This strategy combines multiple indicators like fast, medium, slow MA lines and MACD to generate comprehensive trading signals, and uses dynamic stop loss based on ATR to control risk level. It is suitable for medium-term automated trading.
The strategy mainly utilizes EMA, MACD and ATR indicators. EMA fast, medium and slow lines form the trend judgment system. MACD generates trading signals. ATR sets stop loss lines dynamically. Specifically, the trend direction is determined by the combination of the EMA lines. MACD crossover 0 is the entry signal. Enter long when fast line crosses above medium line, and exit when crossing below. Enter short when fast line crosses below medium line, and exit when crossing above. Stop loss adjusts dynamically based on ATR to control risk according to market volatility.
The strategy combines advantages of multiple indicators for accurate trend judgment and drawdown control. Further enhancements like parameter optimization and adding filters can improve robustness. Overall it is a typical and reliable strategy suitable for medium-term automated trading with great practical value.
/*backtest
start: 2023-09-18 00:00:00
end: 2023-09-18 21:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("STRAT_STEMWAP", overlay=true, pyramiding = 0, default_qty_value = 10, slippage = 3)
EMA_Smooth_Period = input(7, minval=1)
ST_EMA = ema(close, EMA_Smooth_Period)
ST_VWAP_Period = input(7, minval=1)
VWAP_TUNING_MULT = input(type=input.float, defval=0.000)
ST_VWAP = ema(vwap,ST_VWAP_Period)
ST_VWAP_TUNING = VWAP_TUNING_MULT * (ST_EMA - ST_VWAP)
length = input(title="ATR Period", type=input.integer, defval=13)
mult = input(title="ATR Multiplier", type=input.float, step=0.1, defval=2.0)
showLabels = input(title="Show Buy/Sell Labels ?", type=input.bool, defval=true)
highlightState = input(title="Highlight State ?", type=input.bool, defval=true)
atr = mult * atr(length)
StopLoss_Long_Adjust = input(22.00, type=input.float)
StopLoss_Short_Adjust = input(16.00, type=input.float)
longStop = (ST_EMA) - atr - (ST_VWAP_TUNING) - StopLoss_Long_Adjust
longStopPrev = nz(longStop[1], longStop)
longStop := (close[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop = (ST_EMA) + atr - (ST_VWAP_TUNING) + StopLoss_Short_Adjust
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(1, minval=1), medLength=input(4, minval=1), slowLength=input(24, minval=1), signalLength=input(8,minval=1)
fastMA = ema(close, fastLength)
//,fastMA1 = ema(close[1], fastLength), fastMA2 = ema(close[2], fastLength),fastMA3 = ema(close[3], fastLength),fastMA4 = ema(close[4], fastLength),fastMA5 = ema(close[5], fastLength), fastMA6 = ema(close[6], fastLength), fastMA7 = ema(close[7], fastLength),fastMA8 = ema(close[8], fastLength),fastMA9 = ema(close[9], fastLength),fastMA10 = ema(close[10], fastLength),fastMA11 = ema(close[11], fastLength),fastMA12 = ema(close[12], fastLength),fastMA13 = ema(close[13], fastLength)
medMA = ema(close, medLength)
//, medMA1 = ema(close[1], medLength), medMA2 = ema(close[2], medLength), medMA3 = ema(close[3], medLength), medMA4 = ema(close[4], medLength), medMA5 = ema(close[5], medLength), medMA6 = ema(close[6], medLength), medMA7 = ema(close[7], medLength), medMA8 = ema(close[8], medLength), medMA9 = ema(close[9], medLength), medMA10 = ema(close[10], medLength), medMA11 = ema(close[11], medLength), medMA12 = ema(close[12], medLength), medMA13 = ema(close[13], medLength)
slowMA = ema(close, slowLength)
//, slowMA1 = ema(close[1], slowLength), slowMA2 = ema(close[2], slowLength), slowMA3 = ema(close[3], slowLength), slowMA4 = ema(close[4], slowLength), slowMA5 = ema(close[5], slowLength), slowMA6 = ema(close[6], slowLength), slowMA7 = ema(close[7], slowLength), slowMA8 = ema(close[8], slowLength), slowMA9 = ema(close[9], slowLength), slowMA10 = ema(close[10], slowLength), slowMA11 = ema(close[11], slowLength), slowMA12 = ema(close[12], slowLength), slowMA13 = ema(close[13], slowLength)
macd = fastMA - slowMA
//, macd1 = fastMA1 - slowMA1, macd2 = fastMA2 - slowMA2, macd3 = fastMA3 - slowMA3, macd4 = fastMA4 - slowMA4, macd5 = fastMA5 - slowMA5, macd6 = fastMA6 - slowMA6, macd7 = fastMA7 - slowMA7, macd8 = fastMA8 - slowMA8, macd9 = fastMA9 - slowMA9, macd10 = fastMA10 - slowMA10, macd11 = fastMA11 - slowMA11, macd12 = fastMA12 - slowMA12, macd13 = fastMA13 - slowMA13
fmacd = fastMA - medMA
//, fmacd1 = fastMA1 - medMA1,fmacd2 = fastMA2 - medMA2,fmacd3 = fastMA3 - medMA3,fmacd4 = fastMA4 - medMA4,fmacd5 = fastMA5 - medMA5, fmacd6 = fastMA6 - medMA6, fmacd7 = fastMA7 - medMA7, fmacd8 = fastMA8 - medMA8, fmacd9 = fastMA9 - medMA9, fmacd10 = fastMA10 - medMA10, fmacd11 = fastMA11 - medMA11, fmacd12 = fastMA12 - medMA12, fmacd13 = fastMA13 - medMA13
smacd = slowMA - medMA
//, smacd1 = slowMA1 - medMA1, smacd2 = slowMA2 - medMA2, smacd3 = slowMA3 - medMA3, smacd4 = slowMA4 - medMA4, smacd5 = slowMA5 - medMA5, smacd6 = slowMA6 - medMA6, smacd7 = slowMA7 - medMA7, smacd8 = slowMA8 - medMA8, smacd9 = slowMA9 - medMA9, smacd10 = slowMA10 - medMA10, smacd11 = slowMA11 - medMA11, smacd12 = slowMA12 - medMA12, smacd13 = slowMA13 - medMA13,
signal = ema(macd, signalLength)
//,signal1 = sma(macd1, signalLength),signal2 = sma(macd2, signalLength),signal3 = sma(macd3, signalLength),signal4 = sma(macd4, signalLength),signal5 = sma(macd5, signalLength),signal6 = sma(macd6, signalLength),signal7 = sma(macd7, signalLength),signal8 = sma(macd8, signalLength),signal9 = sma(macd9, signalLength),signal10 = sma(macd10, signalLength),signal11 = sma(macd11, signalLength),signal12 = sma(macd12, signalLength),signal13 = sma(macd13, signalLength),
fsignal = ema(fmacd, signalLength)
//, fsignal1 = sma(fmacd1, signalLength), fsignal2 = sma(fmacd2, signalLength), fsignal3 = sma(fmacd3, signalLength), fsignal4 = sma(fmacd4, signalLength), fsignal5 = sma(fmacd5, signalLength), fsignal6 = sma(fmacd6, signalLength), fsignal7 = sma(fmacd7, signalLength), fsignal8 = sma(fmacd8, signalLength), fsignal9 = sma(fmacd9, signalLength), fsignal10 = sma(fmacd10, signalLength), fsignal11 = sma(fmacd11, signalLength), fsignal12 = sma(fmacd12, signalLength), fsignal13 = sma(fmacd13, signalLength),
ssignal = ema(smacd, signalLength)
//, ssignal1 = sma(smacd1, signalLength), ssignal2 = sma(smacd2, signalLength), ssignal3 = sma(smacd3, signalLength), ssignal4 = sma(smacd4, signalLength), ssignal5 = sma(smacd5, signalLength), ssignal6 = sma(smacd6, signalLength), ssignal7 = sma(smacd7, signalLength), ssignal8 = sma(smacd8, signalLength), ssignal9 = sma(smacd9, signalLength), ssignal10 = sma(smacd10, signalLength), ssignal11 = sma(smacd11, signalLength), ssignal12 = sma(smacd12, signalLength), ssignal13 = sma(smacd13, signalLength),
ATR_Signal_Period = input(2, type=input.integer, minval=1, maxval=2000)
SetStopLossShort = 0.0
SetStopLossShort := if(strategy.position_size < 0)
StopLossShort = shortStop
min(StopLossShort,SetStopLossShort[1])
plot(SetStopLossShort, style = plot.style_cross, color = color.yellow)
SetStopLossLong = 0.0
SetStopLossLong := if(strategy.position_size > 0)
StopLossLong = longStop
max(StopLossLong,SetStopLossLong[1])
plot(SetStopLossLong, style = plot.style_cross, color = color.purple)
ATR_SIGNAL_FINE_TUNE = input(0.986, type=input.float)
tol_atr = atr(ATR_Signal_Period)*ATR_SIGNAL_FINE_TUNE
StopLoss_Initial_Short = input(1.00, type=input.float)
StopLoss_Initial_Long = input(5.00, type=input.float)
VOLUME_CHECK_SHORT = input(42)
VOLUME_CHECK_LONG = input(16)
MAX_LOSS = input(0.00, type=input.float)
//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 = 2021, title = "Till Year", minval = 1900)
timestampStart = timestamp(fromYear,fromMonth,fromDay,fromHour,fromMinute)
timestampEnd = timestamp(tillYear,tillMonth,tillDay,tillHour,tillMinute)
if ( strategy.position_size <= 0 and ((fsignal[1] -fsignal) <= 0) and volume > VOLUME_CHECK_LONG and ( cross(signal, macd) or cross(signal[1], macd[1]) or cross(signal[2], macd[2]) or cross(signal[3], macd[3]) or cross(signal[4], macd[4]) or cross(signal[5], macd[5]) or cross(signal[6], macd[6]) or cross(signal[7], macd[7]) or cross(signal[8], macd[8]) or cross(signal[9], macd[9]) or cross(signal[10], macd[10]) or cross(signal[11], macd[11]) or cross(signal[12], macd[12]) or cross(signal[13], macd[13]) or cross(fmacd, macd) or cross(fmacd[1],macd[1]) or cross(fmacd[2],macd[2]) or cross(fmacd[3],macd[3]) or cross(fmacd[4],macd[4])or cross(fsignal, fmacd) or cross(fmacd, smacd) ) and ( (crossover(close,open+tol_atr) or crossover(close[1],open[1]+tol_atr[1]) or crossover(close[2],open[2]+tol_atr[2]) or crossover(close[3],open[3]+tol_atr[3]) or crossover(close[4],open[4]+tol_atr[4]) or crossover(close[5],open[5]+tol_atr[5]) or crossover(close[6],open[6]+tol_atr[6]) or crossover(close[7],open[7]+tol_atr[7]) or crossover(close[8],open[8]+tol_atr[8]) or crossover(close[9],open[9]+tol_atr[9]) or crossover(close[10],open[10]+tol_atr[10]) ) or ( (cross(ssignal, smacd) or cross(ssignal[1],smacd[1]) or cross(ssignal[2],smacd[2])) and ( (ssignal - ssignal[1]) > 0 ) ) ) )
strategy.exit("SELL")
strategy.entry("BUY", strategy.long)
strategy.exit("BUY_STOP","BUY", stop = close - StopLoss_Initial_Long)
if ( (dir == -1 and dir[1] == 1 and dir[2] == 1 and dir[3] == 1 and dir[4] == 1 ) and strategy.position_size >= 0 and volume > VOLUME_CHECK_SHORT and ((fsignal[1] -fsignal) >= 0) and ( crossunder(close, open - tol_atr) or crossunder(close[1], open[1] - tol_atr[1]) or crossunder(close[2], open[2] - tol_atr[2]) or crossunder(close[3], open[3] - tol_atr[3]) ) and ( cross(signal, macd) or cross(signal[1], macd[1]) or cross(signal[2], macd[2]) or cross(signal[3], macd[3]) or cross(signal[4], macd[4]) or cross(signal[5], macd[5]) or cross(signal[6], macd[6]) or cross(signal[7], macd[7]) or cross(signal[8], macd[8]) or cross(signal[9], macd[9]) or cross(signal[10], macd[10]) or cross(signal[11], macd[11]) or cross(signal[12], macd[12]) or cross(signal[13], macd[13]) ) )
strategy.exit( "BUY")
strategy.entry("SELL", strategy.short)
strategy.exit("SELL_STOP","SELL", stop = close + StopLoss_Initial_Short)
strategy.close_all(when = strategy.openprofit < (-1 * MAX_LOSS) )
// if (strategy.max_contracts_held_long > 0 )
// strategy.exit("BUY_TRAIL_STOP","BUY", stop = longStop - StopLoss_Long_Adjust)
// if (strategy.max_contracts_held_short > 0 )
// strategy.exit("SELL_TRAIL_STOP","SELL", stop = shortStop + StopLoss_Short_Adjust)
//strategy.exit("BUY_TRAIL_STOP","BUY", stop = SetStopLossLong)
//strategy.exit("SELL_TRAIL_STOP","SELL", stop = SetStopLossShort)