The MACD Trend Following Strategy is a quantitative trading strategy based on the MACD indicator. This strategy identifies MACD golden cross and death cross signals to determine market trends and track price trends.
The core logic of the MACD Trend Following Strategy is:
Through this trend following mechanism, the strategy can timely capture turns of market trends and make profits.
The MACD Trend Following Strategy has the following advantages:
The MACD Trend Following Strategy also has the following risks:
To address the above risks, the following optimization measures can be adopted:
The MACD Trend Following Strategy can be optimized in the following aspects:
Optimize MACD indicator parameters to reduce false signal rate. Different cycle parameters of MACD can be tested.
Add other indicators like trading volume to filter out signals. Minimum trading volume conditions can be set.
Set up dynamic trailing stop loss mechanism. Stop loss points can be adjusted dynamically based on volatility.
Optimize the signal determination logic for opening positions. More rigorous trigger conditions can be set.
Incorporate machine learning models to filter out signals. Models can be trained to judge reliability of signals.
In general, the MACD Trend Following Strategy is a relatively mature quantitative strategy. It utilizes the MACD indicator to determine market trend directions, and controls risks with stop loss mechanism, which can effectively track price trends. But the MACD indicator itself also has some flaws, easy to generate false signals. So there are rooms for further optimization of this strategy, mainly on aspects like indicator parameters, stop loss mechanism, signal filtering etc.
/*backtest start: 2023-11-10 00:00:00 end: 2023-12-10 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy("MACD Cross Strategy", overlay=true) // Get MACD values [macdLine, signalLine, _] = ta.macd(close, 12, 26, 9) var float entryLongPrice = na var float entryShortPrice = na var float highestLongProfit = 0 var float highestShortProfit = 0 var float highestMACD = 0 var float lowestMACD = 0 var bool haveOpenedLong = false var bool haveOpenedShort = false var float stoploss = 0.04 // To be adjust for different investment var float minProfit = 0.05 // To be adjust for different investment if macdLine > 0 lowestMACD := 0 highestMACD := math.max(highestMACD, macdLine) haveOpenedShort := false else highestMACD := 0 lowestMACD := math.min(lowestMACD, macdLine) haveOpenedLong := false // Enter long position when MACD line crosses above the signal line if ta.crossover(macdLine, signalLine) and macdLine < highestMACD and macdLine > 0 and haveOpenedLong == false strategy.entry("Long", strategy.long) strategy.exit("Exit Long", from_entry = "Long", stop=close*(1 - stoploss)) entryLongPrice := close haveOpenedLong := true if ta.crossunder(macdLine, signalLine) and macdLine > lowestMACD and macdLine < 0 and haveOpenedShort == false strategy.entry("Short", strategy.short) strategy.exit("Exit Short", from_entry = "Short", stop=close*(1 + stoploss)) entryShortPrice := close haveOpenedShort := true // log.info("entryLongPrice:{0}", entryLongPrice) if strategy.position_size > 0 profit = close - entryLongPrice log.info("profit:{0}", profit) if profit > 0 highestLongProfit := math.max(highestLongProfit, profit) if profit / entryLongPrice > minProfit and highestLongProfit * 0.8 > profit strategy.close("Long") highestLongProfit := 0 if strategy.position_size < 0 profit = entryShortPrice - close if profit > 0 highestShortProfit := math.max(highestShortProfit, profit) log.info("highestShortProfit={0}, profit={1}", highestShortProfit, profit) if profit / entryShortPrice > minProfit and highestShortProfit * 0.8 > profit strategy.close("Short") highestShortProfit := 0