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Multi-Indicator Fusion Mean Reversion Trend Following Strategy

Author: ChaoZhang, Date: 2024-11-12 14:30:35
Tags: MACDMAATREMASMA

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Overview

This strategy combines mean reversion and trend following approaches, utilizing MA, MACD, and ATR technical indicators for generating trading signals and risk control. The core concept is to capture market reversals when price deviates from moving averages, confirmed by MACD crossover signals, while implementing ATR-based dynamic stop-loss for risk management.

Strategy Principles

The strategy employs a triple verification mechanism:

  1. Using Moving Average (MA) to assess price deviation, with options for SMA or EMA
  2. Utilizing MACD crossovers to identify trend reversal timing
  3. Implementing ATR indicator for dynamic stop-loss placement Specifically, long positions are initiated when price is below MA with MACD golden cross, while short positions are triggered when price is above MA with MACD death cross. Stop-loss levels are automatically set based on ATR volatility.

Strategy Advantages

  1. High signal reliability: Multiple indicator verification reduces false signals
  2. Comprehensive risk control: ATR dynamic stop-loss prevents significant drawdowns
  3. Flexible parameters: Adjustable based on different market characteristics
  4. Clear strategy logic: Explicit entry and exit conditions
  5. Strong adaptability: Applicable to various timeframes and market conditions

Strategy Risks

  1. Frequent trading in choppy markets may increase costs
  2. Possible lag in trend reversal detection
  3. Parameter optimization risks overfitting
  4. Potential slippage during high volatility periods
  5. Multiple indicators may reduce strategy efficiency

Optimization Directions

  1. Incorporate volume indicators for enhanced signal reliability
  2. Add trend strength filters to avoid weak market conditions
  3. Optimize stop-loss mechanism, consider trailing stops
  4. Include volatility filters to adjust positions during high volatility periods
  5. Develop adaptive parameter mechanisms for improved stability

Summary

This strategy achieves a relatively robust trading system by combining mean reversion and trend following approaches. The multiple indicator verification mechanism enhances trading signal reliability, while ATR dynamic stop-loss effectively controls risk. Despite some room for optimization, it represents a logically sound and practical strategy framework.

/*backtest
start: 2024-10-01 00:00:00
end: 2024-10-31 23:59:59
period: 3h
basePeriod: 3h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Mean Reversion Strategy with ATR, MACD and MA", overlay=true)

// === Настройки для индикаторов ===
// Параметры скользящей средней (MA)
maLength = input.int(30, title="Период скользящей средней (MA)")
maType = input.string("EMA", title="Тип скользящей средней", options=["SMA", "EMA"])

// Параметры ATR
atrLength = input.int(10, title="Период ATR")
atrMultiplier = input.float(10, title="ATR множитель для стоп-лосса")

// Параметры MACD
macdFastLength = input.int(8, title="Период быстрой EMA для MACD")
macdSlowLength = input.int(26, title="Период медленной EMA для MACD")
macdSignalLength = input.int(5, title="Период сигнальной линии MACD")

// === Рассчёт индикаторов ===
// Скользящая средняя
ma = if maType == "SMA"
    ta.sma(close, maLength)
else
    ta.ema(close, maLength)

// ATR (Средний истинный диапазон)
atr = ta.atr(atrLength)

// MACD
[macdLine, signalLine, _] = ta.macd(close, macdFastLength, macdSlowLength, macdSignalLength)

// Условия для входа на покупку и продажу
longCondition = ta.crossover(macdLine, signalLine) and close < ma
shortCondition = ta.crossunder(macdLine, signalLine) and close > ma

// === Управление позициями ===
if (longCondition)
    strategy.entry("Buy", strategy.long)
    // Стоп-лосс на основе ATR
    stopLossLevel = close - atr * atrMultiplier
    strategy.exit("Take Profit/Stop Loss", "Buy", stop=stopLossLevel)

if (shortCondition)
    strategy.entry("Sell", strategy.short)
    // Стоп-лосс на основе ATR
    stopLossLevel = close + atr * atrMultiplier
    strategy.exit("Take Profit/Stop Loss", "Sell", stop=stopLossLevel)

// Визуализация
plot(ma, title="MA", color=color.blue, linewidth=2)
plot(macdLine, title="MACD Line", color=color.green)
plot(signalLine, title="Signal Line", color=color.red)
hline(0, "Zero Line", color=color.gray)
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