This strategy combines the MACD and RSI indicators to determine trend direction and overbought/oversold levels for trend trading. It goes long/short when MACD crosses zero line and RSI is beyond overbought/oversold thresholds.
Main logic:
Calculate MACD line and Signal line (EMA of MACD)
Delta is their difference, expressing price momentum change
RSI to gauge overbought/oversold conditions
Go long when Delta crosses above zero line and RSI overbought (default 70)
Go short when Delta crosses below zero line and RSI oversold (default 30)
MACD for momentum direction, RSI for overbought/sold - combo filters many false signals.
Combines two indicators for filtered signals
MACD measures momentum, RSI measures overbought/sold
Configurable parameters for different markets
Clear trend trading strategy rationale
Limited effectiveness from single indicator combo
No stop loss, unable to control loss per trade
Does not consider position sizing
Mitigations:
Test other indicators, find optimal combinations
Add trailing or hard stop loss
Position size based on account size or volatility
Test MACD with other indicator combos
Optimize parameters for stability
Filter signals by trend to avoid false breakouts
Use trailing stop loss to protect profits
ML to judge signal quality
This strategy combines MACD and RSI for solid trend determination. Stability can be improved through parameter optimization, stop loss, intelligent filters etc. It provides an effective trend trading framework for further enhancements.
/*backtest
start: 2023-08-21 00:00:00
end: 2023-09-20 00:00:00
period: 6h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("MACD RSI Strategy", overlay=true)
fastLength = input(12)
slowlength = input(26)
MACDLength = input(9)
MACD = ema(close, fastLength) - ema(close, slowlength)
aMACD = ema(MACD, MACDLength)
delta = MACD - aMACD
// RSI
length_rsi = input( 14 )
overSold = input( 30 )
overBought = input( 70 )
price = close
vrsi = rsi(price, length_rsi)
//
if (not na(vrsi))
if (crossover(delta, 0) and crossover(vrsi, overBought ))
strategy.entry("MacdLE", strategy.long, comment="LE")
if (crossunder(delta, 0) and crossunder(vrsi, overSold))
strategy.entry("MacdSE", strategy.short, comment="SE")
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)