Moving Average Scalping Strategy

This strategy belongs to the scalping strategy type, aiming to open and close positions frequently to profit from small gains while limiting downside risks. It identifies potential reversal points with moving…

Pine ScriptScalping Mean reversion Trend following MACD SMA

Author: ChaoZhang
Complexity: Intermediate · 57 lines
Parameters: 13
Backtest bar: 4h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The strategy uses 4 moving averages - 9, 50, 100, and 200 periods.

The specific trading rules are:

Go long when 9 MA crosses above 50 MA
50 MA is below 100 MA
100 MA is below 200 MA

This combination identifies situations when price is in short-term downtrend but a reversal may occur.

Exit rule is when 9 MA crosses above 200 MA. A near profit target is used to lock in frequent small gains for steady profits.

Advantages

Frequent opening and closing controls single loss
MA crossover catches potential bottoms
Near profit target locks in small certain wins
Reduced holding time minimizes trend influence
High capital utilization suitable for small accounts

Risks

MA lag may miss best entry points
Small profit range vulnerable to fees
More invalid trades increase time and energy costs
Excessively conservative TP fails to ride trends
Hard to profit in range-bound markets

Risks can be reduced by:

Optimizing MA parameters for better signal accuracy
Relaxing TP to capture more trend profits
Adding other indicators for confirmation, reducing invalid trades
Optimizing capital utilization and position sizing
Considering re-entries

Optimization Directions

The strategy can be improved by:

Optimizing MA combinations

Testing more MA periods for better reversal detection.
Widening take profit levels

Allow wider TP distance for more trend profits.
Adding other indicators

Such as KDJ, MACD for confirmation to reduce invalid trades.
Position sizing optimization

Dynamically size positions based on specific TP and SL.
Adding re-entry rules

Consider re-entering after TP if trend continues.

Summary

This scalping strategy identifies potential short-term reversals with MA combinations for frequent small profits. This effectively controls single loss and risks, making it suitable for small accounts growth. However limitations exist like small profit range and excessive trades. Improvements can be made via parameter tuning, TP adjusting, adding filters etc, to expand profits while retaining its strengths, making the strategy more robust and efficient. Also continuously learning other more advanced strategies is important.

Parameters

Name	Default	What it controls
v_input_1	true	From Month
v_input_2	10	From Day
v_input_3	2019	From Year
v_input_4	true	Thru Month
v_input_5	true	Thru Day
v_input_6	2112	Thru Year
v_input_7	true	Show Date Range
v_input_8	9	v_input_8
v_input_9	50	v_input_9
v_input_10	200	v_input_10
v_input_11	100	v_input_11
v_input_12	2	v_input_12
v_input_13	8	v_input_13

Source Pine Script

/*backtest
start: 2023-08-21 00:00:00
end: 2023-09-20 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//strategy(shorttitle='Moving Average Scalper (by Coinrule)',title='Moving Average Scalper', overlay=true, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_type = strategy.percent_of_equity, default_qty_value = 30, commission_type=strategy.commission.percent, commission_value=0.1)

//Backtest dates
fromMonth = input(defval = 1,    title = "From Month",      type = input.integer, minval = 1, maxval = 12)
fromDay   = input(defval = 10,    title = "From Day",        type = input.integer, minval = 1, maxval = 31)
fromYear  = input(defval = 2019, title = "From Year",       type = input.integer, minval = 1970)
thruMonth = input(defval = 1,    title = "Thru Month",      type = input.integer, minval = 1, maxval = 12)
thruDay   = input(defval = 1,    title = "Thru Day",        type = input.integer, minval = 1, maxval = 31)
thruYear  = input(defval = 2112, title = "Thru Year",       type = input.integer, minval = 1970)

showDate  = input(defval = true, title = "Show Date Range", type = input.bool)

start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => true       // create function "within window of time"

//MA inputs and calculations
movingaverage_signal = sma(close, input(9))
movingaverage_fast = sma(close, input(50))
movingaverage_slow = sma(close, input(200))
movingaverage_mid= sma(close, input(100))

//Entry 
bullish = crossover(movingaverage_signal, movingaverage_fast)

strategy.entry(id="long", long = true, when = bullish and movingaverage_fast < movingaverage_mid and movingaverage_mid < movingaverage_slow and window())

//Exit

bearish = crossover(movingaverage_signal, movingaverage_slow)


Stop_loss= ((input (2))/100)
Take_profit= ((input (8))/100)

longStopPrice  = strategy.position_avg_price * (1 - Stop_loss)
longTakeProfit = strategy.position_avg_price * (1 + Take_profit)

strategy.close("long", when = bearish)

// close < longStopPrice or close > longTakeProfit and window())

//PLOT
plot(movingaverage_signal, color=color.black, linewidth=2 )
plot(movingaverage_fast, color=color.orange, linewidth=2)
plot(movingaverage_slow, color=color.purple, linewidth=2)
plot(movingaverage_mid, color=color.blue, linewidth=2)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-21. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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