Dual Moving Average Tracking Stop Loss Strategy 441073

Pine ScriptTrend following Volatility EMA SMA ATR

Author: ChaoZhang
Complexity: Intermediate · 66 lines
Parameters: 11
Backtest bar: 3h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy generates buy signals when the fast moving average crosses over the slow moving average. At the same time, it calculates the trailing stop loss price based on Average True Range to set sell signals. This strategy can effectively track market trends and cut losses in a timely manner when profit-taking.

Principles

Fast Moving Average (EMA): 12-day Exponential Moving Average that responds quickly to price changes.
Slow Moving Average (SMA): 45-day Simple Moving Average that depicts medium to long term trends.
Buy signals are generated when the fast MA crosses over the slow MA.
The 15-day Average True Range (ATR) is calculated as the benchmark for stop loss.
Set the trailing stop loss amplitude based on ATR (e.g. 6 x ATR) and update stop price in real time.
Sell signals are generated when price drops below the stop loss price.

This strategy combines the advantages of trend following and stop loss management. It can track medium to long term trends and control single trade loss through stop loss.

Advantage Analysis

MA combos effectively identify trends and increase signal reliability.
Dynamic trailing stop loss timely stops loss to avoid fund damages.
ATR-based stop loss makes stop price reasonable and prevents oversensitivity.
The strategy logic is simple and parameters are flexible.

Risk Analysis

MAs have lags that may miss short-term chances.
Excessive loose stop loss undermines profitability.
Excessive tight stop loss increases trade frequency and commission fees.
Changing volatility may influence ATR parameter stability.

Parameters can be optimized to balance stop loss amplitude. Other indicators can also be combined to improve entry timing.

Optimization Directions

Test more parameter combinations to find the optimal MAs.
Adjust ATR multiplier according to specific stock characteristics.
Add filtering conditions like volume indicators to avoid unnecessary trades.
Accumulate more historical data to test parameter stability.

Conclusion

This strategy successfully combines MA's trend following ability and ATR's dynamic trailing stop loss. Parameters can be optimized to adapt to different stocks. It forms clear buy and sell boundaries, making logic simple and clear. In conclusion, this dual MA tracking stop loss strategy features stability, simplicity and ease of optimization. It works well as a fundamental strategy for stock trading.

Parameters

Name	Default	What it controls
v_input_1	2005	Start Year
v_input_2	true	Start Month
v_input_3	true	Start Day
v_input_4	2050	Stop Year
v_input_5	12	Stop Month
v_input_6	31	Stop Day
v_input_7	true	Background
v_input_8	12	Exponential MA
v_input_9	45	Simple MA
v_input_10	12	Stop EMA
v_input_11	6	Trailing Stop #ATR

Source Pine Script

/*backtest
start: 2024-01-05 00:00:00
end: 2024-02-04 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
//created by XPloRR 24-02-2018

strategy("XPloRR MA-Buy ATR-MA-Trailing-Stop Strategy",overlay=true, initial_capital=1000,default_qty_type=strategy.percent_of_equity,default_qty_value=100)

testStartYear = input(2005, "Start Year")
testStartMonth = input(1, "Start Month")
testStartDay = input(1, "Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = input(2050, "Stop Year")
testStopMonth = input(12, "Stop Month")
testStopDay = input(31, "Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

testPeriodBackground = input(title="Background", type=bool, defval=true)
testPeriodBackgroundColor = testPeriodBackground and (time >= testPeriodStart) and (time <= testPeriodStop) ? #00FF00 : na
bgcolor(testPeriodBackgroundColor, transp=97)

emaPeriod = input(12, "Exponential MA")
smaPeriod = input(45, "Simple MA")
stopPeriod = input(12, "Stop EMA")
delta = input(6, "Trailing Stop #ATR")

testPeriod() => true

emaval=ema(close,emaPeriod)
smaval=sma(close,smaPeriod)
stopval=ema(close,stopPeriod)
atr=sma((high-low),15)

plot(emaval, color=blue,linewidth=1)
plot(smaval, color=orange,linewidth=1)
plot(stopval, color=lime,linewidth=1)

long=crossover(emaval,smaval) 
short=crossunder(emaval,smaval)

//buy-sell signal
stop=0
inlong=0
if testPeriod()
    if (long and (not inlong[1]))
        strategy.entry("buy",strategy.long)
        inlong:=1
        stop:=emaval-delta*atr
    else
        stop:=iff((nz(emaval)>(nz(stop[1])+delta*atr))and(inlong[1]),emaval-delta*atr,nz(stop[1]))
        inlong:=nz(inlong[1])
        if ((stopval<stop) and (inlong[1]))
            strategy.close("buy")
            inlong:=0
            stop:=0
else
    inlong:=0
    stop:=0
plot(stop,color=green,linewidth=1)

Published by ChaoZhang on the FMZ strategy square · last modified 2024-02-05. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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