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This is a very simple short-term trading strategy that is mainly suitable for index futures daily trading. It only goes long when the index is in a long-term uptrend channel and there is a short-term reversal signal.

The strategy mainly uses moving averages and RSI indicators to determine trends and overbought/oversold conditions. The specific trading signals are: the index closing price rebounds from the long-term 200-day moving average and remains above it as the long-term trend judgment; the closing price breaks below the 10-day moving average as the short-term adjustment signal; RSI3 less than 30 as the oversold signal. When the above three conditions are met, it is believed that the probability of a short-term reversal is relatively large, so go long.

After taking a position, exits are based on stop loss, take profit and short-term trend judgments. If the closing price stands back above the 10-day MA, judging that the short-term adjustment has ended, take profit actively; if the closing price hits a new low, stop out with a loss; take profit when the closing price rises 10%.

The strategy has the following advantages:

- Simple logic, easy to understand and implement, suitable for beginners;
- Make full use of the long-term uptrend of the index to avoid trading against the trend;
- Use the RSI indicator to determine the short-term reversal point to increase the profit probability;
- There are stop loss and take profit mechanisms to control risks;
- Low data requirements, daily data is enough, suitable for zero-cost implementation.

The strategy also has some risks:

- Sustained declines in bear markets will lead to losses;
- Failed reversals can cause significant losses;
- Improper parameter settings can also affect results, such as incorrect moving average periods;
- Trading frequency may be low, unable to capture all adjustments;
- Limited profit upside, not much higher than market index returns.

In response to the above risks, methods such as optimizing cycle parameters, adjusting stop-loss ratios, adding other indicator judgments, etc. can be used to improve the strategy.

The strategy can be optimized in the following aspects:

- Increase multifactor judgments of long-term and short-term trends, such as MACD and KD to improve judgment accuracy;
- Add trading volume analysis, such as going long when trading volume surges;
- Optimize parameter settings through Walk Forward Analysis and other methods to find the best parameters;
- Combine more reversal factors,such as Fibonacci retracement levels, support and resistance levels to determine the reversal levels;
- Comprehensively consider profit ratio optimization, such as adjusting positions and stop-loss ratios to achieve higher returns.

In summary, this is a very simple and practical short-term trading strategy. It combines the long-term uptrend and short-term pullback reversal of the index to obtain excess returns while controlling risks. By continuously optimizing and parameter tuning, better results can be achieved.

/*backtest start: 2023-01-11 00:00:00 end: 2024-01-17 00:00:00 period: 1d basePeriod: 1h 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/ // © tsujimoto0403 //@version=5 strategy("simple pull back", overlay=true,default_qty_type=strategy.percent_of_equity, default_qty_value=100) //input value malongperiod=input.int(200,"長期移動平均BASE200/period of long term sma",group = "パラメータ") mashortperiod=input.int(10,"長期移動平均BASE10/period of short term sma",group = "パラメータ") stoprate=input.int(5,title = "損切の割合％/stoploss percentages",group = "パラメータ") profit=input.int(20,title = "利食いの割合％/take profit percentages",group = "パラメータ") startday=input(title="バックテストを始める日/start trade day", defval=timestamp("01 Jan 2000 13:30 +0000"), group="期間") endday=input(title="バックテスを終わる日/finish date day", defval=timestamp("1 Jan 2099 19:30 +0000"), group="期間") //polt indicators that we use malong=ta.sma(close,malongperiod) mashort=ta.sma(close,mashortperiod) plot(malong,color=color.aqua,linewidth = 2) plot(mashort,color=color.yellow,linewidth = 2) //date range datefilter = true //open conditions if close>malong and close<mashort and strategy.position_size == 0 and datefilter and ta.rsi(close,3)<30 strategy.entry(id="long", direction=strategy.long) //sell conditions strategy.exit(id="cut",from_entry="long",stop=(1-0.01*stoprate)*strategy.position_avg_price,limit=(1+0.01*profit)*strategy.position_avg_price) if close>mashort and close<low[1] and strategy.position_size>0 strategy.close(id ="long")

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