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Strategy vault / Breakout

MACD Indicator Breakout Trading Strategy

This strategy trades MACD crossover signals for entry and exit decisions. MACD is composed of fast and slow EMAs, and crossover of the MACD line over zero generates trade signals. It is a typical trend-following…

Pine ScriptBreakoutTrend followingMACDEMA
Author
ChaoZhang
Complexity
Intermediate · 81 lines
Parameters
11
Backtest bar
1d · swing
Tested on
BTC/USDT · futures
Jump to codeView in vaultOriginal on FMZ

This strategy trades MACD crossover signals for entry and exit decisions. MACD is composed of fast and slow EMAs, and crossover of the MACD line over zero generates trade signals. It is a typical trend-following quantitative strategy.

Strategy Logic:

  1. Calculate fast EMA and slow EMA, their difference forms the MACD line.

  2. Smooth the MACD line using another EMA to derive the signal line.

  3. Go long on MACD crossing above signal, and short on crossing below.

  4. Set percentage stop loss and take profit for risk management.

Advantages:

  1. MACD improves on single EMA for clearer trend identification.

  2. Breakout trading captures turning points in a timely manner.

  3. Stop loss/take profit mechanisms help control trade risks.

Risks:

  1. More false breakouts near MACD zero line.

  2. Parameter tuning needed for different trading instruments.

  3. Trend trading prone to event risks, requiring stops.

In summary, this strategy trades based on MACD and signal line crossover. MACD's strengths benefit performance but false breakout risks remain. Prudent risk controls are still required for steady gains over the long run.

Parameters

NameDefaultWhat it controls
v_input_16From Month
v_input_2trueFrom Day
v_input_32018From Year
v_input_46To Month
v_input_5trueTo Day
v_input_62020To Year
v_input_712MACD fast
v_input_826MACD slow
v_input_99MACD length
v_input_1010Stop Loss (price %)
v_input_1150Take Profit (price %)

Source Pine Script

/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3 
strategy("uray MACD", overlay=false, pyramiding = 0, calc_on_every_tick=true, precision=2, currency="USD", default_qty_value=10, default_qty_type=strategy.cash,initial_capital=100,commission_type=strategy.commission.percent,commission_value=0.1) 

// === INPUT BACKTEST RANGE ===
FromMonth = input(defval = 6, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2018, title = "From Year", minval = 2017)
ToMonth   = input(defval = 6, title = "To Month", minval = 1, maxval = 12)
ToDay     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear    = input(defval = 2020, title = "To Year", minval = 2017)

// === FUNCTION EXAMPLE ===
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
inTimeframe()  => true


isPosLong    = strategy.position_size > 0
isPosShort   = strategy.position_size < 0
isNoMarginPos= strategy.position_size == 0

fastLength    = input(12, minval = 1, title = "MACD fast")
slowlength    = input(26, minval = 1, title = "MACD slow")
MACDLength    = input( 9, minval = 1, title = "MACD length")
stopLoss      = input( 10, minval = 1, title = "Stop Loss (price %)", type=float)
takeProfit    = input( 50, minval = 1, title = "Take Profit (price %)", type=float)
src           = close   // Source of Calculations (Close of Bar)

MACD  = ta.ema(src, fastLength) - ta.ema(src, slowlength)
aMACD = ta.ema(MACD, MACDLength)
delta = MACD - aMACD
stopLossValue      = close*(stopLoss/100)/syminfo.mintick
takeProfitValue    = close*(takeProfit/100)/syminfo.mintick
switchLongTrigger  = ta.crossover(delta, 0)
switchShortTrigger = ta.crossunder(delta, 0)
closeLongTrigger   = ta.crossunder(delta, 0)
closeShortTrigger  = ta.crossover(delta, 0)
entryLongTrigger   = ta.crossover(delta, 0)
entryShortTrigger  = ta.crossunder(delta, 0)

// if inTimeframe()
//     if isNoMarginPos
//         if entryLongTrigger
//             strategy.entry("Long", strategy.long,  comment="Entry Long")
//             strategy.exit("Stop (long SL/TP)", loss=stopLossValue, profit=takeProfitValue)   
//         if entryShortTrigger
//             strategy.entry("Short", strategy.short, comment="Entry Short")  
//             strategy.exit("Stop (short SL/TP)", loss=stopLossValue, profit=takeProfitValue)   
//     if isPosShort
//         if switchLongTrigger
//             strategy.close_all()    
//             strategy.entry("Long", strategy.long, comment="switch Long")
//             strategy.exit("Stop (long SL/TP)", loss=stopLossValue, profit=takeProfitValue)   
//         if closeLongTrigger
//             strategy.close_all()    
//     if isPosLong 
//         if switchShortTrigger
//             strategy.close_all()   
//             strategy.entry("Short", strategy.short, comment="switch Short")
//             strategy.exit("Stop (short SL/TP)", loss=stopLossValue, profit=takeProfitValue) 
//         if closeShortTrigger
//             strategy.close_all()   

if inTimeframe()
    strategy.entry("Long", strategy.long,  comment="Entry Long", when=entryLongTrigger)
    strategy.close("Long", when=entryShortTrigger)
    strategy.entry("Short", strategy.short,  comment="Entry Short", when=entryShortTrigger)
    strategy.close("Short", when=entryLongTrigger)
    strategy.exit("Stop (short SL/TP)", loss=stopLossValue, profit=takeProfitValue, when=entryShortTrigger) 
    strategy.exit("Stop (long SL/TP)", loss=stopLossValue, profit=takeProfitValue, when=entryLongTrigger)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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