Monday Reversal Intraday Trend Following Strategy

The main idea of this strategy is to profit from Monday's intraday reversal using trend following.

Pine ScriptMean reversion Trend following Machine learning

Author: ChaoZhang
Complexity: Intermediate · 59 lines
Parameters: 8
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

The main idea of this strategy is to profit from Monday's intraday reversal using trend following.

Principles

The core logic is:

Check if it is Monday, if yes, continue to next steps;
Identify if an uptrend reversal pattern exists - Close[1] < Close[2] and Close[2] < Close[3];
If reversal pattern confirmed, go long at the close of 3rd bar to follow the trend;
Exit if today's high is breached, or stop loss is hit;
Close position after 6 hours.

The strategy capitalizes on specific Monday reversal, identifies reversal patterns to go long at relative lows for profits. Stop loss in place to control risks.

Advantages

The biggest advantages are:

Profits from Monday reversals during specific periods;
Clear entry signals from reversal candlestick patterns;
Stop loss and take profit to control risks;
Trend following approach maximizes profits;
Simple and easy to understand logic;

Risks

There are some risks:

Losses if Monday reversals not significant;
Price may retrace after entry leading to stop loss;
Sudden market changes may result in large stop loss;
Holding too long may also lead to losses;

The solutions are optimizing stop loss, shortening holding time, and controlling single loss size.

Enhancements

The strategy can be improved by:

Using machine learning to identify reversals more accurately;
Optimizing stop loss strategies like trailing stop or partial stop loss;
Incorporating more factors to judge trend strength;
Dynamically adjusting holding time;
Using algorithms to find optimal parameters;
Adding position switching for two-way trading;

These can increase the win rate and profitability.

Conclusion

In conclusion, the strategy capitalizes on Monday reversals, with clear entry/exit rules, to implement a simple trend following strategy. It can achieve better results than fixed stop loss/take profit. Further optimizations are needed to address market uncertainty. The strategy provides a reference for intraday trading.

Parameters

Name	Default	What it controls
v_input_1	2018	FirstYear
v_input_2	false	deltaDay
v_input_3	false	StartHour
v_input_4	6	HoldTime
v_input_5	true	MM
v_input_6	-7	startHour
v_input_7	34	endHour
v_input_8	30	exitHour

Source Pine Script

/*backtest
start: 2023-10-06 00:00:00
end: 2023-11-05 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("ET Forex TurnaroundMonday", overlay=true)
FirstYear = input(2018, minval=2000, maxval=2023, step=1)
FirstMonth = 1 //input(1, minval=1, maxval=12, step=1)
FirstDay = 1 //input(1, minval=1, maxval=31, step=1)

deltaDay = input(0)
StartHour = input(0)

f_barssince(_cond, _count) => _barssince=bar_index-valuewhen(_cond, bar_index, _count)

HoldTime = input(6, step=1)

MM = input(1)

startHour = input(-7, step=1)
endHour = input(34, step=1)
exitHour = input(30, step=1)


startdateCond = (year > FirstYear or (year == FirstYear and (month > FirstMonth or (month == FirstMonth and dayofmonth >= FirstDay))))

iHour = hour
if iHour > 19 
    iHour := iHour-20
else
    iHour := iHour+4    
    
    
timeCondition = true //(iHour>=startHour and iHour<=endHour and iHour<=exitHour)

since_flat_condition = strategy.position_size == 0

entryPrice=strategy.position_avg_price
EntryLongCondition = dayofweek == (dayofweek.monday+deltaDay) and close[0] < close[1] and close[1]<close[2] and startdateCond //and timeCondition and iHour > StartHour
ExitTimeCondition = false//(f_barssince(since_flat_condition, 0)>=HoldTime)
ExitLongCondition = strategy.position_size > 0  and (close[0] > high[1])// or close[0]< entryPrice-abs(close[1]-close[2])*0.2)//(ExitTimeCondition) //iHour >= exitHour or 
strategy.initial_capital =50000
// MM Block
lots = if MM < 2 
    strategy.initial_capital 
else 
    strategy.equity

lots := lots/close

entryPrice:=strategy.position_avg_price
strategy.close("ETLong",when=(ExitLongCondition==true))
strategy.entry("ETLong", strategy.long, qty=lots, comment="OpenLong",when=(EntryLongCondition==true))

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-06. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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