ChaoZhang
In the field of quantitative trading, trend following strategies have always been one of the most popular trading methods. This article introduces a trend following strategy based on a dual moving average system, which improves trading efficiency through optimized risk-reward ratios.
Strategy Overview
This strategy uses 20-day and 200-day exponential moving averages (EMA) as primary indicators, combined with a 3:1 risk-reward ratio for trading decisions. Buy signals are generated when the price breaks above the 20-day EMA and the 20-day EMA is above the 200-day EMA. Each trade has fixed stop-loss (-0.5%) and take-profit (1.5%) levels to ensure controlled risk.
Strategy Principles
The core logic includes several key elements: 1. Uses 20-day and 200-day EMAs to judge market trends, with the 200-day EMA representing long-term trend and 20-day EMA reflecting short-term movements 2. A buy signal is generated when price breaks above the 20-day EMA and the 20-day EMA is above the 200-day EMA, indicating an upward trend 3. Employs a 3:1 risk-reward ratio, with take-profit level (1.5%) being three times the stop-loss level (0.5%) 4. Uses variables to track trade status and avoid duplicate entries 5. Resets trade status when price falls below 20-day EMA, preparing for the next trade
Strategy Advantages
- Dual moving average system effectively filters market noise and improves signal reliability
- Fixed risk-reward ratio supports long-term profitable trading
- Clear entry and exit rules reduce subjective judgment
- High degree of automation, easy to implement and backtest
- Comprehensive risk control mechanism with clear stop-loss levels for each trade
Strategy Risks
- May generate frequent false signals in ranging markets
- Fixed stop-loss and take-profit levels may not suit all market conditions
- Trading costs not considered may affect actual returns
- Stop-loss placement may be too close to entry in high-volatility markets
- Market liquidity factors not considered
Optimization Directions
- Introduce volume indicators to improve trend judgment accuracy
- Dynamically adjust stop-loss and take-profit levels based on market volatility
- Add trend strength filters to reduce false signals
- Consider incorporating market sentiment indicators
- Optimize position management system for better money management
Summary
This is a well-structured trend following strategy with clear logic. By combining a dual moving average system with fixed risk-reward ratios, the strategy achieves good returns while maintaining risk control. Though there are areas for optimization, it’s overall a trading system worthy of further research and improvement.
/*backtest
start: 2019-12-23 08:00:00
end: 2024-11-27 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Estrategia de Compra con Ratio 3:1", overlay=true)
// Parámetros de la temporalidad diaria y las EMAs
ema20 = ta.ema(close, 20)
ema200 = ta.ema(close, 200)
// Condiciones para la entrada en largo
cierre_por_encima_ema20 = close > ema20
ema20_mayor_ema200 = ema20 > ema200
// Variable para registrar si ya se realizó una compra
var bool compra_realizada = false
// Condición para registrar una compra: primera vez que cierra por encima de EMA 20 con EMA 20 > EMA 200
if (cierre_por_encima_ema20 and ema20_mayor_ema200 and not compra_realizada)
// Abrir una operación de compra
strategy.entry("Compra", strategy.long)
compra_realizada := true // Registrar que se realizó una compra
// Definir los niveles de stop loss y take profit basados en el ratio 3:1
stop_loss = strategy.position_avg_price * 0.995 // -0.50% (rendimiento)
take_profit = strategy.position_avg_price * 1.015 // +1.50% (3:1 ratio)
// Establecer el stop loss y take profit
strategy.exit("Take Profit / Stop Loss", from_entry="Compra", stop=stop_loss, limit=take_profit)
// Condición para resetear la compra: cuando el precio cierra por debajo de la EMA de 20
if (close < ema20)
compra_realizada := false // Permitir una nueva operación
// Ploteo de las EMAs
plot(ema20, title="EMA 20", color=color.blue, linewidth=2)
plot(ema200, title="EMA 200", color=color.red, linewidth=2)
// Colorear el fondo cuando el precio está por encima de ambas EMAs
bgcolor(cierre_por_encima_ema20 and ema20_mayor_ema200 ? color.new(color.green, 80) : na)