This strategy is a high/low level strategy suitable for cryptocurrency markets. It integrates MACD, PSAR, ATR, Elliott Wave and other multiple indicators for trading at higher timeframes like 1 hour, 4 hours or 1 day. The advantage of this strategy lies in the high risk reward ratio with average profit factor ranging from 1.5 to 2.5.
The trading signals of this strategy come from the price high/low levels and composite judgments of multiple indicators. The specific logic is:
Judge if there is a high/low level range formed by successive higher highs or lower lows on the price chart.
Check the histogram level of MACD.
Check PSAR indicator for trend direction.
Check trend direction based on ATR and MA.
Confirm trend direction with Elliott Wave indicator.
If all the 5 conditions point to the same direction, long or short signals are generated.
High risk reward ratio up to 1:30.
High average profit factor, usually between 1.5-2.5.
Combination of multiple indicators helps filter false breakouts effectively.
Relatively low win rate around 10%-20%.
Potential drawdown and whipsaw risks exist.
Indicator performance could be impacted by market regimes.
Need decent psychological endurance.
Corresponding Measures:
Increase capital to balance the win rate.
Set strict stop loss for each trade.
Adjust parameters based on different markets.
Strengthen psychology and control position sizing.
Test parameters based on different cryptos and markets.
Add stop loss and take profit to optimize money management.
Increase win rate with machine learning methods.
Add social sentiment filter for trading signals.
Consider confirmation across multiple timeframes.
In conclusion, this is an aggressive high risk high return cryptocurrency trading strategy. Its advantage lies in the high risk reward ratio and profit factor. The main risks come from the relatively low win rate which requires strong psychology. The future optimization directions could be parameter tuning, money management, increasing win rate and so on. Overall this strategy has practical value for cryptocurrency traders seeking high profits.
/*backtest start: 2023-12-21 00:00:00 end: 2023-12-28 00:00:00 period: 45m basePeriod: 5m 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/ // © SoftKill21 //@version=4 strategy("Crypto strategy high/low", overlay=true) fast_length = input(title="Fast Length", type=input.integer, defval=12) slow_length = input(title="Slow Length", type=input.integer, defval=26) src = input(title="Source", type=input.source, defval=close) signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 9) sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=true) sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=false) //sar start = input(0.02) increment = input(0.02) maximum = input(0.2) var bool uptrend = na var float EP = na var float SAR = na var float AF = start var float nextBarSAR = na if bar_index > 0 firstTrendBar = false SAR := nextBarSAR if bar_index == 1 float prevSAR = na float prevEP = na lowPrev = low[1] highPrev = high[1] closeCur = close closePrev = close[1] if closeCur > closePrev uptrend := true EP := high prevSAR := lowPrev prevEP := high else uptrend := false EP := low prevSAR := highPrev prevEP := low firstTrendBar := true SAR := prevSAR + start * (prevEP - prevSAR) if uptrend if SAR > low firstTrendBar := true uptrend := false SAR := max(EP, high) EP := low AF := start else if SAR < high firstTrendBar := true uptrend := true SAR := min(EP, low) EP := high AF := start if not firstTrendBar if uptrend if high > EP EP := high AF := min(AF + increment, maximum) else if low < EP EP := low AF := min(AF + increment, maximum) if uptrend SAR := min(SAR, low[1]) if bar_index > 1 SAR := min(SAR, low[2]) else SAR := max(SAR, high[1]) if bar_index > 1 SAR := max(SAR, high[2]) nextBarSAR := SAR + AF * (EP - SAR) // Calculating fast_ma = sma_source ? sma(src, fast_length) : ema(src, fast_length) slow_ma = sma_source ? sma(src, slow_length) : ema(src, slow_length) macd = fast_ma - slow_ma signal = sma_signal ? sma(macd, signal_length) : ema(macd, signal_length) hist = macd - signal CCI = input(20) ATR = input(5) Multiplier=input(1,title='ATR Multiplier') original=input(true,title='original coloring') thisCCI = cci(close, CCI) lastCCI = nz(thisCCI[1]) bufferDn= high + Multiplier * sma(tr,ATR) bufferUp= low - Multiplier * sma(tr,ATR) if (thisCCI >= 0 and lastCCI < 0) bufferUp := bufferDn[1] if (thisCCI <= 0 and lastCCI > 0) bufferDn := bufferUp[1] if (thisCCI >= 0) if (bufferUp < bufferUp[1]) bufferUp := bufferUp[1] else if (thisCCI <= 0) if (bufferDn > bufferDn[1]) bufferDn := bufferDn[1] x=0.0 x:=thisCCI >= 0 ?bufferUp:thisCCI <= 0 ?bufferDn:x[1] swap=0.0 swap:=x>x[1]?1:x<x[1]?-1:swap[1] swap2=swap==1?color.lime:color.red swap3=thisCCI >=0 ?color.lime:color.red swap4=original?swap3:swap2 //elliot wave srce = input(close, title="source") sma1length = input(5) sma2length = input(35) UsePercent = input(title="Show Dif as percent of current Candle", type=input.bool, defval=true) smadif=iff(UsePercent,(sma(srce, sma1length) - sma(srce, sma2length)) / srce * 100, sma(srce, sma1length) - sma(srce, sma2length)) col=smadif <= 0 ? color.red : color.green longC = high > high[1] and high[1] > high[2] and close[2] > high[3] and hist > 0 and uptrend and smadif < 0 and swap4==color.lime //longC = high > high[1] and high[1] > high[2] and high[2] > high[3] and high[3] > high[4] and close[4] > high[5] shortC = low < low[1] and low[1] < low[2] and close[2] < low[3] and hist < 0 and not uptrend and smadif > 0 and swap4==color.red //shortC = low < low[1] and low[1] < low[2] and low[2] < low[3] and low[3] < low[4] and close[4] < low[5] tp=input(0.15, title="tp") sl=input(0.005, title="sl") strategy.entry("long",1,when=longC) strategy.entry("short",0,when=shortC) strategy.exit("x_long", "long" ,loss = close * sl / syminfo.mintick, profit = close * tp / syminfo.mintick , alert_message = "closelong") //strategy.entry("short",0, when= loss = close * sl / syminfo.mintick) strategy.exit("x_short", "short" , loss = close * sl / syminfo.mintick, profit = close * tp / syminfo.mintick,alert_message = "closeshort") //strategy.entry("long",1, when = loss = close * sl / syminfo.mintick) //strategy.close("long",when= hist < 0) //strategy.close("short", when= hist > 0)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6