MACD RSI Short Term Breakout Strategy

This is a short-term breakout strategy based on the 1-minute MACD indicator and RSI indicator. It combines MACD to determine the trend and find breakout points, and RSI to judge overbought and oversold conditions, to…

Pine ScriptBreakout Scalping Mean reversion RSI MACD EMA SMA Bollinger Bands ATR

Author: ChaoZhang
Complexity: Intermediate · 116 lines
Parameters: 31
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The strategy first calculates the MACD histogram in the 1-minute timeframe, and plots Bollinger Bands to determine the histogram breakout situation. At the same time, it calculates the RSI indicator to determine the long and short momentum. Only when the Bollinger Bands, MACD and RSI indicators all meet the criteria at the same time, trading signals will be triggered.

Specifically, go long when the 1-minute MACD histogram is below the lower band and RSI is above 51, and go short when the MACD histogram is above the upper band and RSI is below 49. It also requires the 9-day, 50-day and 200-day moving averages to be in order before trading, to avoid unfavorable trend trading.

It takes fixed take profit and stop loss exits. Close the position when profit reaches 0.5% or loss reaches 0.3%.

Advantage Analysis

The strategy combines trend judgment and overbought/oversold judgment, which can effectively filter out false breakouts. The fixed TP/SL makes every trade have a certain profit expectation management.

The advantages are:

MACD judges the trend direction and RSI judges the long/short momentum, which can effectively avoid trading against the trend.
Combining Bollinger Bands to judge breakout signals can filter out false breakouts.
Adopting fixed TP/SL, every trade has a certain profit expectation, which controls single trade loss.
The trading frequency is high, suitable for short-term trading.

Risk Analysis

There are also some risks with this strategy:

The fixed TP/SL cannot adjust based on market changes, which may lead to SL too small and TP too large.
It relies on multiple filtered signals, which may lead to multiple SL trigged in range-bound markets.
The high trading frequency leads to heavy commission fees.
The MACD and RSI parameters need further optimization, the current parameters may not be optimal.

The following aspects can be further optimized:

Adopt dynamic TP/SL, adjust ratios based on ATR etc.
Widen Bollinger Bands to narrow the channel, lower the triggering frequency.
Optimize MACD and RSI parameters to find the best combination.
Filter based on higher timeframe trends to avoid trading against the trend.

Summary

Overall this strategy is a typical short-term breakout system, incorporating trend, momentum and overbought/oversold analysis, which can effectively discover short-term opportunities. But there are certain risks, requiring further testing and parameter optimization to lower risks and improve profitability. If tuned properly, this strategy can become an efficient short-term trading strategy.

Parameters

Name	Default	What it controls
v_input_1	12	Fast Length
v_input_2	26	Slow Length
v_input_3_close	0	Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_int_1	9	Signal Smoothing
v_input_string_1	0	Oscillator MA Type: EMA \| SMA
v_input_string_2	0	Signal Line MA Type: EMA \| SMA
v_input_int_2	9	Length
v_input_10_close	0	Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_int_3	false	Offset
v_input_int_4	50	Length
v_input_11_close	0	Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_int_5	false	Offset
v_input_int_6	200	Length
v_input_12_close	0	Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_int_7	false	Offset
v_input_int_8	94	LengthBB Long
v_input_int_9	83	LengthBB Short
v_input_float_1	2	StdDev
v_input_int_10	false	Offset
v_input_int_11	11	Rsi Length Long
v_input_int_12	29	Rsi Length Short
v_input_float_2	0.5	Take Profit %
v_input_float_3	0.3	Stop Loss %
v_input_13	-10	MacdTick Low
v_input_14	35	MacdTick High
v_input_4	#2962FF	(?Color Settings)MACD Line
v_input_5	#FF6D00	Signal Line
v_input_6	#26A69A	(?Histogram)Above Grow
v_input_7	#B2DFDB	Fall
v_input_8	#FFCDD2	Below Grow
v_input_9	#FF5252	Fall

Source Pine Script

/*backtest
start: 2023-09-06 00:00:00
end: 2023-10-06 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © pluckyCraft54926

//@version=5
strategy("5 Minute Scalp", overlay=true, margin_long=100, margin_short=100)

fast_length = input(title="Fast Length", defval=12)
slow_length = input(title="Slow Length", defval=26)
src = input(title="Source", defval=close)
signal_length = input.int(title="Signal Smoothing",  minval = 1, maxval = 50, defval = 9)
sma_source = input.string(title="Oscillator MA Type",  defval="EMA", options=["SMA", "EMA"])
sma_signal = input.string(title="Signal Line MA Type", defval="EMA", options=["SMA", "EMA"])
// Plot colors
col_macd = input(#2962FF, "MACD Line  ", group="Color Settings", inline="MACD")
col_signal = input(#FF6D00, "Signal Line  ", group="Color Settings", inline="Signal")
col_grow_above = input(#26A69A, "Above   Grow", group="Histogram", inline="Above")
col_fall_above = input(#B2DFDB, "Fall", group="Histogram", inline="Above")
col_grow_below = input(#FFCDD2, "Below Grow", group="Histogram", inline="Below")
col_fall_below = input(#FF5252, "Fall", group="Histogram", inline="Below")
// 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)
macd = fast_ma - slow_ma
signal = sma_signal == "SMA" ? ta.sma(macd, signal_length) : ta.ema(macd, signal_length)
hist = macd - signal
hist_1m = request.security(syminfo.tickerid,"1",hist [barstate.isrealtime ? 1 : 0])
hline(0, "Zero Line", color=color.new(#787B86, 50))
////////////////////////////////////////////////////
//plotting emas on the chart
len1 = input.int(9, minval=1, title="Length")
src1 = input(close, title="Source")
offset1 = input.int(title="Offset", defval=0, minval=-500, maxval=500)
out1 = ta.ema(src1, len1)
plot(out1, title="EMA9", color=color.blue, offset=offset1)

len2 = input.int(50, minval=1, title="Length")
src2 = input(close, title="Source")
offset2 = input.int(title="Offset", defval=0, minval=-500, maxval=500)
out2 = ta.ema(src2, len2)
plot(out2, title="EMA50", color=color.yellow, offset=offset2)

len3 = input.int(200, minval=1, title="Length")
src3 = input(close, title="Source")
offset3 = input.int(title="Offset", defval=0, minval=-500, maxval=500)
out3 = ta.ema(src3, len3)
plot(out3, title="EMA200", color=color.white, offset=offset3)
//////////////////////////////////////////////////////////////////
//Setting up the BB
/////////////////////////////////////////////////////////////
srcBB = hist_1m
lengthBBLong = input.int(94,title = "LengthBB Long", minval=1)
lengthBBShort = input.int(83,title = "LengthBB Short", minval=1)
multBB = input.float(2.0, minval=0.001, maxval=50, title="StdDev")
basisBBLong = ta.sma(srcBB, lengthBBLong)
basisBBShort = ta.sma(srcBB, lengthBBShort)
devBBLong = multBB * ta.stdev(srcBB, lengthBBLong)
devBBShort = multBB * ta.stdev(srcBB, lengthBBShort)
upperBB = basisBBShort + devBBShort
lowerBB = basisBBLong - devBBLong
offsetBB = input.int(0, "Offset", minval = -500, maxval = 500)

/////////////////////////////////////////
//aetting up rsi
///////////////////////////////////////////
rsilengthlong = input.int(defval = 11, title = "Rsi Length Long", minval = 1)
rlong=ta.rsi(close,rsilengthlong)
rsilengthshort = input.int(defval = 29, title = "Rsi Length Short", minval = 1)
rshort=ta.rsi(close,rsilengthshort)
///////////////////////////
//Only taking long and shorts, if RSI is above 51 or bellow 49
rsilong = rlong >= 51
rsishort = rshort <= 49
//////////////////////////////////////
//only taking trades if all 3 emas are in the correct order
long = out1 > out2 and out2 > out3
short = out1 < out2 and out2 < out3
/////////////////////////////////////


///////////////////////////////////////////
//setting up TP and SL
TP = input.float(defval = 0.5, title = "Take Profit %",step = 0.1) / 100
SL = input.float(defval = 0.3, title = "Stop Loss %", step = 0.1) / 100

longCondition = hist_1m <= lowerBB
longhight = input(defval=-10,title = "MacdTick Low")
if (longCondition and long and rsilong and hist_1m <= longhight) 
    strategy.entry("Long", strategy.long)

if (strategy.position_size>0)
    longstop = strategy.position_avg_price * (1-SL)
    longprofit = strategy.position_avg_price * (1+TP)
    strategy.exit(id ="close long",from_entry="Long",stop=longstop,limit=longprofit)

shortCondition = hist_1m >= upperBB
shorthight = input(defval=35,title = "MacdTick High")
if (shortCondition and short and rsishort and hist_1m >= shorthight)
    strategy.entry("short ", strategy.short)

shortstop = strategy.position_avg_price * (1+SL)
shortprofit = strategy.position_avg_price * (1-TP)

if (strategy.position_size<0)
    strategy.exit(id ="close short",stop=shortstop,limit=shortprofit)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-10-07. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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