Flexible MA VWAP Crossover Strategy with Stop Loss Take Profit

This strategy identifies crossovers between fast moving average, slow moving average and volume weighted average price (VWAP) to capture potential price movements. It triggers buy signals when fast MA crosses above…

Pine ScriptTrend following RSI SMA VWAP

Author: ChaoZhang
Complexity: Starter · 52 lines
Parameters: 5
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The strategy combines the strengths of moving averages and VWAP. Moving averages can effectively filter out market noise and determine trend direction. VWAP reflects intentions of big money more precisely. Fast MA captures short-term trend while slow MA filters out false signals. When fast MA crosses above slow MA and VWAP, it indicates bullish short-term trend and triggers buy signals. Below crossover triggers sell signals.

Advantage Analysis

Dual MA filter reduces false signals
VWAP accurately judges intentions of big money
Flexible MA parameters adapt to different periods
Effective risk control with stop loss/take profit

Risk Analysis

Whipsaw markets may generate multiple false signals
Inaccurate VWAP parameters fail to judge fund intent
Stop loss too tight unable to trace trends, too loose risks excess

Optimization Directions

Optimize MA and VWAP parameters for different market conditions
Additional filter signals with RSI
Dynamic stop loss/take profit ratios

Conclusion

This strategy integrates the strengths of moving averages and VWAP, identifies crossover signals through dual filtering, and effectively controls risks with flexible stop loss/take profit mechanisms. It is a recommended trend following strategy.

Parameters

Name	Default	What it controls
v_input_1	9	Fast MA Length
v_input_2	21	Slow MA Length
v_input_3	14	VWAP Length
v_input_4	true	Stop Loss (%)
v_input_5	2	Take Profit (%)

Source Pine Script

/*backtest
start: 2023-11-19 00:00:00
end: 2023-12-19 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Flexible MA VWAP Crossover Strategy with SL/TP", shorttitle="MA VWAP Crossover", overlay=true)

// Input parameters
fast_length = input(9, title="Fast MA Length", minval=1)
slow_length = input(21, title="Slow MA Length", minval=1)
vwap_length = input(14, title="VWAP Length", minval=1)

// Stop Loss and Take Profit inputs
stop_loss_percent = input(1.0, title="Stop Loss (%)", minval=0.1, maxval=5.0, step=0.1)
take_profit_percent = input(2.0, title="Take Profit (%)", minval=1.0, maxval=10.0, step=0.1)

// Calculate moving averages
fast_ma = sma(close, fast_length)
slow_ma = sma(close, slow_length)
vwap = sma(close * volume, vwap_length) / sma(volume, vwap_length)

// Buy and sell conditions
buy_condition = crossover(fast_ma, vwap) and crossover(fast_ma, slow_ma)
sell_condition = crossunder(fast_ma, vwap) and crossunder(fast_ma, slow_ma)

// Plot the moving averages
plot(fast_ma, title="Fast MA", color=color.blue)
plot(slow_ma, title="Slow MA", color=color.red)
plot(vwap, title="VWAP", color=color.purple)

// Plot buy and sell signals
plotshape(buy_condition, style=shape.triangleup, location=location.belowbar, color=color.green, title="Buy Signal")
plotshape(sell_condition, style=shape.triangledown, location=location.abovebar, color=color.red, title="Sell Signal")

// Define stop loss and take profit levels
var float stop_loss_price = na
var float take_profit_price = na

if (buy_condition)
    stop_loss_price := close * (1 - stop_loss_percent / 100)
    take_profit_price := close * (1 + take_profit_percent / 100)

// Strategy entry and exit with flexible SL/TP
strategy.entry("Buy", strategy.long, when = buy_condition)

if (sell_condition)
    strategy.exit("SL/TP", from_entry = "Buy", stop = stop_loss_price, limit = take_profit_price)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-12-20. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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