Extreme version of Noros Trend Moving Averages Strategy

Pine ScriptTrend following Machine learning Breakout MACD ATR ADX / DMI

Author: ChaoZhang
Complexity: Intermediate · 81 lines
Parameters: 12
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy uses two moving average indicators to identify trend direction and long/short opportunities. The slower moving average (blue line) is used to determine the overall trend direction, while the faster moving average (red line) combined with the price channel is used to discover trading opportunities.

Strategy Logic

Calculate two moving averages - a slower MA with period 21 to determine the overall trend, and a faster MA with period 5 that combines with price channel to find trading opportunities.
Check if the current price breaks through the price channel formed in the previous period. A breakout signals a potential trading opportunity.
Count the number and direction of recent candlesticks. For example, several consecutive bearish candlesticks may signal a long opportunity, while consecutive bullish candlesticks may signal a short opportunity. The number of candlesticks is configurable via the Bars parameter.
Combine all the above factors to generate long/short signals. A signal is triggered when price move aligns with slower MA trend direction, fast MA or price channel produces signal, and candlestick move matches condition.

Advantages

The dual moving average system effectively tracks trend direction.
Faster MA and price channel combined detects early breakout points to catch trading opportunities.
Also considers candlestick direction and counts to avoid being trapped by market reversals.
Customizable MA parameters work for different products and timeframes.

Risks and Mitigations

Dual MAs can produce false signals during sideways markets. Can add oscillators or ATR to avoid trading choppy markets.
Still risks getting trapped in exceptional market moves. Can set proper stop loss to limit downside.
Impossible to fully avoid reversals. Will keep improving logic and parameters to make strategy more robust.

Enhancement Opportunities

Add supporting indicators like ADX, MACD to avoid wrong trades in choppy markets.
Dynamic stop loss calculation, e.g. based on ATR and risk preference.
Parameter optimization via machine learning for adaptive capability.
Fine tune parameters based on instrument characteristics, e.g. shorter periods for crypto.

Conclusion

Overall this strategy works very well in tracking trending markets, with additional breakout opportunities. With proper enhancements it can be made into a commercially viable high quality quant strategy. We will continue improving it to trade more markets stably.

Parameters

Name	Default	What it controls
v_input_1	true	long
v_input_2	true	short
v_input_3	false	stops
v_input_4	5	Stop, %
v_input_5	false	Use OHLC4
v_input_6	true	Use fast MA Filter
v_input_7	5	fast MA Period
v_input_8	21	slow MA Period
v_input_9	2	Bars Q
v_input_10	false	Need trend Background?
v_input_11	false	Need entry arrows?
v_input_12	true	Need extreme? (crypto/fiat only!!!)

Source Pine Script

/*backtest
start: 2023-12-31 00:00:00
end: 2024-01-30 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy(title = "Noro's Trend MAs Strategy v1.9 Extreme", shorttitle = "Trend MAs str 1.9 extreme", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value=100.0, pyramiding=0)

//Settings
needlong = input(true, "long")
needshort = input(true, "short")
needstops = input(false, "stops")
stoppercent = input(5, defval = 5, minval = 1, maxval = 50, title = "Stop, %")
useohlc4 = input(false, defval = false, title = "Use OHLC4")
usefastsma = input(true, "Use fast MA Filter")
fastlen = input(5, defval = 5, minval = 1, maxval = 50, title = "fast MA Period")
slowlen = input(21, defval = 20, minval = 2, maxval = 200, title = "slow MA Period")
bars = input(2, defval = 2, minval = 0, maxval = 3, title = "Bars Q")
needbg = input(false, defval = false, title = "Need trend Background?")
needarr = input(false, defval = false, title = "Need entry arrows?")
needex = input(true, defval = true, title = "Need extreme? (crypto/fiat only!!!)")

src = useohlc4 == true ? ohlc4 : close

//PriceChannel 1
lasthigh = highest(src, slowlen)
lastlow = lowest(src, slowlen)
center = (lasthigh + lastlow) / 2

//PriceChannel 2
lasthigh2 = highest(src, fastlen)
lastlow2 = lowest(src, fastlen)
center2 = (lasthigh2 + lastlow2) / 2

//Trend
trend = low > center and low[1] > center[1] ? 1 : high < center and high[1] < center[1] ? -1 : trend[1]

//Bars
bar = close > open ? 1 : close < open ? -1 : 0
redbars = bars == 0 ? 1 : bars == 1 and bar == -1 ? 1 : bars == 2 and bar == -1 and bar[1] == -1 ? 1 : bars == 3 and bar == -1 and bar[1] == -1 and bar[2] == -1 ? 1 : 0
greenbars = bars == 0 ? 1 : bars == 1 and bar == 1 ? 1 : bars == 2 and bar == 1 and bar[1] == 1 ? 1 : bars == 3 and bar == 1 and bar[1] == 1 and bar[2] == 1 ? 1 : 0

//Signals
up = trend == 1 and (low < center2 or usefastsma == false) and (redbars == 1) ? 1 : 0
dn = trend == -1 and (high > center2 or usefastsma == false) and (greenbars == 1) ? 1 : 0

up2 = high < center and high < center2 and bar == -1 ? 1 : 0
dn2 = low > center and low > center2 and bar == 1 ? 0 : 0

//Lines
plot(center, color = blue, linewidth = 3, transp = 0, title = "Slow MA")
plot(center2, color = red, linewidth = 3, transp = 0, title = "PriceChannel 2")

//Arrows
plotarrow(up == 1 and needarr == true ? 1 : 0, colorup = black, colordown = black, transp = 0)
plotarrow(dn == 1 and needarr == true ? -1 : 0, colorup = black, colordown = black, transp = 0)

//Background
col = needbg == false ? na : trend == 1 ? lime : red
bgcolor(col, transp = 90)

//Alerts
alertcondition(up == 1, title='buy', message='Uptrend')
alertcondition(dn == 1, title='sell', message='Downtrend')

//Trading
stoplong = up == 1 and needstops == true ? close - (close / 100 * stoppercent) : stoplong[1]
stopshort = dn == 1 and needstops == true ? close + (close / 100 * stoppercent) : stopshort[1]

longCondition = up == 1 or (up2 == 1 and needex == true)
if (longCondition)
    strategy.entry("Long", strategy.long, needlong == false ? 0 : na)
    strategy.exit("Stop Long", "Long", stop = stoplong)

shortCondition = dn == 1
if (shortCondition)
    strategy.entry("Short", strategy.short, needshort == false ? 0 : na)
    strategy.exit("Stop Short", "Short", stop = stopshort)

Published by ChaoZhang on the FMZ strategy square · last modified 2024-01-31. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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