The core idea of this strategy is to use the combination signals of MACD indicators from multiple different timeframes to determine the timing of trend changes and implement low-risk trend following trading.
The strategy uses 5 MACD indicators from different timeframes, including 60min, 120min, 240min, 480min and Daily, forming a multi-timeframe combination of MACD indicators.
When all 5 MACDs are positive (or negative) and the previous bar was not all positive (or negative) MACDs, it is determined as a long (or short) signal and goes long (or short).
The stop loss method is fixed pips stop loss.
The take profit method is two-tier trailing stop, closing a portion and all of the positions separately.
When the MACD indicators show one long one short situation, it is judged as a signal reversal and close the current position.
TsL is also used for trailing stop loss.
The stop loss to breakeven feature is used. When reaching certain profit target, the stop loss will move to break even, locking in profits.
Pineconector syntax is used to dynamically generate trading signal alerts.
Multi-timeframe MACD combination can improve signal accuracy, capturing big trends and filter out some noise.
The two-tier trailing take profit allows taking partial profits multiple times during big trends.
Fixed pips stop loss can control single trade loss amount.
Closing when MACDs inconsistent can realize stop loss timely and avoid stop loss break.
TsL trailing stop follows the price change in real time.
SL to BE locks in some profit after turning losing positions to winning positions.
Dynamic trading alerts can connect to MT4/5 for auto trading.
MACD signals may have false breakouts, causing unnecessary losses. Fine tune MACD parameters to filter out excessive false signals.
Fixed pips stop loss may be too big or too small. Test different levels to find optimal parameter.
Two take profit levels may be too close or too far. Test different levels to find optimal parameter.
BE trigger may be too early or too late. Test different BE trigger points to find optimal parameter.
Trailing stop distance may be too big or too small. Test different distances to find optimal parameter.
Test more timeframes of MACD combination to find the best combo to capture market trends.
Introduce more indicators to determine market condition, avoiding opening positions during unfavorable conditions.
Research parameter differences between products, designing adaptive stop loss and take profit system.
Incorporate machine learning techniques for dynamic optimization of parameters.
Introduce position sizing for dynamic adjustment of position size and risk control.
In summary, this strategy uses multi-timeframe MACD to determine trends, with dual trailing take profit, trailing stop loss and BE features to lock in profits, fixed stop loss to control risk. It is a relatively stable trend following strategy. Further enhancements in stability and profitability can be achieved through parameter optimization and functionality expansion. The key is finding the optimal parameter combination to achieve the best risk-reward balance.
/*backtest start: 2023-09-24 00:00:00 end: 2023-10-24 00:00:00 period: 6h 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/ //@version=5 //@strategy_alert_message {{strategy.order.alert_message}} SCRIPT_NAME = "Heatmap MACD Strategy - Pineconnector" strategy(SCRIPT_NAME, overlay= true, process_orders_on_close = true, calc_on_every_tick = true, pyramiding = 1, initial_capital = 100000, default_qty_type = strategy.fixed, default_qty_value = 1, commission_type = strategy.commission.percent, commission_value = 0.075, slippage = 1 ) pineconnector_licence_ID = input.string(title = "Licence ID", defval = "123456789", group = "Pineconnector", tooltip = "Insert your Pineconnector Licence ID here") pos_size = input.float(3, minval = 0, maxval = 100, title = "Position Size", group = "Position Size", tooltip = "Required to specify the position size here for Pineconnector to work properly") res1 = input.timeframe('60', title='First Timeframe', group = "Timeframes") res2 = input.timeframe('120', title='Second Timeframe', group = "Timeframes") res3 = input.timeframe('240', title='Third Timeframe', group = "Timeframes") res4 = input.timeframe('240', title='Fourth Timeframe', group = "Timeframes") res5 = input.timeframe('480', title='Fifth Timeframe', group = "Timeframes") macd_src = input.source(close, title="Source", group = "MACD") fast_len = input.int(9, minval=1, title="Fast Length", group = "MACD") slow_len = input.int(26, minval=1, title="Slow Length", group = "MACD") sig_len = input.int(9, minval=1, title="Signal Length", group = "MACD") // # ========================================================================= # // # | Close on Opposite | // # ========================================================================= # use_close_opposite = input.bool(false, title = "Close on Opposite Signal?", group = "Close on Opposite", tooltip = "Close the position if 1 or more MACDs become bearish (for longs) or bullish (for shorts)") // # ========================================================================= # // # | Stop Loss | // # ========================================================================= # use_sl = input.bool(true, title = "Use Stop Loss?", group = "Stop Loss") sl_mode = "pips"//input.string("%", title = "Mode", options = ["%", "pips"], group = "Stop Loss") sl_value = input.float(40, minval = 0, title = "Value", group = "Stop Loss", inline = "stoploss")// * 0.01 // # ========================================================================= # // # | Trailing Stop Loss | // # ========================================================================= # use_tsl = input.bool(false, title = "Use Trailing Stop Loss?", group = "Trailing Stop Loss") tsl_input_pips = input.float(10, minval = 0, title = "Trailing Stop Loss (pips)", group = "Trailing Stop Loss") // # ========================================================================= # // # | Take Profit | // # ========================================================================= # use_tp1 = input.bool(true, title = "Use Take Profit 1?", group = "Take Profit 1") tp1_value = input.float(30, minval = 0, title = "Value (pips)", group = "Take Profit 1")// * 0.01 tp1_qty = input.float(50, minval = 0, title = "Quantity (%)", group = "Take Profit 1")// * 0.01 use_tp2 = input.bool(true, title = "Use Take Profit 2?", group = "Take Profit 2") tp2_value = input.float(50, minval = 0, title = "Value (pips)", group = "Take Profit 2")// * 0.01 // # ========================================================================= # // # | Stop Loss to Breakeven | // # ========================================================================= # use_sl_be = input.bool(false, title = "Use Stop Loss to Breakeven Mode?", group = "Break Even") sl_be_value = input.float(30, step = 0.1, minval = 0, title = "Value (pips)", group = "Break Even", inline = "breakeven") sl_be_offset = input.int(1, step = 1, minval = 0, title = "Offset (pips)", group = "Break Even", tooltip = "Set the SL at BE price +/- offset value") [_, _, MTF1_hist] = request.security(syminfo.tickerid, res1, ta.macd(macd_src, fast_len, slow_len, sig_len)) [_, _, MTF2_hist] = request.security(syminfo.tickerid, res2, ta.macd(macd_src, fast_len, slow_len, sig_len)) [_, _, MTF3_hist] = request.security(syminfo.tickerid, res3, ta.macd(macd_src, fast_len, slow_len, sig_len)) [_, _, MTF4_hist] = request.security(syminfo.tickerid, res4, ta.macd(macd_src, fast_len, slow_len, sig_len)) [_, _, MTF5_hist] = request.security(syminfo.tickerid, res5, ta.macd(macd_src, fast_len, slow_len, sig_len)) bull_hist1 = MTF1_hist > 0 and MTF1_hist[1] < 0 bull_hist2 = MTF2_hist > 0 and MTF2_hist[1] < 0 bull_hist3 = MTF3_hist > 0 and MTF3_hist[1] < 0 bull_hist4 = MTF4_hist > 0 and MTF4_hist[1] < 0 bull_hist5 = MTF5_hist > 0 and MTF5_hist[1] < 0 bear_hist1 = MTF1_hist < 0 and MTF1_hist[1] > 0 bear_hist2 = MTF2_hist < 0 and MTF2_hist[1] > 0 bear_hist3 = MTF3_hist < 0 and MTF3_hist[1] > 0 bear_hist4 = MTF4_hist < 0 and MTF4_hist[1] > 0 bear_hist5 = MTF5_hist < 0 and MTF5_hist[1] > 0 plotshape(bull_hist1, title = "Bullish MACD 1", location = location.bottom, style = shape.diamond, size = size.normal, color = #33e823) plotshape(bull_hist2, title = "Bullish MACD 2", location = location.bottom, style = shape.diamond, size = size.normal, color = #1a7512) plotshape(bull_hist3, title = "Bullish MACD 3", location = location.bottom, style = shape.diamond, size = size.normal, color = #479c40) plotshape(bull_hist4, title = "Bullish MACD 4", location = location.bottom, style = shape.diamond, size = size.normal, color = #81cc7a) plotshape(bull_hist5, title = "Bullish MACD 5", location = location.bottom, style = shape.diamond, size = size.normal, color = #76d66d) plotshape(bear_hist1, title = "Bearish MACD 1", location = location.top, style = shape.diamond, size = size.normal, color = #d66d6d) plotshape(bear_hist2, title = "Bearish MACD 2", location = location.top, style = shape.diamond, size = size.normal, color = #de4949) plotshape(bear_hist3, title = "Bearish MACD 3", location = location.top, style = shape.diamond, size = size.normal, color = #cc2525) plotshape(bear_hist4, title = "Bearish MACD 4", location = location.top, style = shape.diamond, size = size.normal, color = #a11d1d) plotshape(bear_hist5, title = "Bearish MACD 5", location = location.top, style = shape.diamond, size = size.normal, color = #ed2424) bull_count = (MTF1_hist > 0 ? 1 : 0) + (MTF2_hist > 0 ? 1 : 0) + (MTF3_hist > 0 ? 1 : 0) + (MTF4_hist > 0 ? 1 : 0) + (MTF5_hist > 0 ? 1 : 0) bear_count = (MTF1_hist < 0 ? 1 : 0) + (MTF2_hist < 0 ? 1 : 0) + (MTF3_hist < 0 ? 1 : 0) + (MTF4_hist < 0 ? 1 : 0) + (MTF5_hist < 0 ? 1 : 0) bull = bull_count == 5 and bull_count[1] < 5 and barstate.isconfirmed bear = bear_count == 5 and bear_count[1] < 5 and barstate.isconfirmed signal_candle = bull or bear entryLongPrice = ta.valuewhen(bull and strategy.position_size[1] <= 0, close, 0) entryShortPrice = ta.valuewhen(bear and strategy.position_size[1] >= 0, close, 0) plot(strategy.position_size, title = "avg_pos_size") get_pip_size() => float _pipsize = 1. if syminfo.type == "forex" _pipsize := (syminfo.mintick * (str.contains(syminfo.ticker, "JPY") ? 100 : 10)) else if str.contains(syminfo.ticker, "XAU") or str.contains(syminfo.ticker, "XAG") _pipsize := 0.1 _pipsize // # ========================================================================= # // # | Stop Loss | // # ========================================================================= # var float final_SL_Long = 0. var float final_SL_Short = 0. if signal_candle and use_sl final_SL_Long := entryLongPrice - (sl_value * get_pip_size()) final_SL_Short := entryShortPrice + (sl_value * get_pip_size()) // # ========================================================================= # // # | Trailing Stop Loss | // # ========================================================================= # var MaxReached = 0.0 if signal_candle[1] MaxReached := strategy.position_size > 0 ? high : low MaxReached := strategy.position_size > 0 ? math.max(nz(MaxReached, high), high) : strategy.position_size < 0 ? math.min(nz(MaxReached, low), low) : na if use_tsl and use_sl if strategy.position_size > 0 stopValue = MaxReached - (tsl_input_pips * get_pip_size()) final_SL_Long := math.max(stopValue, final_SL_Long[1]) else if strategy.position_size < 0 stopValue = MaxReached + (tsl_input_pips * get_pip_size()) final_SL_Short := math.min(stopValue, final_SL_Short[1]) // # ========================================================================= # // # | Take Profit 1 | // # ========================================================================= # var float final_TP1_Long = 0. var float final_TP1_Short = 0. final_TP1_Long := entryLongPrice + (tp1_value * get_pip_size()) final_TP1_Short := entryShortPrice - (tp1_value * get_pip_size()) plot(use_tp1 and strategy.position_size > 0 ? final_TP1_Long : na, title = "TP1 Long", color = color.aqua, linewidth=2, style=plot.style_linebr) plot(use_tp1 and strategy.position_size < 0 ? final_TP1_Short : na, title = "TP1 Short", color = color.blue, linewidth=2, style=plot.style_linebr) // # ========================================================================= # // # | Take Profit 2 | // # ========================================================================= # var float final_TP2_Long = 0. var float final_TP2_Short = 0. final_TP2_Long := entryLongPrice + (tp2_value * get_pip_size()) final_TP2_Short := entryShortPrice - (tp2_value * get_pip_size()) plot(use_tp2 and strategy.position_size > 0 and tp1_qty != 100 ? final_TP2_Long : na, title = "TP2 Long", color = color.orange, linewidth=2, style=plot.style_linebr) plot(use_tp2 and strategy.position_size < 0 and tp1_qty != 100 ? final_TP2_Short : na, title = "TP2 Short", color = color.white, linewidth=2, style=plot.style_linebr) // # ========================================================================= # // # | Stop Loss to Breakeven | // # ========================================================================= # var bool SL_BE_REACHED = false // Calculate open profit or loss for the open positions. tradeOpenPL() => sumProfit = 0.0 for tradeNo = 0 to strategy.opentrades - 1 sumProfit += strategy.opentrades.profit(tradeNo) result = sumProfit //get_pip_size() => // syminfo.type == "forex" ? syminfo.pointvalue * 100 : 1 current_profit = tradeOpenPL()// * get_pip_size() current_long_profit = (close - entryLongPrice) / (syminfo.mintick * 10) current_short_profit = (entryShortPrice - close) / (syminfo.mintick * 10) plot(current_short_profit, title = "Current Short Profit") plot(current_long_profit, title = "Current Long Profit") if use_sl_be if strategy.position_size[1] > 0 if not SL_BE_REACHED if current_long_profit >= sl_be_value final_SL_Long := entryLongPrice + (sl_be_offset * get_pip_size()) SL_BE_REACHED := true else if strategy.position_size[1] < 0 if not SL_BE_REACHED if current_short_profit >= sl_be_value final_SL_Short := entryShortPrice - (sl_be_offset * get_pip_size()) SL_BE_REACHED := true plot(use_sl and strategy.position_size > 0 ? final_SL_Long : na, title = "SL Long", color = color.fuchsia, linewidth=2, style=plot.style_linebr) plot(use_sl and strategy.position_size < 0 ? final_SL_Short : na, title = "SL Short", color = color.fuchsia, linewidth=2, style=plot.style_linebr) // # ========================================================================= # // # | Strategy Calls | // # ========================================================================= # string entry_long_limit_alert_message = "" string entry_long_TP1_alert_message = "" string entry_long_TP2_alert_message = "" tp1_qty_perc = tp1_qty / 100 if use_tp1 and use_tp2 entry_long_TP1_alert_message := pineconnector_licence_ID + ",buy," + syminfo.ticker + ",risk=" + str.tostring(pos_size * tp1_qty_perc) + ",tp=" + str.tostring(final_TP1_Long) + (use_sl ? ",sl=" + str.tostring(final_SL_Long) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "") + (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "") entry_long_TP2_alert_message := pineconnector_licence_ID + ",buy," + syminfo.ticker + ",risk=" + str.tostring(pos_size - (pos_size * tp1_qty_perc)) + ",tp=" + str.tostring(final_TP2_Long) + (use_sl ? ",sl=" + str.tostring(final_SL_Long) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "") + (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "") else if use_tp1 and not use_tp2 entry_long_TP1_alert_message := pineconnector_licence_ID + ",buy," + syminfo.ticker + ",risk=" + str.tostring(pos_size * tp1_qty_perc) + ",tp=" + str.tostring(final_TP1_Long) + (use_sl ? ",sl=" + str.tostring(final_SL_Long) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "") + (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "") else if not use_tp1 and use_tp2 entry_long_TP2_alert_message := pineconnector_licence_ID + ",buy," + syminfo.ticker + ",risk=" + str.tostring(pos_size) + ",tp=" + str.tostring(final_TP2_Long) + (use_sl ? ",sl=" + str.tostring(final_SL_Long) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "") + (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "") entry_long_limit_alert_message := entry_long_TP1_alert_message + "\n" + entry_long_TP2_alert_message //entry_long_limit_alert_message = pineconnector_licence_ID + ",buystop," + syminfo.ticker + ",price=" + str.tostring(buy_price) + ",risk=" + str.tostring(pos_size) + ",tp=" + str.tostring(final_TP_Long) + ",sl=" + str.tostring(final_SL_Long) //entry_short_market_alert_message = pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size) + (use_tp1 ? ",tp=" + str.tostring(final_TP1_Short) : "") // + (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "") //entry_short_limit_alert_message = pineconnector_licence_ID + ",sellstop," + syminfo.ticker + ",price=" + str.tostring(sell_price) + ",risk=" + str.tostring(pos_size) + ",tp=" + str.tostring(final_TP_Short) + ",sl=" + str.tostring(final_SL_Short) string entry_short_limit_alert_message = "" string entry_short_TP1_alert_message = "" string entry_short_TP2_alert_message = "" if use_tp1 and use_tp2 entry_short_TP1_alert_message := pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size * tp1_qty_perc) + ",tp=" + str.tostring(final_TP1_Short) + (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "") + (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "") entry_short_TP2_alert_message := pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size - (pos_size * tp1_qty_perc)) + ",tp=" + str.tostring(final_TP2_Short) + (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "") + (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "") else if use_tp1 and not use_tp2 entry_short_TP1_alert_message := pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size * tp1_qty_perc) + ",tp=" + str.tostring(final_TP1_Short) + (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "") + (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "") else if not use_tp1 and use_tp2 entry_short_TP2_alert_message := pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size) + ",tp=" + str.tostring(final_TP2_Short) + (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "") + (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "") entry_short_limit_alert_message := entry_short_TP1_alert_message + "\n" + entry_short_TP2_alert_message long_update_sl_alert_message = pineconnector_licence_ID + ",newsltplong," + syminfo.ticker + ",sl=" + str.tostring(final_SL_Long) short_update_sl_alert_message = pineconnector_licence_ID + ",newsltpshort," + syminfo.ticker + ",sl=" + str.tostring(final_SL_Short) cancel_long = pineconnector_licence_ID + ",cancellong," + syminfo.ticker// + "x" cancel_short = pineconnector_licence_ID + ",cancellong," + syminfo.ticker// + "x" close_long = pineconnector_licence_ID + ",closelong," + syminfo.ticker close_short = pineconnector_licence_ID + ",closeshort," + syminfo.ticker if bull and strategy.position_size <= 0 alert(close_short, alert.freq_once_per_bar_close) strategy.entry("Long", strategy.long) alert(entry_long_TP1_alert_message, alert.freq_once_per_bar_close) alert(entry_long_TP2_alert_message, alert.freq_once_per_bar_close) else if bear and strategy.position_size >= 0 alert(close_long, alert.freq_once_per_bar_close) strategy.entry("Short", strategy.short) alert(entry_short_TP1_alert_message, alert.freq_once_per_bar_close) alert(entry_short_TP2_alert_message, alert.freq_once_per_bar_close) if strategy.position_size[1] > 0 if low <= final_SL_Long and use_sl strategy.close("Long", alert_message = close_long) else strategy.exit("Exit TP1 Long", "Long", limit = final_TP1_Long, comment_profit = "Exit TP1 Long", qty_percent = tp1_qty) strategy.exit("Exit TP2 Long", "Long", limit = final_TP2_Long, comment_profit = "Exit TP2 Long", alert_message = close_long) if bull_count[1] == 5 and bull_count < 5 and barstate.isconfirmed and use_close_opposite strategy.close("Long", comment = "1 or more MACDs became bearish", alert_message = close_long) else if strategy.position_size[1] < 0 if high >= final_SL_Short and use_sl //strategy.exit("Exit SL Short", "Short", stop = final_SL_Short, comment_loss = "Exit SL Short") strategy.close("Short", alert_message = close_short) else strategy.exit("Exit TP1 Short", "Short", limit = final_TP1_Short, comment_profit = "Exit TP1 Short", qty_percent = tp1_qty) strategy.exit("Exit TP2 Short", "Short", limit = final_TP2_Short, comment_profit = "Exit TP2 Short") if bear_count[1] == 5 and bear_count < 5 and barstate.isconfirmed and use_close_opposite strategy.close("Short", comment = "1 or more MACDs became bullish", alert_message = close_short) // # ========================================================================= # // # | Logs | // # ========================================================================= # // if bull and strategy.position_size <= 0 // log.info(entry_long_limit_alert_message) // else if bear and strategy.position_size >= 0 // log.info(entry_short_limit_alert_message) // # ========================================================================= # // # | Reset Variables | // # ========================================================================= # if (strategy.position_size > 0 and strategy.position_size[1] <= 0) or (strategy.position_size < 0 and strategy.position_size[1] >= 0) //is_TP1_REACHED := false SL_BE_REACHED := falsetemplate: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6