Momentum Reversal Moving Average Combination Strategy
Author: ChaoZhang, Date: 2023-11-24 10:23:36Tags:
Overview
This strategy identifies trends by combining multiple moving average indicators. Specifically, this strategy uses a fast moving average ribbon and a slow moving average ribbon at the same time. The fast moving average ribbon consists of a 5-day EMA and a 25-day WMA, while the slow moving average ribbon consists of a 28-day EMA and a 72-day WMA. It generates a buy signal when the fast MA crosses above the slow MA, and a sell signal when the fast MA crosses below the slow MA. In addition, this strategy also uses the RSI indicator to assist in judging the timing.
Strategy Logic
- Use double moving averages to determine the trend direction
- Fast MA Ribbon: 5-day EMA, 25-day WMA
- Slow MA Ribbon: 28-day EMA, 72-day WMA
- When fast MA crosses above slow MA, generate a buy signal
- When fast MA crosses below slow MA, generate a sell signal
- Use RSI indicator to assist in determining the timing of buys and sells
- RSI Low to Buy: Generate a buy signal when RSI<35
- RSI High to Sell: Generate a sell signal when RSI>65
- Adopt trend tracking mechanisms including moving stop loss and moving take profit
- Moving stop loss: Track highest/lowest price to prevent excessive losses
- Moving take profit: Track highest/lowest price for timely profit taking
Advantage Analysis
- Using double MAs to determine trends, fast and slow MAs working together can effectively identify turning points
- RSI indicator’s assistance helps avoid erroneous signals from MAs
- Moving stop loss mechanism effectively controls losses of individual losing trades
- Moving take profit mechanism locks in profits and prevents profit retracement
Risk Analysis
- Relatively high probability of failure in trend determination by double MAs, may generate false signals
- Improper RSI parameter settings may miss trading opportunities
- Excessively large stop loss magnitude may cause unnecessary losses
- Excessively small take profit magnitude may result in profit shrinkage
Optimization Directions
- Parameters of fast and slow MAs can be optimized to find optimal parameter combinations
- RSI parameters can also be optimized to find better overbought/oversold lines
- Test with different stop loss magnitudes to find balance between minimizing losses and avoiding false signals
- Try adaptive take profit strategies to allow take profit magnitude to adjust on its own based on market volatility
Conclusion
This strategy captures and tracks trends by determining trend direction with double MAs, judging timing assisted by RSI, and methods like moving take profit and stop loss. Further improvements can be achieved by optimizing parameters of MAs, RSI and profit/loss limits. The overall logic is clear and easy to understand and optimize. It is a practical and effective trend tracking strategy.
/*backtest
start: 2023-11-16 00:00:00
end: 2023-11-23 00:00:00
period: 3m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy(title="[WAI GUA]", shorttitle="[EOS] 1.0", overlay=false )
//study(title="[WAI GUA]", shorttitle="[EOS] 1.0", overlay=true)
//
// Use Alternate Anchor TF for MAs
uRenko = input(true, title="IS This a RENKO Chart")
//
anchor = input(0,minval=0,maxval=1440,title="Alternate TimeFrame Multiplier (0=none)")
//
src = close //input(close, title="EMA Source")
showRibbons = input(false,title="Show Coloured MA Ribbons")
showAvgs = input(false,title="Show Ribbon Median MA Lines")
//
// Fast Ribbon MAs
// Lower MA - type, length
typeF1 = input(defval="EMA", title="FAST MA Ribbon Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenF1 = input(defval=5, title="FAST Ribbon Lower MA Length", minval=1)
gammaF1 = 0.33 //input(defval=0.33,title="Fast MA - Gamma for LAGMA")
// Upper MA - type, length
typeF11 = typeF1 //input(defval="WMA", title="FAST Ribbon Upper MA Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenF11 = input(defval=25, title="FAST Ribbon Upper Length", minval=2)
gammaF11 = 0.77 //input(defval=0.77,title="Slow MA - Gamma for LAGMA")
// Slow Ribbon MAs
// Lower MA - type, length
typeS1 = input(defval="EMA", title="SLOW MA Ribbon Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenS1 = input(defval=28, title="SLOW Ribbon Lower MA Length", minval=1)
gammaS1 = 0.33 //input(defval=0.33,title="Fast MA - Gamma for LAGMA")
// Upper MA - type, length
typeS16 = typeS1 //input(defval="WMA", title="SLOW Ribbon Upper MA Type: ", options=["SMA", "EMA", "WMA", "VWMA", "SMMA", "DEMA", "TEMA", "LAGMA", "HullMA", "ZEMA", "TMA", "SSMA"])
lenS16 = input(defval=72, title="SLOW Ribbon Upper Length", minval=2)
gammaS16 = 0.77 //input(defval=0.77,title="Slow MA - Gamma for LAGMA")
// - Constants
gold = #FFD700
// - FUNCTIONS
// - variant(type, src, len, gamma)
// 返回MA输入选择变量，默认为SMA，如果空白或键入。
// SuperSmoother filter
variant_supersmoother(src,len) =>
a1 = exp(-1.414*3.14159 / len)
b1 = 2*a1*cos(1.414*3.14159 / len)
c2 = b1
c3 = (-a1)*a1
c1 = 1 - c2 - c3
v9 = 0.0
v9 := c1*(src + nz(src[1])) / 2 + c2*nz(v9[1]) + c3*nz(v9[2])
v9
variant_smoothed(src,len) =>
v5 = 0.0
v5 := na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len
v5
variant_zerolagema(src,len) =>
ema1 = ema(src, len)
ema2 = ema(ema1, len)
v10 = ema1+(ema1-ema2)
v10
variant_doubleema(src,len) =>
v2 = ema(src, len)
v6 = 2 * v2 - ema(v2, len)
v6
variant_tripleema(src,len) =>
v2 = ema(src, len)
v7 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len) // Triple Exponential
v7
//calc Laguerre
variant_lag(p,g) =>
L0 = 0.0
L1 = 0.0
L2 = 0.0
L3 = 0.0
L0 := (1 - g)*p+g*nz(L0[1])
L1 := -g*L0+nz(L0[1])+g*nz(L1[1])
L2 := -g*L1+nz(L1[1])+g*nz(L2[1])
L3 := -g*L2+nz(L2[1])+g*nz(L3[1])
f = (L0 + 2*L1 + 2*L2 + L3)/6
f
// return variant, defaults to SMA
variant(type, src, len, g) =>
type=="EMA" ? ema(src,len) :
type=="WMA" ? wma(src,len):
type=="VWMA" ? vwma(src,len) :
type=="SMMA" ? variant_smoothed(src,len) :
type=="DEMA" ? variant_doubleema(src,len):
type=="TEMA" ? variant_tripleema(src,len):
type=="LAGMA" ? variant_lag(src,g) :
type=="HullMA"? wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len))) :
type=="SSMA" ? variant_supersmoother(src,len) :
type=="ZEMA" ? variant_zerolagema(src,len) :
type=="TMA" ? sma(sma(src,len),len) :
sma(src,len)
// - /variant
// If have anchor specified, calculate the base multiplier.
//mult = isintraday ? anchor==0 or interval<=0 or interval>=anchor or anchor>1440? 1 : round(anchor/interval) : 1
//mult := isdwm? 1 : mult // Only available Daily or less
mult = anchor>0 ? anchor : 1
//
high_ = uRenko? max(close,open) : high
low_ = uRenko? min(close,open) : low
//用锚乘器调整MA长度
//Fast MA Ribbon
emaF1 = variant(typeF1, src, lenF1*mult, gammaF1)
emaF11 = variant(typeF11, src, lenF11*mult,gammaF11)
emafast = (emaF1+emaF11)/2 // Average of Upper and Lower MAs
//
//Slow MA Ribbon
emaS1 = variant(typeS1,src, lenS1*mult,gammaS1)
emaS16 = variant(typeS16, src, lenS16*mult, gammaS16)
emaslow = (emaS1+emaS16)/2 // Average of Upper and Lower MAs
//
// Count crossover candles
xup = 0
xdn = 0
fup = 0
fdn = 0
sup = 0
sdn = 0
//
xup := (emafast-emaslow)>0 and (emafast-emaslow)>(emafast[1]-emaslow[1]) ? nz(xup[1])+1 : 0
xdn := (emafast-emaslow)<0 and (emafast-emaslow)<(emafast[1]-emaslow[1]) ? nz(xdn[1])+1 : 0
fup := (emaF1-emaF11)>0 and (emaF1-emaF11)>(emaF1[1]-emaF11[1]) ? nz(fup[1])+1 : 0
fdn := (emaF1-emaF11)<0 and (emaF1-emaF11)<(emaF1[1]-emaF11[1]) ? nz(fdn[1])+1 : 0
sup := (emaS1-emaS16)>0 and (emaS1-emaS16)>(emaS1[1]-emaS16[1]) ? nz(sup[1])+1 : 0
sdn := (emaS1-emaS16)<0 and (emaS1-emaS16)<(emaS1[1]-emaS16[1]) ? nz(sdn[1])+1 : 0
//Fast EMA Final Color Rules
colFinal = fup>=2 ? aqua : fdn>=2 ? blue : gray
//Slow EMA Final Color Rules
colFinal2 = sup>=2 ? lime : sdn>=2 ? red : gray
//Fast EMA Plots
p1=plot(showRibbons?emaF1:na, title="Fast Ribbon Lower MA", style=line, linewidth=1, color=colFinal,transp=10)
p2=plot(showRibbons?emaF11:na, title="Fast Ribbon Upper MA", style=line, linewidth=1, color=colFinal,transp=10)
plot(showAvgs?emafast:na, title="Fast Ribbon Avg MA", style=circles,join=true, linewidth=1, color=gold,transp=10)
//
//fill(p1,p2,color=colFinal, transp=90)
//Slow EMA Plots
p3=plot(showRibbons?emaS1:na, title="Slow Ribbon Lower MA", style=line, linewidth=1, color=colFinal2,transp=10)
p4=plot(showRibbons?emaS16:na, title="Slow Ribbon Upper MA", style=line, linewidth=1, color=colFinal2,transp=10)
plot(showAvgs?emaslow:na, title="Slow Ribbon Avg MA", style=circles,join=true, linewidth=1, color=fuchsia,transp=10)
//
//fill(p3,p4, color=colFinal2, transp=90)
// Generate Buy Sell signals,
buy = 0
sell=0
//
buy := xup>=2 and sup>=2 and fup>=2 ? nz(buy[1])>0?buy[1]+1 :1 : 0
sell := xdn>=2 and sdn>=2 and fdn>=2 ? nz(sell[1])>0?sell[1]+1 :1 : 0
////////////////////////
//* 反测试周期选择器 *//
////////////////////////
testStartYear = input(2018, "Backtest Start Year",minval=1980)
testStartMonth = input(1, "Backtest Start Month",minval=1,maxval=12)
testStartDay = input(1, "Backtest Start Day",minval=1,maxval=31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = 9999 //input(9999, "Backtest Stop Year",minval=1980)
testStopMonth = 12 // input(12, "Backtest Stop Month",minval=1,maxval=12)
testStopDay = 31 //input(31, "Backtest Stop Day",minval=1,maxval=31)
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
testPeriod() => time >= testPeriodStart and time <= testPeriodStop ? true : false
///////////////
//* RSI策略 *//
///////////////
//指示器 1
lowerpc = lowest(low, 21)
upperpc = highest(high, 21)
midpc = avg(upperpc, lowerpc)
//指示器 2
ma = sma(close, 50)
petd = ema(close,13)
rangema = ema(tr, 50)
upperkc = ma + rangema * 0.25
lowerkc = ma - rangema * 0.25
//指示器 3
up = rma(max(change(close), 0), 5)
down = rma(-min(change(close), 0), 5)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
// PET-D
petdcolor = close > petd ? green : red
barcolor (petdcolor)
//Slope
SlopeL = midpc > midpc[5]
SlopeS = midpc < midpc[5]
//条件
CL = SlopeL == 1 and close > lowerkc and close < midpc and rsi < 35
CS = SlopeS == 1 and close < upperkc and close > midpc and rsi > 65
//Setup
RsiSL = CL == 1 and CL[1] != 1
RsiSS = CS == 1 and CS[1] != 1
/////////////////////
//* RSA抛物线指标 *//
/////////////////////
start = input(0.02)
increment = input(0.02)
maximum = input(0.2)
psar = sar(start, increment, maximum)
RSALE = false
RSASE = false
if (psar > high)
RSALE = true
else
RSALE = false
if (psar < low)
RSASE = true
else
RSASE = false
////////////////
//* 策略组件 *//
////////////////
AQUA = #00FFFFFF
BLUE = #0000FFFF
RED = #FF0000FF
LIME = #00FF00FF
GRAY = #808080FF
DARKRED = #8B0000FF
DARKGREEN = #006400FF
//
fastExit = input(false,title="Use Opposite Trade as a Close Signal")
clrBars = input(true,title="Colour Candles to Trade Order state")
orderType = input("Longs+Shorts",title="What type of Orders", options=["Longs+Shorts","LongsOnly","ShortsOnly","Flip"])
//
isLong = (orderType != "ShortsOnly")
isShort = (orderType != "LongsOnly")
//////////////////////////
//* 贸易状态引擎 *//
//////////////////////////
// 追踪当前贸易状态
longClose = false, longClose := nz(longClose[1],false)
shortClose = false, shortClose := nz(shortClose[1],false)
tradeState = 0, tradeState := nz(tradeState[1])
tradeState := tradeState==0 ? buy==1 and (barstate.isconfirmed or barstate.ishistory) and isLong and not longClose and not shortClose? 1 :
sell==1 and (barstate.isconfirmed or barstate.ishistory) and isShort and not longClose and not shortClose? -1 :
tradeState : tradeState
////////////////////////////////////
//* 在这里设置入口和特殊出口条件 *//
////////////////////////////////////
//进入状态，当状态改变方向时。
longCondition = false
shortCondition = false
//longCondition := longCondition != true ? change(tradeState) and tradeState==1 : true
//shortCondition := shortCondition != true ? change(tradeState) and tradeState==-1 : true
longCondition := change(tradeState) and tradeState==1
shortCondition := change(tradeState) and tradeState==-1
if orderType=="Flip"
temp = longCondition
longCondition := shortCondition
shortCondition := temp
//end if
// 卖出信号退出
longExitC = (emafast[1]<emaslow[1] and open<emaslow[1]) ? 1 : 0
shortExitC = (emafast[1]>emaslow[1] and open>emaslow[1]) ? 1 : 0
// change退出条件。
longExit = change(longExitC) and longExitC==1 and tradeState==1
shortExit = change(shortExitC) and shortExitC==1 and tradeState==-1
// -- debugs
//plotchar(tradeState,"tradeState at Event",location=location.bottom, color=#FF0000FF)
//plotchar(longCondition, title="longCondition",color=#FF0000FF)
//plotchar(shortCondition, title="shortCondition",color=#FF0000FF)
//plotchar(tradeState, title="tradeState",color=#006400FF)
// -- /debugs
////////////////////////////////
//======[ 交易入门价格 ]======//
////////////////////////////////
last_open_longCondition = na
last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])
////////////////////////////
//======[ 位置状态 ]======//
////////////////////////////
in_longCondition = tradeState == 1
in_shortCondition = tradeState == -1
////////////////////////
//======[ 尾停 ]======//
////////////////////////
isTS = input(true, "Trailing Stop")
ts = input(3.0, "Trailing Stop (%)", minval=0,step=0.1, type=float) /100
last_high = na
last_low = na
last_high_short = na
last_low_long = na
last_high := not in_longCondition ? na : in_longCondition and (na(last_high[1]) or high_ > nz(last_high[1])) ? high_ : nz(last_high[1])
last_high_short := not in_shortCondition ? na : in_shortCondition and (na(last_high[1]) or high_ > nz(last_high[1])) ? high_ : nz(last_high[1])
last_low := not in_shortCondition ? na : in_shortCondition and (na(last_low[1]) or low_ < nz(last_low[1])) ? low_ : nz(last_low[1])
last_low_long := not in_longCondition ? na : in_longCondition and (na(last_low[1]) or low_ < nz(last_low[1])) ? low_ : nz(last_low[1])
long_ts = isTS and in_longCondition and not na(last_high) and (low_ <= last_high - last_high * ts) //and (last_high >= last_open_longCondition + last_open_longCondition * tsi)
short_ts = isTS and in_shortCondition and not na(last_low) and (high_ >= last_low + last_low * ts) //and (last_low <= last_open_shortCondition - last_open_shortCondition * tsi)
////////////////////////
//======[ 获利 ]======//
////////////////////////
isTP = input(true, "Take Profit")
tp = input(3.0, "Take Profit (%)",minval=0,step=0.1,type=float) / 100
ttp = input(1.0, "Trailing Profit (%)",minval=0,step=0.1,type=float) / 100
ttp := ttp>tp ? tp : ttp
long_tp = isTP and in_longCondition and (last_high >= last_open_longCondition + last_open_longCondition * tp) and (low_ <= last_high - last_high * ttp)
short_tp = isTP and in_shortCondition and (last_low <= last_open_shortCondition - last_open_shortCondition * tp) and (high_ >= last_low + last_low * ttp)
////////////////////////////
//======[ 停止损耗 ]======//
////////////////////////////
isSL = input(false, "Stop Loss")
sl = input(3.0, "Stop Loss (%)", minval=0,step=0.1, type=float) / 100
long_sl = isSL and in_longCondition and (low_ <= last_open_longCondition - last_open_longCondition * sl)
short_sl = isSL and in_shortCondition and (high_ >= last_open_shortCondition + last_open_shortCondition * sl)
////////////////////////
//======[ 对峙 ]======//
////////////////////////
//注：短出口信号不重漆，无需用力，如果锥体继续进行。
long_sos = (fastExit or (not isTS and not isSL)) and longExit and in_longCondition
short_sos = (fastExit or (not isTS and not isSL)) and shortExit and in_shortCondition
////////////////////////////
//======[ 关闭信号 ]======//
////////////////////////////
// 为所有不同的关闭条件创建一个单独的关闭，这里的所有条件都不重漆。
longClose := isLong and (long_tp or long_sl or long_ts or long_sos) and not longCondition
shortClose := isShort and (short_tp or short_sl or short_ts or short_sos) and not shortCondition
////////////////////////////
//======[ 情节色彩 ]======//
////////////////////////////
longCloseCol = na
shortCloseCol = na
longCloseCol := long_tp ? green : long_sl ? maroon : long_ts ? purple : long_sos ? orange :longCloseCol[1]
shortCloseCol := short_tp ? green : short_sl ? maroon : short_ts ? purple : short_sos ? orange : shortCloseCol[1]
//
tpColor = isTP and in_longCondition ? lime : isTP and in_shortCondition ? lime : na
slColor = isSL and in_longCondition ? red : isSL and in_shortCondition ? red : na
//////////////////////////////////
//======[ 策略图 ]======//
//////////////////////////////////
plot(isTS and in_longCondition?
last_high - last_high * ts : na, "Long Trailing", fuchsia, style=2, linewidth=2,offset=1)
plot(isTP and in_longCondition and last_high < last_open_longCondition + last_open_longCondition * tp ?
last_open_longCondition + last_open_longCondition * tp : na, "Long TP Active", tpColor, style=3,join=false, linewidth=2,offset=1)
plot(isTP and in_longCondition and last_high >= last_open_longCondition + last_open_longCondition * tp ?
last_high - last_high * ttp : na, "Long Trailing", black, style=2, linewidth=2,offset=1)
plot(isSL and in_longCondition and last_low_long > last_open_longCondition - last_open_longCondition * sl ?
last_open_longCondition - last_open_longCondition * sl : na, "Long SL", slColor, style=3,join=false, linewidth=2,offset=1)
plot(isTS and in_shortCondition?
last_low + last_low * ts : na, "Short Trailing", fuchsia, style=2, linewidth=2,offset=1)
plot(isTP and in_shortCondition and last_low > last_open_shortCondition - last_open_shortCondition * tp ?
last_open_shortCondition - last_open_shortCondition * tp : na, "Short TP Active", tpColor, style=3,join=false, linewidth=2,offset=1)
plot(isTP and in_shortCondition and last_low <= last_open_shortCondition - last_open_shortCondition * tp ?
last_low + last_low * ttp : na, "Short Trailing", black, style=2, linewidth=2,offset=1)
plot(isSL and in_shortCondition and last_high_short < last_open_shortCondition + last_open_shortCondition * sl ?
last_open_shortCondition + last_open_shortCondition * sl : na, "Short SL", slColor, style=3,join=false, linewidth=2,offset=1)
bclr = not clrBars ? na : tradeState==0 ? GRAY :
in_longCondition ? close<last_open_longCondition? DARKGREEN : LIME :
in_shortCondition ? close>last_open_shortCondition? DARKRED : RED : GRAY
barcolor(bclr,title="Trade State Bar Colouring")
//////////////////////////////////
//======[ 战略进入与退出 ]======//
//////////////////////////////////
if testPeriod() and isLong
strategy.entry("Long", 1, when=longCondition)
strategy.close("Long", when=longClose )
if testPeriod() and isShort
strategy.entry("Short", 0, when=shortCondition)
strategy.close("Short", when=shortClose )
// --- Debugs
//plotchar(longExit,title="longExit",location=location.bottom,color=na)
//plotchar(longCondition,title="longCondition",location=location.bottom,color=na)
//plotchar(in_longCondition,title="in_longCondition",location=location.bottom,color=na)
//plotchar(longClose,title="longClose",location=location.bottom,color=na,color=na)
//plotchar(buy,title="buy",location=location.bottom,color=na)
// --- /Debugs
//开单时改变背景
bgcolor( in_longCondition ? lime : na, transp=90)
bgcolor( in_shortCondition ? red : na, transp=90)
////////////////////////////
//======[ 重置变量 ]======//
////////////////////////////
if longClose or not in_longCondition
last_high := na
last_high_short := na
if shortClose or not in_shortCondition
last_low := na
last_low_long := na
if longClose or shortClose
tradeState := 0
in_longCondition := false
in_shortCondition := false
//plotchar(tradeState,"tradeState at EOF",location=location.bottom, color=na)
// EOF
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