Martingale Strategy with Expanded Moving Average Range for Stock Trading

This strategy identifies trends by expanding the interval between moving averages. When an upward trend is identified, it gradually builds up long positions to profit from the trend. At the same time, stop loss…

Pine ScriptMartingale Breakout Trend following RSI EMA SMA Stochastic

Author: ChaoZhang
Complexity: Intermediate · 75 lines
Parameters: 21
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

Set two moving averages, EMA1 and EMA2, with slightly different periods, e.g. 55 and 89. This creates a wider range between the MAs.
When price breaks above the MAs, it signals an upward trend. Long positions can then be gradually built up.
After taking a position, continue pyramiding when price keeps rising. This allows higher profits from the trend.
Set a stop loss point below the MAs. When price drops below the MA, close longs to stop loss. The stop loss floats up with entry price.
This allows pyramiding positions to profit from a trend, while setting a stop loss to control risks.

Advantage Analysis

The wider MA range helps clearly identify trends.
Pyramiding creates higher returns from trends.
Dynamic stop loss takes profits from trends while limiting losses.
Suitable for long-term trend trading.

Risk Analysis

Trend must be correctly identified, otherwise losses accelerate.
Pyramiding must be controlled to avoid margin call risks.
Stop loss must be reasonably set, too wide may expand losses, too tight may cause whipsaws.
Liquidity must be considered, low liquidity assets are unsuitable.

Optimization Suggestions

Add more indicators like RSI, KD to confirm trends and avoid false breakouts.
Optimize MA periods based on asset characteristics to find best combinations.
Research optimal pyramiding models to control position sizing risks.
Consider partial profit taking to lock in gains and reduce drawdowns.
Set stop loss based on asset volatility to balance protection and avoiding whipsaws.

Summary

This strategy identifies trends with wider MA range, pyramids positions to profit from trends, and sets a floating stop loss to control risks. It can achieve good returns in trends, but needs further optimization on entry signals, pyramiding, stop loss etc. to become more robust across different assets.

Parameters

Name	Default	What it controls
v_input_1	55	EMA1
v_input_2	89	EMA2
v_input_3	6	Max open Orders
v_input_4	2	Multiplier
v_input_5	true	BuyLvl
v_input_6	3	Profit
v_input_7	2	DoubleUpLimit
v_input_8	true	From Day
v_input_9	true	From Month
v_input_10	2019	From Year
v_input_11	true	To Day
v_input_12	true	To Month
v_input_13	2020	To Year
v_input_14	false	RSIFilter
v_input_15	35	RSI
v_input_16	14	lengthRSI
v_input_17_close	0	RSI Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_18	false	StochRSIFilter
v_input_19	14	lengthStoch
v_input_20	3	smoothK
v_input_21	3	smoothD

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=2
// strategy(title='Super Simple Martingale Buying', shorttitle="Martingale v5",overlay=true, pyramiding = 10, initial_capital=1, calc_on_order_fills = true)


// Revision:        1
// Author:          @ToS_MavericK

// === INPUT SMA ===
EMA1  = input(55)
EMA2  = input(89)

Amount  = input(defval = 6, type = float, title = "Max open Orders", minval = 1, step = 1)
Multiplier  = input(defval = 2  , type = float, title = "Multiplier", minval = 1, step = 0.1)
BuyLvl  = input(defval = 1, type = float, title = "BuyLvl", minval = 0, step = 0.1)
Profit  = input(3)
DoubleUpLimit    = input(2)

// === INPUT BACKTEST RANGE ===
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth   = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear    = input(defval = 2019, title = "From Year", minval = 2012)
ToDay   = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear  = input(defval = 2020, title = "To Year", minval = 2012)

RSIFilter = input(false)
minRSI  = input(defval = 35,  title = "RSI", minval = 1, step = 1)
lengthRSI = input(14, minval=1)
src = input(close, title="RSI Source")

StochRSIFilter = input(false)
lengthStoch = input(14, minval=1)
smoothK = input(3, minval=1)
smoothD = input(3, minval=1)

rsi = rsi(src, lengthRSI)
k = sma(stoch(rsi, rsi, rsi, lengthStoch), smoothK)
d = sma(k, smoothD)

// === FUNCTION EXAMPLE ===
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
window()  => true // create function "within window of time"

// === SERIES SETUP ===
vEMA1 = ema(close, EMA1)
vEMA2 = ema(close, EMA2)

buy  =  (rsi < minRSI or RSIFilter == false) and ((crossover(k,d) and k < 20) or StochRSIFilter == false) and ((close < vEMA1 * (1 - BuyLvl/100) and vEMA1 < vEMA2) or (close < vEMA2 * (1 - BuyLvl/100) and vEMA2 < vEMA1))

BuyPrice = strategy.position_avg_price * (1 - DoubleUpLimit/50)
SellPrice = strategy.position_avg_price * (1 + Profit/(100*strategy.opentrades))

// Exit first, due to the limit orders, which can be hit on the same bar
strategy.exit("EMA1", limit = SellPrice, when = window() and strategy.opentrades > 0)
strategy.close("EMA1",when = time > finish) // close positions at the end of the specified time period

// Normal entry
strategy.entry("EMA1", strategy.long,qty = strategy.equity/ (close * pow(2,Amount - 1)), when = window() and strategy.opentrades == 0 and buy)
// Martingale
strategy.entry("EMA1", strategy.long,qty = strategy.position_size, limit = strategy.position_avg_price * (1 - DoubleUpLimit/100), when = window() and strategy.opentrades == 1)
strategy.entry("EMA1", strategy.long,qty = strategy.position_size, limit = BuyPrice, when = window() and strategy.opentrades > 1 and strategy.opentrades < Amount)

plot(vEMA1, title = 'EMA1', color = orange, linewidth = 2, style = line)
plot(vEMA2, title = 'EMA2', color = yellow, linewidth = 2, style = line)
plot(BuyPrice[1], title = 'BuyPrice', color = red, linewidth = 2, style = line)
plot(SellPrice[1], title = 'SellPrice', color = green, linewidth = 2, style = line)

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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