Joanne on Crypto Dual Moving Average with MACD Scalping Strategy

Pine ScriptScalping Trend following MACD EMA SMA Bollinger Bands ATR

Author: ChaoZhang
Complexity: Intermediate · 134 lines
Parameters: 18
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

The core idea of this strategy is to combine dual moving averages and MACD indicator to determine trend direction for trend following trading. When the fast MA crosses above the slow MA, it signals an uptrend opportunity. When the fast MA crosses below the slow MA, it signals a downtrend opportunity. The MACD histogram is used to determine specific entry and exit points by going long when it crosses above 0 and going short when it crosses below 0.

Strategy Logic

Calculate the fast EMA (12-day), slow EMA (26-day), and signal EMA (9-day) of MACD.
Calculate the MACD histogram (fast EMA - slow EMA) and MACD signal line (9-day EMA of MACD histogram).
Calculate the 50-day and 200-day MAs as trends.
MACD histogram crossing above 0 is the bullish signal and crossing below 0 is the bearish signal.
Fast EMA crossing above slow EMA combined with short MA crossing above long MA gives bullish signals.
Fast EMA crossing below slow EMA combined with short MA crossing below long MA gives bearish signals.
Limit number of trades after each MA crossover using Max trades after EMA cross parameter.
Use stop loss and take profit to exit trades.

Advantages

Dual MAs determine overall trend to avoid counter-trend trades.
MACD identifies entry and exit points to capture trend shifts.
Combination provides good timing for entries in the direction of trend.
Limits number of trades after crossover to avoid chasing trends.
Stop loss and take profit controls risk.
Parameters can be optimized for better performance.

Risks

Wrong trend determination leads to counter-trend loss. Widen MA difference requirement to firmly establish trend.
MACD signals lag price action resulting in premature or late entries. Adjust MACD parameters or add filters.
Improper stop loss and take profit levels lead to excessive stops or insufficient profits. Requires parameter optimization for each instrument.
Parameter optimization is difficult. Different parameters combinations needed for different products and timeframes. Requires extensive upfront testing.

Enhancement Opportunities

Test other indicators like KD to determine trend.
Add other indicators to filter MACD signals, like Bollinger Bands, ATR stops.
Optimize stop loss and take profit for each product.
Utilize walkforward and random optimization to find better parameters.
Add mechanisms to reduce trade frequency, like MACD zone around 0.
Automate parameter and combination optimization across multiple products.

Summary

This strategy combines the strengths of dual MAs for trend direction and MACD for entry timing to create a robust trend following system. Additional performance gains are possible through parameter optimization and combining indicators. Overall, it has strong risk management and profit potential to be considered for live trading. But parameter testing is still required for each product to ensure robustness.

Parameters

Name	Default	What it controls
v_input_1	50	EMA Trend 1
v_input_2	200	EMA Trend 2
v_input_3	12	MACD Fast Length
v_input_4	26	MACD Slow Length
v_input_int_1	9	MACD Signal Smoothing
v_input_5_close	0	MACD Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_string_1	0	Tick Highlight: Moving average \| Fixed value
v_input_string_2	0	Tick Source: Highest bar \| Average \| Last bar
v_input_int_2	72	Upticks Avg. Length
v_input_int_3	72	Downticks Avg. Length
v_input_float_1	2	Ticks Avg. Multiplier
v_input_int_4	3	Max trades after EMA cross
v_input_6	30	Fixed Uptick Value
v_input_7	-30	Fixed Downtick Value
v_input_float_2	0.005	Limit Price Difference
v_input_float_3	0.005	Take Profit
v_input_float_4	0.004	Stop Loss
v_input_float_5	100	Min EMA difference

Source Pine Script

/*backtest
start: 2023-10-02 00:00:00
end: 2023-11-01 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy(title="ComiCo - Joel on Crypto - MACD Scalping", shorttitle="ComiCo - Joel on Crypto - MACD Scalping")
// Getting inputs
slow_length1 = input(title="EMA Trend 1", defval=50)
slow_length2 = input(title="EMA Trend 2 ", defval=200)
fast_length = input(title="MACD Fast Length", defval=12)
slow_length = input(title="MACD Slow Length", defval=26)
signal_length = input.int(title="MACD Signal Smoothing",  minval = 1, maxval = 50, defval = 9)
src = input(title="MACD Source", defval=close)

i_switch = input.string(title="Tick Highlight", defval="Moving average" ,options=["Moving average","Fixed value" ])
i_switch2 = input.string(title="Tick Source", defval="Highest bar" ,options=["Highest bar","Average","Last bar"])

signal_lengthup = input.int(title="Upticks Avg. Length",  minval = 1, maxval = 5000, defval = 72)
signal_lengthdown = input.int(title="Downticks Avg. Length",  minval = 1, maxval = 5000, defval = 72)

signal_lengthMA = input.float(title="Ticks Avg. Multiplier",  minval = 0, maxval = 5000, defval = 2, step = 0.1)

sma_source = "EMA"
sma_signal = "EMA"
// Plot colors

col_grow_above = #26A69A
col_fall_above =#B2DFDB
col_grow_below = #FFCDD2
col_fall_below = #FF5252
// Calculating

fast_ma = sma_source == "SMA" ? ta.sma(src, fast_length) : ta.ema(src, fast_length)
slow_ma = sma_source == "SMA" ? ta.sma(src, slow_length) : ta.ema(src, slow_length)

time_macd=timeframe.period=="1"?"1": timeframe.period=="3"?"1": timeframe.period=="5"?"1": timeframe.period=="15"?"3":timeframe.period=="30"?"5":timeframe.period=="60"?"15":timeframe.period=="120"?"30":timeframe.period=="240"?"60":timeframe.period=="D"?"240":timeframe.period=="W"?"D":timeframe.period=="M"?"W":timeframe.period=="12M"?"M":timeframe.period



macd = fast_ma - slow_ma
macd1=request.security(syminfo.tickerid, time_macd, macd)
signal = sma_signal == "SMA" ? ta.sma(macd1, signal_length) : ta.ema(macd1, signal_length)

ema50=ta.ema(close,slow_length1)
ema200=ta.ema(close ,slow_length2)

var TradeCounter = 0
MaxCount = input.int(title = "Max trades after EMA cross", minval = 0, maxval = 1000, defval = 3)
bull = ema50>ema200
if bull != bull[1]
    TradeCounter := 0


hist = request.security(syminfo.tickerid, time_macd, macd1 - signal)


f() => [hist[4],hist[3],hist[2],hist[1], hist]
ss=request.security(syminfo.tickerid, time_macd, hist, barmerge.gaps_on,barmerge.lookahead_off)



[ss5,ss4,ss3,ss2,ss1]=request.security(syminfo.tickerid, time_macd, f(), barmerge.gaps_on,barmerge.lookahead_off)



a = array.from(ss5,ss4,ss3,ss2,ss1)

s3=i_switch2=="Highest bar"?(ss>0? array.max(a, 0) : array.min(a, 0)):i_switch2=="Average"?array.avg(a):i_switch2=="Last bar"?ss1:0

saa=timeframe.period == '1'? ss:s3

saa2=timeframe.period == '1'? ss:s3*signal_lengthMA


colorss=(s3>=0 ? (s3[1] < s3 ? col_grow_above : col_fall_above) : (s3[1] < s3 ? col_grow_below : col_fall_below))


saadown = saa2
saaup = saa2

saadown:=saa>=0? saa2:saadown[1]

saaup:=saa<0? saa2:saaup[1]



verr=ta.ema(saadown,signal_lengthup)
dowww=ta.ema(saaup,signal_lengthdown)

ss22=plot(verr, title="Avg. Cloud Upper 1", color=color.new(color.white, 100))
ss33=plot(dowww, title="Avg. Cloud Lower 1", color=color.new(color.white, 100))

fill(ss22, ss33, color.new(color.white, 93), title="Avg. Cloud Background")

fixeduptick = input(title="Fixed Uptick Value", defval=30)
fixeddowntick = input(title="Fixed Downtick Value", defval=-30)
minl = i_switch=="Fixed value"? fixeduptick  :  verr
maxl = i_switch=="Fixed value"? fixeddowntick : dowww 

plot(minl, title="Avg. Cloud Upper 2", color=color.new(color.white, 81))
plot(maxl, title="Avg. Cloud Lower 2", color=color.new(color.white, 81))


colors2= s3<=minl and s3>=maxl ? #2a2e39 : colorss

coro2=s3>0? ema50>ema200 ? #2a2e39 :  colors2 : ema50<ema200 ? #2a2e39: colors2
plot(saa, title="Histogram", style=plot.style_columns, color=coro2)

LimitDiff = input.float(title="Limit Price Difference",  minval = 0, maxval = 0.1, defval = 0.005, step = 0.0005)
TP = input.float(title="Take Profit",  minval = 0, maxval = 0.1, defval = 0.005, step = 0.0005)
SL = input.float(title="Stop Loss",  minval = 0, maxval = 0.1, defval = 0.004, step = 0.0005)

minEMAdiff = input.float(title = "Min EMA difference", defval = 100, step = 10)

if #2a2e39 != coro2
    a22 = 0
    if ema50<ema200 and TradeCounter < MaxCount and math.abs(ema50-ema200) > minEMAdiff
        LimitPrice = close * (1 + LimitDiff)
        strategy.entry("enter short", strategy.short, limit = LimitPrice)
        strategy.exit("exit short", "enter short", limit = LimitPrice * (1 - TP), stop = LimitPrice * (1 + SL))
        TradeCounter := TradeCounter + 1
    if ema50>ema200 and TradeCounter < MaxCount and math.abs(ema50-ema200) > minEMAdiff
        LimitPrice = close * (1 - LimitDiff)
        strategy.entry("enter long", strategy.long, limit = LimitPrice)
        strategy.exit("exit long", "enter long", limit = LimitPrice * (1 + TP), stop = LimitPrice * (1 - SL))
        TradeCounter := TradeCounter + 1

//alertcondition(#2a2e39 != coro2 , title='MACD Tick Alert', message='Joel on Crypto - MACD Tick Alert')

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-02. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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