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Dual Moving Average Price Leaping Strategy

Author: ChaoZhang, Date: 2023-11-21 14:28:35
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Overview

This strategy uses the RSI indicator to determine overbought and oversold conditions, combined with a trend judgment system constructed with fast, medium and slow moving average lines, to identify opportunities to open long or short positions when prices are leaping.

Strategy Principle

  1. Use RSI indicator to determine overbought and oversold conditions

    • RSI parameter is set to 14 periods
    • Oversold line is at 30, overbought line is at 70

  2. Use three SMA lines of different periods to determine the trend

    • Fast line is 9-period SMA, representing short-term trend
    • Medium line is 50-period SMA, representing medium-term trend
    • Slow line is 200-period SMA, representing long-term trend

  3. When fast line crosses above medium line, and RSI indicator shows oversold, go long

  4. When fast line crosses below medium line, and RSI indicator shows overbought, go short

  5. Stop loss is set at 4% of entry price

  6. Profit taking is done in batches, first take profit of 20%, then take 15% as price continues to rise, exiting positions gradually

Advantage Analysis

  1. Using three SMA lines of different periods can judge trend changes across different time frames
  2. The use of RSI indicator avoids opening positions outside of overbought/oversold areas
  3. Batch profit taking increases holding period and average profit of the strategy

Risk Analysis

  1. Probability of wrong signals from the three moving average lines
  2. Risk of incomplete batch profit taking execution
  3. Need to choose suitable instruments with high price fluctuation

Optimization Directions

  1. Can test modifying parameters of moving averages and RSI to optimize entry and exit
  2. Can add other indicators to filter candle patterns etc to improve accuracy
  3. Can dynamically trail stop loss to further control risk

Summary

This strategy combines moving average indicators and the overbought/oversold indicator RSI. By capturing price trend changes while judging trading opportunities, it belongs to a commonly used trend tracking strategy. Further optimizations and improved win rate can be achieved through parameter testing and incorporating additional auxiliary judgment indicators.

/*backtest
start: 2023-11-13 00:00:00
end: 2023-11-20 00:00:00
period: 1m
basePeriod: 1m
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/
// © syfuslokust

//@version=4
strategy(shorttitle='CoinruleCombinedCryptoStrat',title='CoinruleCombinedCryptoStrat', overlay=true)


// RSI inputs and calculations
lengthRSI = 14
RSI = rsi(close, lengthRSI)
//Normal
oversold = input(30)
overbought =  input(70)
//ALGO
//oversold= input(26)
//overbought= input(80)

//sell pct
SellPct = input(20)
ExitPct = input(15)

//MA inputs and calculations
movingaverage_signal = sma(close, input(9))
movingaverage_fast = sma(close, input(50))
movingaverage_slow = sma(close, input(200))
movingaverage_mid= sma(close, input(100))

//Look Back
inp_lkb = input(12, title='Lookback Long Period')
inp_lkb_2 = input(2, title='Lookback Short Period')
 
perc_change(lkb) =>
    overall_change = ((close[0] - close[lkb]) / close[lkb]) * 100

//Entry 

//MA
bullish = crossover(movingaverage_signal, movingaverage_fast)
//Execute buy
strategy.entry(id="long", long = true, when = (RSI < oversold and movingaverage_fast < movingaverage_mid))

//when = crossover(close, movingaverage_signal) and movingaverage_signal < movingaverage_slow and RSI < oversold)

//Exit

//RSI
Stop_loss= ((input (4))/100)
longStopPrice  = strategy.position_avg_price * (1 - Stop_loss)
//MA
bearish = crossunder(movingaverage_signal, movingaverage_fast)
//Execute sell
strategy.close("long", qty_percent = SellPct, when = RSI > overbought and movingaverage_fast > movingaverage_mid)
//when = (crossunder(low, movingaverage_signal) and movingaverage_fast > movingaverage_slow and RSI > overbought) or (movingaverage_signal < movingaverage_fast and crossunder(low, movingaverage_fast)) or (low < longStopPrice))


//PLOT
plot(movingaverage_signal, color=color.black, linewidth=2, title="signal")
plot(movingaverage_fast, color=color.orange, linewidth=2, title="fast")
plot(movingaverage_slow, color=color.purple, linewidth=2, title="slow")
plot(movingaverage_mid, color=color.blue, linewidth=2, title="mid")
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