This article introduces in detail a short-term algorithmic trading strategy combining multiple indicators. It utilizes a group of powerful technical indicators to generate trading signals on lower timeframes such as the 15-minute chart.
I. Strategy Logic
The core of this strategy is using a combination of multiple indicators, mainly including:
(1) Dual Moving Average system: Calculates one fast and one slow Hull Moving Average and judges the trend based on their crossover.
(2) Ichimoku system: Calculates the conversion and base lines among others, and determines the trend and support/resistance levels based on the Ichimoku cloud.
(3) Donchian Channel: Constructs a channel using highest and lowest prices to identify price breakouts.
(4) MACD: Calculates the MACD and signal line, making trades based on their crossover.
Only when these indicators reach a consensus on the trend judgment will reliable trading signals be generated. The specific logic is:
Take long positions when fast Hull MA crosses above slow Hull MA, AND Ichimoku lines cross above the cloud, AND Donchian Channel breaks out, AND MACD crosses above signal line. Reverse conditions for short trades.
Daily bar closing prices are also incorporated to avoid being trapped in reversals.
In addition, the strategy contains stop loss and take profit logic to control risk and reward for each trade.
II. Advantages of the Strategy
The biggest advantage of this strategy is the complementarity of indicator combinations, which improves signal quality. Different indicators judge the trend from multiple angles, only agreeing unanimously to generate signals, avoiding the limitations of single indicators.
Secondly, the multi-timeframe combination is also a significant advantage. The auxiliary judgment from the daily bars can filter out the risk of being trapped in short-term cycles.
Lastly, the stop loss and take profit mechanism also ensures controllable risks per trade.
III. Potential Risks
Despite the sound strategy design, trading risks should also be noted:
Firstly, the multiple indicator combination increases optimization difficulty. Improper tuning can lead to overfitting.
Secondly, stop losses may be hit in strong trending moves, leading to unnecessary losses.
Finally, multi-timeframe judgments can also introduce confusing situations that are hard to decipher.
Overall, the strategy combines indicators in a scientific manner, and can become an effective short-term algorithmic trading system through parameter testing and optimization.
IV. Summary
In summary, this article has introduced in detail a short-term algorithmic trading strategy combining multiple indicators. It uses a combination of dual moving averages, Ichimoku, Donchian Channel, MACD and more to improve signal quality. It also utilizes multi-timeframe analysis and stop loss/take profit logic to control risks. With optimization, this strategy can become an efficient system for short-term systematic trading.
/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
// Any timeFrame ok but good on 15 minute & 60 minute , Ichimoku + Daily-Candle_cross(DT) + HULL-MA_cross + MacD combination 420 special blend
strategy("Custom 15m strat",overlay=true)
keh=input(title="Double HullMA",defval=14, minval=1)
dt = input(defval=0.0010, title="Decision Threshold (0.001)", step=0.0001)`
SL = input(defval=-500.00, title="Stop Loss in $", step=1)
TP = input(defval=25000.00, title="Target Point in $", step=1)
ot=1
n2ma=2*wma(close,round(keh/2))
nma=wma(close,keh)
diff=n2ma-nma
sqn=round(sqrt(keh))
n2ma1=2*wma(close[1],round(keh/2))
nma1=wma(close[1],keh)
diff1=n2ma1-nma1
sqn1=round(sqrt(keh))
n1=wma(diff,sqn)
n2=wma(diff1,sqn)
b=n1>n2?lime:red
c=n1>n2?green:red
d=n1>n2?red:green
confidence=(security(syminfo.tickerid, 'D', close)-security(syminfo.tickerid, 'D', close[1]))/security(syminfo.tickerid, 'D', close[1])
conversionPeriods = input(9, minval=1, title="Conversion Line Periods")
basePeriods = input(26, minval=1, title="Base Line Periods")
laggingSpan2Periods = input(52, minval=1, title="Lagging Span 2 Periods")
displacement = input(26, minval=1, title="Displacement")
donchian(len) => avg(lowest(len), highest(len))
conversionLine = donchian(conversionPeriods)
baseLine = donchian(basePeriods)
leadLine1 = avg(conversionLine, baseLine)
leadLine2 = donchian(laggingSpan2Periods)
LS=close, offset = -displacement
MACD_Length = input(9)
MACD_fastLength = input(12)
MACD_slowLength = input(26)
MACD = ema(close, MACD_fastLength) - ema(close, MACD_slowLength) //macd
aMACD = ema(MACD, MACD_Length) //signal
closelong = n1<n2 and close<n2 and confidence<dt or strategy.openprofit<SL or strategy.openprofit>TP
if (closelong)
strategy.close("Long")
closeshort = n1>n2 and close>n2 and confidence>dt or strategy.openprofit<SL or strategy.openprofit>TP
if (closeshort)
strategy.close("Short")
longCondition = n1>n2 and strategy.opentrades<ot and confidence>dt and close>n2 and leadLine1>leadLine2 and open<LS and MACD>aMACD
if (longCondition)
strategy.entry("Long",strategy.long)
shortCondition = n1<n2 and strategy.opentrades<ot and confidence<dt and close<n2 and leadLine1<leadLine2 and open>LS and MACD<aMACD
if (shortCondition)
strategy.entry("Short",strategy.short)
a1=plot(n1,color=c)
a2=plot(n2,color=c)
plot(cross(n1, n2) ? n1 : na, style = circles, color=b, linewidth = 4)
plot(cross(n1, n2) ? n1 : na, style = line, color=d, linewidth = 4)
plot(conversionLine, color=#0496ff, title="Conversion Line")
plot(baseLine, color=#991515, title="Base Line")
//plot(longCondition == true ? 4000:4100,title="long")
plot(close, offset = -displacement, color=#459915, title="Lagging Span")
p1=plot (leadLine1, offset = displacement, color=green, title="Lead 1")
p2=plot (leadLine2, offset = displacement, color=red, title="Lead 2")
fill(p1, p2, color = leadLine1 > leadLine2 ? green : red)
// remove the "//" from before the plot script if want to see the indicators on chart