This strategy is based on the classic MACD indicator, combined with trend judgment indicators, stop loss methods and take profit methods to form a relatively complete trend tracking trading strategy. It can be used for both cryptocurrency, forex and stock trading.
MACD Indicator
Trend Filter
Stop Loss
Take Profit
Timed Exit
Multiple Auxiliary Judgement
Flexible Configuration
Divergence Analysis Provided
Easy to Optimize
Improper Parameters May Increase Losses
Trend Failure Risk
Timed Exit Risks
This strategy comprehensively considers trend, stop loss, take profit, pullback identification to form a relatively complete cryptocurrency trading strategy. It combines the advantages of MACD indicators, adds trend filtering to avoid false trading; adds ATR/SAR stop loss for better risk control; pullback identification provides extra reference. The multiple configurable parameters can be easily tested and optimized. Overall, this strategy can serve as a great example for cryptocurrency strategy research.
/*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"}] */ // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © systemalphatrader //@version=4 strategy(title="MACD+ Strategy [SystemAlpha]", shorttitle="MACD+ Strategy [SA]", overlay=true, initial_capital=10000, currency='USD', default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.04) // == MAIN INPUT == // TREND FILTER // Make input option to configure trend filter trendFilter = input(title="Trend Filter", defval='MA', options=['ADX', 'MA', 'SAR', 'All', 'None']) // Translate input into trend filters useADXFilter = (trendFilter == 'ADX') or (trendFilter == 'All') useSARFilter = (trendFilter == 'SAR') or (trendFilter == 'All') useMAFilter = (trendFilter == 'MA') or (trendFilter == 'All') // TRAIL STOP // Make input option to configure trail stop trailStop = input(title="Trailing Stop Loss", defval='SAR', options=['ATR', 'SAR', 'None']) // Translate input useATRStop = (trailStop == 'ATR') useSARStop = (trailStop == 'SAR') // TAKE PROFIT TARGET // Make input option to configure trail stop TPtarget = input(title="Take Profit Type", defval='ATR', options=['ATR', 'Percent', 'None']) // Translate input useATRTP = (TPtarget == 'ATR') usePercentTP = (TPtarget == 'Percent') // ALERTS and BAR COLOR // Make input option to configure alerts alerts = input(title="Select Alerts to Display", defval='None', options=['Buy/Sell', 'Exit', 'Both', 'None']) // Translate input showsignals = (alerts == 'Buy/Sell') or (alerts == 'Both') showexitsignals = (alerts == 'Exit') or (alerts == 'Both') showBarColor = input(true, title="Show Bar Color") // == /MAIN INPUT == ///////////////////////////////////// //*STRATEGY LOGIC *// ///////////////////////////////////// // == MACD == fastLength = input(12, title="Fast Length") slowlength = input(26, title="Slow Length") MACDLength = input(9, title="MACD Length") MACD = ema(close, fastLength) - ema(close, slowlength) aMACD = ema(MACD, MACDLength) delta = MACD - aMACD // Calc breakouts break_up = crossover(delta, 0) break_down = crossunder(delta,0) // == /MACD == // == DIVERGENCE == method = input(title="Divergence Method", defval='Hist', options=['Hist', 'MACD']) divtype = input(title="Divergence Type", defval='None', options=['Regular', 'Hidden', 'Both', 'None']) uReg = divtype == 'Regular' or divtype == 'Both' uHid = divtype == 'Hidden' or divtype == 'Both' showlabel = input(true, title="Show Divergence Label") v_show_last = input(500, "Plotting Lookback Bars Length") high_src = high low_src = low // || Functions: f_top_fractal(_src) => _src[4] < _src[2] and _src[3] < _src[2] and _src[2] > _src[1] and _src[2] > _src[0] f_bot_fractal(_src) => _src[4] > _src[2] and _src[3] > _src[2] and _src[2] < _src[1] and _src[2] < _src[0] f_fractalize(_src) => f_bot_fractal__1 = f_bot_fractal(_src) f_top_fractal(_src) ? 1 : f_bot_fractal__1 ? -1 : 0 // === End of Functions // || Method selection oscilator_high = float(na) oscilator_low = float(na) if method == 'MACD' oscilator_high := MACD oscilator_low := MACD if method == 'Hist' oscilator_high := delta oscilator_low := delta // fractal_top = f_fractalize(oscilator_high) > 0 ? oscilator_high[2] : na fractal_bot = f_fractalize(oscilator_low) < 0 ? oscilator_low[2] : na high_prev = valuewhen(fractal_top, oscilator_high[2], 0)[2] high_price = valuewhen(fractal_top, high[2], 0)[2] low_prev = valuewhen(fractal_bot, oscilator_low[2], 0)[2] low_price = valuewhen(fractal_bot, low[2], 0)[2] regular_bearish_div = fractal_top and high[2] > high_price and oscilator_high[2] < high_prev hidden_bearish_div = fractal_top and high[2] < high_price and oscilator_high[2] > high_prev regular_bullish_div = fractal_bot and low[2] < low_price and oscilator_low[2] > low_prev hidden_bullish_div = fractal_bot and low[2] > low_price and oscilator_low[2] < low_prev // Plotting plot(title='Bullish', series=fractal_top ? high[2] : na, color = regular_bearish_div and uReg or hidden_bearish_div and uHid ? color.red : na, linewidth = 2, transp=50, offset=-2, show_last = v_show_last) plot(title='Bearish', series=fractal_bot ? low[2] : na, color = regular_bullish_div and uReg or hidden_bullish_div and uHid ? color.green : na, linewidth = 2, transp=50, offset=-2, show_last = v_show_last) plotshape(title='Regular Bearish', series=not showlabel or not uReg ? na : regular_bearish_div ? high[2] : na, text='R', style=shape.labeldown, location=location.absolute, color=color.red, textcolor=color.white, transp=50, offset=-2, show_last = v_show_last) plotshape(title='Hidden Bearish', series=not showlabel or not uHid ? na : hidden_bearish_div ? high[2] : na, text='H', style=shape.labeldown, location=location.absolute, color=color.red, textcolor=color.white, transp=80, offset=-2, show_last = v_show_last) plotshape(title='Regular Bullish', series=not showlabel or not uReg ? na : regular_bullish_div ? low[2] : na, text='R', style=shape.labelup, location=location.absolute, color=color.green, textcolor=color.white, transp=50, offset=-2, show_last = v_show_last) plotshape(title='Hidden Bullish', series=not showlabel or not uHid ? na : hidden_bullish_div ? low[2] : na, text='H', style=shape.labelup, location=location.absolute, color=color.green, textcolor=color.white, transp=80, offset=-2, show_last = v_show_last) // == /DIVERGENCE == // == ENTRY == // == ADX FILTERING == // Look at ADX when it is above a user-defined key level (23 default) and this is to identify when it is trending. // It then looks at the DMI levels. If D+ is above D- and the ADX is sloping upwards and above the key level, it triggers a buy condition. Opposite for short. adxlen = 13 //input(13, title="TF ADX Smoothing") dilen = 13 //input(13, title="TF DI Period") keyLevel = 23 //input(23, title="TF Keylevel for ADX") // == USE BUILT-IN DMI FUNCTION TO DETERMINE ADX AND BULL/BEAR STRENGTH [diplus, diminus, adx] = dmi(dilen, adxlen) //Buy and Sell Filter ADXBuyCheck = useADXFilter? diplus > diminus : true ADXSellCheck = useADXFilter? diplus < diminus : true // == /ADX FILTERING == // == MOVING AVERAGE FILTERING == // MA FILTER: Use a user-defined moving average to filter long/short if desried. maType = input(defval="EMA", options=["EMA", "SMA"], title = "TF MA Type") maLength = input(defval = 50, title = "TF MA Period", minval = 1) // Declare function to be able to swap out EMA/SMA ma(maType, src, length) => maType == "EMA" ? ema(src, length) : sma(src, length) maFilter = ma(maType, close, maLength) // Check to see if the useMaFilter check box is checked, this then inputs this conditional "maFilterCheck" variable into the strategy entry maFilterCheck = if useMAFilter == true maFilter else close // == /MOVING AVERAGE FILTERING == // == PARABOLIC SAR AS AN ENTRY and EXIT OPTION == // SAR FILTER: The Parabolic SAR (Stop and Reverse) is a time and price technical analysis tool primarily used to identify points of potential stops and reverses. // Go long when is located below price (BULLISH) and go short when is located above price (BEARISH). sarStart = 0.04 //input(0.04, "SAR Start") sarIncrement = 0.02 //input(0.02, "SAR Increment") sarMaximum = 0.5 //input(0.5, "SAR Max Value") htclose = close sarOut = useSARFilter or useSARStop ? sar(sarStart, sarIncrement, sarMaximum) : na Trend = sarOut < htclose ? 1 : -1 //Buy and Sell Filter sarBuyCheck = useSARFilter? Trend == 1: true sarSellCheck = useSARFilter? Trend == -1: true // Trigger stop based on High/Low trigResistance = high trigSupport = low // Determine if price is above resistance or below support sarResistanceHit = close >= sarOut and useSARStop == true sarSupportHit = close <= sarOut and useSARStop == true // == /PARABOLIC SAR AS AN ENTRY and EXIT OPTION == // == EXITS == // == ATR TRAILING STOPS == // The ATR % stop method can be used by any type of trader because the width of the stop is determined by the percentage of average true range (ATR). // ATR is a measure of volatility over a specified period of time. // Exit with ATR support/resistance is hit. atrLookback = 14 //input(defval=14,title="ATR Lookback Period",type=input.integer) multiplier = input(defval=2,title="ATR Trailing Stop Multiplier",type=input.float, step=0.1, minval=0.5, maxval=5) // Calculate the trailing ATR atrValue = atr(atrLookback) atrMultiplied = atrValue * multiplier // Plot the price plus or minus the ATR atrLow = low - atrMultiplied atrHigh = high + atrMultiplied // Calculate both the low and high trailing ATRs every time. The low one never goes down, and the high one never goes up // Set them to something to start with trailAtrLow = atrLow trailAtrHigh = atrHigh // If the ATR Low has gone up AND it has gone above the trail, the low trailing ATR should also go up. If the ATR Low has gone up or down, but not below the trail, the ATR trail stays where it is trailAtrLow := na(trailAtrLow[1]) ? trailAtrLow : atrLow >= trailAtrLow[1] ? atrLow : trailAtrLow[1] // Same for the High trailAtrHigh := na(trailAtrHigh[1]) ? trailAtrHigh : atrHigh <= trailAtrHigh[1] ? atrHigh : trailAtrHigh[1] // Determine if price is above resistance or below support atrResistanceHit = trigResistance >= trailAtrHigh and useATRStop == true atrSupportHit = trigSupport <= trailAtrLow and useATRStop == true // If price is above resistance or below support, reset the trailing ATR trailAtrLow := atrSupportHit ? atrLow : trailAtrLow trailAtrHigh := atrResistanceHit ? atrHigh : trailAtrHigh // == /ATR TRAILING STOPS == // == INITIAL TP== // ATR tpmultiplier = input(defval=3,title="ATR Take Profit Multiplier",type=input.float, step=0.1, minval=0.5, maxval=5) ema = ema(close, atrLookback) atr = rma(tr(true), atrLookback) longATRTP = ema + (atr * tpmultiplier) shortATRTP = ema - (atr * tpmultiplier) // Determine if price is above resistance or below support longATRTPHit = high >= longATRTP and useATRTP == true shortATRTPHit = low <= shortATRTP and useATRTP == true // STANDARD TAKE PROFIT % // User Options to Change Inputs (%) takePer = input(10, title='Take Profit %', type=input.float, step=0.1, minval=0.5, maxval=100) / 100 //fixed TP prices longPercentTP = ema * (1 + takePer) shortPercentTP = ema * (1 - takePer) // Determine if price is above resistance or below support longPercentTPHit = high >= longPercentTP and usePercentTP == true shortPercentTPHit = low <= shortPercentTP and usePercentTP == true // Set Stop and TP Values buyStop = trailStop == 'ATR'? trailAtrLow : trailStop == 'SAR'? sarOut : na sellStop = trailStop == 'ATR'? trailAtrHigh : trailStop == 'SAR'? sarOut : na longTP = TPtarget == 'ATR'? longATRTP : TPtarget == 'Percent'? longPercentTP : na shortTP = TPtarget == 'ATR'? shortATRTP : TPtarget == 'Percent'? shortPercentTP : na // == /EXITS == // == PLOTTING == buySignal = break_up and ADXBuyCheck and close >= maFilterCheck and sarBuyCheck shortSignal = break_down and ADXSellCheck and close <= maFilterCheck and sarSellCheck sellSignal = atrSupportHit or sarSupportHit or longPercentTPHit or longATRTPHit coverSignal = atrResistanceHit or sarResistanceHit or shortPercentTPHit or shortATRTPHit //Set BarSince counter barsSinceLong = 0 barsSinceShort = 0 barsSinceLong := nz(barsSinceLong[1]) barsSinceShort := nz(barsSinceShort[1]) //Plot Sell and Cover Signal plotshape(not showexitsignals and sellSignal and barsSinceLong == 1? sellSignal : na, title="Sell Long", location=location.abovebar, style=shape.diamond, size=size.auto, color=color.aqua, transp=0, show_last = v_show_last, editable = false) plotshape(not showexitsignals and coverSignal and barsSinceShort == 1 ? coverSignal : na, title="Cover Short", location=location.belowbar, style=shape.diamond, size=size.auto, color=color.orange, transp=0, show_last = v_show_last, editable = false) plotshape(showexitsignals and sellSignal and barsSinceLong == 1? sellSignal : na, title="Close Long Text", location=location.abovebar, style=shape.diamond, size=size.auto, color=color.aqua, transp=0, show_last = v_show_last, textcolor=color.aqua, text = "Close\nLong", editable = false) plotshape(showexitsignals and coverSignal and barsSinceShort == 1 ? coverSignal : na, title="Cover Short Text", location=location.belowbar, style=shape.diamond, size=size.auto, color=color.orange, transp=0, show_last = v_show_last, textcolor=color.orange, text = "Cover\nShort", editable = false) // Reset BarSince counter if buySignal barsSinceLong := 1 barsSinceShort := 0 if shortSignal barsSinceShort := 1 barsSinceLong := 0 if sellSignal barsSinceLong := 0 if coverSignal barsSinceShort := 0 // Show bar color barcolor(showBarColor? (buySignal or shortSignal ? (shortSignal ? color.fuchsia : color.yellow) : na) : na) // Plot Buy Alerts plotshape(buySignal ? buySignal : na, title="Breakout Up", location=location.belowbar, style=shape.circle, size=size.auto, color=color.yellow, transp=0, editable = false) plotshape(showsignals and buySignal, title= "Long", color=color.green, style=shape.labelup, location=location.belowbar, size=size.auto, show_last = v_show_last, text = "BUY", textcolor=color.white, editable = false) // Plot Sell Alerts plotshape(shortSignal ? shortSignal : na, title="Breakout Down", location=location.abovebar, style=shape.circle, size=size.auto, color=color.fuchsia, transp=0, editable = false) plotshape(showsignals and shortSignal, title= "Short", color=color.red, style=shape.labeldown, location=location.abovebar, size=size.auto, show_last = v_show_last, text = "SELL", textcolor=color.white, editable = false) // Plot MA Trend Filter plot(useMAFilter? maFilter : na, title = "Trend Filter MA", color = color.green, linewidth = 2, style = plot.style_line, transp = 20, editable = true) // Plot Initial Stop plot(trailStop != 'None' and barsSinceLong >= 1? buyStop : na, color=#3A6CA8, title="Trail Stop Long", style = plot.style_cross, linewidth = 1, transp = 20, editable = true) plot(trailStop != 'None' and barsSinceShort >= 1? sellStop : na, color=#3A6CA8, title="Trail Stop Short", style = plot.style_cross, linewidth = 1, transp = 20, editable = true) // Plot Initial Target Profit plot(TPtarget != 'None' and buySignal? longTP : na, color=color.green, title="LongTP", style = plot.style_linebr, linewidth = 1, editable = false) plot(TPtarget != 'None' and shortSignal? shortTP : na, color=color.green, title="ShortTP", style = plot.style_linebr, linewidth = 1, editable = false) // == /PLOTTING == // == ALERTS == // Buy and Sell Signal alertcondition(buySignal, title='MACD Long', message='MACD {{exchange}}:{{ticker}} TF: {{interval}}. LONG (TRADE). ENTRY: {{close}}, Target Profit: {{plot("LongTP")}}, STOP LOSS: {{plot("Trail Stop Long")}}') alertcondition(shortSignal, title='MACD Short', message='MACD {{exchange}}:{{ticker}} TF: {{interval}}. SHORT (TRADE). ENTRY: {{close}}, Target Profit: {{plot("ShortTP")}}, STOP LOSS: {{plot("Trail Stop Short")}}') alertcondition(sellSignal, title='MACD Close Long', message='MACD {{exchange}}:{{ticker}} Close Long, Price = {{close}}') alertcondition(coverSignal, title='MACD Cover Short', message='MACD {{exchange}}:{{ticker}} Cover Short, Price = {{close}}') alertcondition(sellSignal or coverSignal, title="MACD Close Orders", message="{{ticker}} Close Orders") // Initial SL and TP Hit stophit = low <= buyStop or high >= sellStop tphit = low <= shortTP or high >= longTP alertcondition(stophit, title='MACD SL Hit', message='MACD {{exchange}}:{{ticker}} Stop Loss Hit, Price = {{close}}') alertcondition(tphit, title='MACD TP Hit', message='MACD {{exchange}}:{{ticker}} Target Profit Hit, Price = {{close}}') //Divergence Alerts alertcondition(regular_bullish_div, title='MACD Bullish Divergence', message='MACD Regular Bullish Divergence') alertcondition(regular_bearish_div, title='MACD Bearish Divergence', message='MACD Regular Bearish Divergence') alertcondition(hidden_bullish_div, title='MACD Hidden Bullish Divergence', message='MACD Hidden Bullish Divergence') alertcondition(hidden_bearish_div, title='MACD Hidden Bearish Divergence', message='MACD Hidden Bearish Divergence') // == /ALERTS == ////////////////////////// //* STRATEGY COMPONENT *// ////////////////////////// // === BACKTEST RANGE === From_Year = input(defval = 2017, title = "BACKTEST: From Year") From_Month = input(defval = 1, title = "BACKTEST: From Month", minval = 1, maxval = 12) From_Day = input(defval = 1, title = "BACKTEST: From Day", minval = 1, maxval = 31) To_Year = input(defval = 9999, title = "BACKTEST: To Year") To_Month = input(defval = 1, title = "BACKTEST: To Month", minval = 1, maxval = 12) To_Day = input(defval = 1, title = "BACKTEST: To Day", minval = 1, maxval = 31) Start = timestamp(From_Year, From_Month, From_Day, 00, 00) // backtest start window Finish = timestamp(To_Year, To_Month, To_Day, 23, 59) // backtest finish window testPeriod() => true // === /BACKTEST RANGE === // === STRATEGY === // Make input option to configure trade direction tradeDirection = input(title="Trade Direction", defval="Both", options=["Long", "Short", "Both"]) // Translate input into trading conditions longOK = (tradeDirection == "Long") or (tradeDirection == "Both") shortOK = (tradeDirection == "Short") or (tradeDirection == "Both") // == STRATEGY ENTRIES/EXITS == timedExit = input(title = "Use Timed Exit", type = input.bool, defval = true) exitmethod = input(title="Timed Exit Method", defval='3', options=['1', '2', '3']) bse = input(10, "Bar Since Entry") // Bars to exit after entry barsSinceEntry = 0 barsSinceEntry := nz(barsSinceEntry[1]) + 1 longCondition = longOK and buySignal and testPeriod() shortcondition = shortOK and shortSignal and testPeriod() if strategy.position_size == 0 barsSinceEntry := 0 // === STRATEGY - LONG POSITION EXECUTION === if longCondition strategy.entry("Long", strategy.long) barsSinceEntry := 0 // === STRATEGY - SHORT POSITION EXECUTION === if shortcondition strategy.entry("Short", strategy.short) barsSinceEntry := 0 // == STRATEGY EXITS == if sellSignal strategy.close("Long") barsSinceEntry := 0 if coverSignal strategy.close("Short") barsSinceEntry := 0 // Enable Timed Exit // Exit after specified number of bars. if timedExit and exitmethod == '1' and barsSinceEntry > bse strategy.close_all() barsSinceEntry := 0 // Exit after specified number of bars, ONLY if position is currently profitable. if timedExit and exitmethod == '2' and strategy.openprofit > 0 and barsSinceEntry > bse strategy.close_all() barsSinceEntry := 0 // Exit after specified number of bars, ONLY if position is currently losing. if timedExit and exitmethod == '3' and strategy.openprofit < 0 and barsSinceEntry > bse strategy.close_all() barsSinceEntry := 0 // === /STRATEGY === //EOFtemplate: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6