Dual Moving Average Price Leaping Strategy

This strategy uses the RSI indicator to determine overbought and oversold conditions, combined with a trend judgment system constructed with fast, medium and slow moving average lines, to identify opportunities to…

Pine ScriptMean reversion Trend following RSI SMA

Author: ChaoZhang
Complexity: Intermediate · 68 lines
Parameters: 11
Backtest bar: 1m · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Principle

Use RSI indicator to determine overbought and oversold conditions
- RSI parameter is set to 14 periods
- Oversold line is at 30, overbought line is at 70
Use three SMA lines of different periods to determine the trend
- Fast line is 9-period SMA, representing short-term trend
- Medium line is 50-period SMA, representing medium-term trend
- Slow line is 200-period SMA, representing long-term trend
When fast line crosses above medium line, and RSI indicator shows oversold, go long
When fast line crosses below medium line, and RSI indicator shows overbought, go short
Stop loss is set at 4% of entry price
Profit taking is done in batches, first take profit of 20%, then take 15% as price continues to rise, exiting positions gradually

Advantage Analysis

Using three SMA lines of different periods can judge trend changes across different time frames
The use of RSI indicator avoids opening positions outside of overbought/oversold areas
Batch profit taking increases holding period and average profit of the strategy

Risk Analysis

Probability of wrong signals from the three moving average lines
Risk of incomplete batch profit taking execution
Need to choose suitable instruments with high price fluctuation

Optimization Directions

Can test modifying parameters of moving averages and RSI to optimize entry and exit
Can add other indicators to filter candle patterns etc to improve accuracy
Can dynamically trail stop loss to further control risk

Summary

This strategy combines moving average indicators and the overbought/oversold indicator RSI. By capturing price trend changes while judging trading opportunities, it belongs to a commonly used trend tracking strategy. Further optimizations and improved win rate can be achieved through parameter testing and incorporating additional auxiliary judgment indicators.

Parameters

Name	Default	What it controls
v_input_1	30	oversold
v_input_2	70	overbought
v_input_3	20	SellPct
v_input_4	15	ExitPct
v_input_5	9	v_input_5
v_input_6	50	v_input_6
v_input_7	200	v_input_7
v_input_8	100	v_input_8
v_input_9	12	Lookback Long Period
v_input_10	2	Lookback Short Period
v_input_11	4	v_input_11

Source Pine Script

/*backtest
start: 2023-11-13 00:00:00
end: 2023-11-20 00:00:00
period: 1m
basePeriod: 1m
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/
// © syfuslokust

//@version=4
strategy(shorttitle='CoinruleCombinedCryptoStrat',title='CoinruleCombinedCryptoStrat', overlay=true)


// RSI inputs and calculations
lengthRSI = 14
RSI = rsi(close, lengthRSI)
//Normal
oversold = input(30)
overbought =  input(70)
//ALGO
//oversold= input(26)
//overbought= input(80)

//sell pct
SellPct = input(20)
ExitPct = input(15)

//MA inputs and calculations
movingaverage_signal = sma(close, input(9))
movingaverage_fast = sma(close, input(50))
movingaverage_slow = sma(close, input(200))
movingaverage_mid= sma(close, input(100))

//Look Back
inp_lkb = input(12, title='Lookback Long Period')
inp_lkb_2 = input(2, title='Lookback Short Period')
 
perc_change(lkb) =>
    overall_change = ((close[0] - close[lkb]) / close[lkb]) * 100

//Entry 

//MA
bullish = crossover(movingaverage_signal, movingaverage_fast)
//Execute buy
strategy.entry(id="long", long = true, when = (RSI < oversold and movingaverage_fast < movingaverage_mid))

//when = crossover(close, movingaverage_signal) and movingaverage_signal < movingaverage_slow and RSI < oversold)

//Exit

//RSI
Stop_loss= ((input (4))/100)
longStopPrice  = strategy.position_avg_price * (1 - Stop_loss)
//MA
bearish = crossunder(movingaverage_signal, movingaverage_fast)
//Execute sell
strategy.close("long", qty_percent = SellPct, when = RSI > overbought and movingaverage_fast > movingaverage_mid)
//when = (crossunder(low, movingaverage_signal) and movingaverage_fast > movingaverage_slow and RSI > overbought) or (movingaverage_signal < movingaverage_fast and crossunder(low, movingaverage_fast)) or (low < longStopPrice))


//PLOT
plot(movingaverage_signal, color=color.black, linewidth=2, title="signal")
plot(movingaverage_fast, color=color.orange, linewidth=2, title="fast")
plot(movingaverage_slow, color=color.purple, linewidth=2, title="slow")
plot(movingaverage_mid, color=color.blue, linewidth=2, title="mid")

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-21. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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