Dynamic Price Swing Oscillator Strategy

The Dynamic Price Swing Oscillator is a strategy for identifying price trends. It combines moving averages, price channels and Fibonacci retracements to implement dynamic entry and exit. The advantage of this…

Pine ScriptMachine learning Breakout Trend following RSI EMA SMA Bollinger Bands ATR Fibonacci

Author: ChaoZhang
Complexity: Intermediate · 160 lines
Parameters: 19
Backtest bar: 1m · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Principles

The strategy is mainly built on the following principles:

Use fast EMA and slow EMA to determine the direction of the price trend to prevent trading against the trend
Use price upper and lower channel limits to determine breakout signals, go short when the price breaks through the upper limit channel, and go long when it breaks through the lower limit channel
Use moving average crossovers as judgment signals, go long on golden crosses, and go short on death crosses
Use Fibonacci retracement lines as judgment signals, go short when the price breaks through the Fibonacci upper limit line, and go long when it breaks through the lower limit line

After determining based on these indicators to enter the market, stop loss and take profit exit mechanisms are set.

Advantage Analysis

The biggest advantage of this strategy is that it combines multiple indicators to identify changes in price trends. The main advantages are:

Using fast and slow EMAs to determine the major trend prevents trading against the trend and can reduce losses
Price channel judgments can capture price breakout opportunities with greater profit potential
Moving average crossover judgments are simple and practical, easy to implement
Fibonacci retracements add another way of judging to make the strategy more three-dimensional

Risk Analysis

Some risks of this strategy need to be noted:

Improper parameter settings for fast and slow EMAs can lead to misjudgments
Improper timing of breaking through the upper and lower limits of the price channel may lead to loss orders
The choice of moving average crosses also needs to be prudent
Improper width settings of the Fibonacci retracement bands will also affect the judgment effect

These risks can be reduced through parameter optimization.

Optimization Directions

There are some directions that can be optimized for this strategy:

Test and optimize parameters such as EMA cycle, channel width, and moving average period
Add judgment rules for other technical indicators such as RSI and Bollinger Bands
Combine trading volume energy indicators such as OBV to determine the reliability of breakouts
Use machine learning and other technologies to automatically find the optimal parameters

Conclusion

The Dynamic Price Swing Oscillator is a highly flexible and adaptable strategy. It can dynamically adapt to price changes and trade after determining breakouts through multiple indicator judgments. Although there are some risks, they can be reduced by continuous optimization to improve the stability and profitability of the strategy. The strategy is worth in-depth research.

Parameters

Name	Default	What it controls
v_input_1	timestamp(22 June 2021 00:00 -0500)	Start Time
v_input_2	timestamp(31 December 2021 00:00 -0600)	End Time
v_input_3	true	Long/Short for Mixed Market, Long for Bull, Short for Bear
v_input_4	0	Trade Types: Long/Short \| Long Only \| Short Only
v_input_5	10	Stop Loss %
v_input_6	20	Target Profit %
v_input_7	2	Stop Trading After This Many Losing Days
v_input_8	10	Maximum % of Equity Lost to Halt Trading
v_input_9	true	Number of bars to look back on to calculate price swings.
v_input_10	5	Max Lookback Period
v_input_11_high	0	High Source: high \| close \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_12_low	0	Low Source: low \| high \| close \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_13	true	Trend uses Fast and Slow EMA to prevent going the wrong direction
v_input_14	14	RSI Length
v_input_15	12	EMA Fast Length
v_input_16	26	EMA Slow Length
v_input_17	true	Use Average Price Channel Only
v_input_18	false	Use Price Moving Average Only
v_input_19	false	Use Price Fibonacci Average Only

Source Pine Script

/*backtest
start: 2023-11-15 00:00:00
end: 2023-11-22 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/
//@version=4

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strategy(shorttitle='DPS',title='Dynamic Price Swing', overlay=true, scale=scale.left, initial_capital = 1000, process_orders_on_close=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type=strategy.commission.percent, commission_value=0.18, calc_on_every_tick=true)


// -----------------  Strategy Inputs -------------------------------------------------------------
//Backtest dates with auto finish date of today
start = input(defval = timestamp("22 June 2021 00:00 -0500"), title = "Start Time")
finish = input(defval = timestamp("31 December 2021 00:00 -0600"), title = "End Time")
window()  => true       // create function "within window of time"

// Strategy Selection - Long, Short, or Both
stratinfo = input(true, "Long/Short for Mixed Market, Long for Bull, Short for Bear")
strat = input(title="Trade Types", defval="Long/Short", options=["Long Only", "Long/Short", "Short Only"])
strat_val = strat == "Long Only" ? 1 : strat == "Long/Short" ? 0 : -1

// Risk Management Inputs
sl= input(10.0, "Stop Loss %", minval = 0, maxval = 100, step = 0.01)
stoploss = sl/100
tp = input(20.0, "Target Profit %", minval = 0, maxval = 100, step = 0.01)
TargetProfit = tp/100
ld = input(2, "Stop Trading After This Many Losing Days", type=input.integer, minval=0, maxval=100, step=1)
// strategy.risk.max_cons_loss_days(count=ld)
ml = input(10, "Maximum % of Equity Lost to Halt Trading", type=input.integer, minval=1, maxval=100, step=1)
// strategy.risk.max_drawdown(value=ml, type=strategy.percent_of_equity)

// Price Movement Inputs
PriceInfo = input(true, "Number of bars to look back on to calculate price swings.")
lkbk = input(5,"Max Lookback Period")
high_source = input(high,"High Source")
low_source= input(low,"Low Source")

// Trend Inputs
TrendInfo = input(true, "Trend uses Fast and Slow EMA to prevent going the wrong direction")
length = input(14, "RSI Length", minval=1)
fastLength = input(12, minval=1, title="EMA Fast Length")
slowLength = input(26, minval=1, title="EMA Slow Length")

// Trigger Selection
usePrice = input(true, "Use Average Price Channel Only")
useMA = input(false, "Use Price Moving Average Only")
useFib = input(false, "Use Price Fibonacci Average Only")


// Trend Direction Calculation
rsi_ema = ema(rsi(close, length), length)
emaA = ema(rsi_ema, fastLength)                                     
emaFast = 2 * emaA - ema(emaA, fastLength)
emaB = ema(rsi_ema, slowLength)                                     
emaSlow = 2 * emaB - ema(emaB, slowLength) 


bullishRule =emaFast > emaSlow and rsi_ema >=rsi_ema[1]
bearishRule =emaFast < emaSlow and rsi_ema <= rsi_ema[1]


// Price Channel

lasthigh = highest(high_source, lkbk)
lastlow = lowest(low_source, lkbk)


// Fibonacci and Moving Average
MA1 = sma(close,5),HA1 = sma(high,5),LA1 = sma(low,5),
MA2 = sma(close,8),HA2 = sma(high,8),LA2 = sma(low,8),
MA3 = sma(close,13),HA3 = sma(high,13),LA3 = sma(low,13),
MA4 = sma(close,21),HA4 = sma(high,21),LA4 = sma(low,21),
MA5 = sma(close,34),HA5 = sma(high,34),LA5 = sma(low,34),
MA6 = sma(close,55),HA6 = sma(high,55),LA6 = sma(low,55),
MA7 = sma(close,89),HA7 = sma(high,89),LA7 = sma(low,89),

CMA = (MA1+MA2+MA3+MA4+MA5+MA6+MA7)/7,
HMA = (HA1+HA2+HA3+HA4+HA5+HA6+HA7)/7,
HMA2 = CMA + (atr(lkbk)*1.618)

LMA = (LA1+LA2+LA3+LA4+LA5+LA6+LA7)/7,
LMA2 = CMA - (atr(lkbk)*1.618)


plot(CMA, title="CMA", color=color.new(#00ffaa, 70), linewidth=2)
plot(HMA, title="HMA", color=color.maroon, linewidth=2)
plot(HMA2, title="HMA Fib", color=color.red, linewidth=3)
plot(LMA, title="LMA", color=color.green, linewidth=2)
plot(LMA2, title="LMA Fib", color=color.teal, linewidth=3)

    

// -------------------------------- Entry and Exit Logic ------------------------------------

// Entry Logic

Channel_Sell = close >= lasthigh[1] and bearishRule and window()
Channel_Buy =  close <= lastlow[1] and bullishRule and window()

MA_Sell = high>HMA and window()
MA_Buy = low<LMA and window()

Fib_Sell = high>HMA2 and window()
Fib_Buy = low<LMA2 and window()

qty = strategy.equity/close


// Strategy Entry and Exit with built in Risk Management
if(strategy.opentrades==0 and strat_val>-1)
    GoLong = usePrice ? Channel_Buy : useMA ? MA_Buy : useFib ? Fib_Buy : false
    if (GoLong)
        strategy.entry("LONG", strategy.long, qty)

if(strategy.opentrades==0 and strat_val<1)
    GoShort = usePrice ? Channel_Sell : useMA ? MA_Sell : useFib ? Fib_Sell : false
    if (GoShort) 
        strategy.entry("SHORT", strategy.short, qty)


longStopPrice  = strategy.position_avg_price * (1 - stoploss)
longTakePrice  = strategy.position_avg_price * (1 + TargetProfit)
shortStopPrice = strategy.position_avg_price * (1 + stoploss)
shortTakePrice = strategy.position_avg_price * (1 - TargetProfit)

if (strategy.position_size > 0)
    strategy.exit(id="Exit Long", from_entry = "LONG", stop = longStopPrice, limit = longTakePrice)
    
if (strategy.position_size < 0)
    strategy.exit(id="Exit Short", from_entry = "SHORT", stop = shortStopPrice, limit = shortTakePrice)

CloseShort= usePrice ? Channel_Buy : useMA ? MA_Buy : useFib ? Fib_Buy : false
CloseLong = usePrice ? Channel_Sell : useMA ? MA_Sell : useFib ? Fib_Sell : false

if(CloseLong and strategy.position_size > 0)
    strategy.close("LONG")
        

if(CloseShort and strategy.position_size < 0)
    strategy.close("SHORT")

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-23. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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