This strategy utilizes multiple technical indicators for quantitative trading. It mainly uses indicators including EMA crossovers, SuperTrend, RSI, MACD etc. to generate trading signals.
The core logic is based on the following aspects:
EMA Crossover: Compute fast EMA1 and slow EMA2. When EMA1 crossover above EMA2, generate buy signal. When EMA1 crossover below EMA2, generate sell signal.
VWMA: Compute VWMA. When close price crossover above VWMA, it is a buy signal. When close price crossover below VWMA, it is a sell signal.
SuperTrend: Compute the upper band and lower band based on ATR and multiplier parameter. Determine trend direction. Generate buy signals in uptrend and sell signals in downtrend.
RSI: Compute RSI indicator. When RSI is above overbought level, it is sell signal. When RSI is below oversold level, it is buy signal.
MACD: Compute MACD, signal line and histogram. When MACD line crossover above signal line, generate buy. When MACD line crossover below signal line, generate sell.
The strategy adopts “AND” logic to combine signals above. Only when multiple indicators emit buy/sell signal simultaneously, a final trading signal will be generated.
This strategy combines multiple indicators to filter the market and avoid false signals. Main advantages:
Multiple indicators combination avoids errors of single indicator.
Combination of trend indicator and oscillator capture extra profit during trends.
Use of stop loss logic limits maximum loss per trade.
Martingale logic provides chance to break even after losses.
Main risks:
Too conservative indicator combination may miss some trading chance. Simplify the indicators combination when necessary.
Martingale logic may lead to significant losses. Set reasonable limitation to the number of additional entries.
Improper use of stop loss may lead to unnecessary stop out. Adopt adaptive stop loss mechanism.
Improper parameter tuning may lead too more false signals. Optimize parameters to find the best combination.
The strategy can be further optimized in the following aspects:
Evaluate different combination of indicators, determine the weights.
Test different parameters for each indicator.
Add adaptive stop loss logic.
Add dynamic position sizing mechanism.
Leverage machine learning to optimize parameters and models.
In summary, this is a very practical quantitative trading strategy. It combines the strength of multiple classical technical indicators for market analysis. Further parameter tuning and model optimization can lead to better results.
/*backtest start: 2023-12-01 00:00:00 end: 2023-12-31 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy(title='Pinku Buy', overlay=true) fromMonth = input.int(defval=1, title='From Month', minval=1, maxval=12) fromDay = input.int(defval=1, title='From Day', minval=1, maxval=31) fromYear = input.int(defval=2021, title='From Year', minval=1970) thruMonth = input.int(defval=1, title='Thru Month', minval=1, maxval=12) thruDay = input.int(defval=1, title='Thru Day', minval=1, maxval=31) thruYear = input.int(defval=2112, title='Thru Year', minval=1970) showDate = input(defval=true, title='Show Date Range') start = timestamp(fromYear, fromMonth, fromDay, 00, 00) finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) window() => true // ema crossover length1 = input.int(10) length2 = input.int(20) ema1 = ta.ema(close , length1) ema2 = ta.ema(close , length2) //vwap VWAP = ta.vwap(hlc3) plot(VWAP, color=color.new(color.red, 0), linewidth=3) buy_1 = close > VWAP sell_1 = close < VWAP //vwma len = input.int(20, 'VWMA_len', minval=1) ma = ta.vwma(close, len) plot(ma, color=color.new(color.navy, 0), linewidth=2) buy_2 = close > ma sell_2 = close < ma //super trend //inputs Periods = input(title='STR Period', defval=22) Source = input(hl2, title='Source') Multiplier = input.float(title='STR Multiplier', step=0.1, defval=5.0) //Compute ATR Levels atr = ta.atr(Periods) //Creating Upper Channel up = Source - Multiplier * atr up1 = nz(up[1], up) up := close[1] > up1 ? math.max(up, up1) : up //Creating Down Channel dn = Source + Multiplier * atr dn1 = nz(dn[1], dn) dn := close[1] < dn1 ? math.min(dn, dn1) : dn //Compute the Trend Stream +1/-1 trend = 1 trend := nz(trend[1], trend) trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend //Create Stoploss for Longs upPlot = plot(trend == 1 ? up : na, title='Up Trend', style=plot.style_linebr, linewidth=2, color=color.new(color.green, 0)) //buy_a = close > upPlot //Buy Signal buy_3 = trend == 1 and trend[1] == -1 plotshape(buy_3 ? up : na, title='Go Long', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.green, 0)) dnPlot = plot(trend == 1 ? na : dn, title='Down Trend', style=plot.style_linebr, linewidth=2, color=color.new(color.red, 0)) //sell_a = close < dnPlot //Sell Signal sell_3 = trend == -1 and trend[1] == 1 plotshape(sell_3 ? dn : na, title='Go Short', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.red, 0)) // //paraboloic sar // start = input(0.02) // increment = input(0.02) // maximum = input(0.2, 'Max Value') // out = ta.sar(start, increment, maximum) buy_4 = ema1 > ema2 //buy_4 = buy1 and not buy1[1] //plotshape(buy_4 , color = color.green , text = "Buy" , location = location.belowbar , textcolor = color.white , style = shape.labelup , size = size.small) sell_4 = close < ema2 //sell_4 = sell1 and not sell1[1] //plotshape(sell_4, color = color.red , text = "Sell" , location = location.abovebar , textcolor = color.white , style = shape.labeldown , size = size.small) plot(ema1, 'ema1', color=color.new(color.green, 0), linewidth=2) plot(ema2, 'ema2', color=color.new(color.red, 0), linewidth=2) // rsi lenr = input(14, title='Rsi Period') rs = ta.rsi(close, lenr) over_sold = input(44) over_bought = input(56) buy_5 = rs > over_bought sell_5 = rs < over_sold // macd slow_len_macd = input.int(12) fast_len_macd = input.int(26) signal_len_macd = input.int(9) ema3 = ta.ema(close , slow_len_macd) ema4 = ta.ema(close , fast_len_macd) ema5 = ta.ema(close , signal_len_macd) buy_6 = ema5 > ema4 sell_6 = ema5 < ema4 // adx adxlen = input(14, title="ADX Smoothing") dilen = input(14, title="DI Length") dirmov(len) => up = ta.change(high) down = -ta.change(low) plusDM = na(up) ? na : (up > down and up > 0 ? up : 0) minusDM = na(down) ? na : (down > up and down > 0 ? down : 0) truerange = ta.rma(ta.tr, len) plus = fixnan(100 * ta.rma(plusDM, len) / truerange) minus = fixnan(100 * ta.rma(minusDM, len) / truerange) [plus, minus] adx(dilen, adxlen) => [plus, minus] = dirmov(dilen) sum = plus + minus adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen) sig = adx(dilen, adxlen) //plot(sig, color=color.red, title="ADX") adx_Greater_than = input.int(25) signal = sig > adx_Greater_than // volume ema volume_ema = input.int(10) vema = ta.ema(volume,volume_ema) signal_2 = volume > vema //define buy sell g = buy_1 and buy_2 and buy_4 and trend == 1 and buy_5 and buy_6 and signal and signal_2 and window() r = sell_1 and sell_2 and sell_4 and trend == -1 and sell_5 and sell_6 and signal and signal_2 and window() rg = 0 rg := r ? 1 : g ? 2 : nz(rg[1]) buy11 = 0 buy11 := r ? 0 : g ? 1 : nz(buy11[1]) sell11 = 0 sell11 := r ? 1 : g ? 0 : nz(sell11[1]) buy = buy11 and not buy11[1] sell = sell11 and not sell11[1] multiple_signals = input(true) if multiple_signals buy := g and not g[1] and window() sell := r and not r[1] and window() sell else buy := buy and window() sell := sell and window() sell //plotshape(long , color = color.green , text = "Buy" , location = location.belowbar , textcolor = color.white , style = shape.labelup , size = size.small) //plotshape(short , color = color.red , text = "Sell" , location = location.abovebar , textcolor = color.white , style = shape.labeldown , size = size.small) Stop = input(0.5, title='StopLoss') / 100 ProfitPerc = input(defval=1.5, title='Profit') / 100 rev = input(1024,title = "Reverse Limit") Averaging_position_ = input(true , title = "Averaging position ? ") qn = 1 qn := nz(qn[1]) long_short = 0 long_last = buy and (nz(long_short[1]) == 0 or nz(long_short[1]) == -1) short_last = sell and (nz(long_short[1]) == 0 or nz(long_short[1]) == 1) long_short := long_last ? 1 : short_last ? -1 : long_short[1] long_entered = false long_entered := long_entered[1] short_entered = false short_entered := short_entered[1] longPrice = ta.valuewhen(long_last, close, 0) shortPrice = ta.valuewhen(short_last, close, 0) longStop = longPrice * (1 - Stop) shortStop = shortPrice * (1 + Stop) longTake = longPrice * (1 + ProfitPerc) shortTake = shortPrice * (1 - ProfitPerc) plot(long_short == 1 ? longStop : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Long Fixed SL') plot(long_short == -1 ? shortStop : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Short Fixed SL') plot(long_short == 1 ? longTake : na, style=plot.style_linebr, color=color.new(color.navy, 0), linewidth=1, title='Long Fixed TP') plot(long_short == -1 ? shortTake : na, style=plot.style_linebr, color=color.new(color.navy, 0), linewidth=1, title='Short Fixed TP') longBar1 = ta.barssince(long_last) longBar2 = longBar1 >= 1 ? true : false shortBar1 = ta.barssince(short_last) shortBar2 = shortBar1 >= 1 ? true : false longSLhit = long_short == 1 and longBar2 and low < longStop if long_entered and sell longSLhit := true longSLhit plotshape(longSLhit and not(sell and not short_entered and long_entered), style=shape.labelup, location=location.belowbar, color=color.new(color.gray, 0), size=size.tiny, title='Stop Loss', text='Long SL', textcolor=color.new(color.white, 0)) shortSLhit = long_short == -1 and shortBar2 and high > shortStop if short_entered and buy shortSLhit := true shortSLhit plotshape(shortSLhit and not(buy and not long_entered and short_entered), style=shape.labeldown, location=location.abovebar, color=color.new(color.gray, 0), size=size.tiny, title='Stop Loss', text='Short SL', textcolor=color.new(color.white, 0)) longTPhit = long_short == 1 and longBar2 and high > longTake plotshape(longTPhit, style=shape.labeldown, location=location.abovebar, color=color.new(color.navy, 0), size=size.tiny, title='Target', text='Long TP', textcolor=color.new(color.white, 0)) shortTPhit = long_short == -1 and shortBar2 and low < shortTake plotshape(shortTPhit, style=shape.labelup, location=location.belowbar, color=color.new(color.navy, 0), size=size.tiny, title='Target', text='Short TP', textcolor=color.new(color.white, 0)) long_short := (long_short == 1 or long_short == 0) and longBar2 and (longSLhit or longTPhit) ? 0 : (long_short == -1 or long_short == 0) and shortBar2 and (shortSLhit or shortTPhit) ? 0 : long_short if(shortSLhit or longSLhit or (long_entered[1] and sell) or (short_entered[1] and buy )) qn := qn*2 if(longTPhit or shortTPhit or qn > rev) qn := 1 if Averaging_position_ qn := 1 plotshape(buy and not long_entered, color=color.new(color.green, 0), style=shape.labelup, text='Buy', textcolor=color.new(color.white, 0), location=location.belowbar) plotshape(sell and not short_entered, color=color.new(color.red, 0), style=shape.labeldown, text='Sell', textcolor=color.new(color.white, 0), location=location.abovebar) // plotshape(buy and not(long_entered) and (short_entered), color = color.green , style = shape.labelup , text = "FA Buy" , textcolor = color.white , location = location.belowbar) // plotshape(sell and not(short_entered) and (long_entered), color = color.red , style = shape.labeldown , text = "FA Sell" , textcolor = color.white , location = location.abovebar) // alertcondition(condition=buy and not(long_entered) and (short_entered), title="Fully Algo Buy") // alertcondition(condition=sell and not(short_entered) and (long_entered), title="Fully Algo sell") alertcondition(condition=buy and not long_entered, title='Buy') alertcondition(condition=sell and not short_entered, title='Sell') if long_last long_entered := true short_entered := false short_entered if short_last short_entered := true long_entered := false long_entered alertcondition(condition=longSLhit and not(sell and not short_entered and long_entered), title='Long SL') alertcondition(condition=shortSLhit and not(buy and not long_entered and short_entered), title='Short SL') alertcondition(condition=longTPhit, title='Long TP') alertcondition(condition=shortTPhit, title='Short TP') if longSLhit or longTPhit long_entered := false long_entered if shortSLhit or shortTPhit short_entered := false short_entered // if buy // strategy.entry('buy', strategy.long) // strategy.exit('exit', 'buy', limit=longTake, stop=longStop) // if sell // strategy.entry('sell', strategy.short) // strategy.exit('exit', 'sell', limit=shortTake, stop=shortStop) if(buy) strategy.entry("buy",strategy.long,qty = qn) strategy.exit("Stop","buy",limit = longTake,stop = longStop) if(sell) strategy.entry("sell",strategy.short,qty = qn) strategy.exit("Stop","sell",limit = shortTake,stop = shortStop) strategy.close("buy",when = longTPhit or sell or longSLhit, comment = "Target") strategy.close("sell",when = shortSLhit or shortTPhit or buy , comment = "Stop Loss") strategy.cancel("buy",when = longTPhit or sell or longSLhit) strategy.cancel("sell",when = shortSLhit or shortTPhit or buy )template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6