short the asset
Can also go long-only or short-only
Judge long-term trend using asset price versus its MA
Take opposing position for hedging short-term fluctuations
The strategy hedges near-term risks and focuses on the asset’s secular trend, allowing steady gains.
Advantages
Simple MA system to determine long-term trend
Long/short pairing effectively hedges systemic risks
Clear long and short signals
Risks
MA lags price movements
Holding costs of long-term positions
Needs risk management across multiple legs
Summary
This strategy hedges using long-term and short-term asset combinations, emphasizing risk management. But MA lag and holding costs require consideration.
/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 1h
basePeriod: 15m
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/
// © danilogalisteu
//@version=4
strategy("Long Term L/S", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
base = input("BMFBOVESPA:IBOV")
period = input(5, 'SMA Period', input.integer)
resolution = input(title="SMA Resolution", type=input.resolution, defval='M')
strat = input(title="Strategy", defval="Long/Short", options=["Long Only", "Long/Short", "Short Only"])
strat_val = strat == "Long Only" ? 1 : strat == "Long/Short" ? 0 : -1
base_cl = security((base), resolution, close)
base_ma = sma(base_cl, period)
longCondition = crossover(base_cl, base_ma)
if (longCondition)
if strat_val > -1
strategy.entry("LONG", strategy.long)
if strat_val < 1
strategy.close("SHORT")
shortCondition = crossunder(base_cl, base_ma)
if (shortCondition)
if strat_val > -1
strategy.close("LONG")
if strat_val < 1
strategy.entry("SHORT", strategy.short)
//plot(longCondition?1:0, 'L', color.blue)
//plot(shortCondition?-1:0, 'S', color.red)