Momentum Breakthrough Silver Line Strategy

This strategy is a breakout strategy based on the price momentum indicator MACD and moving average, suitable for 1-hour timeframe on silver (XAG/USD, XAG/EUR). The key is to combine price trends and momentum…

Pine ScriptBreakout Momentum Mean reversion MACD EMA SMA

Author: ChaoZhang
Complexity: Intermediate · 86 lines
Parameters: 15
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

When the MACD histogram changes from negative to positive and continuously breaks through the signal line, it indicates that the short-term uptrend is stronger. At the same time, if the closing price breaks through the rising trend of the moving average, it generates a long signal. Similarly, when the MACD histogram changes from positive to negative and falls below the signal line, and the closing price falls below the downward trend of the moving average, it generates a short signal.

Specifically, the conditions for determining the long entry signal of this strategy are:

The MACD histogram is positive
The current histogram bar is higher than the previous one
The closing price is higher than the moving average
The closing price is higher than the highest price of the recent 3 K-lines

The conditions for determining the short entry signal are just the opposite.

Once the position is opened, it is closed unconditionally when the next K-line closes. This strategy does not set profit taking or stop loss points, aiming to capture the starting point of trend outbreaks.

Advantage Analysis

This strategy combines price and momentum indicators to determine the timing of trend reversals more accurately with a higher winning rate. The way of unconditional closing in the next K line can effectively avoid the loss again after the reversal fails.

No setting of profit taking and stop loss meets the needs of investors pursuing high returns.

Risk Analysis

Lack of stop loss can easily lead to loss fixation and higher risk of loss. If the reversal signal fails, loss may mount due to the inability to stop loss in time.

The way of unconditional closing in the next K line makes it difficult to continuously capture trend profits.

Optimization Suggestions

It's possible to consider adding appropriate stop-loss strategies on the basis of high-win breakthrough buys to reduce risk of loss.

It's also possible to combine advanced techniques to re-enter positions after closing, attempting to continuously capture trend profits.

Summary

In general, this strategy belongs to an aggressive high-risk strategy. Due to no stop loss setting, investors need to bear greater risk of loss. But if the reversal is successful, the opportunity to open positions with full lots in the first place can also result in high returns. It is suitable for aggressive investors with relatively strong psychological endurance.

Parameters

Name	Default	What it controls
v_input_1	true	From Day
v_input_2	true	From Month
v_input_3	2020	From Year
v_input_4	31	To Day
v_input_5	12	To Month
v_input_6	2020	To Year
v_input_7	10	Length
v_input_8_close	0	Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_9	12	Fast Length
v_input_10	26	Slow Length
v_input_11	9	Signal Smoothing
v_input_12	false	Simple MA(Oscillator)
v_input_13	false	Simple MA(Signal Line)
v_input_14	true	option1
v_input_15	true	option2

Source Pine Script

/*backtest
start: 2023-01-31 00:00:00
end: 2024-01-13 05:20:00
period: 1d
basePeriod: 1h
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/
// © SoftKill21

//@version=4
strategy("XAG strategy 1h",overlay=true)
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 = 2020, title = "From Year", minval = 1970)
var gica = 0
var marcel = gica+2
 //monday and session 
// To Date Inputs
toDay = input(defval = 31, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2020, title = "To Year", minval = 1970)

startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
len = input(10, minval=1, title="Length")
src = input(close, title="Source")
out = sma(src, len)

//distanta = input(1.004)

fast_length = input(title="Fast Length", type=input.integer, defval=12)
slow_length = input(title="Slow Length", type=input.integer, defval=26)
signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 9)
sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=false)
sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=false)
// Plot colors
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350
col_macd = #0094ff
col_signal = #ff6a00
// Calculating
fast_ma = sma_source ? sma(src, fast_length) : ema(src, fast_length)
slow_ma = sma_source ? sma(src, slow_length) : ema(src, slow_length)
macd = fast_ma - slow_ma
signal = sma_signal ? sma(macd, signal_length) : ema(macd, signal_length)
hist = macd - signal

option1=input(true)
option2=input(true)

long2 =  close > open  and time_cond and close > out and hist > 0 and hist > hist[1] 
short2 =  close < open  and time_cond and close < out and hist < 0 and hist < hist[1] 

long1 = (close > open ) and time_cond and close > out and hist > 0 and  hist > hist[1] and high > high[1] and high[1] > high[2] and close > high[1] and close > high[2] and close > high[3] 
short1 = (close < open)  and time_cond and close < out and hist < 0 and  hist < hist[1] and low < low[1] and low[1] < low[2]  and close < low[1] and close < low[2] and close < low[3] 

if(option1)
    strategy.entry("long",1,when= short1)
    strategy.entry("short",0,when=long1)
    strategy.close_all()

if(option2)

    strategy.entry("long",1,when= short2)
    strategy.entry("short",0,when=long2)
    strategy.close_all()

// if(strategy.openprofit < 0)
//     strategy.close_all()
// if(strategy.openprofit>0)
//     strategy.close("long",when = close < open )
//     strategy.close("short",when = close > open)
//     strategy.close("long",when= close < open)
//     strategy.close("short",when= close> open)


// tp = input(0.0003)
// sl = input(0.005)
// strategy.exit("closelong", "long" , profit = close * tp / syminfo.mintick, loss = close * sl / syminfo.mintick, alert_message = "closelong")
// strategy.exit("closeshort", "short" , profit = close * tp / syminfo.mintick, loss = close * sl / syminfo.mintick, alert_message = "closeshort")

Published by ChaoZhang on the FMZ strategy square · last modified 2024-02-01. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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