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STEM and MATCS Combined Momentum Trading Strategy

Author: ChaoZhang, Date: 2023-09-15 16:22:48
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This strategy is called the STEM and MATCS Combined Momentum Trading Strategy. It combines the Supertrend indicator with the MACD indicator to generate trading signals.

How the strategy works:

  1. Calculate the Supertrend indicator to generate buy and sell signals when price reverses.
  2. Calculate the fast, medium and slow MAs of the MACD indicator. Buy signals are generated when the fast MA crosses above the medium MA. Sell signals are generated when the fast MA crosses below the medium MA.
  3. Combine the signals from Supertrend and MACD, only taking trades when both indicators agree.
  4. Use the ATR indicator to calculate dynamic stop loss levels.

Specific trading rules:

  1. When Supertrend flips from down to up, and MACD fast MA crosses above medium MA, go long.
  2. When Supertrend flips from up to down, and MACD fast MA crosses below medium MA, go short.
  3. Exit rules: stop loss or take profit (optional).

Advantages of this strategy:

  1. Combining multiple indicators improves signal accuracy.
  2. Dynamic stop loss can limit individual big losses.
  3. Has both trend following and mean reversion capabilities.

Risks of this strategy:

  1. Incorrect Supertrend and MACD parameters may generate bad signals.
  2. Stop loss too close may result in frequent stop outs.
  3. Fees and slippage impact profits.

In summary, the STEM and MATCS Combined Momentum Trading Strategy enhances effects through indicator integration, suitable for short-term and medium-term trading. Stop loss application is critical for risk control. Traders need to reduce risks in live trading through parameter optimization and strict money management.

/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-14 00:00:00
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/
// © IncomePipelineGenerator
//@version=4
// strategy("STRAT_STEM_MATCS_BTC", overlay=true, pyramiding = 0, default_qty_value = 20, slippage = 5)


ST_EMA_PERIOD = input(1, minval=1)
ST_EMA = ema(close, ST_EMA_PERIOD)

LENGTH = input(title="ATR_PERIOD", type=input.integer, defval=95)
ATR_TUNE = input(title="ATR_TUNE", type=input.float, step=0.1, defval=2.1)
showLabels = input(title="Show_Buy/Sell_Labels ?", type=input.bool, defval=true)
highlightState = input(title="Highlight_State ?", type=input.bool, defval=true)

ATR = ATR_TUNE * atr(LENGTH)

longStop = ST_EMA - ATR
longStopPrev = nz(longStop[1], longStop)
longStop := (close[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop

shortStop = ST_EMA + ATR
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (close[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop

dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (close) > shortStopPrev ? 1 : dir == 1 and (close) < longStopPrev ? -1 : dir


fastLength = input(3, minval=1), medLength=input(9, minval=1), slowLength=input(12, minval=1), signalLength=input(16,minval=1)
fastMA = ema(close, fastLength), medMA = ema(close, medLength), slowMA = ema(close, slowLength)

macd = fastMA - slowMA
fmacd = fastMA - medMA
smacd = slowMA - medMA

signal = ema(macd, signalLength)
fsignal = ema(fmacd, signalLength)
ssignal = ema(smacd, signalLength)


SetStopLossShort = 0.0
SetStopLossShort := if(strategy.position_size < 0)
    StopLossShort = shortStop
    min(StopLossShort,SetStopLossShort[1])

SetStopLossLong = 0.0
SetStopLossLong := if(strategy.position_size > 0)
    StopLossLong = longStop
    max(StopLossLong,SetStopLossLong[1])


ATR_CrossOver_Period = input(5, type=input.integer, minval=1, maxval=2000)
ATR_SIGNAL_FINE_TUNE = input(0.962, type=input.float)  
ATR_CS = atr(ATR_CrossOver_Period)*ATR_SIGNAL_FINE_TUNE

StopLoss_Initial_Short = input(0.0, type=input.float) 
StopLoss_Initial_Long = input(0.0, type=input.float) 

StopLoss_Long_Adjust = input(0.0, type=input.float) 
StopLoss_Short_Adjust = input(0.0, type=input.float) 

VOLUME_CHECK = input(200)

//Custom Time Interval
fromMinute = input(defval = 0, title = "From Minute", minval = 0, maxval = 60)
fromHour = input(defval = 0, title = "From Hour", minval = 0, maxval = 24)
fromDay = input(defval = 1, title = "From Day", minval = 1)
fromMonth = input(defval = 1, title = "From Month", minval = 1)
fromYear = input(defval = 2019, title = "From Year", minval = 1900)
tillMinute = input(defval = 0, title = "Till Minute", minval = 0, maxval = 60)
tillHour = input(defval = 0, title = "Till Hour", minval = 0, maxval = 24)
tillDay = input(defval = 1, title = "Till Day", minval = 1)
tillMonth = input(defval = 1, title = "Till Month", minval = 1)
tillYear = input(defval = 2020, title = "Till Year", minval = 1900)
timestampStart = timestamp(fromYear,fromMonth,fromDay,fromHour,fromMinute)
timestampEnd = timestamp(tillYear,tillMonth,tillDay,tillHour,tillMinute)


//Custom Buy Signal Code --  This is where you design your own buy and sell signals. You now have millions of possibilites with the use of simple if/and/or statements.
if (  dir==1 and dir[1]==-1  and volume > VOLUME_CHECK and ((fsignal[1] -fsignal) <= 0) and  cross(fmacd, smacd) )
    strategy.exit("SELL")
    strategy.entry("BUY", strategy.long)
    strategy.exit("BUY_STOP","BUY", stop = close - StopLoss_Initial_Long)

//Custom Sell Signal Code
if  ( dir == -1 and dir[1] == 1 and dir[2] == 1 and dir[3] == 1 and dir[4] == 1 and  cross(fmacd, smacd) )
    strategy.exit( "BUY")
    strategy.entry("SELL", strategy.short)
    strategy.exit("SELL_STOP","SELL", stop = close + StopLoss_Initial_Short)

//Slight adjustments to ST for fine tuning
if (strategy.opentrades > 0 )
    strategy.exit("BUY_TRAIL_STOP","BUY", stop = longStop - StopLoss_Long_Adjust)
    strategy.exit("SELL_TRAIL_STOP","SELL", stop = shortStop + StopLoss_Short_Adjust)
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