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Bidirectional Trading Strategy Based on Moon Phases

Author: ChaoZhang, Date: 2024-02-21 16:15:25
Tags:

Overview

This strategy trades both long and short based on moon phases, going long on new moons and going short on full moons.

Strategy Logic

The strategy calculates moon phases accurately based on dates using a custom function. Moon age less than 15 is a new moon, and between 15 and 30 a full moon. It generates long and short signals based on moon phases, opening long positions on new moons and short positions on full moons. It closes positions on reverse signals - closing longs on full moons and shorts on new moons.

Users can choose between “long on new moon, short on full moon” or vice versa. Boolean variables track if trades are currently open. It opens new trades when signals appear while no position is open, and closes current positions on reverse signals. Buy and sell markers are displayed visually.

Advantages

Captures long-term trends using moon cycle periodicity
Customizable display colors, fill, etc
Choice of bidirectional strategies
Clear open/close markers
Customizable backtest start time for optimization

Risks

Long moon cycle fails to capture short-term moves
No stop loss can lead to heavy losses
Fixed cycles prone to pattern formation

Risk Mitigation:

Add other short-cycle indicators for multi-timeframe trading
Implement stop loss
Optimize position sizing to limit loss impact

Optimization Directions

The strategy can be improved by:

Adding more indicators to filter signals and improve robustness
Adding position sizing to optimize and lower loss impact
Adding stop loss module to limit losses
Optimizing open/close conditions to reduce slippage and improve win rate

Conclusion

The strategy exploits the periodicity of moon cycles to implement a bidirectional trading strategy based on new and full moons. It has clear signals, high customizability, and catches long-term trends well. But the inability to limit losses poses significant risks. It is recommended to combine short-cycle indicators and add position sizing and stop losses to further optimize the strategy.

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/

// ---------------------------© paaax----------------------------
// ---------------- Author1: Pascal Simon (paaax) ----------------
// -------------------- www.pascal-simon.de ---------------------
// ---------------- www.tradingview.com/u/paaax/-----------------
// Source: https://gist.github.com/L-A/3497902#file-moonobject-js

// -------------------------© astropark--------------------------
// --------------- Author2: Astropark (astropark) ---------------
// -------------- https://bit.ly/astroparktrading ---------------
// -------------- www.tradingview.com/u/astropark/---------------


// @version=4
strategy(title="[astropark] Moon Phases [strategy]", overlay=true, pyramiding = 10, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital = 100000, currency = currency.USD, commission_value = 0.1)

// INPUT    --- {

newMoonColor = input(color.black, "New Moon Color")
fullMoonColor = input(color.white, "Full Moon Color")

fillBackground = input(true, "Fill Background?")
newMoonBackgroundColor = input(#fffff0aa, "New Moon Background Color")
fullMoonBackgroundColor = input(#aaaaaaaa, "Full Moon Background Color")

//} --- INPUT

// FUNCTION --- {

normalize(_v) =>
    x = _v
    x := x - floor(x)
    if x < 0
        x := x + 1
    x

calcPhase(_year, _month, _day) =>

    int y = na
    int m = na
    float k1 = na 
    float k2 = na 
    float k3 = na
    float jd = na
    float ip = na

    y := _year - floor((12 - _month) / 10)       
    m := _month + 9
    if m >= 12 
        m := m - 12
    
    k1 := floor(365.25 * (y + 4712))
    k2 := floor(30.6 * m + 0.5)
    k3 := floor(floor((y / 100) + 49) * 0.75) - 38
    
    jd := k1 + k2 + _day + 59
    if jd > 2299160
        jd := jd - k3
    
    ip := normalize((jd - 2451550.1) / 29.530588853)
    age = ip * 29.53

//} --- FUNCTION

// INIT     --- {

age = calcPhase(year, month, dayofmonth)
moon = 
     floor(age)[1] > floor(age) ? 1 : 
     floor(age)[1] < 15 and floor(age) >= 15 ? -1 : na

//} --- INIT

// PLOT     --- {

plotshape(
     moon==1, 
     "Full Moon", 
     shape.circle, 
     location.top, 
     color.new(newMoonColor, 20), 
     size=size.normal
     )   

plotshape(
     moon==-1, 
     "New Moon", 
     shape.circle, 
     location.bottom, 
     color.new(fullMoonColor, 20), 
     size=size.normal
     )   

var color col = na
if moon == 1 and fillBackground
    col := fullMoonBackgroundColor
if moon == -1 and fillBackground
    col := newMoonBackgroundColor
bgcolor(col, title="Moon Phase", transp=10)

//} --- PLOT


// STRATEGY     --- {

strategy = input("buy on new moon, sell on full moon", options=["buy on new moon, sell on full moon","sell on new moon, buy on full moon"])
longCond = strategy == "buy on new moon, sell on full moon" ? moon == -1 : moon == 1
shortCond = strategy == "buy on new moon, sell on full moon" ? moon == 1 : moon == -1

weAreInLongTrade = false
weAreInShortTrade = false
weAreInLongTrade := (longCond or weAreInLongTrade[1]) and shortCond == false
weAreInShortTrade := (shortCond or weAreInShortTrade[1]) and longCond == false
buySignal = longCond and weAreInLongTrade[1] == false
sellSignal = shortCond and weAreInShortTrade[1] == false

showBuySellSignals = input(defval=true, title = "Show Buy/Sell Signals")
longEnabled = input(true, title="Long enabled")
shortEnabled = input(true, title="Short enabled")

analysisStartYear = input(2017, "Backtesting From Year", minval=1980)
analysisStartMonth = input(1, "And Month", minval=1, maxval=12)
analysisStartDay = input(1, "And Day", minval=1, maxval=31)
analysisStartHour = input(0, "And Hour", minval=0, maxval=23)
analysisStartMinute = input(0, "And Minute", minval=0, maxval=59)
analyzeFromTimestamp = timestamp(analysisStartYear, analysisStartMonth, analysisStartDay, analysisStartHour, analysisStartMinute)

plotshape(showBuySellSignals and buySignal, title="Buy Label", text="Buy", location=location.belowbar, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0)
plotshape(showBuySellSignals and sellSignal, title="Sell Label", text="Sell", location=location.abovebar, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0)

strategy.entry("long", strategy.long, when = time > analyzeFromTimestamp and buySignal and longEnabled)
strategy.entry("short", strategy.short, when = time > analyzeFromTimestamp and sellSignal and shortEnabled)
strategy.close("long", when = sellSignal)
strategy.close("short", when = buySignal)

//} --- STRATEGY

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