Strategi ini menghitung persilangan antara dua kelompok rata-rata bergerak SMA dan EMA untuk menentukan arah tren pasar untuk pelacakan perdagangan.
Secara khusus, ia menggunakan satu pasangan rata-rata bergerak cepat dan satu bergerak lambat. Ia pergi panjang ketika garis cepat melintasi di atas garis lambat, dan pergi pendek pada crossover ke bawah. Exits terjadi ketika harga turun kembali di bawah garis lambat atau naik di atas garis cepat.
Keuntungan dari strategi MA ganda ini adalah aturan sederhana dan jelas berdasarkan dua MA dinamis. Menggunakan EMA menawarkan lebih banyak sensitivitas dalam menangkap pembalikan.
Secara umum, strategi pelacakan silang MA ganda cocok untuk pasar tren untuk perdagangan ke arah momentum.
/*backtest
start: 2023-08-11 00:00:00
end: 2023-09-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
// strategy("Moving Average Strategy of BiznesFilosof", shorttitle="MAS of BiznesFilosof", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=20, commission_type=strategy.commission.percent, commission_value=0.15, pyramiding=0)
//Period
startY = input(title="Start Year", defval = 2011)
startM = input(title="Start Month", defval = 1, minval = 1, maxval = 12)
startD = input(title="Start Day", defval = 1, minval = 1, maxval = 31)
finishY = input(title="Finish Year", defval = 2050)
finishM = input(title="Finish Month", defval = 12, minval = 1, maxval = 12)
finishD = input(title="Finish Day", defval = 31, minval = 1, maxval = 31)
//finish = input(2019, 02, 28, 00, 00)
timestart = timestamp(startY, startM, startD, 00, 00)
timefinish = timestamp(finishY, finishM, finishD, 23, 59)
window = time >= timestart and time <= timefinish ? true : false // Lenghth strategy
lma1 = input(title="Length MA1", defval = 21, minval=1)
exponential1 = input(false, title="exponential")
lma2 = input(title="Length MA2", defval = 1, minval=1)
exponential2 = input(false, title="exponential")
lbars = input(title="Length bars close", defval = 0, minval=0)
ma1 = exponential1 ? ema(close, lma1) : sma(close, lma1)
ma2 = exponential2 ? ema(close, lma2) : sma(close, lma2)
//source = close
source = ma2
//open
strategy.entry("LongEntryID", strategy.long, comment="LONG", when = crossover(ma2, ma1) and window)
strategy.entry("ShortEntryID", strategy.short, comment="SHORT", when = crossunder(ma2, ma1) and window)
if crossunder(source, ma1) and strategy.position_size > 0
strategy.close_all()
if crossunder(ma2[lbars], ma1[lbars]) and strategy.position_size > 0 and lbars != 0
strategy.close_all()
if crossover(source, ma1) and strategy.position_size < 0
strategy.close_all()
if crossover(ma2[lbars], ma1[lbars]) and strategy.position_size < 0 and lbars != 0
strategy.close_all()
src = close
src1 = high
src2 = low
maH = exponential1 ? ema(src1, lma1) : sma(src1, lma1)
maL = exponential1 ? ema(src2, lma1) : sma(src2, lma1)
maColor = src>maH ? green : src<maL ? red : blue
plot(ma1, title="MA1", color=maColor, linewidth=2, style=line)
plot(ma2, title="MA2", color=gray, linewidth=1, style=line)