Esta estrategia combina el indicador CMF Momentum y la EMA de 200 días para construir señales comerciales.
Específicamente, el Momentum CMF refleja la tasa de cambio en el flujo de dinero. El upcrossing 0 es la señal de compra, y el downcrossing 0 es la señal de venta.
El stop loss se establece en 2 veces ATR. El take profit es 2 veces el stop loss, logrando una relación 2: 1 ganancia/pérdida.
La ventaja de esta estrategia es el uso de CMF Momentum para juzgar la dirección del flujo de fondos combinado con EMA para la tendencia principal.
En general, la estrategia de promedio móvil de ruptura de Momentum de CMF funciona mejor cuando las tendencias son claras.
/*backtest
start: 2023-08-11 00:00:00
end: 2023-09-10 00:00:00
period: 45m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// ***************************************************
// CMF Velocity with 200 EMA Strategy
// CMF Velocity Indicator by TheSadRhinoInvesting
// Author: TheSadRhinoInvesting, v1.0, 2021.05.16
// INITIAL RELEASE
// ***************************************************
//@version=4
strategy("CMF Velocity with 200EMA Strategy")
// ***************************************************
// Strategy & Rules
// ***************************************************
// This strategy is a demonstration of my new Indicator: CMF Velocity
// CMF Velocity: https://www.tradingview.com/script/zsTl96Gd-CMF-Velocity/
// The strategy works best in a strongly trending market
// === Indicators ===
// EMA
// @ 200
// CMF Velocity
// @ 11, 7
// ATR
// @ 10
// === Rules ===
// long only
// - price above EMA200
// short only
// - price below EMA200
// Stop Loss = 2x ATR
// Profit = 2x SL/risk (Profit Ratio x Max Loss)
// === Entries ===
// LONG
// - long entry (Typical):
// - CMF Velocity crosses above 0
// SHORT
// - short entry (Typical):
// - CMF Velocity crosses below 0
// ***************************************************
// Backtest Parameters
// ***************************************************
testStartYear = input(2021, "Backtest Start Year")
testStartMonth = input(5, "Backtest Start Month")
testStartDay = input(2, "Backtest Start Day")
testStartHour = input(0, "Backtest Start Hour")
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, testStartHour, 0)
testEndYear = input(2021, "Backtest End Year")
testEndMonth = input(5, "Backtest End Month")
testEndDay = input(16, "Backtest End Day")
testEndHour = input(0, "Backtest End Hour")
testPeriodEnd = timestamp(testEndYear, testEndMonth, testEndDay, testEndHour, 0)
timeBacktesting = true
direction = input(0, title = "Strategy Direction", type=input.integer, minval=-1, maxval=1)
strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long))
// ***************************************************
// Inputs
// ***************************************************
// Profit/Loss Ratio
pLRatioMultiplier = input(2, title="Profit/Loss Multiplier", step=0.1, minval=0.1)
// EMA Period
emaPeriod = input(200, title="EMA Period", step=1, minval=1)
// ATR Multiplier
atrMultiplier = input(2, title="ATR Multiplier", step=0.1, minval=0.1)
// ATR Period
atrPeriod = input(10, title="ATR Period", step=1, minval=1)
// CMF Period
cmfPeriod = input(11, title="CMF Period", step=1, minval=1)
// CMF Velocity Period
cmfVelocityPeriod = input(7, title="CMF Velocity Period", step=1, minval=1)
// ***************************************************
// Indicator Functions
// ***************************************************
// CMF Function
cmf(period) =>
moneyFlowMultiplier = (((close - low) - (high - close)) / (high - low)) * volume
notNaMoneyFlowMultiplier = na(moneyFlowMultiplier) ? 0 : moneyFlowMultiplier
moneyFlowAverage = sma(notNaMoneyFlowMultiplier, period)
volumeAverage = sma(volume, period)
moneyFlowAverage / volumeAverage
// CMF Velocity Function
cmfVelocity(cmf, period) =>
difference = change(cmf)
sma(difference, period)
// ***************************************************
// Indicator Calculation and Plotting
// ***************************************************
cmfSeries = cmf(cmfPeriod)
cmfVelocitySeries = cmfVelocity(cmfSeries, cmfVelocityPeriod)
atrSeries = atr(atrPeriod)
triggerEMA = ema(close, emaPeriod)
plot(triggerEMA)
// ***************************************************
// Strategy Execution
// ***************************************************
if (crossover(cmfVelocitySeries, 0.0) and triggerEMA < close and timeBacktesting)
stopOffset = atrSeries * atrMultiplier
profitOffset = stopOffset * pLRatioMultiplier
stopLoss = close - stopOffset
takeProfit = close + profitOffset
strategy.entry("Long Entry", true)
strategy.exit("Exit", "Long Entry", stop=stopLoss, limit=takeProfit)
if (crossunder(cmfVelocitySeries, 0.0) and triggerEMA > close and timeBacktesting)
stopOffset = atrSeries * atrMultiplier
profitOffset = stopOffset * pLRatioMultiplier
stopLoss = close + stopOffset
takeProfit = close - profitOffset
strategy.entry("Short Entry", false)
strategy.exit("Exit", "Short Entry", stop=stopLoss, limit=takeProfit)