Adaptive Moving Average and Weighted Moving Average Crossover Trading Strategy

This strategy generates trading signals based on the Adaptive Indicator for Moving Averages (AIOMA) and the Weighted Moving Average (WMA) indicators. It produces buy and sell signals based on the crossovers between…

Pine ScriptTrend following Volatility EMA

Author: ChaoZhang
Complexity: Starter · 63 lines
Parameters: 2
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Name

AIOMA-WMA Adaptive Crossover Strategy

Strategy Logic

The strategy includes the following main components:

AIOMA Indicator Calculation
- Calculate a series of Exponential Moving Averages (EMA) with specified length
- Chain these EMAs to create smoothed values
- The final AIOMA is an EMA of the last smoothed value
WMA Indicator Calculation
- Calculate WMA with specified length
Signal Generation
- Buy signal when WMA crosses above AIOMA
- Sell signal when WMA crosses below AIOMA
Trading Logic
- Enter long position on buy signal
- Enter short position on sell signal
- Close position on reverse crossover signals

Advantages

Using two different types of moving averages improves signal accuracy
AIOMA reduces false signals through multiple exponential smoothings
WMA as the main indicator reacts faster to price changes to capture trends early
Simple trading logic, easy to understand and implement

Risks

Excessive lagging due to multiple EMA smoothings
WMA prone to wrong signals from short-term price fluctuations
No stop loss logic, can lead to large losses

Can reduce risks through parameter optimization, adding stop loss, filtering with other indicators etc.

Enhancement Areas

Test different parameter combinations to find optimal values
Trigger stop loss orders together with entry signals
Filter signals using volatility indicators
Incorporate position sizing strategies

Conclusion

This strategy combines the strengths of AIOMA and WMA by using crossovers to generate trading signals. Compared to single moving averages, it improves signal quality. Further refinements like parameter optimization, stop loss strategies, volatility filtering etc. can make it a robust trading system.

Parameters

Name	Default	What it controls
v_input_1	14	AIOMA Length
v_input_2	21	WMA Length

Source Pine Script

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © SDTA

//@version=5
strategy("AIOMA-WMA Strategy", overlay=true)

// Parametreler
aioma_length = input(14, "AIOMA Length")
wma_length = input(21, "WMA Length")

// AIOMA hesaplama
length1 = aioma_length
ema1 = ta.ema(close, length1)
length2 = aioma_length
ema2 = ta.ema(ema1, length2)
length3 = aioma_length
ema3 = ta.ema(ema2, length3)
length4 = aioma_length
ema4 = ta.ema(ema3, length4)
aioma = ta.ema(ema4, aioma_length)

// WMA hesaplama
wma = ta.wma(close, wma_length)

// Kesişim kontrolü
cross_up = ta.crossover(wma, aioma)
cross_down = ta.crossunder(wma, aioma)

// İşlem fonksiyonu
enterTrade(dir, price, signalText, color) =>
    if dir
        strategy.entry("Enter", strategy.long)
        label.new(x = bar_index, y = price, text = signalText, color = color, textcolor = color, style = label.style_label_up, size = size.small, tooltip = "Entry Signal")
    else if not dir
        strategy.entry("Exit", strategy.short)
        label.new(x = bar_index, y = price, text = signalText, color = color, textcolor = color, style = label.style_label_down, size = size.small, tooltip = "Exit Signal")

// Long pozisyon girişi
if cross_up
    enterTrade(true, low, "Buy Signal", color.green)

// Short pozisyon girişi
if cross_down
    enterTrade(false, high, "Sell Signal", color.red)

// Pozisyon kapatma
if cross_up and strategy.position_size > 0
    strategy.close("Enter")
if cross_down and strategy.position_size < 0
    strategy.close("Exit")

// Grafiğe plot
plot(aioma, color=color.blue, linewidth=2, title="AIOMA")
plot(wma, color=color.red, linewidth=2, title="WMA")

Published by ChaoZhang on the FMZ strategy square · last modified 2024-01-23. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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