This is a combo strategy that combines trend reversal and moving average crossover strategies to generate more accurate trading signals.
The strategy consists of two parts:
123 Reversal Strategy: Go long when close price rises for 2 consecutive days and 9-day slow stochastic is below 50; Go short when close price falls for 2 consecutive days and 9-day fast stochastic is above 50.
Bill Williams Average Strategy: Calculate 13, 8 and 5 days median price moving averages and go long when faster MAs cross above slower MAs; Go short when faster MAs cross below slower MAs.
Finally, an actual trading signal is generated only when both strategies agree on the direction; otherwise no trade.
The combo strategy filters noise using dual trend validations, thus improving signal accuracy. Additionally, moving averages filter out some noise.
Risks are:
Risks can be reduced by optimizing MA parameters or entry/exit logic.
The strategy can be optimized by:
This strategy combines dual trend filters and MAs to effectively filter noises and improve decision accuracy. But risks exist, which need continuous optimization of logic before stable profitability.
/*backtest start: 2023-10-28 00:00:00 end: 2023-11-27 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=3 //////////////////////////////////////////////////////////// // Copyright by HPotter v1.0 18/06/2019 // This is combo strategies for get // a cumulative signal. Result signal will return 1 if two strategies // is long, -1 if all strategies is short and 0 if signals of strategies is not equal. // // First strategy // This System was created from the Book "How I Tripled My Money In The // Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. // The strategy buys at market, if close price is higher than the previous close // during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. // The strategy sells at market, if close price is lower than the previous close price // during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. // // Second strategy // This indicator calculates 3 Moving Averages for default values of // 13, 8 and 5 days, with displacement 8, 5 and 3 days: Median Price (High+Low/2). // The most popular method of interpreting a moving average is to compare // the relationship between a moving average of the security's price with // the security's price itself (or between several moving averages). // // WARNING: // - For purpose educate only // - This script to change bars colors. //////////////////////////////////////////////////////////// Reversal123(Length, KSmoothing, DLength, Level) => vFast = sma(stoch(close, high, low, Length), KSmoothing) vSlow = sma(vFast, DLength) pos = 0.0 pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1, iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) pos BillWilliamsAverages(LLength, MLength,SLength, LOffset,MOffset, SOffset ) => xLSma = sma(hl2, LLength)[LOffset] xMSma = sma(hl2, MLength)[MOffset] xSSma = sma(hl2, SLength)[SOffset] pos = 0 pos := iff(close < xSSma and xSSma < xMSma and xMSma < xLSma, -1, iff(close > xSSma and xSSma > xMSma and xMSma > xLSma, 1, nz(pos[1], 0))) pos strategy(title="Combo Backtest 123 Reversal & Bill Williams Averages. 3Lines", shorttitle="Combo", overlay = true) Length = input(14, minval=1) KSmoothing = input(1, minval=1) DLength = input(3, minval=1) Level = input(50, minval=1) //------------------------- LLength = input(13, minval=1) MLength = input(8,minval=1) SLength = input(5,minval=1) LOffset = input(8,minval=1) MOffset = input(5,minval=1) SOffset = input(3,minval=1) reverse = input(false, title="Trade reverse") posReversal123 = Reversal123(Length, KSmoothing, DLength, Level) posBillWilliamsAverages = BillWilliamsAverages(LLength, MLength,SLength, LOffset, MOffset, SOffset) pos = iff(posReversal123 == 1 and posBillWilliamsAverages == 1 , 1, iff(posReversal123 == -1 and posBillWilliamsAverages == -1, -1, 0)) possig = iff(reverse and pos == 1, -1, iff(reverse and pos == -1, 1, pos)) if (possig == 1) strategy.entry("Long", strategy.long) if (possig == -1) strategy.entry("Short", strategy.short) if (possig == 0) strategy.close_all() barcolor(possig == -1 ? red: possig == 1 ? green : blue )