This strategy combines the bilateral trading signals of the TSI and improved CCI indicators, and adopts a hedging approach to frequently open and close positions, aiming to pursue more stable continuous profits. The key logic is the golden cross and dead cross of the fast and slow moving averages of the TSI indicator, combined with the buy and sell signals of the HMACCI indicator to determine market direction. Risks are controlled by limiting opening conditions, while stop loss and take profit logics are set.
The strategy is mainly based on the combination of the TSI and HMACCI indicators.
The TSI indicator contains a fast moving average and a slow one to determine trading signals. When the fast line breaks through the slow line upwards, it is a buy signal, and vice versa for sell signals. This can capture changes in market trends more sensitively.
The HMACCI indicator is based on the traditional CCI indicator using Hull Moving Average instead of price itself, which can filter out some noise and judge overbought and oversold zones. The overbought and oversold zones can further confirm the signal direction of the TSI indicator.
The key logic of the strategy is to combine the judgments of these two indicators and set certain additional conditions to filter out false signals, such as examining the previous bar’s closing price and maximum and minimum prices over multiple periods to control the quality of reversal signals.
For opening positions, if conditions are met, market orders are placed each time the bar closes, going both long and short. This can obtain more stable returns, but undertakes the risks of a hedging strategy.
For take profit and stop loss, floating stop loss and close all orders when reaching target profit are set. This can effectively control the risks of one-way trades.
This is a relatively stable and reliable high frequency hedging strategy. The main advantages are:
The main risks to note are:
Risks can be reduced through:
There is still large room for optimizing this strategy, mainly:
Overall this strategy is a stable, reliable hedging strategy with high fault tolerance. It combines trend and reversal indicators, obtaining steady returns through frequent dual-directional trading. Also, the strategy itself has strong potential for optimization, and represents a worthwhile high frequency trading idea to research further.
/*backtest start: 2023-12-01 00:00:00 end: 2023-12-31 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This source code is subject to the terms of the suns bipolarity //©SeaSide420 //@version=4 strategy(title="TSI HMA CCI", default_qty_type=strategy.cash,default_qty_value=1000,commission_type=strategy.commission.percent,commission_value=0.001) long = input(title="TSI Long Length", type=input.integer, defval=25) short = input(title="TSI Short Length", type=input.integer, defval=25) signal = input(title="TSI Signal Length", type=input.integer, defval=13) length = input(33, minval=1, title="HMACCI Length") src = input(open, title="Price Source") ld = input(50, minval=1, title="Line Distance") CandlesBack = input(8,minval=1,title="Candles Look Back") StopLoss= input(3000,minval=1, title="Stop Loss") TargetProfitAll= input(3000,minval=1, title="Target Profit Close All") FromMonth=input(defval=1,title="FromMonth",minval=1,maxval=12) FromDay=input(defval=1,title="FromDay",minval=1,maxval=31) FromYear=input(defval=2020,title="FromYear",minval=2020) ToMonth=input(defval=1,title="ToMonth",minval=1,maxval=12) ToDay=input(defval=1,title="ToDay",minval=1,maxval=31) ToYear=input(defval=9999,title="ToYear",minval=2017) start=timestamp(FromYear,FromMonth,FromDay,00,00) finish=timestamp(ToYear,ToMonth,ToDay,23,59) window()=>true ul = (ld) ll = (ld-ld*2) ma = hma(src, length) cci = (src - ma) / (0.015 * dev(src, length)) price = close double_smooth(src, long, short) => fist_smooth = ema(src, long) ema(fist_smooth, short) pc = change(price) double_smoothed_pc = double_smooth(pc, long, short) double_smoothed_abs_pc = double_smooth(abs(pc), long, short) tsi_value = 100 * (double_smoothed_pc / double_smoothed_abs_pc)*10 tsi_value2=ema(tsi_value/10, signal)*10 cc = color.white ct = color.new(color.gray, 90) if cci<ll or cci[1]<ll cc:=color.red if cci>ul or cci[1]>ul cc:=color.green if cci<ul and cci>ll cc:=color.new(color.yellow, 90) ccc = color.white if cci>ul ccc:=color.green if cci<cci[1] and cci<ul and cci>ll ccc:=color.red if cci<ll ccc:=color.red if cci>cci[1] and cci>ll and cci<ul ccc:=color.green tsiplot= plot(tsi_value, color=color.lime) tsiplot2=plot(tsi_value2, color=color.red) colorchange2 =tsi_value>tsi_value2?color.lime:color.orange fill(tsiplot, tsiplot2, color=colorchange2, title="TSIBackground", transp=50) band1 = hline(ul, "Upper Band 1", color=ct, linestyle=hline.style_dashed) band0 = hline(ll, "Lower Band 1", color=ct, linestyle=hline.style_dashed) fill(band1, band0, color=cc, title="MidBandBackground", transp=0) band2 = hline(ul, "Upper Band 2", color=ct, linestyle=hline.style_dashed) band3 = hline(ll, "Lower Band 2", color=ct, linestyle=hline.style_dashed) cciplot2 = plot(cci, "CCIvHMA 2", color=color.black, transp=0, linewidth=5) cciplot = plot(cci, "CCIvHMA", color=ccc, transp=0, linewidth=3) hline(0, title="Zero") hline(420, title="420") hline(-420, title="-420") fill(cciplot, cciplot2, color=ccc, title="CCIBackground", transp=0) LongCondition=cci>cci[1] and cci>ll and src>src[CandlesBack] and tsi_value>tsi_value2 ShortCondition=cci<cci[1] and cci<ul and src<src[CandlesBack] and tsi_value<tsi_value2 plotshape(LongCondition, title="BUY", style=shape.circle, location=location.top, color=color.green) plotshape(ShortCondition, title="SELL", style=shape.circle, location=location.top, color=color.red) if strategy.openprofit>TargetProfitAll strategy.close_all(when=window(),comment="close all profit target") if LongCondition and strategy.openprofit>-1 strategy.order("BUY", strategy.long,when=window()) if ShortCondition and strategy.openprofit>-1 strategy.order("SELL", strategy.short,when=window()) strategy.exit("SL exit a sell", "SELL", loss = StopLoss,when=window()) strategy.exit("SL exit a buy", "BUY", loss = StopLoss,when=window())