This is a combination strategy utilizing RSI, MACD and Moving Averages. It incorporates the overbought/oversold signals from RSI, the sensitivity of MACD and the indicator effect of moving averages when determining entry points.
The strategy mainly judges the following four conditions to decide long entry:
When the following two exit conditions are met, the strategy will close positions to stop loss:
Thus the strategy timely stops loss and avoids huge losses when profit taking or retracement.
The biggest advantage of this strategy lies in the combination use of indicators, giving full play to the merits of each indicator:
The application of RSI avoids the transaction fee loss caused by repeatedly opening positions in range-bound markets.
The sensitivity of MACD histogram indicator ensures timely capture of inflection points.
Moving averages filter out short-term market noise and give full play to indicator effect.
The main risks of this strategy include:
High retracement risk. The biggest risk of moving average like trend following strategies is large pullback caused by trend reversal. This can be actively controlled by means of position sizing, stop loss etc.
Difficulty in parameter optimization. Multi-indicator combined strategies have higher difficulty in parameter setting and optimization. Methods like walk forward, genetic algorithm can be adopted for optimized parameters.
The strategy can be further optimized in the following aspects:
Increase additional filters to further avoid false signals, e.g. combine with volume, volatility indicators etc.
Test parameter differences fitting more products. Adjust parameters to adapt more varieties.
Optimize moving average parameter settings. Test the differences of various length parameters.
Research adaptive moving averages. Switch different parameter sets based on market regimes.
In conclusion, this strategy is a typical optimized version of moving average and trend following strategy. It absorbs the strengths of mainstream indicators like MACD and RSI in aspects of timing entry and stopping loss. Next steps could be improving from perspectives like parameter optimization and risk control to make the strategy more robust and adaptable to more products, thereby resulting in higher stability.
/*backtest start: 2022-12-29 00:00:00 end: 2024-01-04 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy("Improved RSI MACD Strategy with Moving Averages", overlay=true) // Inputs src = input(close, title="RSI Source") // RSI Settings lengthRSI = input.int(14, minval=1) // Stop Loss Settings stopLossPct = input.float(0.09, title="Stop Loss Percentage") takeProfitPct = input.float(0.15, title="Take Profit Percentage") // MACD Settings fastlen = input(12) slowlen = input(26) siglen = input(9) // Strategy Settings longEntry = input(0, title="Long Entry Level") exitLevel = input(0, title="Exit Level") // EMA Settings emaShortLength = input(8, title="Short EMA Length") emaLongLength = input(21, title="Long EMA Length") atrMultiplier = input.float(2, title="atrMultiplier") atrLength = input.int(20, title="atrLength") // Indicators rsi1 = ta.rsi(src, lengthRSI) [macd, signal, hist] = ta.macd(src, fastlen, slowlen, siglen) // Calculate EMAs emaShort = ta.ema(src, emaShortLength) emaLong = ta.ema(src, emaLongLength) // Calculate ATR atr = ta.atr(atrLength) // Variables var bool canEnterLong = na // Strategy conditions longCondition = hist > longEntry and rsi1 > 50 and emaShort > emaLong and close > emaLong + atrMultiplier * atr // Entries and Exits if hist < exitLevel and emaShort < emaLong canEnterLong := true strategy.close("Long") // Store last entry price var lastEntryPrice = float(na) var lastEntryPrice2 = float(na) if longCondition strategy.entry("Long", strategy.long) canEnterLong := false lastEntryPrice := close if lastEntryPrice < close lastEntryPrice := close // Calculate Stop Loss and Take Profit Levels based on last entry price stopLossLevel = lastEntryPrice * (1 - stopLossPct) // Check for stop loss and take profit levels and close position if triggered if (strategy.position_size > 0) last_buy = strategy.opentrades[0] if (close < stopLossLevel) strategy.close("Long", comment="Stop Loss Triggered") if (close * (1 - takeProfitPct) > strategy.opentrades.entry_price(strategy.opentrades - 1) ) strategy.close("Long", comment="Take Profit Triggered")template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6