
Chiến lược này là một chiến lược kết hợp nhiều chỉ số với MACD là cốt lõi. Nó tích hợp 5 tín hiệu giao dịch của MACD, và có thêm 5 đường trung bình di chuyển được tích hợp để lựa chọn. Chiến lược này tận dụng tối đa khả năng phán đoán xu hướng của MACD, đặt các điều kiện giao dịch khác nhau để lọc các tín hiệu sai, do đó có khả năng kiếm được lợi nhuận cao hơn.
Chiến lược theo dõi xu hướng MACD đa khung thời gian (Multi-timeframe MACD Trend Following Strategy)
Chiến lược này chủ yếu dựa vào chỉ số MACD để xác định xu hướng. MACD là đường MACD được hình thành từ đường nhanh (EMA ngày 12) trừ đường chậm (EMA ngày 26), sau đó vẽ đường trung bình di chuyển của nó là đường tín hiệu.
Chiến lược này đặt ra 5 điều kiện giao dịch:
Trong khi đó, chiến lược này cũng cung cấp 5 loại moving average (EMA, SMA, VWMA, RMA, WMA) và các thiết lập tham số có thể tùy chỉnh.
Bạn có thể giảm rủi ro bằng cách điều chỉnh các tham số, thiết lập dừng lỗ và kết hợp các chỉ số khác.
Chiến lược này có thể được tối ưu hóa theo các khía cạnh sau:
Chiến lược này nói chung là một chiến lược theo dõi xu hướng rất thực tế. Nó sử dụng lợi thế của chỉ số MACD, đặt các điều kiện giao dịch khác nhau để lọc các tín hiệu sai, do đó có cơ hội giao dịch có xác suất cao.
/*backtest
start: 2023-01-16 00:00:00
end: 2024-01-22 00:00:00
period: 1d
basePeriod: 1h
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/
// © HamidBox
//@version=4
strategy("MACD [5-in-1]")
matype_zone(src, len, type) =>
type == "EMA" ? ema(src, len) :
type == "SMA" ? sma(src, len) :
type == "RMA" ? rma(src, len) :
type == "WMA" ? wma(src, len) :
type == "VWMA" ? vwma(src, len) :
na
matype_signal(src, len, type) =>
type == "EMA" ? ema(src, len) :
type == "SMA" ? sma(src, len) :
type == "RMA" ? rma(src, len) :
type == "WMA" ? wma(src, len) :
type == "VWMA" ? vwma(src, len) :
na
// MACD INPUTS ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
macd_FastLength = input(title="MACD Fast", defval=12, minval=1, type=input.integer, inline="fastslow") ///
macd_SlowLength = input(title="MACD Slow ", defval=26, minval=1, type=input.integer, inline="fastslow") ///
macd_signalLen = input(title="Signal Line", defval=9, minval=1, type=input.integer, inline="signalsrc") ///
macd_Source = input(title="Source ", defval=close, type=input.source, inline="signalsrc") ///
MACD_Line = input(title="Oscilattor ", defval="EMA", type=input.string, options=["EMA" , "SMA"], inline="matype") ///
SignalLine = input(title="Signal ", defval="EMA", type=input.string, options=["EMA" , "SMA"], inline="matype") ///
///
// MACD SETUP /////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
macd_Fast = MACD_Line == "SMA" ? sma(macd_Source , macd_FastLength) : ema(macd_Source , macd_FastLength) ///
macd_Slow = MACD_Line == "SMA" ? sma(macd_Source , macd_SlowLength) : ema(macd_Source , macd_SlowLength) ///
MACD = macd_Fast - macd_Slow ///
Signal = SignalLine == "SMA" ? sma(MACD, macd_signalLen) : ema(MACD, macd_signalLen) ///
histogram = MACD - Signal ///
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// MACD CONDITIONS SECTION /////////////////////////////////////////////////////
macd_grtr_signal = MACD > Signal //
macd_less_signal = MACD < Signal //
macd_crsovr_signal = crossover(MACD , Signal) ? MACD : na // FOR MACD CROSS DOT PLOTING //
macd_crsndr_signal = crossunder(MACD , Signal) ? MACD : na // FOR MACD CROSS DOT PLOTING //
macd_crsovr = crossover(MACD , Signal) //
macd_crsndr = crossunder(MACD , Signal) //
////////////////////////////////////////////////////////////////////////////////
// Choose your Desire Signal ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_crs_signal = input(true, "Stgy №1:👉 MACD CrossOver", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\nBUY: MACD CrossOver Signal Line\nSELL: MACD CrossUnder Signal Line\nDefault Signal")
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_OB = input(false, "Stgy №2:👉 MACD + OverBought ", inline="obs", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="MACD also work as OverBought & OverSold system, same like RSI or other indicators who have OB/OS system, so i added OB-Level in MACD,\nso simple rule is: if MACD Lines is Above OB-Level, we will not take any trade, we only follow MACD signals when MACD-Lines will Below OB-Level")
MACD_OB_LVL = input(title="", defval=0.0, type=input.float, inline="obs", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="MACD also work as OverBought & OverSold system, same like RSI or other indicators who have OB/OS system, so i added OB-Level in MACD,\nso simple rule is: if MACD Lines is Above OB-Level, we will not take any trade, we only follow MACD signals when MACD-Lines will Below OB-Level")
hline(MACD_OB_LVL, color=color.red, title="MACD OB", linestyle=hline.style_dashed)
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_close = input(false, "Stgy №3:👉 MACD + Close ", inline="MAsignal", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) Than Moving Average\n\nSELL RULES\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) Than Moving Average\n\nExplanation: When (MACD Cross Signal Line) and also Market current Candle Close or previous 1st-4th any Candle will have close greater than Moving Average (You Choose: EMA or SMA etc...)\n🚦NOTE: in this Condition only Singal Moving Average work => (Slow MA),")
MA_signal_len = input(title="", defval=21, type=input.integer, inline="MAsignal", group="CHOOSE YOUR DESIRE SIGNAL") // //
MA_signal_type = input(title="", defval="EMA", options=["SMA" , "EMA" , "RMA", "WMA" , "VWMA" , "DEMA", "TEMA"], inline="MAsignal", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) Than Moving Average\n\nSELL RULES\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) Than Moving Average\n\nExplanation: When (MACD Cross Signal Line) and also Market current Candle Close will have close greater than Moving Average (You Choose: EMA or SMA etc...)") // //
dema = if MA_signal_type == "DEMA"
ema = ema(close , MA_signal_len)
2 * ema - ema(ema , MA_signal_len)
tema = if MA_signal_type == "TEMA"
ema = ema(close , MA_signal_len)
3 * (ema - ema(ema, MA_signal_len)) + ema(ema(ema, MA_signal_len), MA_signal_len)
MA_signal = matype_zone(close, MA_signal_len, MA_signal_type)
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_ZONE = input(false, "Stgy №4:👉 MACD + MA-ZONE ", inline="MAZONE", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES:\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) than (MA-ZONE)\n\nSELL RULES:\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) than (MA-ZONE)")
MA_zone_len = input(title="", defval=21, type=input.integer, inline="MAZONE", group="CHOOSE YOUR DESIRE SIGNAL")
MA_zone_type = input(title="", defval="EMA", options=["SMA" , "EMA" , "RMA", "WMA" , "VWMA" , "DEMA", "TEMA"], inline="MAZONE", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES:\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) than (MA-ZONE)\n\nSELL RULES:\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) than (MA-ZONE)")
dema2 = if MA_zone_type == "DEMA"
ema = ema(close , MA_zone_len)
2 * ema - ema(ema , MA_zone_len)
tema2 = if MA_zone_type == "TEMA"
ema = ema(close , MA_zone_len)
3 * (ema - ema(ema, MA_zone_len)) + ema(ema(ema, MA_zone_len), MA_zone_len)
MA_zone_srcHi = matype_signal(high, MA_zone_len, MA_zone_type) // //
MA_zone_srcLO = matype_signal(low, MA_zone_len, MA_zone_type)
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_wid_rsiOB = input(false, "Stgy №5:👉 MACD + RSI-OB", group="CHOOSE YOUR DESIRE SIGNAL")
rsilen = input(title="Length", defval=14, type=input.integer, inline="rsi", group="CHOOSE YOUR DESIRE SIGNAL")
rsi_ent_value = input(title="Entry", defval=50, type=input.integer, minval=1, inline="rsi", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY Rule\nMACD Crossover Signal\nRSI Greater then Entry Level (You Choose)\n\n🚦🚦🚦 Explanation 🚦🚦🚦\nWe have RSI with 2 Levels,\n1st: Entry Level\n2nd: No-Entry Level\n\nEntry level:\nfor never want to BUY trade when RSI is Below our specific Level, like you want open Trade when RSI above 50 level or 30 level etc... \n\nNo-Entry Level:\nthis is same as (Entry Level) Condition, as we know RSI-70 level use for OverBought, and its mean market will go down after RSI-OB level, and thats why we can set overbought level for NO-ENTRY when Market is on OverBought area.")
rsi_ob_value = input(title="No-Entry", defval=70, minval=1, type=input.integer, inline="rsi", group="CHOOSE YOUR DESIRE SIGNAL")
RSI = rsi(close , rsilen)
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
startTime = input(title="Start Time ", type = input.time, defval = timestamp("01 Jan 2021 00:00 +0000"), inline="Backtesting Time Period")
endTime = input(title="End Time ", type = input.time, defval = timestamp("01 Jan 2022 00:00 +0000"))
inDateRange = true
// Stgy №1:👉 MACD Cross Signal CONDITION //////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + CLOSE )) ////
if macd_crsovr and MACD_crs_signal and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#1") ////
if macd_crsndr and MACD_crs_signal and inDateRange ////
strategy.close("BUY", comment="x") ////
////////////////////////////////////////////////////////////////////////////////
// // Stgy №1 Ploting
// plotshape(MACD_crs_signal ? macd_crsovr : na, title="Stgy Sign", color=color.blue, style=shape.labelup, text="MACD", textcolor=color.white, location=location.bottom)
// plotshape(MACD_crs_signal ? macd_crsndr : na, title="Stgy Sign", color=color.maroon, style=shape.labeldown, text="MACD-x", textcolor=color.white, location=location.top)
// ////////////////////////////////////////////////////////////////////////////////
// Stgy №2:👉 MACD + OverBought CONDITION //////////////////////////////////////
only_Trade_when = MACD < MACD_OB_LVL and Signal < MACD_OB_LVL ////
macd_ob_buy = macd_crsovr and only_Trade_when ////
macd_ob_sell = macd_crsndr ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + ZONE )) ////
if macd_ob_buy and MACD_OB and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#2") ////
if macd_ob_sell and MACD_OB and inDateRange ////
strategy.close("BUY", comment="x") ////
////////////////////////////////////////////////////////////////////////////////
// plotshape(MACD_OB ? macd_ob_buy : na, title="Stgy Sign", color=color.blue, style=shape.labelup, text="M+OB", textcolor=color.white, location=location.bottom)
// plotshape(MACD_OB ? macd_ob_sell : na, title="Stgy Sign", color=color.maroon, style=shape.labeldown, text="M+OB-x", textcolor=color.white, location=location.top)
// ////////////////////////////////////////////////////////////////////////////////
// Stgy №3:👉 MACD + CLOSE CONDITION ///////////////////////////////////////////
macd_close_buy = macd_crsovr and ( ( close > MA_signal or (close[1] > MA_signal[1]) or (close[2] > MA_signal[2]) or (close[3] > MA_signal[3]) ) or ( close > dema or (close[1] > dema[1]) or (close[2] > dema[2]) or (close[3] > dema[3]) ) or ( close > tema or (close[1] > tema[1]) or (close[2] > tema[2]) or (close[3] > tema[3]) ) )
macd_close_sell = macd_crsndr and ( ( close > MA_signal or (close[1] < MA_signal[1]) or (close[2] < MA_signal[2]) or (close[3] < MA_signal[3]) ) or ( close < dema or (close[1] < dema[1]) or (close[2] < dema[2]) or (close[3] < dema[3]) ) or ( close < tema or (close[1] < tema[1]) or (close[2] < tema[2]) or (close[3] < tema[3]) ) ) ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + CLOSE )) ////
if macd_close_buy and MACD_close and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#3") ////
if macd_close_sell and MACD_close and inDateRange ////
strategy.close("BUY", comment="x") ////
////////////////////////////////////////////////////////////////////////////////
// // Stgy №3 Ploting
// plotshape(MACD_close ? macd_close_buy : na, title="Stgy Sign", color=color.blue, style=shape.labelup, text="MACD", textcolor=color.white, location=location.bottom)
// plotshape(MACD_close ? macd_close_sell : na, title="Stgy Sign", color=color.maroon, style=shape.labeldown, text="MACD-x", textcolor=color.white, location=location.top)
// ////////////////////////////////////////////////////////////////////////////////
// Stgy №3:👉 MACD + MA-ZONE MACD + ZONE CONDITION /////////////////////////////
macd_zone_buy = macd_crsovr and ( ( close > MA_zone_srcHi or (close[1] > MA_zone_srcHi[1]) or (close[2] > MA_zone_srcHi[2]) or (close[3] > MA_zone_srcHi[3]) ) or ( close > dema2 or (close[1] > dema2[1]) or (close[2] > dema2[2]) or (close[3] > dema2[3]) ) or ( close > tema2 or (close[1] > tema2[1]) or (close[2] > tema2[2]) or (close[3] > tema2[3]) ) ) ////
macd_zone_sell = macd_crsndr and ( ( close < MA_zone_srcHi or (close[1] < MA_zone_srcHi[1]) or (close[2] < MA_zone_srcHi[2]) or (close[3] < MA_zone_srcHi[3]) ) or ( close < dema2 or (close[1] < dema2[1]) or (close[2] < dema2[2]) or (close[3] < dema2[3]) ) or ( close < tema2 or (close[1] < tema2[1]) or (close[2] < tema2[2]) or (close[3] < tema2[3]) ) ) ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + ZONE )) ////
if macd_zone_buy and MACD_ZONE and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#4") ////
if macd_zone_sell and MACD_ZONE and inDateRange ////
strategy.close_all() ////
////////////////////////////////////////////////////////////////////////////////
// Stgy №5:👉 MACD + RSI-OB CONDITION //////////////////////////////////////////
MACD_rsi_EnBuy = RSI > rsi_ent_value and RSI < rsi_ob_value ////
MACD_rsi_EnSell = RSI < rsi_ent_value ////
MACD_rsi_Ex = crossunder(RSI , rsi_ob_value) or crossunder(RSI[1] , rsi_ob_value[1]) or crossunder(RSI[2] , rsi_ob_value[2]) or crossunder(RSI[3] , rsi_ob_value[3]) or crossunder(RSI[4] , rsi_ob_value[4]) or crossunder(RSI[5] , rsi_ob_value[5]) or crossunder(RSI[6] , rsi_ob_value[6]) ////
////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// ((MACD + RSI-OB )) ////
if macd_crsovr and MACD_rsi_EnBuy and MACD_wid_rsiOB and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#5") ////
if macd_crsndr and MACD_wid_rsiOB and inDateRange ////
strategy.close("BUY", comment="x") ////
////////////////////////////////////////////////////////////////////////////////
if (not inDateRange) ///
strategy.close_all() ///
//////////////////////////////////
// MACD COLORS SECTION /////////////////////////////////////////////////////////
// ( Colors of [MACD and Signal-Line] )
MACD_width = input(title="MACD Line ", defval=2, minval=1, type=input.integer, group="🚦🚦macd Width & Colors setting🚦🚦", inline="macdColor")
MACD_color_High = input(#11ff00, title="", type=input.color, group="🚦🚦macd Width & Colors setting🚦🚦", inline="macdColor")
MACD_color_Low = input(#e91e63, title="", type=input.color, group="🚦🚦macd Width & Colors setting🚦🚦", inline="macdColor")
signal_width = input(title="Signal Line ", defval=2, minval=1, type=input.integer, group="🚦🚦macd Width & Colors setting🚦🚦", inline="signal")
signalLine_col_hi = input(#ffeb3b, title="", type=input.color, inline="signal", group="🚦🚦macd Width & Colors setting🚦🚦")
signalLine_col_lo = input(#ffeb3b, title="", type=input.color, inline="signal", group="🚦🚦macd Width & Colors setting🚦🚦")
// ((Histogram Color)) /////////////////////////////////////////////////////////
macd_hist_on = input(true, "Histogram ", inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
BuyStrongHist = input(#26A69A, title="", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
BuyWeakHist = input(#B2DFDB, title="", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
SellWeakHist = input(#FFCDD2, title="✨", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
SellStrongHist = input(#FF5252, title="", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
// ((FOR HISTOGRAM COLOR CONDITION))
hist_col = (histogram >= 0 ? (histogram[1] < histogram ? BuyStrongHist : BuyWeakHist) : histogram[1] < histogram ? SellWeakHist : SellStrongHist)
// (( CROSSOVER DOT) ///////////////////////////////////////////////////////////
macd_crsovr_dot_on = input(true, "Cross ", inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
macd_cross_width = input(defval=5, title="", inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
dot_crsovr_col = input(#ffffff, title="", type=input.color, inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
dot_crsndr_col = input(color.new(#e91e63, 0), title="", type=input.color, inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
// (( MACD ZONE COLOR ))
zone_on = input(true, "Zone Color ", inline="zone", group="🚦🚦macd Width & Colors setting🚦🚦")
zone_crsovr_col = input(color.new(color.lime, 70), title="", type=input.color, inline="zone", group="🚦🚦macd Width & Colors setting🚦🚦")
zone_crsndr_col = input(color.new(#e91e63, 70), title="", type=input.color, inline="zone", group="🚦🚦macd Width & Colors setting🚦🚦")
///////////////////////////////////////// ((FOR MACD LINE COLOR CONDITION))
MACD_line_col = if macd_grtr_signal //
MACD_color_High //
else //
if macd_less_signal //
MACD_color_Low //
///////////////////////////////////////// ((FOR SIGNAL LINE COLOR CONDITION))
signal_line_col = if macd_grtr_signal //
signalLine_col_hi //
else //
if macd_less_signal //
signalLine_col_lo //
///////////////////////////////////////// ((FOR MACD CROSS DOTs COLOR CONDITION))
MACD_Dot_col = if macd_crsovr_signal //
dot_crsovr_col //
else //
if macd_crsndr_signal //
dot_crsndr_col //
/////////////////////////////////////////////////////////////////////////////////////////////////
zone_crsovr_plot = if macd_grtr_signal and zone_on // ((For Zone Color Comdition + On/Off)) ///
zone_crsovr_col ///////////////////////////////////////////
else //
if macd_less_signal and zone_on //
zone_crsndr_col //
//////////////////////////////////////////////////////
// MACD PLOTING //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
histplot = plot(macd_hist_on ? histogram : na, title="Histogram", color=hist_col, style=plot.style_columns)
macdplot = plot(MACD, title="MACD", color=MACD_line_col, linewidth=MACD_width)
signalplot = plot(Signal, title="Signal", color=signal_line_col, linewidth=signal_width)
fill(macdplot , signalplot, color=zone_crsovr_plot)
plot(macd_crsovr_dot_on ? macd_crsovr_signal : na, title="c-over", style=plot.style_circles, color=MACD_Dot_col, linewidth=macd_cross_width)
plot(macd_crsovr_dot_on ? macd_crsndr_signal : na, title="c-under", style=plot.style_circles, color=MACD_Dot_col, linewidth=macd_cross_width)