Dual Moving Average With Momentum Breakout Strategy

This strategy uses the golden cross of 12-day EMA and 26-day EMA as the entry signal. To filter false breakouts, MACD is applied to judge market trend and RSI for overbought/oversold levels. Price breakout above…

Pine ScriptBreakout Momentum Mean reversion RSI MACD EMA SMA Pivots / S&R

Author: ChaoZhang
Complexity: Intermediate · 169 lines
Parameters: 18
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

The strategy provides three optional stop loss methods: trailing stop loss, moving average stop and moving average crossover stop. Two take profit targets are set.

Strategy Logic

Entry Signal
- Golden cross between 12-day EMA and 26-day EMA
- MACD is positive and MACD line above Signal line
- RSI within preset range
Entry Confirmation
- Optional: Price breakout above dynamic resistance
Stop Loss
- Trailing stop loss based on entry price and preset percentage
- Close below 7-day SMA
- Bearish cross between 12-day and 26-day EMA
Take Profit
- Two staged take profit targets, exit partial position on first target and all on second

Advantages

MA system filters false signals, improves entry accuracy
Multiple stop loss options for different trader style
Dynamic trailing stop controls risks
Take profit in stages locks in some profit

Risks

More false signals when market oscillates
Trailing stop may be penetrated after strong run
Fail to exit timely on trend reversal

Solutions:

Use MACD to judge real trend
Adjust trailing percentage
Use other stop methods or combine stops

Enhancement

Optimize MA parameters for best performance
Test different stops and find best method
Adjust take profit levels for better reward
Add filters with other indicators
Customize for different products and timeframes

Conclusion

The strategy uses MA system for entry signal, with additional filters by MACD, RSI etc. Both stops and profit targets are optimized for matching different trader style. There is still large room for optimization on entry timing, stop method, take profit level etc. to further improve performance.

Parameters

Name	Default	What it controls
v_input_5	100000	BUYVALUE
v_input_bool_1	true	(?Entry_Exit Criteria)Show_Only_12_26_Crossover_Entry
v_input_bool_2	false	Show_12_26_Crossover_and_resistance_Entry
v_input_bool_3	true	Show_TSL_StopLoss
v_input_bool_4	true	Show_Crossdown_StopLoss
v_input_bool_5	false	Show_SMA7_StopLoss
v_input_float_1	5	(?Target-1)Target (%)
v_input_int_1	50	Target1_exit_qty
v_input_float_2	10	(?Target-2)Target (%)
v_input_int_2	100	Target2_exit_qty
v_input_1_low	0	(?Trailing StopLoss)TSL Source: low \| high \| close \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_float_3	true	Trail Long Loss (%)
v_input_int_3	10	(?RESISTANCE)CrossOverLookbackCandles
v_input_2_high	0	resistanceSRC: high \| close \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_3	10	resistanceLEFT
v_input_4	10	resistanceRIGHT
v_input_int_4	50	(?RSI)RSILowerRange
v_input_int_5	70	RSIUpperRange

Source Pine Script

/*backtest
start: 2023-01-30 00:00:00
end: 2024-02-05 00:00:00
period: 1d
basePeriod: 1h
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/
// © AbdulRahimShama
//@version=5


strategy('12/26-IT strategy', overlay=true,initial_capital = 100000)



Show_Only_12_26_Crossover_Entry = input.bool(true, group = "Entry_Exit Criteria")
Show_12_26_Crossover_and_resistance_Entry = input.bool(false, group = "Entry_Exit Criteria")


Show_TSL_StopLoss = input.bool(true, group = "Entry_Exit Criteria")
Show_Crossdown_StopLoss = input.bool(true, group = "Entry_Exit Criteria")
Show_SMA7_StopLoss = input.bool(false, group = "Entry_Exit Criteria")



////////////////////////////////////////////////
////////////////TARGETS INPUT
////////////////////////////////////////////////

////////Target1

TargetPerc1 = input.float(title="Target (%)", minval=0,defval=5, group="Target-1") / 100
TargetPrice1 = strategy.position_avg_price * (1 + TargetPerc1)
Target1_exit_qty = input.int(50, group="Target-1",tooltip = "% qty to sell when Target1 is reached")



////////Target2

TargetPerc2 = input.float(title="Target (%)", minval=0,defval=10, group="Target-2") / 100
TargetPrice2 = strategy.position_avg_price * (1 + TargetPerc2)
Target2_exit_qty = input.int(100, group="Target-2",tooltip = "% qty to sell when Target2 is reached")



////////////////////////////////////////////////
////////////////TRAILING STOP LOSS
////////////////////////////////////////////////


TSLsource = input(low, title="TSL Source", group="Trailing StopLoss")

longTrailPerc = input.float(title='Trail Long Loss (%)', minval=0.0, step=0.1, defval=1, group="Trailing StopLoss") * 0.01

TrailStopPrice = 0.0

TrailStopPrice := if strategy.position_size > 0
    sPIVOT_highValue = TSLsource * (1 - longTrailPerc)
    math.max(sPIVOT_highValue, TrailStopPrice[1])
else
    0

TSL = close < TrailStopPrice
plot(series=strategy.position_size > 0 and Show_TSL_StopLoss ? TrailStopPrice : na, color=color.new(color.fuchsia, 0), style=plot.style_linebr, linewidth=2, title='Trailing StopLoss')




////////////////////////////////////////////////
////////////////Moving Averages
////////////////////////////////////////////////



EMA_12=ta.ema(close, 12)
EMA_26=ta.ema(close, 26)
EMA_21=ta.ema(close,21)

plot(EMA_12, title="EMA_12", color=color.rgb(0, 255, 0), offset=0, linewidth=1)
plot(EMA_26, title="EMA_26", color=color.rgb(0, 0, 255), offset=0, linewidth=1)
plot(Show_SMA7_StopLoss ? ta.sma(close,7) : na, title="SMA_7", color=color.rgb(255, 0, 0), offset=0, linewidth=1)



////////////////////////////////////////////////
////////////////RESISTANCE INPUT and PLOTTING
////////////////////////////////////////////////

CrossOverLookbackCandles = input.int(10, group= "RESISTANCE")

resistanceSRC = input(high, group= "RESISTANCE")
resistanceLEFT = input(10, group= "RESISTANCE")
resistanceRIGHT = input(10, group= "RESISTANCE")

hih = ta.pivothigh(resistanceSRC, resistanceLEFT, resistanceRIGHT)
top = ta.valuewhen(hih, resistanceSRC[resistanceRIGHT], 0)

res = plot(top, color=top != top[1] ? na : color.new(#00ff00, 50), offset=-resistanceLEFT, linewidth=2, title="Resistance Line")

EMA_12_Low = ta.lowest(EMA_12, CrossOverLookbackCandles)
EMA_26_Low = ta.lowest(EMA_26, CrossOverLookbackCandles)


////////////////////////////////////////////////
////////////////RSI INPUT and PLOTTING
////////////////////////////////////////////////
RSI = ta.rsi(close, 14)
RSILowerRange = input.int(50, tooltip = "RSI value should be ABOVE this value for entry", group = "RSI")
RSIUpperRange = input.int(70, tooltip = "RSI value should be BELOW this value for entry", group = "RSI")



////////////////////////////////////////////////
////////////////MACD
////////////////////////////////////////////////
fast_length = 12
slow_length = 26
MACD_src = close
signal_length = 9

fast_ma = ta.ema(MACD_src, fast_length)
slow_ma = ta.ema(MACD_src, slow_length)
macd = fast_ma - slow_ma
signal = ta.ema(macd, signal_length)
hist = macd - signal



////////////////////////////////////////////////
////////////////ENTRY CRITERIA
////////////////////////////////////////////////


BUYVALUE= input(100000, tooltip = "Buy qty displayed on chart will be based on this value")

BASEENTRY = macd > signal and RSI > RSILowerRange and RSI < RSIUpperRange and close > EMA_21 and close > ta.sma(close, 7)


Entry= ta.crossover(EMA_12, EMA_26) and BASEENTRY
Entry2 = ta.crossover(close, top) and EMA_12_Low < EMA_26_Low and EMA_12 > EMA_26 and RSI < 70

////////////////////////////////////////////////
////////////////BUY SELL STRATEGY
////////////////////////////////////////////////

if ((Entry and Show_Only_12_26_Crossover_Entry))
    strategy.entry("buy", strategy.long, qty=BUYVALUE/close)

if (Entry2 and Show_12_26_Crossover_and_resistance_Entry)
    strategy.entry("buy", strategy.long, qty=BUYVALUE/close)

strategy.exit("Tg1", "buy", limit=TargetPrice1, qty_percent = Target1_exit_qty)
strategy.exit("Tg2", "buy", limit=TargetPrice2, qty_percent = Target2_exit_qty)



if TSL and Show_TSL_StopLoss and close < EMA_12 
    strategy.close_all ("sl")

if ta.crossunder(EMA_12, EMA_26) and Show_Crossdown_StopLoss
    strategy.close_all ("sl")

if ta.crossunder(close, ta.sma(close, 7)) and Show_SMA7_StopLoss
    strategy.close_all ("sl")

Published by ChaoZhang on the FMZ strategy square · last modified 2024-02-06. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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