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Strategy vault / Trend following

MACDMA Indicator Combination Strategy

The MA indicator is short for English(Moving average) and is called the moving average indicator. The moving average(MA) has a trending characteristic, which is relatively stable, unlike the day K line that will rise…

MyLanguageTrend followingTools & templatesMACDEMA
Author
Zero
Complexity
Starter · 45 lines
Parameters
0
Jump to codeView in vaultOriginal on FMZ

The MA indicator is short for English(Moving average) and is called the moving average indicator. The moving average(MA) has a trending characteristic, which is relatively stable, unlike the day K line that will rise and fall. The longer the moving average, the more stable the performance. Not easily up and down, you must wait for the true clarity of the stock price trend. The moving average is, in the final analysis, a trend-tracking tool that makes it easy to identify whether a trend has ended or reversed and whether a new trend is emerging.

In this issue, we share the MACD+MA index combination strategy. In the technical analysis, the combination of indicators is very common. Different indicators have different operation points and analysis methods. The combination of indicators can enhance the accuracy of the signal. The strategy is to compare the relationship between price and MA, and then measure the price movement acceleration by MACD index to judge the state of the market and construct a simple timing trading strategy.

Source MyLanguage

(*backtest
start: 2018-11-01 00:00:00
end: 2018-11-22 00:00:00
period: 1h
exchanges: [{"eid":"Bitfinex","currency":"BTC_USD"}]
*)


// MACD calculation
FASTLENGTH:=12;
SLOWLENGTH:=26; 
MACDLENGTH:=9;

// Length of MA
L1:=50;
L2:=120;

// stop loss stop loss 5%	
STOPLOSS:=5; 

//MACD
MACDVALUE:=EMA(CLOSE,FASTLENGTH)-EMA(CLOSE,SLOWLENGTH);
AVGMACD:=EMA(MACDVALUE,MACDLENGTH);
MACDDIFF:=MACDVALUE-AVGMACD;

//MA1,MA2
DMA1:=MA(C,L1);
DMA2:=MA(C,L2);
BUYCONDITION:=MACDVALUE>0 && DMA1>DMA2 && MACDDIFF>0 && C>DMA1 && REF(C,1)>REF(DMA1,1);
SELLCONDITION:=MACDVALUE<0 && DMA1<DMA2 && MACDDIFF<0 && C<DMA1 && REF(C,1)<REF(DMA1,1);

// Conditions for opening a position When to open position
BKVOL=0 AND BUYCONDITION,BK;
SETSIGPRICETYPE(BK,NEW_ORDER);
SKVOL=0 AND SELLCONDITION,SK;
SETSIGPRICETYPE(SK,NEW_ORDER);

// Exit conditions When to close position
BKVOL>0 AND (REF(MACDVALUE,1)<0 OR REF(DMA1,1)<REF(DMA2,1)),SP;
SKVOL>0 AND (REF(MACDVALUE,1)>0 OR REF(DMA1,1)>REF(DMA2,1)),BP;

// Start stop loss Start stop loss
SKVOL>0 AND HIGH>=SKPRICE*(1+STOPLOSS*0.01),BP;
BKVOL>0 AND LOW<=BKPRICE*(1-STOPLOSS*0.01),SP;
AUTOFILTER;

Published by Zero on the FMZ strategy square · last modified 2018-12-14. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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