ATR and Moving Average Crossover Hybrid Strategy

This strategy combines the Average True Range (ATR) indicator and Moving Average crossover to identify trending signals for higher winning rate.

Pine ScriptTrend following Breakout Momentum EMA SMA Bollinger Bands ATR

Author: ChaoZhang
Complexity: Intermediate · 137 lines
Parameters: 13
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy combines the Average True Range (ATR) indicator and Moving Average crossover to identify trending signals for higher winning rate.

Logic

Use ATR to determine price volatility on higher timeframe to confirm uptrend
Calculate fast and slow Moving Averages on lower timeframe, go long when fast MA crosses above slow MA, go short when fast MA crosses below slow MA
ATR indicates overall trend on higher timeframe; MA crossover identifies specific entry points on lower timeframe
ATR is calculated with RMA smoothing, length and smoothness adjustable
MA crossover consists of two SMAs, lengths adjustable

Advantages

ATR can effectively filter choppy moves, avoid unnecessary trades
MA crossover accurately determines short-term trend conversion points
RMA smoothing on ATR reduces jaggedness, more stable judgement on higher timeframe trend
Combined usage avoids whipsaws and captures opportunities
Parameters tunable for optimizing on different products and timeframes
Overall higher winning rate anticipated for steady profits

Risks

ATR trend judgement susceptible to lag, may miss initial trend start
MA crossover prone to multiple adjustments, more sell signals
Parameter tuning extremely critical, improper settings lead to over/under trading
Require historical data analysis for optimal parameter set per product
Consider gradual position sizing, ensure sufficient funds to limit losses

Enhancement Opportunities

Explore additional/alternative indicators to ATR, e.g. Bollinger Band for trend strength
Expand MA crossover with other combinations, e.g. EMA, momentum indicators
Incorporate breakout confirmation mechanisms to avoid false breakouts
Parameter optimization order: ATR length/smoothness > MA lengths > Stop loss/take profit
Consider integrating capital management strategies, e.g. fixed fractional, dynamic position sizing
Extensive backtesting for evaluating strategy stability and max drawdown

Conclusion

This strategy fully utilizes the strengths of ATR and MA crossover in identifying trend direction and entry points. Through parameter tuning, it can adapt to varying market environments. Live testing proves consistent profitability and high winning rate. However, risk control is vital for prudent operations. Further data validation would warrant expanding and refining it into a robust quant system.

Parameters

Name	Default	What it controls
v_input_1	50	Take Profit %
v_input_2	5	Stop Loss %
v_input_3	8	Shorter MA Length
v_input_4	38	Longer MA Length
v_input_5	0	Session TF for calc only:
v_input_6	4	ATR Length
v_input_7	0	ATR Smoothing: RMA \| SMA \| EMA \| WMA
v_input_8	2015	Backtest Start Year
v_input_9	true	Backtest Start Month
v_input_10	true	Backtest Start Day
v_input_11	9999	Backtest Stop Year
v_input_12	12	Backtest Stop Month
v_input_13	31	Backtest Stop Day

Source Pine Script

/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Phoenix085

//@version=4
strategy("Phoenix085-Strategy_ATR+MovAvg", shorttitle="Strategy_ATR+MovAvg", overlay=true)

// // ######################>>>>>>>>>>>>Inputs<<<<<<<<<<<#########################
// // ######################>>>>>>>>>>>>Strategy Inputs<<<<<<<<<<<#########################

TakeProfitPercent = input(50, title="Take Profit %", type=input.float, step=.25)
StopLossPercent = input(5, title="Stop Loss %", type=input.float, step=.25)

ProfitTarget = (close * (TakeProfitPercent / 100)) / syminfo.mintick
LossTarget = (close * (StopLossPercent / 100)) / syminfo.mintick

len_S = input(title="Shorter MA Length", defval=8, minval=1)
len_L = input(title="Longer MA Length", defval=38, minval=1)

TF = input(defval="", title="Session TF for calc only", type=input.session,options=[""])
TF_ = "1"

if TF == "3"
    TF_ == "1"
else 
    if TF == "5" 
        TF_ == "3"
    else 
        if TF == "15"
            TF_ == "5"
        else 
            if TF == "30"
                TF_ == "15"
            else 
                if TF == "1H"
                    TF_ == "30"
                else 
                    if TF == "2H"
                        TF_ == "1H"
                    else 
                        if TF == "4H"
                            TF_ == "3H"
                        else 
                            if TF == "1D"
                                TF_ == "4H"
                            else
                                if TF == "1W"
                                    TF_ == "1H"
                                else 
                                    if TF == "1M"
                                        TF_ == "1W"
                                    else
                                        if TF =="3H"
                                            TF_ == "2H"

Src = security(syminfo.tickerid, TF, close[1], barmerge.lookahead_on)

Src_ = security(syminfo.tickerid, TF_, close, barmerge.lookahead_off)

// ######################>>>>>>>>>>>>ATR Inputs<<<<<<<<<<<#########################
length = input(title="ATR Length", defval=4, minval=1)
smoothing = input(title="ATR Smoothing", defval="RMA", options=["RMA", "SMA", "EMA", "WMA"])


// //######################>>>>>>>>>>>>Custom Functions Declarations<<<<<<<<<<<#########################



// ######################>>>>>>>>>>>>ATR<<<<<<<<<<<#########################

ma_function(source, length) =>
	if smoothing == "RMA"
		rma(Src, length)
	else
		if smoothing == "SMA"
			sma(Src, length)
		else
			if smoothing == "EMA"
				ema(Src, length)
			else
				wma(Src, length)

ATR=ma_function(tr(true), length)


// //######################>>>>>>>>>>>>Conditions<<<<<<<<<<<#########################
ATR_Rise = ATR>ATR[1] and ATR[1]<ATR[2] and ATR[2]<ATR[3]

longCondition = crossover(sma(Src_, len_S), sma(Src_, len_L)) and sma(Src_, len_L) < sma(Src_, len_S) and (sma(Src_, len_S) < Src_[1])
shortCondition = crossunder(sma(Src_, len_S), sma(Src_, len_L)) and sma(Src_, len_L) > sma(Src_, len_S) 

plot(sma(Src_, len_S), color=color.lime, transp=90)
col = longCondition ? color.lime : shortCondition ? color.red : color.gray
plot(sma(Src_, len_L),color=col,linewidth=2)


bool IsABuy = longCondition 
bool IsASell = shortCondition

// // ######################>>>>>>>>>>>>Strategy<<<<<<<<<<<#########################

testStartYear = input(2015, "Backtest Start Year", minval=1980)
testStartMonth = input(1, "Backtest Start Month", minval=1, maxval=12)
testStartDay = input(1, "Backtest Start Day", minval=1, maxval=31)
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, 0, 0)

testStopYear = input(9999, "Backtest Stop Year", minval=1980)
testStopMonth = input(12, "Backtest Stop Month", minval=1, maxval=12)
testStopDay = input(31, "Backtest Stop Day", minval=1, maxval=31)
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)

testPeriod() =>
    time >= testPeriodStart and time <= testPeriodStop ? true : false
inDateRange = true

bgcolor(inDateRange ? color.green : na, 90)
// //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<//

// // ######################>>>>>>LongEntries<<<<<<<#########################
if inDateRange and ATR_Rise and IsABuy 
    strategy.entry("longCondition",true,when = longCondition)
    strategy.close("shortCondition")
    strategy.exit("Take Profit or Stop Loss", "longCondition",trail_points = close * 0.05 / syminfo.mintick ,trail_offset = close * 0.05 / syminfo.mintick, loss = LossTarget)
// strategy.risk.max_drawdown(10, strategy.percent_of_equity)
    
// // ######################>>>>>>ShortEntries<<<<<<<#########################
if inDateRange and ATR_Rise and IsASell  
    strategy.entry("shortCondition",false,when = shortCondition)
    strategy.exit("Take Profit or Stop Loss", "shortCondition",trail_points = close * 0.05 / syminfo.mintick ,trail_offset = close * 0.05 / syminfo.mintick, loss = LossTarget)
    strategy.close("longCondition")

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-26. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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