The fast and slow moving average crossover strategy is a quantitative trading strategy that generates trading signals by comparing fast and slow moving averages. It goes long when the fast MA crosses above the slow MA, and goes short when the fast MA crosses below the slow MA. The strategy aims to capture trend turning points on the medium-short term timeframe.
Calculate the fast MA, typically 5-10 period EMA.
Calculate the slow MA, typically 20-60 period SMA.
Go long when fast MA crosses above slow MA.
Go short when fast MA crosses below slow MA.
Initiate new trades at each crossover.
The fast MA reacts swiftly to price changes and reflects the latest trend. The slow MA filters out low frequency noises and captures the major trend. Crossovers signal potential trend reversals for improved trading accuracy.
The flexible parameter settings can be optimized for different periods and market environments.
Fast and slow MAs combine for trend identification
Clear and simple crossover signals
Period optimization for different markets
Easy to program and backtest
Combinable with other indicators
Potential lagging of moving averages
Possible false breakout signals
Prevent excessive trading frequency
Entry and exit levels unclear
The fast and slow MA crossover strategy judges trend turning points by comparing different MA periods, and is a classical and common quantitative trading approach. Parameters can be tuned and combined with other indicators to control risks and improve returns.
/*backtest
start: 2023-08-15 00:00:00
end: 2023-09-14 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("Cruzameto 2MM", overlay=true)
fastLength = input(9)
slowlength = input(40)
//MACDLength = input(9)
delta = ema(close, fastLength) - sma(close, slowlength)
//aMACD = ema(MACD, MACDLength)
//delta = MACD - aMACD
if (crossover(delta, 0))
strategy.entry("Compra", strategy.long, comment="2MM")
if (crossunder(delta, 0))
strategy.entry("Venda", strategy.short, comment="2MM")
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)