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Multi Timeframe Moving Average Momentum Trading Strategy

Author: ChaoZhang, Date: 2023-11-06 16:04:46
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Overview

This trading strategy combines multiple moving averages and momentum indicators to identify the direction and strength of trends, establishing positions early in emerging trends, and then optimizing profit and risk management through the use of trailing stops and take profits. It aims to capture significant price swings during sustained trends.

Strategy Logic

  1. Two sets of moving averages with different parameters are constructed to create fast and slow lines:

    • Fast line consists of 5-period EMA and 25-period WMA, representing short-term trend
    • Slow line consists of 28-period EMA and 72-period WMA, representing mid- to long-term trend

  2. When fast line crosses above slow line, it signals short-term trend is gaining strength over mid-term trend, and presents entry signal.

  3. RSI filter incorporated, only taking entries at RSI lows (for long) and RSI highs (for short) to avoid false breakouts.

  4. Once entered, trailing stop used to minimize losses, while take profit locks in gains.

  5. When fast line crosses below slow line, it signals trend reversal, prompting exit via stop loss or take profit.

Advantage Analysis

  1. Dual moving average combinations filter noise and identify trend direction & strength during trend progression.
  2. Entries established early in emerging trends avoids unnecessary losses from false breakouts.
  3. RSI filter improves quality of entries.
  4. Trailing stop compresses losses from individual losing trades.
  5. Take profit allows sizable profit capture during favorable moves.

Risk Analysis

  1. Dual moving averages can lag at turning points, missing reversal opportunities.
    • Shorten moving average periods for greater sensitivity.
  2. False breakouts lead to unnecessary entries.
    • Incorporate more filters before entry.
  3. Stop loss / take profit distances not optimized, may be too wide or too narrow.
    • Optimize via backtest to find optimal levels.
  4. Directional strategy only works for trending markets.
    • Only employ strategy based on market conditions.

Optimization Directions

  1. Optimize moving average parameters to find best representations of trend.
  2. Add trend filters like dynamic ATR stop, momentum oscillators etc.
  3. Optimize stop loss / take profit parameters.
  4. Incorporate regime filters based on market conditions.
  5. Add cross-timeframe analysis using higher timeframes to guide shorter-term strategy direction.

Summary

This strategy integrates moving averages and momentum indicators to identify and establish early entries during emerging trends, while managing risk and reward via timely stops and take profits. Although further parameter and logic optimization is needed to adapt to wider market conditions, it already has a basic framework and directionality for capturing mid- to long-term trends. With continual improvements, this strategy can potentially grow into a robust, efficient trend-following system.

/*backtest
start: 2023-10-06 00:00:00
end: 2023-11-05 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy(title="[WAI GUA]", shorttitle="[EOS] 1.0", overlay=true)

//study(title="[WAI GUA]", shorttitle="[EOS] 1.0", overlay=true)



//
// Use Alternate Anchor TF for MAs 
uRenko    = input(true, title="IS This a RENKO Chart")
//
anchor     = input(0,minval=0,maxval=1440,title="Alternate TimeFrame Multiplier (0=none)")
//
src          = close //input(close, title="EMA Source")
showRibbons  = input(false,title="Show Coloured MA Ribbons")
showAvgs     = input(false,title="Show Ribbon Median MA Lines")

//
// Fast Ribbon MAs
// Lower MA - type, length
typeF1    = input(defval="EMA", title="FAST MA Ribbon Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenF1     = input(defval=5, title="FAST Ribbon Lower MA Length", minval=1)
gammaF1   = 0.33 //input(defval=0.33,title="Fast MA - Gamma for LAGMA")

// Upper MA - type, length
typeF11   = typeF1 //input(defval="WMA", title="FAST Ribbon Upper MA Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenF11    = input(defval=25, title="FAST Ribbon Upper Length", minval=2)
gammaF11  = 0.77 //input(defval=0.77,title="Slow MA - Gamma for LAGMA")

// Slow Ribbon MAs
// Lower MA - type, length
typeS1   = input(defval="EMA", title="SLOW MA Ribbon Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenS1    = input(defval=28, title="SLOW Ribbon Lower MA Length", minval=1)
gammaS1  = 0.33 //input(defval=0.33,title="Fast MA - Gamma for LAGMA")

// Upper MA - type, length
typeS16   = typeS1 //input(defval="WMA", title="SLOW Ribbon Upper MA Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenS16    = input(defval=72, title="SLOW Ribbon Upper Length", minval=2)
gammaS16  = 0.77 //input(defval=0.77,title="Slow MA - Gamma for LAGMA")

// - Constants
gold = #FFD700

// - FUNCTIONS
// - variant(type, src, len, gamma)
// 返回MA输入选择变量，默认为SMA，如果空白或键入。

// SuperSmoother filter
variant_supersmoother(src,len) =>
    a1 = exp(-1.414*3.14159 / len)
    b1 = 2*a1*cos(1.414*3.14159 / len)
    c2 = b1
    c3 = (-a1)*a1
    c1 = 1 - c2 - c3
    v9 = 0.0
    v9 := c1*(src + nz(src[1])) / 2 + c2*nz(v9[1]) + c3*nz(v9[2])
    v9
    
variant_smoothed(src,len) =>
    v5 = 0.0
    v5 := na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len
    v5

variant_zerolagema(src,len) =>
    ema1 = ema(src, len)
    ema2 = ema(ema1, len)
    v10 = ema1+(ema1-ema2)
    v10
    
variant_doubleema(src,len) =>
    v2 = ema(src, len)
    v6 = 2 * v2 - ema(v2, len)
    v6

variant_tripleema(src,len) =>
    v2 = ema(src, len)
    v7 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len)               // Triple Exponential
    v7
    
//calc Laguerre
variant_lag(p,g) =>
    L0 = 0.0
    L1 = 0.0
    L2 = 0.0
    L3 = 0.0
    L0 := (1 - g)*p+g*nz(L0[1])
    L1 := -g*L0+nz(L0[1])+g*nz(L1[1])
    L2 := -g*L1+nz(L1[1])+g*nz(L2[1])
    L3 := -g*L2+nz(L2[1])+g*nz(L3[1])
    f = (L0 + 2*L1 + 2*L2 + L3)/6
    f

// return variant, defaults to SMA 
variant(type, src, len, g) =>
    type=="EMA"     ? ema(src,len) : 
      type=="WMA"   ? wma(src,len): 
      type=="VWMA"  ? vwma(src,len) : 
      type=="SMMA"  ? variant_smoothed(src,len) : 
      type=="DEMA"  ? variant_doubleema(src,len): 
      type=="TEMA"  ? variant_tripleema(src,len): 
      type=="LAGMA" ? variant_lag(src,g) :
      type=="HullMA"? wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len))) :
      type=="SSMA"  ? variant_supersmoother(src,len) : 
      type=="ZEMA"  ? variant_zerolagema(src,len) : 
      type=="TMA"   ? sma(sma(src,len),len) : 
                      sma(src,len)

// - /variant 

// If have anchor specified, calculate the base multiplier.
//mult  = isintraday ? anchor==0 or interval<=0 or interval>=anchor or anchor>1440? 1 : round(anchor/interval) : 1
//mult := isdwm?  1 : mult  // Only available Daily or less
mult = anchor>0 ? anchor : 1 

//
high_  = uRenko? max(close,open) : high
low_   = uRenko? min(close,open) : low


//用锚乘器调整MA长度

//Fast MA Ribbon
emaF1 = variant(typeF1, src, lenF1*mult, gammaF1)
emaF11 = variant(typeF11, src, lenF11*mult,gammaF11)
emafast = (emaF1+emaF11)/2 // Average of Upper and Lower MAs
//
//Slow MA Ribbon
emaS1 = variant(typeS1,src, lenS1*mult,gammaS1)
emaS16 = variant(typeS16, src, lenS16*mult, gammaS16)
emaslow = (emaS1+emaS16)/2 // Average of Upper and Lower MAs
//
// Count crossover candles
xup = 0
xdn = 0
fup = 0
fdn = 0
sup = 0
sdn = 0
// 
xup := (emafast-emaslow)>0 and (emafast-emaslow)>(emafast[1]-emaslow[1]) ? nz(xup[1])+1 : 0
xdn := (emafast-emaslow)<0 and (emafast-emaslow)<(emafast[1]-emaslow[1]) ? nz(xdn[1])+1 : 0
fup := (emaF1-emaF11)>0 and (emaF1-emaF11)>(emaF1[1]-emaF11[1]) ? nz(fup[1])+1 : 0
fdn := (emaF1-emaF11)<0 and (emaF1-emaF11)<(emaF1[1]-emaF11[1]) ? nz(fdn[1])+1 : 0
sup := (emaS1-emaS16)>0 and (emaS1-emaS16)>(emaS1[1]-emaS16[1]) ? nz(sup[1])+1 : 0
sdn := (emaS1-emaS16)<0 and (emaS1-emaS16)<(emaS1[1]-emaS16[1]) ? nz(sdn[1])+1 : 0

//Fast EMA Final Color Rules
colFinal = fup>=2 ? aqua : fdn>=2 ? blue : gray
//Slow EMA Final Color Rules
colFinal2 = sup>=2 ? lime : sdn>=2 ? red : gray

//Fast EMA Plots
p1=plot(showRibbons?emaF1:na, title="Fast Ribbon Lower MA", style=line, linewidth=1, color=colFinal,transp=10)
p2=plot(showRibbons?emaF11:na, title="Fast Ribbon Upper MA", style=line, linewidth=1, color=colFinal,transp=10)
plot(showAvgs?emafast:na, title="Fast Ribbon Avg MA", style=circles,join=true, linewidth=1, color=gold,transp=10)

//
//fill(p1,p2,color=colFinal, transp=90)

//Slow EMA Plots
p3=plot(showRibbons?emaS1:na, title="Slow Ribbon Lower MA", style=line, linewidth=1, color=colFinal2,transp=10)
p4=plot(showRibbons?emaS16:na, title="Slow Ribbon Upper MA", style=line, linewidth=1, color=colFinal2,transp=10)
plot(showAvgs?emaslow:na, title="Slow Ribbon Avg MA", style=circles,join=true, linewidth=1, color=fuchsia,transp=10)
//
//fill(p3,p4, color=colFinal2, transp=90)

// Generate Buy Sell signals, 
buy = 0
sell=0
//
buy  := xup>=2 and sup>=2 and fup>=2 ? nz(buy[1])>0?buy[1]+1  :1 : 0
sell := xdn>=2 and sdn>=2 and fdn>=2 ? nz(sell[1])>0?sell[1]+1 :1 : 0

////////////////////////
//* 反测试周期选择器 *//
////////////////////////

testStartYear = input(2018, "Backtest Start Year",minval=1980)
testStartMonth = input(1, "Backtest Start Month",minval=1,maxval=12)
testStartDay = input(1, "Backtest Start Day",minval=1,maxval=31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = 9999 //input(9999, "Backtest Stop Year",minval=1980)
testStopMonth = 12 // input(12, "Backtest Stop Month",minval=1,maxval=12)
testStopDay = 31 //input(31, "Backtest Stop Day",minval=1,maxval=31)
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

testPeriod() => time >= testPeriodStart and time <= testPeriodStop ? true : false


///////////////
//* RSI策略 *//
///////////////

//指示器 1
lowerpc = lowest(low, 21)
upperpc = highest(high, 21)
midpc = avg(upperpc, lowerpc)

//指示器 2
ma = sma(close, 50)
petd = ema(close,13)
rangema = ema(tr, 50)
upperkc = ma + rangema * 0.25
lowerkc = ma - rangema * 0.25

//指示器 3
up = rma(max(change(close), 0), 5)
down = rma(-min(change(close), 0), 5)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))

// PET-D
petdcolor = close > petd ? green : red
barcolor (petdcolor)


//Slope
SlopeL = midpc > midpc[5]
SlopeS = midpc < midpc[5]

//条件
CL = SlopeL == 1 and close > lowerkc and close < midpc and rsi < 35 
CS = SlopeS == 1 and close < upperkc and close > midpc and rsi > 65 

//Setup
RsiSL = CL == 1 and CL[1] != 1
RsiSS = CS == 1 and CS[1] != 1

/////////////////////
//* RSA抛物线指标 *//
/////////////////////
start = input(0.02)
increment = input(0.02)
maximum = input(0.2)

psar = sar(start, increment, maximum)

RSALE = false
RSASE = false
if (psar > high)
    RSALE = true
else
    RSALE = false

if (psar < low)
    RSASE = true
else
    RSASE = false


////////////////
//* 策略组件 *//
////////////////

AQUA = #00FFFFFF
BLUE = #0000FFFF
RED  = #FF0000FF
LIME = #00FF00FF
GRAY = #808080FF
DARKRED   = #8B0000FF
DARKGREEN = #006400FF
//
fastExit  = input(false,title="Use Opposite Trade as a Close Signal")
clrBars   = input(true,title="Colour Candles to Trade Order state")
orderType = input("Longs+Shorts",title="What type of Orders", options=["Longs+Shorts","LongsOnly","ShortsOnly","Flip"])
//
isLong   = (orderType != "ShortsOnly")
isShort  = (orderType != "LongsOnly")

//////////////////////////
//* 贸易状态引擎 *//
//////////////////////////

// 追踪当前贸易状态
longClose = false, longClose := nz(longClose[1],false)
shortClose = false, shortClose := nz(shortClose[1],false)
tradeState = 0, tradeState := nz(tradeState[1])
tradeState := tradeState==0 ?   buy==1 and (barstate.isconfirmed or barstate.ishistory) and isLong and not longClose and not shortClose? 1 :
                               sell==1  and (barstate.isconfirmed or barstate.ishistory) and isShort and not longClose and not shortClose? -1 : 
                          tradeState : tradeState
                          
////////////////////////////////////
//* 在这里设置入口和特殊出口条件 *//
////////////////////////////////////

//进入状态，当状态改变方向时。
longCondition  = false
shortCondition = false
//longCondition  := longCondition != true ? change(tradeState) and tradeState==1 : true
//shortCondition := shortCondition != true ? change(tradeState) and tradeState==-1 : true
longCondition  := change(tradeState) and tradeState==1
shortCondition := change(tradeState) and tradeState==-1
if orderType=="Flip"
    temp = longCondition
    longCondition  := shortCondition
    shortCondition := temp
//end if

// 卖出信号退出
longExitC  =  (emafast[1]<emaslow[1] and open<emaslow[1]) ? 1 : 0
shortExitC = (emafast[1]>emaslow[1] and open>emaslow[1]) ? 1 : 0

// change退出条件。
longExit = change(longExitC) and longExitC==1 and tradeState==1
shortExit = change(shortExitC) and shortExitC==1 and tradeState==-1

// -- debugs
//plotchar(tradeState,"tradeState at Event",location=location.bottom, color=#FF0000FF)
//plotchar(longCondition, title="longCondition",color=#FF0000FF)
//plotchar(shortCondition, title="shortCondition",color=#FF0000FF)
//plotchar(tradeState, title="tradeState",color=#006400FF)
// -- /debugs

////////////////////////////////
//======[ 交易入门价格 ]======//
////////////////////////////////

last_open_longCondition = na
last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])

////////////////////////////
//======[ 位置状态 ]======//
////////////////////////////

in_longCondition  = tradeState == 1 
in_shortCondition = tradeState == -1

////////////////////////
//======[ 尾停 ]======//
////////////////////////

isTS = input(true, "Trailing Stop")
ts = input(3.0, "Trailing Stop (%)", minval=0,step=0.1, type=float) /100

last_high = na
last_low = na
last_high_short = na
last_low_long = na
last_high := not in_longCondition ? na : in_longCondition and (na(last_high[1]) or high_ > nz(last_high[1])) ? high_ : nz(last_high[1])
last_high_short := not in_shortCondition ? na : in_shortCondition and (na(last_high[1]) or high_ > nz(last_high[1])) ? high_ : nz(last_high[1])
last_low := not in_shortCondition ? na : in_shortCondition and (na(last_low[1]) or low_ < nz(last_low[1])) ? low_ : nz(last_low[1])
last_low_long := not in_longCondition ? na : in_longCondition and (na(last_low[1]) or low_ < nz(last_low[1])) ? low_ : nz(last_low[1])

long_ts =  isTS and in_longCondition and not na(last_high) and (low_ <= last_high - last_high * ts) //and (last_high >= last_open_longCondition + last_open_longCondition * tsi)
short_ts = isTS and in_shortCondition and not na(last_low) and (high_ >= last_low + last_low * ts) //and (last_low <= last_open_shortCondition - last_open_shortCondition * tsi)


////////////////////////
//======[ 获利 ]======//
////////////////////////

isTP = input(true, "Take Profit")
tp = input(3.0, "Take Profit (%)",minval=0,step=0.1,type=float) / 100
ttp = input(1.0, "Trailing Profit (%)",minval=0,step=0.1,type=float) / 100
ttp := ttp>tp ? tp : ttp

long_tp =  isTP and in_longCondition  and (last_high >= last_open_longCondition + last_open_longCondition * tp)   and (low_ <= last_high - last_high * ttp)
short_tp = isTP and in_shortCondition and (last_low <= last_open_shortCondition - last_open_shortCondition * tp) and (high_ >= last_low + last_low * ttp)

////////////////////////////
//======[ 停止损耗 ]======//
////////////////////////////

isSL = input(false, "Stop Loss")
sl = input(3.0, "Stop Loss (%)", minval=0,step=0.1, type=float) / 100
long_sl =  isSL and in_longCondition and (low_ <= last_open_longCondition - last_open_longCondition * sl)
short_sl = isSL and in_shortCondition and (high_ >= last_open_shortCondition + last_open_shortCondition * sl)

////////////////////////
//======[ 对峙 ]======//
////////////////////////

//注：短出口信号不重漆，无需用力，如果锥体继续进行。
long_sos = (fastExit or (not isTS and not isSL)) and longExit and in_longCondition
short_sos = (fastExit or (not isTS and not isSL)) and shortExit and in_shortCondition 

////////////////////////////
//======[ 关闭信号 ]======//
////////////////////////////

// 为所有不同的关闭条件创建一个单独的关闭，这里的所有条件都不重漆。
longClose :=  isLong and (long_tp or long_sl or long_ts or long_sos) and not longCondition
shortClose := isShort and (short_tp or short_sl or short_ts or short_sos) and not shortCondition
////////////////////////////
//======[ 情节色彩 ]======//
////////////////////////////

longCloseCol = na
shortCloseCol = na
longCloseCol := long_tp ? green : long_sl ? maroon : long_ts ? purple : long_sos ? orange :longCloseCol[1]
shortCloseCol := short_tp ? green : short_sl ? maroon : short_ts ? purple : short_sos ? orange : shortCloseCol[1]
//
tpColor = isTP and in_longCondition ? lime : isTP and in_shortCondition ? lime : na
slColor = isSL and in_longCondition ? red : isSL and in_shortCondition ? red : na


//////////////////////////////////
//======[ 策略图 ]======//
//////////////////////////////////

plot(isTS and in_longCondition?
     last_high - last_high * ts : na, "Long Trailing", fuchsia, style=2, linewidth=2,offset=1)
plot(isTP and in_longCondition and last_high < last_open_longCondition + last_open_longCondition * tp ? 
     last_open_longCondition + last_open_longCondition * tp : na, "Long TP Active", tpColor, style=3,join=false, linewidth=2,offset=1)
plot(isTP and in_longCondition and last_high >= last_open_longCondition +  last_open_longCondition * tp ? 
     last_high - last_high * ttp : na, "Long Trailing", black, style=2, linewidth=2,offset=1)
plot(isSL and in_longCondition and last_low_long > last_open_longCondition - last_open_longCondition * sl ? 
     last_open_longCondition - last_open_longCondition * sl : na, "Long SL", slColor, style=3,join=false, linewidth=2,offset=1)

plot(isTS and in_shortCondition?
     last_low + last_low * ts : na, "Short Trailing", fuchsia, style=2, linewidth=2,offset=1)
plot(isTP and in_shortCondition and last_low > last_open_shortCondition - last_open_shortCondition * tp ? 
     last_open_shortCondition - last_open_shortCondition * tp : na, "Short TP Active", tpColor, style=3,join=false, linewidth=2,offset=1)
plot(isTP and in_shortCondition and last_low <= last_open_shortCondition -  last_open_shortCondition * tp ? 
     last_low + last_low * ttp : na, "Short Trailing", black, style=2, linewidth=2,offset=1)
plot(isSL and in_shortCondition and last_high_short < last_open_shortCondition + last_open_shortCondition * sl ? 
     last_open_shortCondition + last_open_shortCondition * sl : na, "Short SL", slColor, style=3,join=false, linewidth=2,offset=1)

bclr = not clrBars ? na : tradeState==0 ? GRAY : 
                          in_longCondition ? close<last_open_longCondition? DARKGREEN : LIME :
                          in_shortCondition ? close>last_open_shortCondition? DARKRED : RED : GRAY
barcolor(bclr,title="Trade State Bar Colouring")


//////////////////////////////////
//======[ 战略进入与退出 ]======//
//////////////////////////////////

if testPeriod() and isLong
    strategy.entry("Long", 1, when=longCondition)
    strategy.close("Long", when=longClose )

if testPeriod() and isShort
    strategy.entry("Short", 0,  when=shortCondition)
    strategy.close("Short", when=shortClose )
    
// --- Debugs
//plotchar(longExit,title="longExit",location=location.bottom,color=na)
//plotchar(longCondition,title="longCondition",location=location.bottom,color=na)
//plotchar(in_longCondition,title="in_longCondition",location=location.bottom,color=na)
//plotchar(longClose,title="longClose",location=location.bottom,color=na,color=na)
//plotchar(buy,title="buy",location=location.bottom,color=na)
// --- /Debugs
//开单时改变背景
bgcolor( in_longCondition ? lime : na, transp=90)
bgcolor( in_shortCondition ? red : na, transp=90)

////////////////////////////
//======[ 重置变量 ]======//
////////////////////////////


if longClose or not in_longCondition
    last_high := na
    last_high_short := na
    
if shortClose or not in_shortCondition
    last_low := na
    last_low_long := na
    
if longClose or shortClose
    tradeState := 0
    in_longCondition := false
    in_shortCondition := false

    
//plotchar(tradeState,"tradeState at EOF",location=location.bottom, color=na)
// EOF
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