Heyping Moving Average Trend Strategy

The Heyping Moving Average Trend Strategy is a technical indicator combo strategy designed to track price trends. It generates entry and exit signals based on moving average crossovers to time the market. The…

Pine ScriptTrend following Machine learning Mean reversion EMA SMA Heikin Ashi

Author: ChaoZhang
Complexity: Intermediate · 42 lines
Parameters: 11
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The KP strategy utilizes three types of indicators:

Moving Averages: A faster EMA and slower SMA. The EMA reacts faster to price changes while the SMA is more stable. Crossovers between the two produce trade signals.
Heiken Ashi Candles: Special candlestick charts with clearer trend definition. Used as the price data source for plotting the EMAs.
Log Transformation: An option to log transform price data to better visualize percentage changes.

The specific logic is to go long when the faster EMA crosses above the slower SMA, and to exit the position when the reverse crossover happens. This strategy belongs to the trend following category.

Advantage Analysis

Highly customizable parameters catering to different products and timeframes
Visual indicators combined into an easy-to-read system
Log transformation option to handle volatile instruments
Heiken Ashi candles offer superior trend determination
Integrates stop loss to control risk

Risk Analysis

Trend reversal risk. Timely stop loss required
Careful parameter optimization to avoid overfitting
Instrument and timeframe selections greatly impact results
Robustness must be validated through backtesting

Optimization Directions

Add adaptive parameter optimization module
Incorporate more filters to avoid false signals
Build algo trading module for automation
Apply machine learning models at inflection points
Enhance stop loss strategy for dynamic trailing stop loss

Conclusion

The Heyping Moving Average Trend Strategy combines various technical indicators to define trend directions with flexible configurations and great visualization. It can serve as a baseline trend following strategy and be further tuned for live trading while noting no strategy is perfect. Risk management is key.

Parameters

Name	Default	What it controls
v_input_1	D	Heikin Ashi Candle Time Frame
v_input_2	false	Heikin Ashi Candle Time Frame Shift
v_input_3	W	Heikin Ashi EMA Time Frame
v_input_4	false	Heikin Ashi EMA Time Frame Shift
v_input_5	10	Heikin Ashi EMA Period
v_input_6	false	Heikin Ashi EMA Shift
v_input_7	100	Slow EMA Period
v_input_8	false	Slow EMA Shift
v_input_9	false	Log Transform
v_input_10	true	Stop Loss
v_input_11	true	Show Plots

Source Pine Script

/*backtest
start: 2022-12-27 00:00:00
end: 2024-01-02 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("KP 15min Strategy", shorttitle="KP15", overlay=false)

res = input("D",title="Heikin Ashi Candle Time Frame")
hshift = input(0, title="Heikin Ashi Candle Time Frame Shift")
res1 = input("W",title="Heikin Ashi EMA Time Frame")
mhshift = input(0, title="Heikin Ashi EMA Time Frame Shift")
fama = input(10, title="Heikin Ashi EMA Period")
test = input(0, title="Heikin Ashi EMA Shift")
sloma = input(100, title="Slow EMA Period")
slomas = input(0, title="Slow EMA Shift")
logtransform = input(false, title="Log Transform")
stoploss = input(true, title="Stop Loss")
showplots = input(true, title="Show Plots")

ha_t = request.security(syminfo.tickerid, res, expression=hlc3)
ha_close = request.security(syminfo.tickerid, res, expression=logtransform ? math.log(close[hshift]) : close[hshift])
mha_close = request.security(syminfo.tickerid, res1, expression=logtransform ? math.log(close[mhshift]) : close[mhshift])

fma = ta.ema(mha_close[test], fama)
sma = ta.ema(ha_close[slomas], sloma)

plot(showplots ? (logtransform ? math.exp(fma) : fma) : na, title="MA", color=color.new(color.blue, 0), linewidth=2, style=plot.style_line)
plot(showplots ? (logtransform ? math.exp(sma) : sma) : na, title="SMA", color=color.new(color.orange, 0), linewidth=2, style=plot.style_line)

golong = ta.crossover(fma, sma)
exitLong = ta.crossunder(fma, sma)

if (golong)
    strategy.entry("Buy", strategy.long)

if (exitLong)
    strategy.close("Buy")

Published by ChaoZhang on the FMZ strategy square · last modified 2024-01-03. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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