Dual Moving Average Crossover Tracking Strategy

This strategy calculates crossover between two groups of moving averages SMA and EMA to determine market trend direction for tracking trades. Specifically, it uses one fast and one slow moving average pair. It goes…

Pine ScriptTrend following Mean reversion Momentum EMA SMA

Author: ChaoZhang
Complexity: Intermediate · 59 lines
Parameters: 11
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

This strategy calculates crossover between two groups of moving averages SMA and EMA to determine market trend direction for tracking trades.

Specifically, it uses one fast and one slow moving average pair. It goes long when the fast line crosses above the slow line, and goes short on the downward crossover. Exits occur when price drops back below the slow line or rises above the fast line. Customization of MA lengths, barred closing etc. allows parameter optimization.

The advantage of this dual MA strategy is simple and clear rules based on two dynamic MAs. Using EMA offers more sensitivity in capturing reversals. But whipsaws also occur easily during range-bound markets.

In general, the dual MA crossover tracking strategy suits trending markets for trading in the direction of momentum. But proper parameter tuning, strict stop loss and position sizing is crucial for long-term stability of this strategy.

Parameters

Name	Default	What it controls
v_input_1	2011	Start Year
v_input_2	true	Start Month
v_input_3	true	Start Day
v_input_4	2050	Finish Year
v_input_5	12	Finish Month
v_input_6	31	Finish Day
v_input_7	21	Length MA1
v_input_8	false	exponential
v_input_9	true	Length MA2
v_input_10	false	exponential
v_input_11	false	Length bars close

Source Pine Script

/*backtest
start: 2023-08-11 00:00:00
end: 2023-09-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
// strategy("Moving Average Strategy of BiznesFilosof", shorttitle="MAS of BiznesFilosof", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=20, commission_type=strategy.commission.percent, commission_value=0.15, pyramiding=0)

//Period
startY = input(title="Start Year", defval = 2011)
startM = input(title="Start Month", defval = 1, minval = 1, maxval = 12)
startD = input(title="Start Day", defval = 1, minval = 1, maxval = 31)
finishY = input(title="Finish Year", defval = 2050)
finishM = input(title="Finish Month", defval = 12, minval = 1, maxval = 12)
finishD = input(title="Finish Day", defval = 31, minval = 1, maxval = 31)
//finish = input(2019, 02, 28, 00, 00)
timestart = timestamp(startY, startM, startD, 00, 00)
timefinish = timestamp(finishY, finishM, finishD, 23, 59)
window = time >= timestart and time <= timefinish ? true : false // Lenghth strategy

lma1 = input(title="Length MA1", defval = 21, minval=1)
exponential1 = input(false, title="exponential")
lma2 = input(title="Length MA2", defval = 1, minval=1)
exponential2 = input(false, title="exponential")
lbars = input(title="Length bars close", defval = 0, minval=0)

ma1 = exponential1 ? ema(close, lma1) : sma(close, lma1)
ma2 = exponential2 ? ema(close, lma2) : sma(close, lma2)

//source = close
source = ma2

//open
strategy.entry("LongEntryID", strategy.long, comment="LONG", when = crossover(ma2, ma1) and window)
strategy.entry("ShortEntryID", strategy.short, comment="SHORT", when = crossunder(ma2, ma1) and window)

if crossunder(source, ma1) and strategy.position_size > 0
    strategy.close_all()
if crossunder(ma2[lbars], ma1[lbars]) and strategy.position_size > 0 and lbars != 0
    strategy.close_all()    
if crossover(source, ma1) and strategy.position_size < 0
    strategy.close_all()
if crossover(ma2[lbars], ma1[lbars]) and strategy.position_size < 0 and lbars != 0
    strategy.close_all()      

src = close
src1 = high
src2 = low
maH = exponential1 ? ema(src1, lma1) : sma(src1, lma1)
maL = exponential1 ? ema(src2, lma1) : sma(src2, lma1)
maColor = src>maH ? green : src<maL ? red : blue

plot(ma1, title="MA1", color=maColor, linewidth=2, style=line)
plot(ma2, title="MA2", color=gray, linewidth=1, style=line)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-11. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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Source Pine Script

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