Dual MACD StochRSI Trading Strategy

This strategy combines dual MACD indicators and the StochRSI oscillator for trade signals. The dual MACD uses different parameters for fast and slow effects, while StochRSI verifies momentum divergence. Trend filters…

Pine ScriptMachine learning Breakout Mean reversion RSI MACD EMA SMA Stochastic

Author: ChaoZhang
Complexity: Intermediate · 111 lines
Parameters: 16
Backtest bar: 1m · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The trade signals are based on:

Dual MACD: Fast MACD uses short lookback period, slow MACD uses long lookback period for smoothing effects.
StochRSI: Calculates RSI high/low range to identify overbought/oversold RSI levels.

Entry rules:

Long: Fast MACD crosses above zero line and slow MACD crosses above zero line. StochRSI is oversold and K crosses above D. In uptrend.
Short: Fast MACD crosses below zero line and slow MACD crosses below zero line. StochRSI is overbought and K crosses below D. In downtrend.

Advantages

Dual MACD avoids false breakouts for higher signal quality.
StochRSI identifies overbought/oversold levels to avoid chasing.
Considers overall trend direction to reduce countertrend losses.
Cross-timeframe validation improves signal effectiveness.
Stop loss controls risk.

Risks

MACD prone to false signals, needs further validation.
Poor StochRSI parameters may miss trades.
Stop loss levels may be too conservative or aggressive.
Lacks position management for dynamic stops.

Improvements:

Add filters like volume or MA slope.
Optimize or add other oscillators.
Dynamic stop loss tracking.
Add position sizing based on performance.

Optimization

Main areas to optimize:

Optimize indicator parameters.
Add filters to remove false signals.
Optimize stops for dynamic trailing.
Incorporate position sizing based on strategy performance.
Add machine learning for auto optimization.

Summary

The strategy combines multiple indicators for stronger signals, but needs optimization in parameters, filtering, dynamic stops to reduce unwanted trades and improve profitability. Overall the logic is sound with good optimization potential.

Parameters

Name	Default	What it controls
v_input_1	true	Uncheck to use custom res./intrv. for 2nd MACD indicator
v_input_2	45	Resolution/interval to use for 2nd MACD:
v_input_3	true	Uncheck to use custom res/intrv for StochRSI
v_input_4	45	Resolution to use for StochRSI indicator:
v_input_5	10	MACD fast length
v_input_6	21	MACD slow length
v_input_7	9	MACD signal length
v_input_8	31	2nd MACD fast length
v_input_9	63	2nd MACD slow length
v_input_10	30	2nd MACD signal length
v_input_11	3	smoothK
v_input_12	3	smoothD
v_input_13	11	lengthRSI
v_input_14	11	lengthStoch
v_input_15	90	RSI_buyTrig
v_input_16	20	RSI_sellTrig

Source Pine Script

/*backtest
start: 2023-09-14 00:00:00
end: 2023-09-21 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2



//This strategy is an ongoing work in progress. Last updated 8/6/16.
//Feel free to modify it as you see fit, if you do borrow code then send me a link so I 
//can see and maybe borrow some of your code to improve this.
//Thanks to ChrisMoody who I stole the code for setting custom resolution from.
//
//more info in comments at end of script





strategy("MACDouble & StochRSI w/ safeties v0.3", overlay=true)

source = close
useCurrentRes = input(true, title="Uncheck to use custom res./intrv. for 2nd MACD indicator")
resCustom = input(title="Resolution/interval to use for 2nd MACD:",  defval="45")
res = useCurrentRes ? timeframe.period : resCustom

useCurrentRes2 = input(true, title="Uncheck to use custom res/intrv for StochRSI")
resCustom2 = input(title="Resolution to use for StochRSI indicator:",  defval="45")
res2 = useCurrentRes2 ? timeframe.period : resCustom2


//MACD1
fastLength = input(10, title="MACD fast length")
slowlength = input(21, title="MACD slow length")
sigLength = input(9, title="MACD signal length")

MACD = ema(source, fastLength) - ema(source, slowlength)
signal = sma(MACD, sigLength)
delta = MACD - signal



//MACD2
fastLength2 = input(31, title= "2nd MACD fast length")
slowlength2 = input(63, title= "2nd MACD slow length")
sigLength2 = input(30, title= "2nd MACD signal length")

MACD2 = ema(source, fastLength2) - ema(source, slowlength2)
signal2 = sma(MACD2, sigLength2)
delta2 = MACD2 - signal2

MACDRes = security(syminfo.tickerid, res, MACD2)
signalRes = security(syminfo.tickerid,res, signal2)
deltaRes = security(syminfo.tickerid, res, delta2)


uptrend = (close + high)/(close[1] + high[2])
downtrend = (close + low)/(close[1] + low[2])

smoothK = input(3, minval=1)
smoothD = input(3, minval=1)
lengthRSI = input(11, minval=1)
lengthStoch = input(11, minval=1)
src = close

rsi1 = rsi(src, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = sma(k, smoothD)
RSI_buyTrig = input(90)
RSI_sellTrig = input(20)

kRes = security(syminfo.tickerid, res2, k)
dRes = security(syminfo.tickerid, res2, d)


if (delta > 0) and (year>2012) and (deltaRes > 0) and (uptrend > 1) and (  kRes and dRes < RSI_buyTrig) and (kRes > dRes)
    strategy.entry("buy", strategy.long, comment="buy")
    

if (delta < 0) and (year>2012) and (deltaRes < 0) and (downtrend < 1) and ( kRes and dRes > RSI_sellTrig) and (kRes < dRes)
    strategy.entry("sell", strategy.short, comment="sell")
	strategy.exit("sell", loss = 9000)



//  RELEASE NOTES, ETC
//
// The core starting idea for this backtesting script came from the desire to have two traditional
//MACD indicators: one 'fast' and one 'slow'. The slow one is to pretty much smooth out noisy signals
//so that short term changes in price are ignored (ideally). 
//	A brief version history
//		v0.1 - Basic two MACD indicators script
//      v0.2 - Added StochRSI indicator
//      v0.21- Added primitive uptrend/downtrend safety condition 
//      v0.22- Added changable time resolution for MACDslow
//      v0.23- Added exit safeties conditional on loss threshold   
//      v0.3 - Added changeable resolution for StochRSI
//	Future changes planned for next release:
//		-Fine tuning exit safeties
//      -Major overhaul of trade logic/triggers (may be forked as a different script)
//
//I am more than happy to discuss any difficulties you are having, questions about the script, or improvement suggestions.
//I am not a coder and my background is actually in economics, so feel free to debug ;)
//Feel free to tip me on the indcluded bitcoin address on TV as well
// tradingview.com/u/RyanMartin 
// [email protected]

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-22. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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