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Tags: EMA sma RMA

This my new solid strategy: if you belive that “TREND IS YOUR FRIEND” this is for you!

I have tested with many pairs and at many timeframes and have profit with just minor changes in settings. I suggest to use it for intraday trading.

VERY IMPORTANT NOTE: this is a trend following strategy, so the target is to stay in the trade as much as possible. If your trading style is more focused on scalping and/or pullbaks, this strategy is not for you.

This strategy uses moving averages applied to Fourier waves for forecasting trend direction.

How strategy works:

- Buy when fast MA is above mid MA and price is above slow MA, which acts as a trend indicator.
- Sell when fast MA is below mid MA and price is below slow MA, which acts as a trend indicator.

Strategy uses a lot of pyramiding orders because when you are in a flat market phase it will close 1 or 2 orders with a loss, but when a big trend starts, it will have profit in a lot of orders. So, if you analize carefully the strategy results, you will note that “Percent Profitable” is very low (30% in this case) because strategy opened a lot of orders also in flat markets with small losses, BUT “Avg # bars in winning trades” is very high and overall Profit is very high: when a big trend starts, orders are kept open for long time generating big profits.

Thanks to all pinescripters mentioned in the code for their snippets.

I have also a study with alerts. Next improvement (only to whom is interested to this script and follows me): study with alerts on multiple tickers all at one. Leave a comment if you want to have access to study.

HOW TO USE STRATEGY AND STUDY TOGHETER: 1- Add to chart the strategy first, so your workspace will be as clean as possible. 2- Open the Strategy Tester tab at footer of the page. 3- Modify settings to get best results (Profit, Profit Factor, Drawdown). 4- Add study with alerts to your chart with same setting of strategy. I WILL PROVIDE A DETAILED QUICK INSTALLATION GUIDE WITH THE STUDY!

**backtest**

/*backtest start: 2022-04-25 00:00:00 end: 2022-05-24 23:59:00 period: 10m 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/ // © 03.freeman //@version=4 strategy("FTSMA", overlay=true, precision=6, initial_capital=10000,calc_on_every_tick=true, pyramiding=10, default_qty_type=strategy.fixed, default_qty_value=10000, currency=currency.EUR) src=input(close,"Source") slowMA=input(200,"Slow MA period") mediumMA=input(20,"Mid MA period") fastMA=input(5,"Fast MA period") plotSMA=input(true,"Use MA") sin1=input(1,"First sinusoid",minval=1) sin2=input(2,"Second sinusoid",minval=1) sin3=input(3,"Third sinusoid",minval=1) smoothinput = input('EMA', title = "MA Type", options =['EMA', 'SMA', 'ALMA','FRAMA','RMA', 'SWMA', 'VWMA','WMA','LinearRegression']) linearReg=input(false, "Use linear regression?") linregLenght=input(13, "Linear regression lenght") linregOffset=input(0, "Linear regression offset") //------FRAMA ma--------- ma(src, len) => float result = 0 int len1 = len/2 frama_SC=200 frama_FC=1 e = 2.7182818284590452353602874713527 w = log(2/(frama_SC+1)) / log(e) // Natural logarithm (ln(2/(SC+1))) workaround H1 = highest(high,len1) L1 = lowest(low,len1) N1 = (H1-L1)/len1 H2_ = highest(high,len1) H2 = H2_[len1] L2_ = lowest(low,len1) L2 = L2_[len1] N2 = (H2-L2)/len1 H3 = highest(high,len) L3 = lowest(low,len) N3 = (H3-L3)/len dimen1 = (log(N1+N2)-log(N3))/log(2) dimen = iff(N1>0 and N2>0 and N3>0,dimen1,nz(dimen1[1])) alpha1 = exp(w*(dimen-1)) oldalpha = alpha1>1?1:(alpha1<0.01?0.01:alpha1) oldN = (2-oldalpha)/oldalpha N = (((frama_SC-frama_FC)*(oldN-1))/(frama_SC-1))+frama_FC alpha_ = 2/(N+1) alpha = alpha_<2/(frama_SC+1)?2/(frama_SC+1):(alpha_>1?1:alpha_) frama = 0.0 frama :=(1-alpha)*nz(frama[1]) + alpha*src result := frama result // ----------MA calculation - ChartArt and modified by 03.freeman------------- calc_ma(src,l) => _ma = smoothinput=='SMA'?sma(src, l):smoothinput=='EMA'?ema(src, l):smoothinput=='WMA'?wma(src, l):smoothinput=='LinearRegression'?linreg(src, l,0):smoothinput=='VWMA'?vwma(src,l):smoothinput=='RMA'?rma(src, l):smoothinput=='ALMA'?alma(src,l,0.85,6):smoothinput=='SWMA'?swma(src):smoothinput=='FRAMA'?ma(sma(src,1),l):na //---------------------------------------------- //pi = acos(-1) // Approximation of Pi in _n terms --- thanks to e2e4mfck f_pi(_n) => _a = 1. / (4. * _n + 2) _b = 1. / (6. * _n + 3) _pi = 0. for _i = _n - 1 to 0 _a := 1 / (4. * _i + 2) - _a / 4. _b := 1 / (6. * _i + 3) - _b / 9. _pi := (4. * _a) + (4. * _b) - _pi pi=f_pi(20) //---Thanks to xyse----https://www.tradingview.com/script/UTPOoabQ-Low-Frequency-Fourier-Transform/ //Declaration of user-defined variables N = input(defval=64, title="Lookback Period", type=input.integer, minval=2, maxval=600, confirm=false, step=1, options=[2,4,8,16,32,64,128,256,512,1024,2048,4096]) //Real part of the Frequency Domain Representation ReX(k) => sum = 0.0 for i=0 to N-1 sum := sum + src[i]*cos(2*pi*k*i/N) return = sum //Imaginary part of the Frequency Domain Representation ImX(k) => sum = 0.0 for i=0 to N-1 sum := sum + src[i]*sin(2*pi*k*i/N) return = -sum //Get sinusoidal amplitude from frequency domain ReX_(k) => case = 0.0 if(k!=0 and k!=N/2) case := 2*ReX(k)/N if(k==0) case := ReX(k)/N if(k==N/2) case := ReX(k)/N return = case //Get sinusoidal amplitude from frequency domain ImX_(k) => return = -2*ImX(k)/N //Get full Fourier Transform x(i, N) => sum1 = 0.0 sum2 = 0.0 for k=0 to N/2 sum1 := sum1 + ReX_(k)*cos(2*pi*k*i/N) for k=0 to N/2 sum2 := sum2 + ImX_(k)*sin(2*pi*k*i/N) return = sum1+sum2 //Get single constituent sinusoid sx(i, k) => sum1 = ReX_(k)*cos(2*pi*k*i/N) sum2 = ImX_(k)*sin(2*pi*k*i/N) return = sum1+sum2 //Calculations for strategy SLOWMA = plotSMA?calc_ma(close+sx(0,sin1),slowMA):close+sx(0,sin1) MEDMA = plotSMA?calc_ma(close+sx(0,sin2),mediumMA):close+sx(0,sin2) FASTMA = plotSMA?calc_ma(close+sx(0,sin3),fastMA):close+sx(0,sin3) SLOWMA := linearReg?linreg(SLOWMA,linregLenght,linregOffset):SLOWMA MEDMA := linearReg?linreg(MEDMA,linregLenght,linregOffset):MEDMA FASTMA := linearReg?linreg(FASTMA,linregLenght,linregOffset):FASTMA //Plot 3 Low-Freq Sinusoids plot(SLOWMA, color=color.green) plot(MEDMA, color=color.red) plot(FASTMA, color=color.blue) // Strategy: (Thanks to JayRogers) // === STRATEGY RELATED INPUTS === // the risk management inputs inpTakeProfit = input(defval = 0, title = "Take Profit Points", minval = 0) inpStopLoss = input(defval = 0, title = "Stop Loss Points", minval = 0) inpTrailStop = input(defval = 0, title = "Trailing Stop Loss Points", minval = 0) inpTrailOffset = input(defval = 0, title = "Trailing Stop Loss Offset Points", minval = 0) // === RISK MANAGEMENT VALUE PREP === // if an input is less than 1, assuming not wanted so we assign 'na' value to disable it. useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na useTrailStop = inpTrailStop >= 1 ? inpTrailStop : na useTrailOffset = inpTrailOffset >= 1 ? inpTrailOffset : na longCondition = FASTMA>MEDMA and close > SLOWMA //crossover(FASTMA, MEDMA) and close > SLOWMA if (longCondition) strategy.entry("Long Entry", strategy.long) shortCondition = FASTMA<MEDMA and close < SLOWMA //crossunder(FASTMA, MEDMA) and close < SLOWMA if (shortCondition) strategy.entry("Short Entry", strategy.short) // === STRATEGY RISK MANAGEMENT EXECUTION === // finally, make use of all the earlier values we got prepped strategy.exit("Exit Buy", from_entry = "Long Entry", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset) strategy.exit("Exit Sell", from_entry = "Short Entry", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)

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