This strategy implements adaptive long/short trading using multiple sets of EMA indicators. It adopts EMAs with different parameters for entry and exit based on market long-term and short-term trends. The strategy automatically recognizes bull/bear market and uses independent stop loss to control risk.
The strategy mainly utilizes the crossover principle of EMA indicators. Long when fast EMA crosses above slow EMA, and short when crossing below. It sets up multiple EMAs and chooses different parameters based on market trends. Specifically, when judging long-term trend is bullish, a set of longer period EMAs are used for long signal; when bearish, another set of shorter period EMAs are used for short. Exits also adopt different period EMAs. Stop loss uses fixed percentage trailing stop based on position direction.
The strategy achieves adaptive effect leveraging multiple EMA crossovers, keeping EMA’s advantages and making the strategy more flexible. With proper filters and dynamic stops added, it can become a highly practical automated trading system.
/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-07 00:00:00
period: 12h
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/
// © str1nger
//@version=4
// strategy(title="BTC - 4hr - Long/Short", shorttitle="BTC - 4hr - Long/Short", overlay=true, initial_capital=1000, default_qty_type=strategy.percent_of_equity, default_qty_value=75,commission_type=strategy.commission.percent, commission_value=0.075)//////<---Uses a percentage of starting equity
//DATE RANGE//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
startDate = input(title="Start Date", type=input.integer,
defval=1, minval=1, maxval=31)
startMonth = input(title="Start Month", type=input.integer,
defval=1, minval=1, maxval=12)
startYear = input(title="Start Year", type=input.integer,
defval=2020, minval=2000, maxval=2100)
endDate = input(title="End Date", type=input.integer,
defval=1, minval=1, maxval=31)
endMonth = input(title="End Month", type=input.integer,
defval=12, minval=1, maxval=12)
endYear = input(title="End Year", type=input.integer,
defval=2021, minval=2000, maxval=2100)
inDateRange = true
//EMAs//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//LONG
//11,33,3,40
lof= input(11, title="Long Open - Fast", step=1)
los= input(33, title="Long Open - Slow", step=1)
lcf= input(3, title="Long Close - Fast", step=1)
lcs= input(40, title="Long Close - Slow", step=1)
ema_long_open_fast = ema(close, lof)
ema_long_open_slow = ema(close, los)
ema_long_close_fast= ema(close, lcf)
ema_long_close_slow = ema(close, lcs)
//SHORT
//5,11,4,7
sof= input(5, title="Short Open - Fast", step=1)
sos= input(11, title="Short Open - Slow", step=1)
scf= input(4, title="Short Close - Fast", step=1)
scs= input(7, title="Short Close - Slow", step=1)
ema_short_open_fast = ema(close, sof)
ema_short_open_slow = ema(close, sos)
ema_short_close_fast = ema(close, scf)
ema_short_close_slow = ema(close, scs)
//CONDITIONS///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//LONG
openlong = crossover(ema_long_open_fast, ema_long_open_slow)
closelong = crossover(ema_long_close_slow, ema_long_close_fast)
//1.7%
long_loss_percent = input(title="Long Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=1.7) * 0.01
long_stop_price = strategy.position_avg_price * (1 - long_loss_percent)
//SHORT
openshort = crossover(ema_short_open_slow, ema_short_open_fast)
closeshort = crossover(ema_short_close_fast, ema_short_close_slow)
//0.4%
short_loss_percent = input(title="Short Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=0.4) * 0.01
short_stop_price = strategy.position_avg_price * (1 + short_loss_percent)
//PLOT EMAs////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//LONG
plot(ema_long_open_fast, "Long EMA open lower", linewidth=1, color=color.green)
plot(ema_long_open_slow, "Long EMA close upper", linewidth=1, color=color.green)
plot(ema_long_close_fast, "Long close lower", linewidth=1, color=color.red)
plot(ema_long_close_slow, "Long close upper", linewidth=1, color=color.red)
//SHORT
plot(ema_short_open_fast, "Short open fast", linewidth=1, color=color.green)
plot(ema_short_open_slow, "Short open slow", linewidth=1, color=color.green)
plot(ema_short_close_fast, "Short close fast", linewidth=1, color=color.red)
plot(ema_short_close_slow, "Short close slow", linewidth=1, color=color.red)
//LONG-TERM TRENDS
//LONG 144
long_term_trend_longs= input(144, title="Long-term trend - Longs", step=1)
lttl= ema(close, long_term_trend_longs)
plot(lttl, "Long-term trend - Longs", linewidth=2, color=color.blue)
//SHORT 89
long_term_trend_shorts= input(89, title="Long-term trend - Shorts", step=1)
ltts = ema(close, long_term_trend_shorts)
plot(ltts, "Long-term trend - Shorts", linewidth=2, color=color.blue)
//STRATEGY//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//LONG
if (inDateRange and openlong and (close > lttl))
strategy.entry("OL", long=true, comment="##insert open long comment here##")
if (inDateRange and closelong)
strategy.close("OL", comment="##insert close long comment here##")
if strategy.position_size > 0
strategy.exit("L-SL", stop=long_stop_price, comment="##insert long stop-loss comment here##")
//SHORT
if (inDateRange and openshort and (close < ltts))
strategy.entry("OS", long=false, comment="##insert open short comment here##")
if (inDateRange and closeshort)
strategy.close("OS", comment="##insert close short comment here##")
if strategy.position_size < 0
strategy.exit("S-SL", stop=short_stop_price, comment="##inster short stop-loss comment here##")