Hull Moving Average Trend Following Strategy

The Hull moving average trend following strategy utilizes the Hull moving average to determine market trend direction and generate buy and sell signals. It captures mid-to-long term trends, establishes positions…

Pine ScriptTrend following Breakout Mean reversion RSI EMA SMA Pivots / S&R

Author: ChaoZhang
Complexity: Intermediate · 77 lines
Parameters: 10
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Principles

The strategy uses both the Hull moving average and simple moving average to determine trend direction. When the shorter period Hull MA crosses above the longer period Hull MA, it generates a buy signal. When the shorter Hull MA crosses below the longer one, it generates a sell signal.

The simple moving average determines real-time trend direction. When the shorter EMA crosses above the longer EMA, it indicates an uptrend. When the shorter EMA crosses below the longer EMA, it indicates a downtrend. Trades are taken only when the Hull MA and EMA signals agree on the bullish or bearish bias.

In addition, the strategy utilizes K-line body channels to gauge market fluctuation and avoid trading in consolidation. Trades are considered only when prices break out of the channel range.

Advantages

The Hull MA is more sensitive in detecting price changes and early trend shifts.
Using both Hull MA and EMA eliminates false signals.
K-line channels avoid excessive trading in sideways markets.
Trend following allows sustained profit capture as the trend extends.

Risks

Moving averages have lags and may miss optimal trend reversal entry points.
Inaccurate consolidation detection may cause bad trades.
Low trade frequency leads to large impact from single losing trades.
Unable to capitalize on short-term oscillations.

Risk Management

Optimize MA periods for timely trend signal generation.
Use other indicators like RSI and BBANDS to determine consolidation.
Exercise aggressive capital management to limit loss percentage per trade.
Complement with other strategies to harness short-term profits.

Summary

The Hull moving average trend following strategy effectively tracks mid-to-long term trends through the combined use of Hull MA and EMA. It accumulates profits throughout profit trends and exits early before reversals. This is a simple and practical quant trading strategy worth recommending.

Parameters

Name	Default	What it controls
v_input_1_close	0	Candle body resistance Channel: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_2	false	Bar Channel On/Off
v_input_3	15	Support / Resistance length:
v_input_4	13	EMA 1
v_input_5	21	EMA 2
v_input_6	false	Display Hull MA Set:
v_input_7_close	0	Hull MA's Source:: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_8	16	Hull MA's Base Length:
v_input_9	10	Hull MA's Length Scalar:
v_input_10	720	Piriod

Source Pine Script

/*backtest
start: 2023-08-16 00:00:00
end: 2023-09-15 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2

// strategy(title='HULLMiguel 2019/ Strategy v3', shorttitle='HULLMiguel_2019_Strategy', overlay=true, pyramiding=0, default_qty_value=1000, initial_capital=1000, currency=currency.USD)

//Candle body resistance Channel-----------------------------//
len = 34
src = input(close, title="Candle body resistance Channel")
out = sma(src, len)
last8h = highest(close, 13)
lastl8 = lowest(close, 13)
bearish = cross(close,out) == 1 and falling(close, 1)
bullish = cross(close,out) == 1 and rising(close, 1)
channel2=input(false, title="Bar Channel On/Off")
ul2=plot(channel2?last8h:last8h==nz(last8h[1])?last8h:na, color=black, linewidth=1, style=linebr, title="Candle body resistance level top", offset=0)
ll2=plot(channel2?lastl8:lastl8==nz(lastl8[1])?lastl8:na, color=blue, linewidth=1, style=linebr, title="Candle body resistance level bottom", offset=0)
//fill(ul2, ll2, color=black, transp=95, title="Candle body resistance Channel")

//-----------------Support and Resistance 
RST = input(title='Support / Resistance length:',  defval=15) 
RSTT = valuewhen(high >= highest(high, RST), high, 0)
RSTB = valuewhen(low <= lowest(low, RST), low, 0)
RT2 = plot(RSTT, color=RSTT != RSTT[1] ? na : red, linewidth=1, offset=+0)
RB2 = plot(RSTB, color=RSTB != RSTB[1] ? na : green, linewidth=1, offset=0)

//--------------------Trend colour ema------------------------------------------------// 
src0 = close, len0 = input(13, minval=1, title="EMA 1")
ema0 = ema(src0, len0)
direction = rising(ema0, 2) ? +1 : falling(ema0, 2) ? -1 : 0
plot_color = direction > 0  ? lime: direction < 0 ? red : na
plot(ema0, title="EMA", style=line, linewidth=3, color = plot_color)

//-------------------- ema 2------------------------------------------------//
src02 = close, len02 = input(21, minval=1, title="EMA 2")
ema02 = ema(src02, len02)
direction2 = rising(ema02, 2) ? +1 : falling(ema02, 2) ? -1 : 0
plot_color2 = direction2 > 0  ? green: direction2 < 0 ? red : na
plot(ema02, title="EMA Signal 2", style=line, linewidth=2, color = plot_color2)

//=============Hull MA//
show_hma = input(false, title="Display Hull MA Set:")
hma_src = input(close, title="Hull MA's Source:")
hma_base_length = input(16, minval=1, title="Hull MA's Base Length:")
hma_length_scalar = input(10, minval=0, title="Hull MA's Length Scalar:")
hullma(src, length)=>wma(2*wma(src, length/2)-wma(src, length), round(sqrt(length)))
plot(not show_hma ? na : hullma(hma_src, hma_base_length+hma_length_scalar*6), color=black, linewidth=5, title="Hull MA")
dif_close_hull= (close-hullma(hma_src, hma_base_length+hma_length_scalar*6))/close
Percent_dif = (dif_close_hull/(hullma(hma_src, hma_base_length+hma_length_scalar*6)))
//direction3 = Percent_dif>0 ? +1 : Percent_dif<0 ? -1 : 0
//plot_color3 = direction3 > 0  ? lime: direction3 < 0 ? red : na
//plot(dif_close_hull, title="dif close hull", style=line, linewidth=6, color = plot_color3)

//============ signal Generator ==================================//
Piriod=input('720')
ch1 = security(syminfo.tickerid, Piriod, open)
ch2 = security(syminfo.tickerid, Piriod, close)
plot(ch1, title="EMA Signal 2", style=line, linewidth=1, color = blue)
//longCondition = crossover(security(tickerid, Piriod, close),security(tickerid, Piriod, open))
//plot((close-ema02)/ema02+close)
longCondition = direction > 0 and direction2> 0

if (longCondition)
    strategy.entry("BUY", strategy.long)
//shortCondition = crossunder(security(tickerid, Piriod, close),security(tickerid, Piriod, open))
shortCondition = direction < 0 and direction2 < 0

if (shortCondition)
    strategy.entry("SELL", strategy.short)

///////////////////////////////////////////////////////////////////////////////////////////

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-16. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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