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Dual MACD Trend Confirmation Trading System

Author: ChaoZhang, Date: 2024-07-31 11:17:05
Tags: MACDEMASMA

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Overview

This strategy is a trading system based on the MACD indicator, combining MACD indicators from two time periods to make trading decisions. The strategy primarily uses the 5-minute MACD indicator to find entry opportunities, while using the 1-hour MACD indicator to confirm the overall market trend. This dual confirmation mechanism aims to improve the accuracy and reliability of trades. The strategy also includes fixed profit targets and stop-loss settings to manage risk and lock in profits.

Strategy Principles

The core principle of this strategy is to utilize MACD indicators from different time periods to capture market trends and trading opportunities. Specifically:

  1. 5-minute MACD: Used to find specific entry signals. A buy signal is generated when the MACD line crosses above the signal line.

  2. 1-hour MACD: Used to confirm the overall market trend. The market is considered to be in an uptrend only when the 1-hour MACD histogram is positive.

  3. Entry Conditions: The strategy executes a buy operation only when the 5-minute MACD generates a buy signal and the 1-hour MACD confirms an uptrend.

  4. Risk Management: The strategy sets fixed profit targets (100 points) and stop-loss (20 points) to manage the risk of each trade.

  5. Position Management: A fixed trading volume of 100 units is used for each trade.

Strategy Advantages

  1. Multi-period Confirmation: By combining short-term (5-minute) and long-term (1-hour) MACD indicators, the strategy can more comprehensively assess market trends, reducing false signals.

  2. Trend Following: The strategy design adheres to the principle of “following the trend,” only buying when the overall trend is confirmed to be upward, increasing the success rate of trades.

  3. Clear Risk Management: Fixed take-profit and stop-loss settings help control the risk of each trade, preventing single trades from causing excessive losses.

  4. Automated Execution: The strategy can be automatically executed on trading platforms, reducing emotional interference and improving trading discipline.

  5. Adjustable Parameters: The strategy allows users to adjust MACD parameters according to personal preferences and market characteristics, increasing flexibility.

Strategy Risks

  1. Lagging Nature: MACD is a lagging indicator, which may result in delayed signals in rapidly changing markets, leading to untimely entries or exits.

  2. Unsuitable for Ranging Markets: In sideways, choppy markets, the strategy may frequently generate false signals, resulting in consecutive losses.

  3. Fixed Stop-Loss May Be Insufficient: In highly volatile markets, a 20-point fixed stop-loss may not be sufficient to handle sudden large fluctuations.

  4. Only Considers Long Positions: The strategy is designed only for long trades, ignoring short opportunities, potentially missing out on some profit opportunities.

  5. Parameter Sensitivity: The choice of MACD parameters significantly impacts strategy performance, and different markets or periods may require different parameter settings.

Strategy Optimization Directions

  1. Dynamic Stop-Loss: Consider introducing a dynamic stop-loss mechanism based on ATR or volatility to adapt to different market environments.

  2. Add Short-Selling Logic: Expand the strategy to include short trades, fully utilizing two-way market opportunities.

  3. Incorporate Volume Analysis: Combine volume indicators such as OBV or CMF to enhance signal reliability.

  4. Optimize Position Management: Consider dynamic position management based on account equity or risk assessment, rather than fixed trading volume.

  5. Add Filtering Conditions: Introduce additional technical or market sentiment indicators, such as RSI or VIX, to reduce false signals.

  6. Backtesting and Optimization: Conduct extensive backtesting on different markets and time periods to optimize MACD parameters and other strategy parameters.

  7. Consider Fundamental Factors: Set trading restrictions or adjust strategy parameters during important economic data releases or events.

Conclusion

The Dual MACD Trend Confirmation Trading System is a quantitative trading strategy that combines short-term and long-term market trend analysis. By utilizing MACD indicators from different time periods, the strategy aims to capture market trends and trade when trends are established. Fixed risk management rules and automated execution features make it a relatively robust trading system. However, like all trading strategies, it also faces some inherent risks and limitations.

To further improve the strategy’s effectiveness and adaptability, traders are advised to consider introducing dynamic stop-loss mechanisms, expanding short-selling logic, optimizing position management, and incorporating other technical and fundamental analysis tools. Continuous backtesting and parameter optimization are crucial for maintaining the strategy’s effectiveness. Finally, traders should always remember that there is no perfect trading strategy, and risk management and continuous learning are key to long-term success.

/*backtest
start: 2023-07-25 00:00:00
end: 2024-07-30 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//5分足で運用想定

//@version=5
strategy(title='MACD5分IN,一時間足強弱判定', shorttitle='MACDストラテジー', overlay=false)
//overlay true:チャート上に表示　felse:別ウィンドに表示

//================
//注文ポイント
//================

//入力部を作成
//input関数で設定画面に入力項目を追加できる
//type入力形式の設定,defval初期設定値,minval最小設定値
FastLength = input.int(title='短期線本数', defval=12, minval=1)
SlowLength = input.int(title='長期線本数', defval=26, minval=1)
SignalLength = input.int(title='シグナル本数', defval=9, minval=1)

FastLength1 = input.int(title='短期線本数', defval=144, minval=1)
SlowLength1 = input.int(title='長期線本数', defval=312, minval=1)
SignalLength1 = input.int(title='シグナル本数', defval=108, minval=1)
//一時間足で強弱判定のため5分足の数字を12倍

//MACDの計算　エントリー
[MACD, MACDSignal, MACDosc] = ta.macd(close, FastLength, SlowLength, SignalLength)
//MACDの計算　強弱判定
[MACD1, MACDSignal1, MACDosc1] = ta.macd(close, FastLength1, SlowLength1, SignalLength1)

//プロット エントリー
//plot画面表示,MACD計算からMACDラインとシグナルラインを表示
//linewidthでラインの太さ変更
//style_histogramでヒストグラム表示,　color = MACDosc < 0の判定式で色変更
plot(MACD, color=color.new(color.red, 0), linewidth=1)
plot(MACDSignal, color=color.new(color.green, 0))
plot(MACDosc, style=plot.style_histogram, linewidth=3, color=MACDosc < 0 ? color.new(color.blue, 50) : color.new(color.red, 50))

//プロット　相場強弱判定
//一時間足の表示作成
plot(MACD1, color=color.new(color.red, 0), linewidth=1)
plot(MACDSignal1, color=color.new(color.green, 0))

//買いポイント　
//crossover(x,y)ｙをxが上抜け
BuyPoint_MACDGC = ta.crossover(MACD, MACDSignal)
//ヒストグラムの値がプラスの場合GC中と判定
BuyPoint_crossnow = MACDosc1 > 0
//5分足MACDGCかつ1時間足がGC中,条件は末尾にand追加で条件追加可能
BuyPoint = BuyPoint_MACDGC and BuyPoint_crossnow

//買いポイントに背景色を設定
bgcolor(BuyPoint ? color.red : color.new(color.green, 100), transp=90)

//================
//決済ポイント
//================
//100円抜いたらOUT,20円下がったら損切
ProfitDelta = 100
LossDelta = 20

//================
//枚数
//================
Size = 1

//================
//注文・決済
//================
//strategy.entryでエントリー,qtyでサイズ指定,
//エントリータイミング今回は46行目BuyPoint = BuyPoint_MACDGC and BuyPoint_crossnow
if BuyPoint
    strategy.entry(id='long', direction=strategy.long, qty=Size)
//profit利確までの幅,loss損切までの幅(stopというので移動平均線に到達したらなどの損切設定なども可能）
strategy.exit(id='exit', from_entry='long', profit=ProfitDelta, loss=LossDelta)
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