Momentum Trend Following MACD RSI Dual Confirmation Trading Strategy

Pine ScriptMomentum Trend following Mean reversion RSI MACD ATR

Author: ChaoZhang
Complexity: Starter · 71 lines
Parameters: 0
Backtest bar: 4h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

This strategy is a trend-following trading system that combines MACD and RSI technical indicators. It captures price trend changes using MACD while utilizing RSI for overbought/oversold confirmation, implementing a dual-signal validation approach. The strategy employs fixed money management for position control and includes a trailing stop mechanism to protect profits.

Strategy Principles

The core logic of the strategy is based on several key elements:

The MACD signal system uses shorter periods (6,13,5), increasing sensitivity to market reactions. When the MACD line crosses above the signal line, it indicates a potential upward trend.
RSI serves as an auxiliary confirmation tool, with 30 set as the oversold threshold. Buy signals are only triggered when the RSI value is greater than or equal to 30, avoiding frequent trading in oversold areas.
Money management adopts a fixed amount strategy, investing 110 quote currency per trade, with position size calculated dynamically based on current price.
The trailing stop mechanism is set at 2% tracking distance, effectively locking in profits and controlling drawdown risk.

Strategy Advantages

The dual technical indicator confirmation mechanism increases the reliability of trading signals and reduces interference from false signals.
Using shorter MACD periods improves the strategy's sensitivity and response speed to market changes.
Fixed amount trading simplifies money management, facilitating risk control and profit tracking.
The trailing stop mechanism automatically adjusts stop-loss positions, protecting profits while allowing sufficient price movement.
The strategy logic is clear and simple, easy to understand and maintain, while offering good scalability.

Strategy Risks

Short MACD periods may generate excessive trading signals in oscillating markets, increasing transaction costs.
Setting the RSI oversold threshold at 30 might miss some important trend initiation opportunities.
Fixed amount trading may not fully utilize account funds, affecting overall returns.
The 2% trailing stop distance might be too close in highly volatile markets, leading to premature exits.
The strategy only supports long positions, unable to profit in downward trends.

Strategy Optimization Directions

Consider dynamically adjusting MACD parameters based on different market cycles to improve adaptability.
Introduce volatility indicators (such as ATR) to dynamically adjust trailing stop distance, enhancing stop-loss effectiveness.
Consider adding short-selling mechanisms to profit in both market directions.
Incorporate market volume indicators to improve signal confirmation reliability.
Suggest implementing dynamic position management to automatically adjust trading size based on account equity and market risk levels.

Summary

This is a trend-following strategy based on classic technical indicators, achieving reliable trading signal generation through the combined use of MACD and RSI. The strategy's overall design is concise and practical, with good real-world application value. Through reasonable parameter optimization and functional expansion, this strategy has the potential to achieve stable trading performance across different market environments.

Source Pine Script

/*backtest
start: 2024-11-11 00:00:00
end: 2024-12-11 00:00:00
period: 4h
basePeriod: 4h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © cryptohitman09

//@version=6
strategy("MACD + RSI Trading System - Buy $110", overlay=true)

// MACD Settings
fastLength = input.int(6, title="MACD Fast Length")
slowLength = input.int(13, title="MACD Slow Length")
signalSmoothing = input.int(5, title="MACD Signal Smoothing")
[macdLine, signalLine, _] = ta.macd(close, fastLength, slowLength, signalSmoothing)

// RSI Settings
rsiLength = input.int(14, title="RSI Length")  // RSI Calculation cycle
rsiValue = ta.rsi(close, rsiLength)  // Calculate RSI value
rsiThresholdHigh = input.int(70, title="RSI Overbought threshold")  // RSI Overbought threshold
rsiThresholdLow = input.int(30, title="RSI Oversold threshold")  // RSI Oversold threshold

// Long signal conditions:MACD Line breaks through signal line, and RSI Not less than 30
buySignal = (macdLine > signalLine) and (rsiValue >= rsiThresholdLow) // Only trigger buy when RSI is greater than or equal to 30

// Calculate the position of each transaction (the target of each transaction is 110 USD Purchase Amount)
tradeAmount = 20010  // Buy $110 each time
orderSize = tradeAmount / close  // Calculate position size based on current price

// Trailing Stop(Trailing Stop)
enableTrailingStop = input.bool(true, title="Enable trailing stop")
trailingStopDistance = input.float(2, title="Trailing stop distance (%)") / 89500  // Increase the distance of trailing stop loss
longTrailingStop = strategy.position_avg_price * (1 - trailingStopDistance)

// Trading logic: long only
if buySignal
    strategy.entry("buy", strategy.long, qty=orderSize)
    if enableTrailingStop
        strategy.exit("sell", from_entry="buy", trail_price=longTrailingStop, trail_offset=trailingStopDistance * close)                                                                               

// Draw MACD Indicator
plot(macdLine, color=color.blue, title="MACD Line")
plot(signalLine, color=color.red, title="Signal Line")

// Draw RSI value
plot(rsiValue, color=color.orange, title="RSI Value")
hline(rsiThresholdHigh, "RSI Overbought", color=color.red)
hline(rsiThresholdLow, "RSI Oversold", color=color.green)

// Draw buy signal
plotshape(series=buySignal, location=location.belowbar, color=color.green, style=shape.labelup, title="Buy Signal", text="BUY")

// If a buy signal is triggered, send an alert
if buySignal
    alert('{"secret": "eyJhbGciOiJIUzI1NiJ9.eyJzaWduYWxzX3NvdXJjZV9pZCI6MTAwMDAyfQ.G1wLNjNyUPlTqYWsIqXSWnn_M4pRCKerBm7eTpyCiH8", "max_lag": "300", "timestamp": "{{timenow}}", "trigger_price": "{{close}}", "tv_exchange": "{{exchange}}", "tv_instrument": "{{ticker}}", "action": "{{strategy.order.action}}", "bot_uuid": "493b76f0-8a3c-4633-8b2b-90c02659dd4d", "strategy_info": {"market_position": "{{strategy.market_position}}", "market_position_size": "{{strategy.market_position_size}}", "prev_market_position": "{{strategy.prev_market_position}}", "prev_market_position_size": "{{strategy.prev_market_position_size}}"}, "order": {"amount": "{{strategy.order.contracts}}", "currency_type": "base"}}', alert.freq_once_per_bar_close)

Published by ChaoZhang on the FMZ strategy square · last modified 2024-12-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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