资源加载中... loading...
  1. Square
  2. Dual Trend Confirmation Trading Strategy Based on Moving Averages and Outside Bar Pattern

Dual Trend Confirmation Trading Strategy Based on Moving Averages and Outside Bar Pattern

Author: ChaoZhang, Date: 2025-01-17 14:39:19
Tags: EMA

Dual Trend Confirmation Trading Strategy Based on Moving Averages and Outside Bar Pattern

Overview

This strategy is a trend following system that combines moving averages with Outside Bar pattern recognition. It utilizes 5-period and 9-period Exponential Moving Averages (EMA) as primary trend indicators, along with Outside Bar pattern for signal confirmation. The strategy includes dynamic stop-loss and take-profit settings based on Outside Bar height, as well as a position reversal mechanism triggered by stop-loss hits.

Strategy Principles

The core logic is based on the following key elements: 1. Using 5-period and 9-period EMA crossovers to determine basic trend direction 2. Confirming market volatility through Outside Bar pattern (current bar’s high above previous bar’s high and low below previous bar’s low) 3. Entering trades when EMA crossover signals coincide with Outside Bar patterns 4. Using Outside Bar height to dynamically set stop-loss and take-profit levels, with take-profit at 50% and stop-loss at 100% of the bar height 5. Automatically executing reverse positions when stop-loss is triggered to capture potential trend reversals

Strategy Advantages

  1. Dual confirmation mechanism improves trading accuracy by avoiding false signals from single indicators
  2. Dynamic stop-loss and take-profit settings better adapt to market volatility, maintaining reasonable risk management across different market conditions
  3. Position reversal mechanism quickly adapts to market trend changes, improving capital efficiency
  4. Strategy has clear entry and exit rules, making it easy to implement and backtest

Strategy Risks

  1. Outside Bar patterns may occur less frequently in low-volatility markets, affecting trading frequency
  2. Stop-loss positions may be too wide in rapidly volatile markets, increasing per-trade risk
  3. Position reversal mechanism may lead to consecutive losses in ranging markets
  4. Fixed EMA parameters may perform inconsistently across different market conditions

Optimization Directions

  1. Introduce volatility indicators to dynamically adjust stop-loss and take-profit ratios for more flexible risk management
  2. Consider adding trend strength filters to avoid trading in weak trend environments
  3. Optimize position reversal trigger conditions by incorporating market volatility indicators
  4. Research EMA parameter optimization across different timeframes to improve system adaptability

Summary

This is a strategy system that combines classical technical analysis with modern quantitative trading concepts. The combination of moving averages and Outside Bar patterns ensures both timely trend following and reliable signal generation. The design of dynamic stop-loss/take-profit and position reversal mechanisms demonstrates a strong focus on risk management, making the strategy practically viable. While there is room for optimization, the overall framework already meets basic conditions for live trading.

/*backtest
start: 2019-12-23 08:00:00
end: 2025-01-15 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":49999}]
*/

//@version=5
strategy(title="Outside Bar EMA Crossover Strategy with EMA Shift", shorttitle="Outside Bar EMA Cross", overlay=true)

// Input for EMA lengths
lenEMA1 = input.int(5, title="EMA 5 Length")
lenEMA2 = input.int(9, title="EMA 9 Length")

// Input for EMA 9 shift
emaShift = input.int(1, title="EMA 9 Shift", minval=0)

// Calculate EMAs
ema1 = ta.ema(close, lenEMA1)
ema2 = ta.ema(close, lenEMA2)

// Apply shift to EMA 9
ema2Shifted = na(ema2[emaShift]) ? na : ema2[emaShift]  // Dịch chuyển EMA 9 bằng cách sử dụng offset

// Plot EMAs
plot(ema1, title="EMA 5", color=color.blue, linewidth=2)
plot(ema2Shifted, title="EMA 9 Shifted", color=color.red, linewidth=2)

// Outside Bar condition
outsideBar() => high > high[1] and low < low[1]

// Cross above EMA 5 and EMA 9 (shifted)
crossAboveEMA = close > ema1 and close > ema2Shifted

// Cross below EMA 5 and EMA 9 (shifted)
crossBelowEMA = close < ema1 and close < ema2Shifted

// Outside Bar cross above EMA 5 and EMA 9 (shifted)
outsideBarCrossAbove = outsideBar() and crossAboveEMA

// Outside Bar cross below EMA 5 and EMA 9 (shifted)
outsideBarCrossBelow = outsideBar() and crossBelowEMA

// Plot shapes for visual signals
plotshape(series=outsideBarCrossAbove, title="Outside Bar Cross Above", location=location.belowbar, color=color.green, style=shape.labelup, text="Buy", textcolor=color.white)
plotshape(series=outsideBarCrossBelow, title="Outside Bar Cross Below", location=location.abovebar, color=color.red, style=shape.labeldown, text="Sell", textcolor=color.white)

// Calculate Outside Bar height
outsideBarHeight = high - low  // Chiều cao của nến Outside Bar

// Calculate TP and SL levels
tpRatio = 0.5  // TP = 50% chiều cao nến Outside Bar
slRatio = 1.0  // SL = 100% chiều cao nến Outside Bar

tpLevelLong = close + outsideBarHeight * tpRatio  // TP cho lệnh mua
slLevelLong = close - outsideBarHeight * slRatio  // SL cho lệnh mua

tpLevelShort = close - outsideBarHeight * tpRatio  // TP cho lệnh bán
slLevelShort = close + outsideBarHeight * slRatio  // SL cho lệnh bán

// Strategy logic
if (outsideBarCrossAbove)
    strategy.entry("Buy", strategy.long)
    strategy.exit("Take Profit/Stop Loss", "Buy", stop=slLevelLong, limit=tpLevelLong)  // Thêm TP và SL

if (outsideBarCrossBelow)
    strategy.entry("Sell", strategy.short)
    strategy.exit("Take Profit/Stop Loss", "Sell", stop=slLevelShort, limit=tpLevelShort)  // Thêm TP và SL

// Logic: Nếu lệnh Buy bị Stop Loss => Vào lệnh Sell
if (strategy.position_size > 0 and close <= slLevelLong)
    strategy.close("Buy")
    strategy.entry("Sell After Buy SL", strategy.short)

// Logic: Nếu lệnh Sell bị Stop Loss => Vào lệnh Buy
if (strategy.position_size < 0 and close >= slLevelShort)
    strategy.close("Sell")
    strategy.entry("Buy After Sell SL", strategy.long)

// Cảnh báo khi label Buy xuất hiện
alertcondition(condition=outsideBarCrossAbove, title="Label Buy Xuất Hiện", message="Label Buy xuất hiện tại giá: {{close}}")

// Cảnh báo khi label Sell xuất hiện
alertcondition(condition=outsideBarCrossBelow, title="Label Sell Xuất Hiện", message="Label Sell xuất hiện tại giá: {{close}}")
Related
More

2019 FMZ - All rights reserved