Incremental Order Size Fibonacci Retracement Trend Following Strategy
Author: ChaoZhang, Date: 2023-10-18 11:40:01Tags:
Overview
This is a relatively complex momentum breakout strategy that incorporates multiple technical indicators for judgment and implements multi-staged pyramiding orders in different directions and phases to achieve the goal of scaling in and out.
Principles
The strategy mainly combines the momentum indicator MACD, overbought and oversold indicator RSI and Bollinger Bands for directional judgment. When MACD line is above 0 and RSI is below oversold line, it is a long signal. When MACD line is below 0 and RSI is above overbought line, it is a short signal. It also incorporates breakout of Bollinger Bands upper and lower rail for further confirmation of trading signals.
In specific implementation, the strategy first judges the performance of MACD line and RSI to confirm fundamentals. Then according to the breakout of Bollinger Bands upper and lower rail, it takes pyramiding orders in different sizes. In bullish phrase, it will gradually long with increasing size near the Bollinger Bands lower rail. In bearish phrase, it will gradually short with increasing size near the Bollinger Bands upper rail. By scaling in and out at different directions and different prices, it can obtain bigger accumulated profit.
Meanwhile, the strategy also tracks the highest and lowest price to set stop loss and take profit, managing the orders accordingly. In general, this strategy combines multiple analytical tools and achieves better returns through staged pyramiding.
Advantages
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Combining multiple indicators avoids misjudgment of a single tool.
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Scaling in with multiple stages can amplify profit margin.
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Setting stop loss and take profit helps avoid loss from high spikes.
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Controllable drawdown, won’t see huge loss.
Risks and Solutions
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Breakout of Bollinger Bands upper and lower rail is not 100% reliable, may see some false signals. Can consider adding other indicators like candlestick patterns, volume for confirmation.
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Staged pyramiding requires accurate grasp of market pace, rapid reversals may lead to huge loss. Can reduce scaling stages or set wider stop loss.
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Need to watch for liquidity of trading instruments, low liquidity is not suitable for large batch pyramiding.
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Backtest ≠ live, costs like spread and commission should be considered in live trading. Can loosen stop loss and take profit range.
Optimization
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Can test different parameter combinations like Bollinger period, STD multiplier, RSI parameters to find optimum.
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Can explore other scaling techniques like fixed fraction, Kelly criterion etc.
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Can implement dynamic optimization of parameters with machine learning etc.
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Can incorporate more data sources like sentiment analysis, social data to assist judgement.
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Can explore futures calendar spread for arbitrage, further expand profit space.
Summary
This strategy comprehensively uses multiple technical indicators, takes staged pyramiding, manages risks with stop loss and take profit, making it a relatively complete trend following strategy. But risks like false signals and rapid reversals should be alerted, properly adjusting parameters and position sizing can lead to more steady excess returns. Further optimization with machine learning etc. can improve strategy performance. It is worth long-term tracking and accumulating.
/*backtest
start: 2022-10-11 00:00:00
end: 2023-10-17 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy(title="Incremental Order size +", shorttitle="Strategy", overlay=true, default_qty_value=1, pyramiding=10)
//Heiken Ashi
isHA = input(false, "HA Candles", bool)
//MACD
fastLength = 12
slowlength = 26
MACDLength = 9
MACD = ema(close, fastLength) - ema(close, slowlength)
aMACD = ema(MACD, MACDLength)
delta = MACD - aMACD
//Bollinger Bands Exponential
src = open
len = 18
e = ema(src,len)
evar = (src - e)*(src - e)
evar2 = (sum(evar,len))/len
std = sqrt(evar2)
Multiplier = input(3, minval = 0.01, title = "# of STDEV's")
upband = e + (Multiplier * std)
dnband = e - (Multiplier * std)
//EMA
ema3 = ema(close, 3)
//RSIplot
length = 45
overSold = 90
overBought = 10
price = close
vrsi = rsi(price, length)
notna = not na(vrsi)
macdlong = crossover(delta, 0)
macdshort = crossunder(delta, 0)
rsilong = notna and crossover(vrsi, overSold)
rsishort = notna and crossunder(vrsi, overBought)
lentt = input(14, "Pivot Length")
//The length defines how many periods a high or low must hold to be a "relevant pivot"
h = highest(lentt)
//The highest high over the length
h1 = dev(h, lentt) ? na : h
//h1 is a pivot of h if it holds for the full length
hpivot = fixnan(h1)
//creates a series which is equal to the last pivot
l = lowest(lentt)
l1 = dev(l, lentt) ? na : l
lpivot = fixnan(l1)
//repeated for lows
last_hpivot = h1 ? time : nz(last_hpivot[1])
last_lpivot = l1 ? time : nz(last_lpivot[1])
long_time = last_hpivot > last_lpivot ? 0:1
//FIBS
z = input(100, "Z-Index")
p_offset= 2
transp = 60
a=(lowest(z)+highest(z))/2
b=lowest(z)
c=highest(z)
fibonacci = input(0, "Fibonacci") / 100
//Fib Calls
fib0 = (((hpivot - lpivot)* fibonacci) + lpivot)
fib1 = (((hpivot - lpivot)*.21) + lpivot)
fib2 = (((hpivot - lpivot)*.3) + lpivot)
fib3 = (((hpivot - lpivot)*.5) + lpivot)
fib4 = (((hpivot - lpivot)*.62) + lpivot)
fib5 = (((hpivot - lpivot)*.7) + lpivot)
fib6 = (((hpivot - lpivot)* 1.00) + lpivot)
fib7 = (((hpivot - lpivot)* 1.27) + lpivot)
fib8 = (((hpivot - lpivot)* 2) + lpivot)
fib9 = (((hpivot - lpivot)* -.27) + lpivot)
fib10 = (((hpivot - lpivot)* -1) + lpivot)
//Heiken Ashi Candles
data2 = isHA ? heikenashi(syminfo.tickerid) : syminfo.tickerid
res5 = input("5", "Resolution")
//HT Fibs
hfib0 = security(data2, res5, fib0[1])
hfib1 = security(data2, res5, fib1[1])
hfib2 = security(data2, res5, fib2[1])
hfib3 = security(data2, res5, fib3[1])
hfib4 = security(data2, res5, fib4[1])
hfib5 = security(data2, res5, fib5[1])
hfib6 = security(data2, res5, fib6[1])
hfib7 = security(data2, res5, fib7[1])
hfib8 = security(data2, res5, fib8[1])
hfib9 = security(data2, res5, fib9[1])
hfib10 = security(data2, res5, fib10[1])
vrsiup = vrsi > vrsi[1] and vrsi[1] > vrsi[2]
vrsidown = vrsi < vrsi[1] and vrsi[1] < vrsi[2]
long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long2 = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short2 = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
reverseOpens = input(false, "Reverse Orders", bool)
if (reverseOpens)
tmplong = long
long := short
short := tmplong
//Strategy
ts = input(99999, "TS")
tp = input(30, "TP")
sl = input(10, "SL")
last_long = long ? time : nz(last_long[1])
last_short = short ? time : nz(last_short[1])
in_long = last_long > last_short
in_short = last_short > last_long
long_signal = crossover(last_long, last_short)
short_signal = crossover(last_short, last_long)
last_open_long = long ? open : nz(last_open_long[1])
last_open_short = short ? open : nz(last_open_short[1])
last_open_long_signal = long_signal ? open : nz(last_open_long_signal[1])
last_open_short_signal = short_signal ? open : nz(last_open_short_signal[1])
last_high = not in_long ? na : in_long and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low = not in_short ? na : in_short and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
long_ts = not na(last_high) and high <= (last_high - ts) and high >= last_open_long_signal
short_ts = not na(last_low) and low >= (last_low + ts) and low <= last_open_short_signal
long_tp = high >= (last_open_long + tp) and long[1] == 0
short_tp = low <= (last_open_short - tp) and short[1] == 0
long_sl = low <= (last_open_long - sl) and long[1] == 0
short_sl = high >= (last_open_short + sl) and short[1] == 0
last_hfib_long = long_signal ? fib1 : nz(last_hfib_long[1])
last_hfib_short = short_signal ? fib5 : nz(last_hfib_short[1])
last_fib7 = long ? fib7 : nz(last_fib7[1])
last_fib10 = long ? fib10 : nz(last_fib10[1])
last_fib8 = short ? fib8 : nz(last_fib8[1])
last_fib9 = short ? fib9 : nz(last_fib9[1])
last_long_signal = long_signal ? time : nz(last_long_signal[1])
last_short_signal = short_signal ? time : nz(last_short_signal[1])
last_long_tp = long_tp ? time : nz(last_long_tp[1])
last_short_tp = short_tp ? time : nz(last_short_tp[1])
last_long_ts = long_ts ? time : nz(last_long_ts[1])
last_short_ts = short_ts ? time : nz(last_short_ts[1])
long_ts_signal = crossover(last_long_ts, last_long_signal)
short_ts_signal = crossover(last_short_ts, last_short_signal)
last_long_sl = long_sl ? time : nz(last_long_sl[1])
last_short_sl = short_sl ? time : nz(last_short_sl[1])
long_tp_signal = crossover(last_long_tp, last_long)
short_tp_signal = crossover(last_short_tp, last_short)
long_sl_signal = crossover(last_long_sl, last_long)
short_sl_signal = crossover(last_short_sl, last_short)
last_long_tp_signal = long_tp_signal ? time : nz(last_long_tp_signal[1])
last_short_tp_signal = short_tp_signal ? time : nz(last_short_tp_signal[1])
last_long_sl_signal = long_sl_signal ? time : nz(last_long_sl_signal[1])
last_short_sl_signal = short_sl_signal ? time : nz(last_short_sl_signal[1])
last_long_ts_signal = long_ts_signal ? time : nz(last_long_ts_signal[1])
last_short_ts_signal = short_ts_signal ? time : nz(last_short_ts_signal[1])
true_long_signal = long_signal and last_long_sl_signal > last_long_signal[1] or long_signal and last_long_tp_signal > last_long_signal[1] or long_signal and last_long_ts_signal > last_long_signal[1]
true_short_signal = short_signal and last_short_sl_signal > last_short_signal[1] or short_signal and last_short_tp_signal > last_short_signal[1] or short_signal and last_short_ts_signal > last_short_signal[1]
// strategy.entry("BLUE", strategy.long, when=long)
// strategy.entry("RED", strategy.short, when=short)
g = delta > 0 and vrsi < overSold and vrsiup
r = delta < 0 and vrsi > overBought and vrsidown
long1 = cross(close, fib1) and g and last_long_signal[1] > last_short_signal// and last_long_signal > long
short1 = cross(close, fib5) and r and last_short_signal[1] > last_long_signal// and last_short_signal > short
last_long1 = long1 ? time : nz(last_long1[1])
last_short1 = short1 ? time : nz(last_short1[1])
last_open_long1 = long1 ? open : nz(last_open_long1[1])
last_open_short1 = short1 ? open : nz(last_open_short1[1])
long1_signal = crossover(last_long1, last_long_signal)
short1_signal = crossover(last_short1, last_short_signal)
last_long1_signal = long1_signal ? time : nz(last_long1_signal[1])
last_short1_signal = short1_signal ? time : nz(last_short1_signal[1])
long2 = cross(close, fib2) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short2 = cross(close, fib4) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long2 = long2 ? time : nz(last_long2[1])
last_short2 = short2 ? time : nz(last_short2[1])
last_open_short2 = short2 ? open : nz(last_open_short2[1])
long2_signal = crossover(last_long2, last_long1_signal) and long1_signal==0
short2_signal = crossover(last_short2, last_short1_signal) and short1_signal==0
last_long2_signal = long2_signal ? time : nz(last_long2_signal[1])
last_short2_signal = short2_signal ? time : nz(last_short2_signal[1])
//Trade 4
long3 = cross(close, fib3) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short3 = cross(close, fib3) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long3 = long3 ? time : nz(last_long3[1])
last_short3 = short3 ? time : nz(last_short3[1])
last_open_short3 = short3 ? open : nz(last_open_short3[1])
long3_signal = crossover(last_long3, last_long2_signal) and long2_signal==0
short3_signal = crossover(last_short3, last_short2_signal) and short2_signal==0
last_long3_signal = long3_signal ? time : nz(last_long3_signal[1])
last_short3_signal = short3_signal ? time : nz(last_short3_signal[1])
//Trade 5
long4 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short4 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long4 = long4 ? time : nz(last_long4[1])
last_short4 = short4 ? time : nz(last_short4[1])
long4_signal = crossover(last_long4, last_long3_signal) and long2_signal==0 and long3_signal==0
short4_signal = crossover(last_short4, last_short3_signal) and short2_signal==0 and short3_signal==0
last_long4_signal = long4_signal ? time : nz(last_long4_signal[1])
last_short4_signal = short4_signal ? time : nz(last_short4_signal[1])
//Trade 6
long5 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short5 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long5 = long5 ? time : nz(last_long5[1])
last_short5 = short5 ? time : nz(last_short5[1])
long5_signal = crossover(last_long5, last_long4_signal) and long3_signal==0 and long4_signal==0
short5_signal = crossover(last_short5, last_short4_signal) and short3_signal==0 and short4_signal==0
last_long5_signal = long5_signal ? time : nz(last_long5_signal[1])
last_short5_signal = short5_signal ? time : nz(last_short5_signal[1])
//Trade 7
long6 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short6 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long6 = long6 ? time : nz(last_long6[1])
last_short6 = short6 ? time : nz(last_short6[1])
long6_signal = crossover(last_long6, last_long5_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0
short6_signal = crossover(last_short6, last_short5_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0
last_long6_signal = long6_signal ? time : nz(last_long6_signal[1])
last_short6_signal = short6_signal ? time : nz(last_short6_signal[1])
//Trade 8
long7 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short7 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long7 = long7 ? time : nz(last_long7[1])
last_short7 = short7 ? time : nz(last_short7[1])
long7_signal = crossover(last_long7, last_long6_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0
short7_signal = crossover(last_short7, last_short6_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0
last_long7_signal = long7_signal ? time : nz(last_long7_signal[1])
last_short7_signal = short7_signal ? time : nz(last_short7_signal[1])
//Trade 9
long8 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short8 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long8 = long8 ? time : nz(last_long8[1])
last_short8 = short8 ? time : nz(last_short8[1])
long8_signal = crossover(last_long8, last_long7_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0
short8_signal = crossover(last_short8, last_short7_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0
last_long8_signal = long8_signal ? time : nz(last_long8_signal[1])
last_short8_signal = short8_signal ? time : nz(last_short8_signal[1])
//Trade 10
long9 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short9 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long9 = long9 ? time : nz(last_long9[1])
last_short9 = short9 ? time : nz(last_short9[1])
long9_signal = crossover(last_long9, last_long8_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0 and long8_signal==0
short9_signal = crossover(last_short9, last_short8_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0 and short8_signal==0
last_long9_signal = long9_signal ? time : nz(last_long9_signal[1])
last_short9_signal = short9_signal ? time : nz(last_short9_signal[1])
strategy.entry("Long", strategy.long, qty=1, when=long_signal)
strategy.entry("Short", strategy.short, qty=1, when=short_signal)
strategy.entry("Long", strategy.long, qty=2, when=long1_signal)
strategy.entry("Short1", strategy.short, qty=2, when=short1_signal)
strategy.entry("Long", strategy.long, qty=4, when=long2_signal)
strategy.entry("Short2", strategy.short, qty=4, when=short2_signal)
strategy.entry("Long", strategy.long, qty=8, when=long3_signal)
strategy.entry("Short3", strategy.short, qty=8, when=short3_signal)
strategy.entry("Long", strategy.long, qty=5, when=long4_signal)
strategy.entry("Short", strategy.short, qty=5, when=short4_signal)
strategy.entry("Long", strategy.long, qty=6, when=long5_signal)
strategy.entry("Short", strategy.short, qty=6, when=short5_signal)
strategy.entry("Long", strategy.long, qty=7, when=long6_signal)
strategy.entry("Short", strategy.short, qty=7, when=short6_signal)
strategy.entry("Long", strategy.long, qty=8, when=long7_signal)
strategy.entry("Short", strategy.short, qty=8, when=short7_signal)
strategy.entry("Long", strategy.long, qty=9, when=long8_signal)
strategy.entry("Short", strategy.short, qty=9, when=short8_signal)
strategy.entry("Long", strategy.long, qty=10, when=long9_signal)
strategy.entry("Short", strategy.short, qty=10, when=short9_signal)
short1_tp = low <= (last_open_short1 - tp) and short1[1] == 0
short2_tp = low <= (last_open_short2 - tp) and short2[1] == 0
short3_tp = low <= (last_open_short3 - tp) and short3[1] == 0
short1_sl = high >= (last_open_short1 + sl) and short1[1] == 0
short2_sl = high >= (last_open_short2 + sl) and short2[1] == 0
short3_sl = high >= (last_open_short3 + sl) and short3[1] == 0
close_long = cross(close, fib6)
close_short = cross(close, fib0)
// strategy.close("Long", when=close_long)
// strategy.close("Long", when=long_tp)
// strategy.close("Long", when=long_sl)
// strategy.close("Short", when=long_signal)
// strategy.close("Short1", when=long_signal)
// strategy.close("Short2", when=long_signal)
// strategy.close("Short3", when=long_signal)
strategy.close("Short", when=short_tp)
strategy.close("Short1", when=short1_tp)
strategy.close("Short2", when=short2_tp)
strategy.close("Short3", when=short3_tp)
strategy.close("Short", when=short_sl)
strategy.close("Short1", when=short1_sl)
strategy.close("Short2", when=short2_sl)
strategy.close("Short3", when=short3_sl)
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