The MACD TrueLevel strategy uses the MACD indicator and TrueLevel bands to determine buy and sell signals. It adds TrueLevel bands on top of MACD to more accurately locate the start and end of trends.
The strategy first calculates the MACD indicator, then computes 14 TrueLevel bands of different periods. The TrueLevel bands are calculated based on the linear regression line and standard deviation of prices over different length periods. It then picks the highest upper band and lowest lower band for breakout signals.
Specifically, the entry signal is a MACD line crossover above signal line, or price breakout above the selected TrueLevel lower band. The exit signal is a MACD line crossover below signal line, or price breakout below the selected TrueLevel upper band.
The advantage of using TrueLevel bands is that it combines the trend direction and volatility range to more precisely determine the start and end of trends. Compared to just MACD, adding TrueLevel band filter can reduce false signals.
MACD judges trend direction effectively and tracks trends well.
Adding TrueLevel bands can filter false breakouts and confirm trends. TrueLevel bands consider both trend and volatility, making the judgment more accurate.
TrueLevel bands include multiple periods, judging trend changes comprehensively.
Adjustable TrueLevel band parameters fit different market environments.
Support long and short positions to fully capture trend opportunities.
MACD alone may generate more false signals, needing TrueLevel filter.
Improper TrueLevel band parameter setting may cause missed entries or exits. Parameters need adjustment based on markets.
Long and short positions require sufficient capital support, otherwise may cause margin call.
Breakout trading itself has the risk of being stopped out, requiring timely stop loss.
Any indicator strategy has the risk of not working well on high volatile products like commodities and crypto.
Test more period parameters to find optimal values for the market.
Add stop loss strategy to reduce loss risk.
Add other indicator filters like volume, KDJ etc. to reduce false breakouts.
Optimize entry points like breaking previous highs/lows to improve profit rate.
Add machine learning models to judge trend probability, reducing manual parameter tuning.
The MACD TrueLevel strategy integrates trend and range analysis. It adds TrueLevel bands on top of MACD to more accurately locate the start and end of trends compared to just MACD. It can effectively filter false signals and catch trends. There are still risks that need parameter and stop loss optimization. Overall it suits trend trading and steadily catches market trends over the medium to long term.
/*backtest
start: 2023-09-06 00:00:00
end: 2023-10-06 00:00:00
period: 4h
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/
// © Julien_Eche
//@version=4
strategy("MACD TrueLevel Strategy", shorttitle="MACD TL", overlay=true)
// Input parameters for MACD
fastLength = input(12, title="Fast Length", type=input.integer)
slowLength = input(26, title="Slow Length", type=input.integer)
signalLength = input(9, title="Signal Length", type=input.integer)
// Inputs for selecting bands
entry_band = input(12, title="Entry TrueLevel Band", type=input.integer, minval=1, maxval=14)
exit_band = input(12, title="Exit TrueLevel Band", type=input.integer, minval=1, maxval=14)
// Input for long and short mode
long_and_short = input(false, title="Enable Long and Short", type=input.bool)
// Calculate the MACD
[macdLine, signalLine, _] = macd(close, fastLength, slowLength, signalLength)
// User inputs
len1 = input(title="Length 1", type=input.integer, defval=126)
len2 = input(title="Length 2", type=input.integer, defval=189)
len3 = input(title="Length 3", type=input.integer, defval=252)
len4 = input(title="Length 4", type=input.integer, defval=378)
len5 = input(title="Length 5", type=input.integer, defval=504)
len6 = input(title="Length 6", type=input.integer, defval=630)
len7 = input(title="Length 7", type=input.integer, defval=756)
len8 = input(title="Length 8", type=input.integer, defval=1008)
len9 = input(title="Length 9", type=input.integer, defval=1260)
len10 = input(title="Length 10", type=input.integer, defval=1638)
len11 = input(title="Length 11", type=input.integer, defval=2016)
len12 = input(title="Length 12", type=input.integer, defval=2646)
len13 = input(title="Length 13", type=input.integer, defval=3276)
len14 = input(title="Length 14", type=input.integer, defval=4284)
fill_color = input(title="Fill Color", type=input.color, defval=color.rgb(0, 191, 255, 95))
mult = input(title="Multiple", type=input.float, defval=1, step=0.2, options=[0.6, 0.8, 1, 1.2, 1.4])
src = input(title="Source", type=input.source, defval=close)
// Upper band calculation function
upperBand(length) =>
linreg = linreg(src, length, 0)
stddev = mult * stdev(src, length)
upperband = linreg + stddev
upperband
// Lower band calculation function
lowerBand(length) =>
linreg = linreg(src, length, 0)
stddev = mult * stdev(src, length)
lowerband = linreg - stddev
lowerband
// Calculate upper and lower bands for each length
upperband_1 = upperBand(len1)
upperband_2 = upperBand(len2)
upperband_3 = upperBand(len3)
upperband_4 = upperBand(len4)
upperband_5 = upperBand(len5)
upperband_6 = upperBand(len6)
upperband_7 = upperBand(len7)
upperband_8 = upperBand(len8)
upperband_9 = upperBand(len9)
upperband_10 = upperBand(len10)
upperband_11 = upperBand(len11)
upperband_12 = upperBand(len12)
upperband_13 = upperBand(len13)
upperband_14 = upperBand(len14)
lowerband_1 = lowerBand(len1)
lowerband_2 = lowerBand(len2)
lowerband_3 = lowerBand(len3)
lowerband_4 = lowerBand(len4)
lowerband_5 = lowerBand(len5)
lowerband_6 = lowerBand(len6)
lowerband_7 = lowerBand(len7)
lowerband_8 = lowerBand(len8)
lowerband_9 = lowerBand(len9)
lowerband_10 = lowerBand(len10)
lowerband_11 = lowerBand(len11)
lowerband_12 = lowerBand(len12)
lowerband_13 = lowerBand(len13)
lowerband_14 = lowerBand(len14)
// Plot envelope bands for each length
upperband_1_plot = plot(upperband_1, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 1")
lowerband_1_plot = plot(lowerband_1, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 1")
upperband_2_plot = plot(upperband_2, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 2")
lowerband_2_plot = plot(lowerband_2, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 2")
upperband_3_plot = plot(upperband_3, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 3")
lowerband_3_plot = plot(lowerband_3, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 3")
upperband_4_plot = plot(upperband_4, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 4")
lowerband_4_plot = plot(lowerband_4, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 4")
upperband_5_plot = plot(upperband_5, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 5")
lowerband_5_plot = plot(lowerband_5, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 5")
upperband_6_plot = plot(upperband_6, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 6")
lowerband_6_plot = plot(lowerband_6, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 6")
upperband_7_plot = plot(upperband_7, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 7")
lowerband_7_plot = plot(lowerband_7, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 7")
upperband_8_plot = plot(upperband_8, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 8")
lowerband_8_plot = plot(lowerband_8, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 8")
upperband_9_plot = plot(upperband_9, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 9")
lowerband_9_plot = plot(lowerband_9, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 9")
upperband_10_plot = plot(upperband_10, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 10")
lowerband_10_plot = plot(lowerband_10, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 10")
upperband_11_plot = plot(upperband_11, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 11")
lowerband_11_plot = plot(lowerband_11, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 11")
upperband_12_plot = plot(upperband_12, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 12")
lowerband_12_plot = plot(lowerband_12, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Lower Band 12")
upperband_13_plot = plot(upperband_13, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 13")
lowerband_13_plot = plot(lowerband_13, color=color.rgb(14, 139, 212, 95), linewidth=1, title="Lower Band 13")
upperband_14_plot = plot(upperband_14, color=color.rgb(14, 116, 212, 95), linewidth=1, title="Upper Band 14")
lowerband_14_plot = plot(lowerband_14, color=color.rgb(14, 139, 212, 95), linewidth=1, title="Lower Band 14")
// Plot fills for each length
fill(upperband_1_plot, lowerband_1_plot, color=fill_color, title="Fill 1")
fill(upperband_2_plot, lowerband_2_plot, color=fill_color, title="Fill 2")
fill(upperband_3_plot, lowerband_3_plot, color=fill_color, title="Fill 3")
fill(upperband_4_plot, lowerband_4_plot, color=fill_color, title="Fill 4")
fill(upperband_5_plot, lowerband_5_plot, color=fill_color, title="Fill 5")
fill(upperband_6_plot, lowerband_6_plot, color=fill_color, title="Fill 6")
fill(upperband_7_plot, lowerband_7_plot, color=fill_color, title="Fill 7")
fill(upperband_8_plot, lowerband_8_plot, color=fill_color, title="Fill 8")
fill(upperband_9_plot, lowerband_9_plot, color=fill_color, title="Fill 9")
fill(upperband_10_plot, lowerband_10_plot, color=fill_color, title="Fill 10")
fill(upperband_11_plot, lowerband_11_plot, color=fill_color, title="Fill 11")
fill(upperband_12_plot, lowerband_12_plot, color=fill_color, title="Fill 12")
fill(upperband_13_plot, lowerband_13_plot, color=fill_color, title="Fill 13")
fill(upperband_14_plot, lowerband_14_plot, color=fill_color, title="Fill 14")
// Add variables to store the highest upper band and lowest lower band values
var float highestUpperBand = na
var float lowestLowerBand = na
// Calculate the trueLevelUpperBand and trueLevelLowerBand
trueLevelUpperBand = max(upperband_1, max(upperband_2, max(upperband_3, max(upperband_4, max(upperband_5, max(upperband_6, max(upperband_7, max(upperband_8, max(upperband_9, max(upperband_10, max(upperband_11, max(upperband_12, max(upperband_13, upperband_14)))))))))))))
trueLevelLowerBand = min(lowerband_1, min(lowerband_2, min(lowerband_3, min(lowerband_4, min(lowerband_5, min(lowerband_6, min(lowerband_7, min(lowerband_8, min(lowerband_9, min(lowerband_10, min(lowerband_11, min(lowerband_12, min(lowerband_13, lowerband_14)))))))))))))
// Update the highest upper band and lowest lower band
highestUpperBand := highest(trueLevelUpperBand, 1)
lowestLowerBand := lowest(trueLevelLowerBand, 1)
// Store the upper and lower bands in an array for easy access
upperbands = array.new_float(14)
lowerbands = array.new_float(14)
array.set(upperbands, 0, upperband_1)
array.set(upperbands, 1, upperband_2)
array.set(upperbands, 2, upperband_3)
array.set(upperbands, 3, upperband_4)
array.set(upperbands, 4, upperband_5)
array.set(upperbands, 5, upperband_6)
array.set(upperbands, 6, upperband_7)
array.set(upperbands, 7, upperband_8)
array.set(upperbands, 8, upperband_9)
array.set(upperbands, 9, upperband_10)
array.set(upperbands, 10, upperband_11)
array.set(upperbands, 11, upperband_12)
array.set(upperbands, 12, upperband_13)
array.set(upperbands, 13, upperband_14)
array.set(lowerbands, 0, lowerband_1)
array.set(lowerbands, 1, lowerband_2)
array.set(lowerbands, 2, lowerband_3)
array.set(lowerbands, 3, lowerband_4)
array.set(lowerbands, 4, lowerband_5)
array.set(lowerbands, 5, lowerband_6)
array.set(lowerbands, 6, lowerband_7)
array.set(lowerbands, 7, lowerband_8)
array.set(lowerbands, 8, lowerband_9)
array.set(lowerbands, 9, lowerband_10)
array.set(lowerbands, 10, lowerband_11)
array.set(lowerbands, 11, lowerband_12)
array.set(lowerbands, 12, lowerband_13)
array.set(lowerbands, 13, lowerband_14)
// Get the selected bands for entry and exit
selected_entry_lowerband = array.get(lowerbands, entry_band - 1)
selected_exit_upperband = array.get(upperbands, exit_band - 1)
// Entry conditions
longCondition = crossover(macdLine, signalLine) or crossover(close, selected_entry_lowerband)
shortCondition = crossunder(macdLine, signalLine) or crossunder(close, selected_exit_upperband)
// Exit conditions
exitLongCondition = crossunder(macdLine, signalLine) or crossunder(close, selected_exit_upperband)
exitShortCondition = crossover(macdLine, signalLine) or crossover(close, selected_entry_lowerband)
// Strategy execution
strategy.entry("Long", strategy.long, when = longCondition)
strategy.entry("Short", strategy.short, when = shortCondition and long_and_short)
strategy.close("Long", when = exitLongCondition)
strategy.close("Short", when = exitShortCondition)