This strategy combines the CMF Momentum indicator and 200-day EMA to construct trading signals.
Specifically, CMF Momentum reflects the rate of change in money flow. Upcrossing 0 is the buy signal, and downcrossing 0 is the sell signal. Meanwhile, only long above 200-day EMA, and only short below it.
The stop loss is set at 2 times ATR. Take profit is 2 times stop loss, achieving a 2:1 profit/loss ratio.
The advantage of this strategy is using CMF Momentum to judge fund flow direction combined with EMA for the major trend. The profit/loss ratio helps obtain steady gains. But due to lagging indicators, entry timing cannot be optimal.
Overall, the CMF Momentum breakout moving average strategy works better when trends are clear. But attention is still needed on timing of signal entries in live trading to avoid unnecessary losses.
/*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)