This strategy generates buy signals when fast EMA buy line crosses over slow SMA buy line, and uses ATR dynamic trailing stop for risk control. It aims to outperform buy and hold strategy with limited trades.
Calculate fast EMA and slow SMA buy lines, generate buy signal when fast line crosses over slow line with certain buy strength.
Calculate fast EMA and slow SMA sell lines, generate sell signal when fast line crosses below slow line.
Use N day ATR average multiplied by coefficient as dynamic trailing stop for risk control.
Start strategy in backtest period for buy and sell execution.
Optimize parameters for each stock to find best values.
The strategy combines the advantages of MA crossing for signals and ATR trailing stop for risk control. Parameter optimization adapts to each product’s characteristics, aiming for excess returns over buy and hold with precise trades.
Fast EMA and slow SMA crossovers identify trends and generate signals.
ATR stop adjusts based on market volatility, effectively controlling risks.
Optimizing for each stock improves profitability.
Simple logic and rules, easy to implement and verify.
Complete backtest functionality to validate strategy.
Seeks steady outperformance over buy and hold.
Optimized parameters may not work for future, periodic re-optimization may be needed.
EMA and SMA crosses may generate incorrect or lagging signals.
ATR stop may be too aggressive, can loosen stop loss range.
Low trade frequency may miss good opportunities.
Need to consider impact of trading costs.
Continue testing different parameter combinations for optimum values.
Try introducing other indicators for signal filtering.
Optimize ATR period to balance stop loss sensitivity.
Evaluate effect of relaxing stop loss range.
Consider machine learning for automated parameter optimization.
Study effect of increasing trade frequency.
This moving average trailing stop strategy combines the strengths of MA crossovers for signals and ATR stops for risk control. Parameter optimization adapts it to each stock’s characteristics. Although optimized parameters have no guarantee, the overall logic is simple and practical for outperforming buy and hold. Further improvements and verification are worthwhile, as the strategy has good inspirational value.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-18 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
//created by XPloRR 04-03-2018
strategy("XPloRR MA-Trailing-Stop Strategy",overlay=true, initial_capital=1000,default_qty_type=strategy.percent_of_equity,default_qty_value=100)
testStartYear = input(2005, "Start Year")
testStartMonth = input(1, "Start Month")
testStartDay = input(1, "Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2050, "Stop Year")
testStopMonth = input(12, "Stop Month")
testStopDay = input(31, "Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
testPeriodBackground = input(title="Background", type=bool, defval=true)
testPeriodBackgroundColor = testPeriodBackground and (time >= testPeriodStart) and (time <= testPeriodStop) ? #00FF00 : na
bgcolor(testPeriodBackgroundColor, transp=97)
ema1Period = input(12, "Fast EMA Buy")
sma1Period = input(54, "Slow SMA Buy")
strength1 = input(52, "Minimum Buy Strength")
ema2Period = input(18, "Fast EMA Sell")
sma2Period = input(55, "Slow SMA Sell")
strength2 = input(100, "Minimum Sell Strength")
delta = input(8, "Trailing Stop (#ATR)")
testPeriod() => true
ema1val=ema(close,ema1Period)
sma1val=sma(close,sma1Period)
ema1strength=10000*(ema1val-ema1val[1])/ema1val[1]
ema2val=ema(close,ema2Period)
sma2val=sma(close,sma2Period)
ema2strength=10000*(ema2val-ema2val[1])/ema2val[1]
plot(ema1val,color=blue,linewidth=1)
plot(sma1val,color=orange,linewidth=1)
plot(ema2val,color=navy,linewidth=1)
plot(sma2val,color=red,linewidth=1)
long=crossover(ema1val,sma1val) and (ema1strength > strength1)
short=crossunder(ema2val,sma2val) and (ema2strength < -strength2)
stopval=ema(close,6)
atr=sma((high-low),15)
inlong=0
buy=0
stop=0
if testPeriod()
if (inlong[1])
inlong:=inlong[1]
buy:=close
stop:=iff((stopval>(stop[1]+delta*atr)),stopval-delta*atr,stop[1])
if (long) and (not inlong[1])
strategy.entry("buy",strategy.long)
inlong:=close
buy:=close
stop:=stopval-delta*atr
plot(buy,color=iff(close<inlong,red,lime),style=columns,transp=90,linewidth=1)
plot(stop,color=iff((short or (stopval<stop)) and (close<inlong),red,lime),style=columns,transp=60,linewidth=1)
if testPeriod()
if (short or (stopval<stop)) and (inlong[1])
strategy.close("buy")
inlong:=0
stop:=0
buy:=0