Trading Strategy Following Dual Timeframe Trends
This trading strategy identifies trend direction across multiple timeframes to get into trends early. It uses both MACD and Stochastic RSI (SRSI) as indicators, and enters trades when consistent signals are triggered on the daily and 4-hour timeframes.
Strategy Logic:
Calculate MACD and SRSI on the daily chart. When MACD crosses above signal and SRSI %K crosses above signal, it is considered a bullish signal.
Calculate MACD and SRSI on the 4-hour chart. When MACD crosses above signal and SRSI %K crosses above signal, it is considered a bullish signal.
Only go long when both daily and 4-hour bullish signals appear together.
If both daily and 4-hour bullish signals disappear, close long positions.
If both daily and 4-hour bearish signals (MACD and SRSI crossing below) appear together, go short.
If both daily and 4-hour bearish signals disappear, close short positions.
Continuously monitor dual signals to follow trends.
The advantage of this strategy is getting into trends early as they develop by using dual filters to improve signal reliability and avoid false signals during choppy periods. The use of two timeframes provides greater confidence in the trend direction.
However, a potential risk is that strong trends can build on one timeframe before confirming on the second, thus missing initial entries. Parameters like MACD lengths need to be optimized to capture trends early while minimizing false signals. Overly sensitive parameters may cause over-trading.
Overall, the Dual Timeframe Trends Following strategy aims to capture trend moves in early stages. The dual confirmation helps avoid whipsaws but may occasionally miss initial entries. Careful parameter tuning and risk management is required.
/*backtest
start: 2023-08-12 00:00:00
end: 2023-09-11 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
// strategy(title='[RS]Khizon (DWTI) Strategy V0', shorttitle='K', overlay=false, pyramiding=0, initial_capital=100000, currency=currency.USD)
trade_size = 10000
// || Inputs:
macd_src = input(title='MACD Source:', defval=close)
macd_fast = input(title='MACD Fast Length:', defval=12)
macd_slow = input(title='MACD Slow Length:', defval=26)
macd_signal_smooth = input(title='MACD Signal Smoothing:', defval=9)
srsi_src = input(title='SRSI Source:', defval=close)
srsi_rsi_length = input(title='SRSI RSI Length:', defval=14)
srsi_stoch_length = input(title='SRSI Stoch Length:', defval=14)
srsi_smooth = input(title='SRSI Smoothing:', defval=14)
srsi_signal_smooth = input(title='SRSI Signal Smoothing:', defval=14)
// || MACD(close, 12, 26, 9): ||---------------------------------------------||
f_macd_trigger(_src, _fast, _slow, _signal_smooth)=>
_macd = ema(_src, _fast) - ema(_src, _slow)
_signal = sma(_macd, _signal_smooth)
_return_trigger = _macd >= _signal ? true : false
// || Stoch RSI(close, 14, 14, 3, 3) ||-----------------------------------------||
f_srsi_trigger(_src, _rsi_length, _stoch_length, _smooth, _signal_smooth)=>
_rsi = rsi(_src, _rsi_length)
_stoch = sma(stoch(_rsi, _rsi, _rsi, _stoch_length), _smooth)
_signal = sma(_stoch, _signal_smooth)
_return_trigger = _stoch >= _signal ? true : false
// ||-----------------------------------------------------------------------------||
// ||-----------------------------------------------------------------------------||
// || Check Directional Bias from daily timeframe:
daily_trigger = security('USOIL', 'D', f_macd_trigger(macd_src, macd_fast, macd_slow, macd_signal_smooth) and f_srsi_trigger(srsi_src, srsi_rsi_length, srsi_stoch_length, srsi_smooth, srsi_signal_smooth))
h4_trigger = security('USOIL', '240', f_macd_trigger(macd_src, macd_fast, macd_slow, macd_signal_smooth) and f_srsi_trigger(srsi_src, srsi_rsi_length, srsi_stoch_length, srsi_smooth, srsi_signal_smooth))
plot(0, style=circles, color=daily_trigger?blue:na, linewidth=4, transp=65)
plot(0, style=circles, color=h4_trigger?navy:na, linewidth=2, transp=0)
sel_open = daily_trigger and h4_trigger
buy_open = not daily_trigger and not h4_trigger
strategy.entry('sel', long=false, comment='sel', when=sel_open)
strategy.entry('buy', long=true, comment='buy', when=buy_open)