The trailing buy strategy is a trend following strategy. When the fast moving average crosses over the slow moving average, it triggers an open position signal. Unlike opening position directly, this strategy will not enter the market immediately after the open position signal is triggered, but will execute the buy order only when the price reaches certain conditions. This can increase the profit of the strategy to some extent.
This strategy is based on a moving average crossover system with two moving averages. The fast moving average and the slow moving average are calculated respectively. When the fast moving average crosses over the slow moving average, a long signal is generated.
The execution logic will be different when the trailing buy option is enabled:
When the long signal is triggered, instead of buying directly, record the lowest price at that time.
Then calculate the buy price threshold according to the trailing buy percentage, i.e. lowest price * (1 + percentage).
In subsequent bars, keep comparing the current bar’s lowest price with the buy price threshold.
When the lowest price crosses over the buy price threshold, execute the buy order.
In this way, we can enter the market at a better price point after the trend is confirmed.
The advantages of this strategy are:
Using trailing buy can avoid the risk of false breakout by entering the market after the trend becomes more obvious.
Through trailing buy, better prices can be achieved, improving profit to some extent.
This strategy is simple and easy to implement.
The trailing buy stepping percentage is customizable, making the strategy more flexible.
The moving average periods can be customized to adapt to different market environments.
There are also some risks in this strategy:
Trailing buy may cause certain lag and miss the opportunity to enter.
Improper setting of the trailing buy stepping percentage may result in inability to buy.
Improper moving average periods may produce more false signals.
The strategy may suffer severe losses in ranging markets.
This is a simple strategy with room for parameter optimization.
The corresponding measures:
Shorten the trailing buy stepping percentage properly to reduce lag.
Test different percentage settings to find the optimal.
Optimize moving average periods to adapt the market.
Add other filters to avoid ranging markets.
Consider adding a stop loss to reduce losses.
The strategy can be optimized in the following directions:
Add price-volume indicators like Klinger to avoid price-volume mismatch.
Add volume condition judgments, only buy when volume expands.
Optimize moving average periods for different products.
Add volatility indicators to avoid ranging zones.
Add ATR stop loss.
Consider making the stepping percentage dynamic, stepping faster when trend is more obvious.
In summary, the trailing buy strategy improves the strategy by trailing the price to better entry points while keeping it simple. But there are still some risks in this strategy that require further optimization to adapt more market situations. Overall, this strategy provides a reference-worthy idea for quantitative trading.
/*backtest
start: 2023-10-01 00:00:00
end: 2023-10-08 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// -----------------------------------------------------------------------------
// Copyright 2022 Iason Nikolas | jason5480
// Trailing Buy script may be freely distributed under the MIT license.
//
// Permission is hereby granted, free of charge,
// to any person obtaining a copy of this software and associated documentation files (the "Software"),
// to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge,
// publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so,
// subject to the following conditions:
//
// The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
//
// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM,
// DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
//
// -----------------------------------------------------------------------------
//
// Authors: @jason5480
// Revision: v1.0.0
// Date: 15-Feb-2022
//
// Description
// =============================================================================
// This strategy will go long if fast MA crosses over slow MA.
// If the trailing buy is checked then the strategy instead of entering into the position
// directly it will follow the price downwards (percentagewise) with small steps
// If the price raise by this percentage then the entry order will be executed
//
// The strategy has the following parameters:
//
// Fast SMA Length - How many candles back to calculte the fast SMA.
// Slow SMA Length - How many candles back to calculte the slow SMA.
// Enable Trailing - Enable or disable the trailing
// Training Buy Deviation % - The step to follow the price when the open position condition is met.
// Source Buy - The price to compare the current buyPrice in order to trigger the buy order when trailing
//
// -----------------------------------------------------------------------------
// Disclaimer:
// 1. I am not licensed financial advisors or broker dealer. I do not tell you
// when or what to buy or sell. I developed this software which enables you
// execute manual or automated using TradingView. The
// software allows you to set the criteria you want for entering and exiting
// trades.
// 2. Do not trade with money you cannot afford to lose.
// 3. I do not guarantee consistent profits or that anyone can make money with no
// effort. And I am not selling the holy grail.
// 4. Every system can have winning and losing streaks.
// 5. Money management plays a large role in the results of your trading. For
// example: lot size, account size, broker leverage, and broker margin call
// rules all have an effect on results. Also, your Take Profit and Stop Loss
// settings for individual pair trades and for overall account equity have a
// major impact on results. If you are new to trading and do not understand
// these items, then I recommend you seek education materials to further your
// knowledge.
//
// YOU NEED TO FIND AND USE THE TRADING SYSTEM THAT WORKS BEST FOR YOU AND YOUR
// TRADING TOLERANCE.
//
// I HAVE PROVIDED NOTHING MORE THAN A TOOL WITH OPTIONS FOR YOU TO TRADE WITH THIS PROGRAM ON TRADINGVIEW.
//
// I accept suggestions to improve the script.
// If you encounter any problems I will be happy to share with me.
// -----------------------------------------------------------------------------
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// SETUP ============================================================================================================
strategy(title = 'Trailing Buy',
shorttitle = 'TB',
overlay = true,
pyramiding = 0,
default_qty_type = strategy.percent_of_equity,
default_qty_value = 100,
initial_capital = 100000)
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// FILTERS ==========================================================================================================
// INPUT ============================================================================================================
usefromDate = input.bool(defval = true, title = 'From', inline = "From Date", group = "Filters")
fromDate = input(defval = timestamp('01 Jan 2021 00:00 UTC'), title = '', inline = "From Date", group = 'Filters')
usetoDate = input.bool(defval = false, title = 'To ', inline = "To Date", group = "Filters")
toDate = input(defval = timestamp('31 Dec 2121 23:59 UTC'), title = '', inline = "To Date", group = 'Filters')
// LOGIC ============================================================================================================
isWithinPeriod() => true
// PLOT =============================================================================================================
bgcolor(color = isWithinPeriod() ? color.new(color.gray, 90) : na, title = 'Period')
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// STRATEGY =========================================================================================================
// INPUT ============================================================================================================
fastMALen = input.int(defval = 21, title = 'Fast/Slow SMA Length', inline = 'MA Length', group = 'Strategy')
slowMALen = input.int(defval = 49, title = '', tooltip = 'How many candles back to calculte the fast/slow SMA.', inline = 'MA Length', group = 'Strategy')
// LOGIC ============================================================================================================
fastMA = ta.sma(close, fastMALen)
slowMA = ta.sma(close, slowMALen)
bool openLongPosition = isWithinPeriod() and ta.crossover(fastMA, slowMA)
bool closeLongPosition = ta.crossunder(fastMA, slowMA)
bool longIsActive = openLongPosition or strategy.position_size > 0
// PLOT =============================================================================================================
var fastColor = color.new(#0056BD, 0)
plot(series = fastMA, title = 'Fast SMA', color = fastColor, linewidth = 1, style = plot.style_line)
var slowColor = color.new(#FF6A00, 0)
plot(series = slowMA, title = 'Slow SMA', color = slowColor, linewidth = 1, style = plot.style_line)
plotshape(series = openLongPosition and strategy.position_size <= 0 ? fastMA : na, title = 'Buy', text = 'Buy', style = shape.labelup, location = location.absolute, color = color.new(color.green, 0), textcolor = color.new(color.white, 0), size = size.tiny)
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// BUY ==============================================================================================================
// INPUT ============================================================================================================
enableTrailing = input.bool(defval = true, title = 'Enable Trailing', tooltip = 'Enable or disable the trailing for buy.', group = 'Buy')
trailingBuyDeviationPerc = input.float(defval = 4.0, title = 'Trailing Buy Deviation %', minval = 0.01, maxval = 100, step = 0.05, tooltip = 'The step to follow the price when the open position condition is met.', group = 'Buy') / 100
srcBuy = input.source(defval = high, title = 'Source Buy', tooltip = 'The price to check to trigger the buy order', group = 'Buy')
// LOGIC ============================================================================================================
int barsSinceOpenLong = nz(ta.barssince(openLongPosition), 999999)
int barsSinceCloseLong = nz(ta.barssince(closeLongPosition), 999999)
bool tryOpenLongPosition = isWithinPeriod() and barsSinceCloseLong >= barsSinceOpenLong and not (strategy.position_size > 0)
float longBuyPrice = na
longBuyPrice := if openLongPosition and not (strategy.position_size > 0)
low * (1 + trailingBuyDeviationPerc)
else if tryOpenLongPosition
math.min(low * (1 + trailingBuyDeviationPerc), nz(longBuyPrice[1], 999999))
else
na
bool executeLongPosition = enableTrailing ? isWithinPeriod() and srcBuy > longBuyPrice : openLongPosition
// PLOT =============================================================================================================
var buyColor = color.new(#419388, 0)
plot(series = enableTrailing ? longBuyPrice : na, title = 'Long Buy Price', color = buyColor, linewidth = 1, style = plot.style_linebr, offset = 1)
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒
// POSITION ORDERS ==================================================================================================
// LOGIC ============================================================================================================
// getting into LONG position
strategy.entry(id = 'Long Entry', direction = strategy.long, when = executeLongPosition, alert_message = 'Long(' + syminfo.ticker + '): Started')
// submit close order on trend reversal
strategy.close(id = 'Long Entry', when = closeLongPosition, comment = 'Close Long', alert_message = 'Long(' + syminfo.ticker + '): Closed at market price')
// PLOT =============================================================================================================
var posColor = color.new(color.white, 0)
plot(series = strategy.position_avg_price, title = 'Position', color = posColor, linewidth = 1, style = plot.style_linebr)
// ==================================================================================================================