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Strategy vault / Trend following

Dual Hull MA Judgement Threshold Trading Strategy

This strategy trades based on a combination of dual Hull Moving Averages and daily candle comparison, with judgement thresholds for long/short conditions. It also uses fixed stop loss/take profit for risk management…

Pine ScriptTrend following
Author
ChaoZhang
Complexity
Starter · 49 lines
Parameters
5
Backtest bar
5d · position
Tested on
BTC/USDT · futures
Jump to codeView in vaultOriginal on FMZ

This strategy trades based on a combination of dual Hull Moving Averages and daily candle comparison, with judgement thresholds for long/short conditions. It also uses fixed stop loss/take profit for risk management.

Strategy Logic:

  1. Calculate dual Hull MAs and compare current value versus previous period.

  2. Compute daily close change rate, and set long/short judgement thresholds.

  3. Go long when fast MA crosses above slow MA, and daily change exceeds threshold. Vice versa for short.

  4. Use fixed stop loss and take profit prices. Close positions when hit.

  5. Can also set maximum open position limit.

Advantages:

  1. Dual HullMA improves accuracy. Daily change confirms bias.

  2. Thresholds avoid being swayed by small counter-trend moves.

  3. SL/TP helps lock in profits and control risks.

Risks:

  1. Bad threshold settings can miss opportunities. Prudent testing needed.

  2. Fixed SL/TP Unable to flexibly adjust, risks improper settings.

  3. Both Hull MA and daily change lag.

In summary, this dual-indicator judgement system with risk controls can improve stability to some extent. But optimization is still required to find the ideal configurations.

Parameters

NameDefaultWhat it controls
v_input_114Double HullMA
v_input_20.001Decision Threshold
v_input_3-50000Stop Loss in $
v_input_4100000Target Point in $
v_input_5_ohlc40p: ohlc4 | high | low | open | hl2 | hlc3 | hlcc4 | close

Source Pine Script

/*backtest
start: 2022-09-06 00:00:00
end: 2023-02-21 00:00:00
period: 5d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
//                                                        Hull_MA_cross & Daily_Candle_cross combination with TP$ & SL$ setting
//                                                              (new script reducing effect of repaint on results)
//
strategy("Decision Threshold", shorttitle="DT", overlay=true, default_qty_type=strategy.percent_of_equity, max_bars_back=720, default_qty_value=100, calc_on_order_fills= true, calc_on_every_tick=true, pyramiding=0)
keh=input(title="Double HullMA",defval=14, minval=1)
dt = input(defval=0.0010, title="Decision Threshold",  step=0.0001)
SL = input(defval=-50000.00, title="Stop Loss in $",  step=1)
TP = input(defval=100000.00, title="Target Point in $", step=1)
p=input(ohlc4)
ot=1
n2ma=2*wma(p,round(keh/2))
nma=wma(p,keh)
diff=n2ma-nma
sqn=round(sqrt(keh))
n2ma1=2*wma(p[1],round(keh/2))
nma1=wma(p[1],keh)
diff1=n2ma1-nma1
sqn1=round(sqrt(keh))
n1=wma(diff,sqn)
n2=wma(diff1,sqn)
b=n1>n2?lime:red
c=n1>n2?green:red
d=n1>n2?red:green
a1=plot(n1,color=c)
a2=plot(n2,color=c)
plot(cross(n1, n2) ? n1 : na, style = circles, color=b, linewidth = 4)
plot(cross(n1, n2) ? n1 : na, style = line, color=d, linewidth = 4)
confidence=(security(syminfo.tickerid, 'D', p)-security(syminfo.tickerid, 'D', p[1]))/security(syminfo.tickerid, 'D', p[1])
closelong = n1<n2 and p<n2 and confidence<dt or strategy.openprofit<SL or strategy.openprofit>TP
if (closelong)
    strategy.close("Long")
closeshort = n1>n2 and p>n2 and confidence>dt or strategy.openprofit<SL or strategy.openprofit>TP
if (closeshort)
    strategy.close("Short")
longCondition = n1>n2 and strategy.opentrades<ot and confidence>dt and p>n2
if (longCondition)
    strategy.entry("Long",strategy.long)
shortCondition = n1<n2 and strategy.opentrades<ot and confidence<dt and p<n2 
if (shortCondition)
    strategy.entry("Short",strategy.short)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-13. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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