This strategy uses the convergence and divergence of the MACD indicator to generate trading signals. When the MACD line crosses the signal line, and the value of the MACD line is greater than 1.5 or less than -1.5, it generates long and short signals, respectively. The strategy sets fixed take-profit and stop-loss levels and introduces the concept of risk-reward ratio (R:R). Additionally, it employs daily maximum loss and profit limits and a tighter trailing stop-loss to better control risks.
This strategy uses the convergence and divergence of the MACD indicator to generate trading signals while introducing risk control measures such as risk-reward ratio, trailing stop-loss, and daily limits. Although the strategy can capture trend movements and control risks to some extent, there is still room for optimization and improvement. In the future, optimization can be considered from aspects such as signal confirmation, take-profit and stop-loss levels, trailing stop-loss, and daily limits to obtain more robust and considerable returns.
/*backtest start: 2023-05-28 00:00:00 end: 2024-06-02 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © DD173838 //@version=5 strategy("MACD Convergence Strategy with R:R, Daily Limits, and Tighter Stop Loss", overlay=true, default_qty_type=strategy.fixed, default_qty_value=1) // MACD settings fastLength = input.int(12, title="Fast Length", minval=1) slowLength = input.int(26, title="Slow Length", minval=1) signalSmoothing = input.int(9, title="Signal Smoothing", minval=1) source = input(close, title="Source") // Calculate MACD [macdLine, signalLine, _] = ta.macd(source, fastLength, slowLength, signalSmoothing) // Plot MACD and signal line plot(macdLine, title="MACD Line", color=color.blue) plot(signalLine, title="Signal Line", color=color.red) // Define convergence conditions macdConvergenceUp = ta.crossover(macdLine, signalLine) and macdLine > 1.5 macdConvergenceDown = ta.crossunder(macdLine, signalLine) and macdLine < -1.5 // Define take profit and stop loss takeProfit = 600 stopLoss = 100 // Plot buy and sell signals on the chart plotshape(series=macdConvergenceDown, title="Short Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="SHORT") plotshape(series=macdConvergenceUp, title="Long Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="LONG") // Execute short and long orders with defined take profit and stop loss if (macdConvergenceDown) strategy.entry("Short", strategy.short, qty=1, stop=high + (stopLoss / syminfo.mintick), limit=low - (takeProfit / syminfo.mintick)) if (macdConvergenceUp) strategy.entry("Long", strategy.long, qty=1, stop=low - (stopLoss / syminfo.mintick), limit=high + (takeProfit / syminfo.mintick)) // Trailing stop logic var float entryPrice = na var float trailingStopPrice = na if (strategy.position_size != 0) entryPrice := strategy.opentrades.entry_price(0) if (strategy.position_size > 0) // For long positions if (close - entryPrice > 300) trailingStopPrice := entryPrice + (close - entryPrice - 300) if (strategy.position_size < 0) // For short positions if (entryPrice - close > 300) trailingStopPrice := entryPrice - (entryPrice - close - 300) if (strategy.position_size > 0 and not na(trailingStopPrice) and close < trailingStopPrice) strategy.close("Long", comment="Trailing Stop") if (strategy.position_size < 0 and not na(trailingStopPrice) and close > trailingStopPrice) strategy.close("Short", comment="Trailing Stop") // Daily drawdown and profit limits var float startOfDayEquity = na if (na(startOfDayEquity) or ta.change(time('D')) != 0) startOfDayEquity := strategy.equity maxDailyLoss = 600 maxDailyProfit = 1800 currentDailyPL = strategy.equity - startOfDayEquity if (currentDailyPL <= -maxDailyLoss) strategy.close_all(comment="Max Daily Loss Reached") if (currentDailyPL >= maxDailyProfit) strategy.close_all(comment="Max Daily Profit Reached")template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6