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Strategy vault / Breakout

Moving Average Oscillation HODL Strategy

This strategy observes price oscillation around long-period moving averages (e.g. 200-day) to determine hold signals, trading breakouts for position entry and using break below as stop loss. It aims to minimize…

Pine ScriptBreakoutMean reversionTrend followingEMASMA
Author
ChaoZhang
Complexity
Intermediate · 48 lines
Parameters
8
Backtest bar
1d · swing
Tested on
BTC/USDT · futures
Jump to codeView in vaultOriginal on FMZ

This strategy observes price oscillation around long-period moving averages (e.g. 200-day) to determine hold signals, trading breakouts for position entry and using break below as stop loss. It aims to minimize trading frequency for long-term holding.

Strategy Logic:

  1. Calculate a long-period moving average, typically 200-day.

  2. Enter long when price breaks above the moving average.

  3. Exit long when price breaks back below the moving average.

  4. Hold long position until break below stop loss.

Advantages:

  1. Long-period MA effectively identifies mid-to-long term trends.

  2. Breakout trading captures long-term reversals in a timely manner.

  3. Lower trading frequency reduces costs and risks.

Risks:

  1. Longer MAs lag significantly, resulting in poor entry timing.

  2. No limit on post-breakout drawdown risks.

  3. Frequent minor breakouts bring sustained small losses.

In summary, this HODL strategy uses long MA oscillation to determine hold timing, minimizing trade frequency. But parameter optimization and stop loss placement could improve performance and risk control for steady long-term gains.

Parameters

NameDefaultWhat it controls
v_input_12017Backtest Start Year
v_input_2trueBacktest Start Month
v_input_3trueBacktest Start Day
v_input_42029Backtest Stop Year
v_input_5trueBacktest Stop Month
v_input_6trueBacktest Stop Day
v_input_7200MA Period
v_input_80smoothing: EMA | SMA

Source Pine Script

/*backtest
start: 2022-09-05 00:00:00
end: 2023-04-15 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("HODLBot", default_qty_type=strategy.percent_of_equity, default_qty_value=100, calc_on_every_tick=true, overlay=true)
    
//// Time limits 
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(01, "Backtest Start Month")
testStartDay = input(01, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = input(2029, "Backtest Stop Year")
testStopMonth = input(1, "Backtest Stop Month")
testStopDay = input(1, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

testPeriod() => true

maPeriod = input(200, "MA Period")
smoothing = input(defval="EMA", options=["EMA", "SMA"])

ma(smoothing, src, length) => 
    if smoothing == "EMA"
        ema(src, length)
    else
        if smoothing == "SMA"
            sma(src, length)
        
//// Main ////

movingAverage = ma(smoothing, close, maPeriod)

plot(movingAverage, color=orange, style = line, linewidth = 4)
 
// very simple, price over MA? Buy and HODL 
if (testPeriod() and close > movingAverage)
    strategy.entry("HODL", strategy.long)

// Price under, close long
if (testPeriod() and close < movingAverage)
    strategy.close("HODL")

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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