ChaoZhang
Overview
This strategy is based on the multi-timeframe moving average crossover to track middle-long term trends. It adopts a pyramiding position to chase rises and achieve exponential capital growth. The biggest advantage is being able to catch the mid-long term trends and pyramid entries in batches and stages to obtain excess returns.
Strategy Logic
- Build multiple timeframes based on 9-day MA, 100-day MA and 200-day MA.
- Generate buy signals when shorter period MA crosses above longer period MA.
- Adopt 7 staged pyramiding entries. Check existing positions before adding new entry, stop pyramiding when 6 positions already opened.
- Set fixed 3% TP/SL for risk control.
Above is the basic trading logic.
Advantages
- Effectively catch mid-long term trends and enjoy exponential growth.
- Multi-timeframe MA crossover avoids short-term noise.
- Fixed TP/SL controls risk for each position.
- Pyramid entries in batches to obtain excess returns.
Risks & Solutions
- Risk of huge loss if fail to cut loss in trend reversal. Solution is to shorten MA periods and quicken stop loss.
- Risk of margin call if loss beyond tolerance. Solution is to lower initial position size.
- Risk of over 700% loss if strong downtrend. Solution is to raise fixed stop loss percentage.
Optimization Directions
- Test different MA combinations to find optimal parameters.
- Optimize pyramiding stages quantity. Test to find best number.
- Test fixed TP/SL settings. Expand TP range for higher profitability.
Summary
The strategy is very suitable to catch mid-long term trends. Pyramid entries in batches can achieve very high risk-reward ratio. There are also some operation risks, which should be controlled by parameter tuning. Overall this is a promising strategy worth live trading verification and further optimization.
Strategy source code
/*backtest
start: 2023-12-27 00:00:00
end: 2024-01-03 00:00:00
period: 1m
basePeriod: 1m
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/
// © Coinrule
//@version=3
strategy(shorttitle='Pyramiding Entry On Early Trends',title='Pyramiding Entry On Early Trends (by Coinrule)', overlay=false, pyramiding= 7, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 20, commission_type=strategy.commission.percent, commission_value=0.1)
//Backtest dates
fromMonth = input(defval = 1, title = "From Month")
fromDay = input(defval = 10, title = "From Day")
fromYear = input(defval = 2020, title = "From Year")
thruMonth = input(defval = 1, title = "Thru Month")
thruDay = input(defval = 1, title = "Thru Day")
thruYear = input(defval = 2112, title = "Thru Year")
showDate = input(defval = true, title = "Show Date Range")
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) // backtest finish window
window() => true // create function "within window of time"
//MA inputs and calculations
inSignal=input(9, title='MAfast')
inlong1=input(100, title='MAslow')
inlong2=input(200, title='MAlong')
MAfast= sma(close, inSignal)
MAslow= sma(close, inlong1)
MAlong= sma(close, inlong2)
Bullish = crossover(close, MAfast)
longsignal = (Bullish and MAfast > MAslow and MAslow < MAlong and window())
//set take profit
ProfitTarget_Percent = input(3)
Profit_Ticks = (close * (ProfitTarget_Percent / 100)) / syminfo.mintick
//set take profit
LossTarget_Percent = input(3)
Loss_Ticks = (close * (LossTarget_Percent / 100)) / syminfo.mintick
//Order Placing
strategy.entry("Entry 1", strategy.long, when = (strategy.opentrades == 0) and longsignal)
strategy.entry("Entry 2", strategy.long, when = (strategy.opentrades == 1) and longsignal)
strategy.entry("Entry 3", strategy.long, when = (strategy.opentrades == 2) and longsignal)
strategy.entry("Entry 4", strategy.long, when = (strategy.opentrades == 3) and longsignal)
strategy.entry("Entry 5", strategy.long, when = (strategy.opentrades == 4) and longsignal)
strategy.entry("Entry 6", strategy.long, when = (strategy.opentrades == 5) and longsignal)
strategy.entry("Entry 7", strategy.long, when = (strategy.opentrades == 6) and longsignal)
if (strategy.position_size > 0)
strategy.exit(id="Exit 1", from_entry = "Entry 1", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 2", from_entry = "Entry 2", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 3", from_entry = "Entry 3", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 4", from_entry = "Entry 4", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 5", from_entry = "Entry 5", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 6", from_entry = "Entry 6", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 7", from_entry = "Entry 7", profit = Profit_Ticks, loss = Loss_Ticks)