This strategy mainly utilizes the moving average crossover principle, combined with the RSI indicator reversal signals and a custom dual moving average crossover algorithm to implement trend trading. The strategy tracks two moving averages of different periods, with a faster MA tracking short-term trends and a slower MA tracking long-term trends. When the faster MA crosses over the slower MA upwards, it signals an upward trend and a chance to buy. When the faster MA crosses below the slower MA, it signals the end of the short-term trend and a chance to close positions.
Calculate two groups of VWAP moving averages with different parameters, representing long-term and short-term trends respectively.
Take the averages of Tenkansen and Kijunsen as slow and fast moving averages.
Calculate Bollinger Bands to identify consolidations and breakouts.
Calculate TSV to determine volume energy
Calculate RSI to identify overbought and oversold conditions
Entry conditions:
Exit conditions:
Dual moving average system captures both long and short term trends
RSI avoids buying overbought zones and selling oversold zones
TSV ensures sufficient volume supporting the trend
Bollinger Bands identify key breakout points
Combination of indicators helps filter false breakouts
MA systems prone to false signals, needs filtering with other indicators
RSI parameters need optimization, may otherwise miss buy/sell points
TSV also very sensitive to parameters, requires careful testing
Breaking BB upper band may be false breakout, needs verification
Difficult to optimize many indicators, risks overfitting
Insufficient train/test data may cause curve fitting
Test more periods to find best parameter combinations
Try other indicators like MACD, KD to replace or combine with RSI
Utilize walk forward analysis for parameter optimization
Add stop loss to control single trade loss
Consider machine learning models to aid signal prediction
Adjust parameters for different markets, don’t overfit to single parameter set
This strategy captures long and short term trends using dual moving averages, and filters signals with RSI, TSV, Bollinger Bands and more. The advantage is trading in line with long-term upward momentum. But it also carries false signal risks, requiring further parameter tuning and stop losses to reduce risks. Overall, combining trend following and mean reversion yields good results in long-term uptrends, but parameters need adjustment for different markets.
/*backtest start: 2022-10-23 00:00:00 end: 2023-10-29 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // @version=4 // Credits // "Vwap with period" code which used in this strategy to calculate the leadLine was written by "neolao" active on https://tr.tradingview.com/u/neolao/ // "TSV" code which used in this strategy was written by "liw0" active on https://www.tradingview.com/u/liw0. The code is corrected by "vitelot" December 2018. // "Vidya" code which used in this strategy was written by "everget" active on https://tr.tradingview.com/u/everget/ strategy("HYE Combo Market [Strategy] (Vwap Mean Reversion + Trend Hunter)", overlay = true, initial_capital = 1000, default_qty_value = 100, default_qty_type = strategy.percent_of_equity, commission_value = 0.025) //Strategy inputs source = input(title = "Source", defval = close, group = "Mean Reversion Strategy Inputs") smallcumulativePeriod = input(title = "Small VWAP", defval = 8, group = "Mean Reversion Strategy Inputs") bigcumulativePeriod = input(title = "Big VWAP", defval = 10, group = "Mean Reversion Strategy Inputs") meancumulativePeriod = input(title = "Mean VWAP", defval = 50, group = "Mean Reversion Strategy Inputs") percentBelowToBuy = input(title = "Percent below to buy %", defval = 2, group = "Mean Reversion Strategy Inputs") rsiPeriod = input(title = "Rsi Period", defval = 2, group = "Mean Reversion Strategy Inputs") rsiEmaPeriod = input(title = "Rsi Ema Period", defval = 5, group = "Mean Reversion Strategy Inputs") rsiLevelforBuy = input(title = "Maximum Rsi Level for Buy", defval = 30, group = "Mean Reversion Strategy Inputs") slowtenkansenPeriod = input(9, minval=1, title="Slow Tenkan Sen VWAP Line Length", group = "Trend Hunter Strategy Inputs") slowkijunsenPeriod = input(13, minval=1, title="Slow Kijun Sen VWAP Line Length", group = "Trend Hunter Strategy Inputs") fasttenkansenPeriod = input(3, minval=1, title="Fast Tenkan Sen VWAP Line Length", group = "Trend Hunter Strategy Inputs") fastkijunsenPeriod = input(7, minval=1, title="Fast Kijun Sen VWAP Line Length", group = "Trend Hunter Strategy Inputs") BBlength = input(20, minval=1, title= "Bollinger Band Length", group = "Trend Hunter Strategy Inputs") BBmult = input(2.0, minval=0.001, maxval=50, title="Bollinger Band StdDev", group = "Trend Hunter Strategy Inputs") tsvlength = input(20, minval=1, title="TSV Length", group = "Trend Hunter Strategy Inputs") tsvemaperiod = input(7, minval=1, title="TSV Ema Length", group = "Trend Hunter Strategy Inputs") length = input(title="Vidya Length", type=input.integer, defval=20, group = "Trend Hunter Strategy Inputs") src = input(title="Vidya Source", type=input.source, defval= hl2 , group = "Trend Hunter Strategy Inputs") // Vidya Calculation getCMO(src, length) => mom = change(src) upSum = sum(max(mom, 0), length) downSum = sum(-min(mom, 0), length) out = (upSum - downSum) / (upSum + downSum) out cmo = abs(getCMO(src, length)) alpha = 2 / (length + 1) vidya = 0.0 vidya := src * alpha * cmo + nz(vidya[1]) * (1 - alpha * cmo) // Make input options that configure backtest date range startDate = input(title="Start Date", type=input.integer, defval=1, minval=1, maxval=31, group = "Strategy Date Range") startMonth = input(title="Start Month", type=input.integer, defval=1, minval=1, maxval=12, group = "Strategy Date Range") startYear = input(title="Start Year", type=input.integer, defval=2000, minval=1800, maxval=2100, group = "Strategy Date Range") endDate = input(title="End Date", type=input.integer, defval=31, minval=1, maxval=31, group = "Strategy Date Range") endMonth = input(title="End Month", type=input.integer, defval=12, minval=1, maxval=12, group = "Strategy Date Range") endYear = input(title="End Year", type=input.integer, defval=2021, minval=1800, maxval=2100, group = "Strategy Date Range") inDateRange = true // Mean Reversion Strategy Calculation typicalPriceS = (high + low + close) / 3 typicalPriceVolumeS = typicalPriceS * volume cumulativeTypicalPriceVolumeS = sum(typicalPriceVolumeS, smallcumulativePeriod) cumulativeVolumeS = sum(volume, smallcumulativePeriod) smallvwapValue = cumulativeTypicalPriceVolumeS / cumulativeVolumeS typicalPriceB = (high + low + close) / 3 typicalPriceVolumeB = typicalPriceB * volume cumulativeTypicalPriceVolumeB = sum(typicalPriceVolumeB, bigcumulativePeriod) cumulativeVolumeB = sum(volume, bigcumulativePeriod) bigvwapValue = cumulativeTypicalPriceVolumeB / cumulativeVolumeB typicalPriceM = (high + low + close) / 3 typicalPriceVolumeM = typicalPriceM * volume cumulativeTypicalPriceVolumeM = sum(typicalPriceVolumeM, meancumulativePeriod) cumulativeVolumeM = sum(volume, meancumulativePeriod) meanvwapValue = cumulativeTypicalPriceVolumeM / cumulativeVolumeM rsiValue = rsi(source, rsiPeriod) rsiEMA = ema(rsiValue, rsiEmaPeriod) buyMA = ((100 - percentBelowToBuy) / 100) * bigvwapValue[0] inTrade = strategy.position_size > 0 notInTrade = strategy.position_size <= 0 if(crossunder(smallvwapValue, buyMA) and rsiEMA < rsiLevelforBuy and close < meanvwapValue and inDateRange and notInTrade) strategy.entry("BUY-M", strategy.long) if(close > meanvwapValue or not inDateRange) strategy.close("BUY-M") // Trend Hunter Strategy Calculation // Slow Tenkan Sen Calculation typicalPriceTS = (high + low + close) / 3 typicalPriceVolumeTS = typicalPriceTS * volume cumulativeTypicalPriceVolumeTS = sum(typicalPriceVolumeTS, slowtenkansenPeriod) cumulativeVolumeTS = sum(volume, slowtenkansenPeriod) slowtenkansenvwapValue = cumulativeTypicalPriceVolumeTS / cumulativeVolumeTS // Slow Kijun Sen Calculation typicalPriceKS = (high + low + close) / 3 typicalPriceVolumeKS = typicalPriceKS * volume cumulativeTypicalPriceVolumeKS = sum(typicalPriceVolumeKS, slowkijunsenPeriod) cumulativeVolumeKS = sum(volume, slowkijunsenPeriod) slowkijunsenvwapValue = cumulativeTypicalPriceVolumeKS / cumulativeVolumeKS // Fast Tenkan Sen Calculation typicalPriceTF = (high + low + close) / 3 typicalPriceVolumeTF = typicalPriceTF * volume cumulativeTypicalPriceVolumeTF = sum(typicalPriceVolumeTF, fasttenkansenPeriod) cumulativeVolumeTF = sum(volume, fasttenkansenPeriod) fasttenkansenvwapValue = cumulativeTypicalPriceVolumeTF / cumulativeVolumeTF // Fast Kijun Sen Calculation typicalPriceKF = (high + low + close) / 3 typicalPriceVolumeKF = typicalPriceKS * volume cumulativeTypicalPriceVolumeKF = sum(typicalPriceVolumeKF, fastkijunsenPeriod) cumulativeVolumeKF = sum(volume, fastkijunsenPeriod) fastkijunsenvwapValue = cumulativeTypicalPriceVolumeKF / cumulativeVolumeKF // Slow LeadLine Calculation lowesttenkansen_s = lowest(slowtenkansenvwapValue, slowtenkansenPeriod) highesttenkansen_s = highest(slowtenkansenvwapValue, slowtenkansenPeriod) lowestkijunsen_s = lowest(slowkijunsenvwapValue, slowkijunsenPeriod) highestkijunsen_s = highest(slowkijunsenvwapValue, slowkijunsenPeriod) slowtenkansen = avg(lowesttenkansen_s, highesttenkansen_s) slowkijunsen = avg(lowestkijunsen_s, highestkijunsen_s) slowleadLine = avg(slowtenkansen, slowkijunsen) // Fast LeadLine Calculation lowesttenkansen_f = lowest(fasttenkansenvwapValue, fasttenkansenPeriod) highesttenkansen_f = highest(fasttenkansenvwapValue, fasttenkansenPeriod) lowestkijunsen_f = lowest(fastkijunsenvwapValue, fastkijunsenPeriod) highestkijunsen_f = highest(fastkijunsenvwapValue, fastkijunsenPeriod) fasttenkansen = avg(lowesttenkansen_f, highesttenkansen_f) fastkijunsen = avg(lowestkijunsen_f, highestkijunsen_f) fastleadLine = avg(fasttenkansen, fastkijunsen) // BBleadLine Calculation BBleadLine = avg(fastleadLine, slowleadLine) // Bollinger Band Calculation basis = sma(BBleadLine, BBlength) dev = BBmult * stdev(BBleadLine, BBlength) upper = basis + dev lower = basis - dev // TSV Calculation tsv = sum(close>close[1]?volume*(close-close[1]):close<close[1]?volume*(close-close[1]):0,tsvlength) tsvema = ema(tsv, tsvemaperiod) // Rules for Entry & Exit if(fastleadLine > fastleadLine[1] and slowleadLine > slowleadLine[1] and tsv > 0 and tsv > tsvema and close > upper and close > vidya and inDateRange and notInTrade) strategy.entry("BUY-T", strategy.long) if((fastleadLine < fastleadLine[1] and slowleadLine < slowleadLine[1]) or not inDateRange) strategy.close("BUY-T") // Plots plot(meanvwapValue, title="MEAN VWAP", linewidth=2, color=color.yellow) //plot(vidya, title="VIDYA", linewidth=2, color=color.green) //colorsettingS = input(title="Solid Color Slow Leadline", defval=false, type=input.bool) //plot(slowleadLine, title = "Slow LeadLine", color = colorsettingS ? color.aqua : slowleadLine > slowleadLine[1] ? color.green : color.red, linewidth=3) //colorsettingF = input(title="Solid Color Fast Leadline", defval=false, type=input.bool) //plot(fastleadLine, title = "Fast LeadLine", color = colorsettingF ? color.orange : fastleadLine > fastleadLine[1] ? color.green : color.red, linewidth=3) //p1 = plot(upper, "Upper BB", color=#2962FF) //p2 = plot(lower, "Lower BB", color=#2962FF) //fill(p1, p2, title = "Background", color=color.blue) //plot(smallvwapValue, color=#13C425, linewidth=2) //plot(bigvwapValue, color=#CA1435, linewidth=2)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6