Moving Vegas Channel Crossover Strategy

Pine ScriptTrend following Breakout RSI MACD EMA SMA Bollinger Bands

Author: ChaoZhang
Complexity: Intermediate · 126 lines
Parameters: 14
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

The core idea of this strategy is to determine the short, mid and long term trend direction of stocks based on EMAs with different cycles such as 36, 143, 169, combined with MACD indicator to issue buying and selling signals. Specifically, in short term, 5 and 10 day EMAs are used to judge, in mid term, 20 and 60 day EMAs are used to judge, in long term, 120 and 250 day EMAs are used to judge, when short term EMA crosses middle term EMA upwards, it's bullish, otherwise it's bearish; MACD indicator of bullish and bearish signals is used to determine buying and selling time.

The specific mechanism of the Vegas Tunnel strategy:

Use EMA 36 and EMA 43 to form short term trend judgment, they make up the red channel;
Use EMA 144 and EMA 169 to form medium-term trend judgment, they make up the green channel;
Use EMA576 and EMA676 to form long term trend judgment, they make up the gray channel;
When the price stands on the above EMA lines, go long, combined with MACD indicator breaking through 0 axis upwards as buying signal;
When the price breaks below the above EMA lines, go short, combined with MACD indicator breaking through 0 axis downwards as selling signal;
According to the EMA line breakthrough, three strategies are defined, short, medium and long term respectively, corresponding to different holding period.

Advantages of this strategy:

Combining short, medium and long three channels to judge trend direction, relatively stable;
Vegas tunnel is intuitive to determine trend;
MACD helps capture better buying and selling timing;
Divided into short, medium and long three strategies for more flexible operations.

Major risks:

When prices fluctuate wildly, EMA lines lag, likely to make wrong judgments;
When three channels show inconsistent signals, risks of wrong operations exist;
Minute chart operations need stronger psychological endurance.

Coping methods:

Adjust EMA cycle to better match current market characteristics;
Adjust position size beforehand to limit single loss.

Optimization space:

Vegas tunnels' trend judgement capability needs improving, Bollinger bands may be added;
MACD works poorly for sideways markets, indicators like KD and RSI may be better options;
Add stop loss policies, like stop loss when closing price breaks key EMA lines;
Short ETF to hedge given A share limit-ups and downs having greater impacts.

Parameters

Name	Default	What it controls
v_input_1	true	Use Current Chart Resolution?
v_input_2	D	Use Different Timeframe? Uncheck Box Above
v_input_3	12	12 EMA
v_input_4	240	240 SMA
v_input_5	20	BB Length
v_input_6_close	0	BB Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_7	2	BB StdDev
v_input_8	false	BB Offset
v_input_9	true	Start Date
v_input_10	true	Start Month
v_input_11	2018	Start Year
v_input_12	true	End Date
v_input_13	11	End Month
v_input_14	2030	End Year

Source Pine Script

/*backtest
start: 2022-12-26 00:00:00
end: 2024-01-01 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

strategy("Vegas Tunnel strategy", overlay=true)
//-------------------------------------------
//-------------------------------------------
// Inputs
useCurrentRes = input(true, title="Use Current Chart Resolution?")
resCustom = input(title="Use Different Timeframe? Uncheck Box Above", type=input.resolution, defval="D")
//tfSet = input(title = "Time Frame", options=["Current","120", "240", "D", "W"], defval="D")
tfSet = useCurrentRes ? timeframe.period : resCustom
maPeriods2 = input(12, "12 EMA")
maPeriods6 = input(240, "240 SMA")
BBlength = input(20, title="BB Length", minval=1)
BBsrc = input(close, title="BB Source")
mult = input(2.0, minval=0.001, maxval=50, title="BB StdDev")
sm2 = security(syminfo.tickerid, tfSet, ema(close, maPeriods2))
sm6 = security(syminfo.tickerid, tfSet, sma(close, maPeriods6))
p2 = plot(sm2, color=color.green, transp=30,  linewidth=2, title="SMA2")
p6 = plot(sm6, color=color.white, transp=30,  linewidth=2, title="SMA6")
//BB
basis = sma(BBsrc, BBlength)
dev = mult * stdev(BBsrc, BBlength)
upper = basis + dev
lower = basis - dev
offset = input(0, "BB Offset", type = input.integer, minval = -500, maxval = 500)
//plot(basis, "Basis", color=color.blue,linewidth, offset = offset)
pBB1 = plot(upper, "Upper", color=color.blue, offset = offset)
pBB2= plot(lower, "Lower", color=color.blue, offset = offset)

//MACD
fast_ma = ema(close, 48)
slow_ma = ema(close, 56)
macd = fast_ma - slow_ma

//vagasTunnel
f1=ema(close, 36)
f2=ema(close, 43)
f3=ema(close, 144)
f4=ema(close, 169)
f5=ema(close, 576)
f6=ema(close, 676)
f7=ema(close,2304)
z1=plot(f1,color=color.red, title="ema36",transp=100)
z2=plot(f2,color=color.red, title="ema43",transp=100)
z3=plot(f3,color=color.green, title="ema144",transp=100)
z4=plot(f4,color=color.green, title="ema169",transp=100)
z5=plot(f5,color=color.white, title="ema576",transp=100)
z6=plot(f6,color=color.white, title="ema676",transp=100)
fill(z1, z2, color=color.red,transp=60)
fill(z3, z4, color=color.green,transp=60)
fill(z5, z6, color=color.gray,transp=60)

// Make input options that configure backtest date range
startDate = input(title="Start Date", type=input.integer,
     defval=1, minval=1, maxval=31)
startMonth = input(title="Start Month", type=input.integer,
     defval=1, minval=1, maxval=12)
startYear = input(title="Start Year", type=input.integer,
     defval=2018, minval=1800, maxval=2100)
endDate = input(title="End Date", type=input.integer,
     defval=1, minval=1, maxval=31)
endMonth = input(title="End Month", type=input.integer,
     defval=11, minval=1, maxval=12)
endYear = input(title="End Year", type=input.integer,
     defval=2030, minval=1800, maxval=2100)
// Look if the close time of the current bar
// falls inside the date range
inDateRange =  true

//Swing long
if (inDateRange and crossunder(f3,f1))// 
    strategy.entry("buy", strategy.long,1, when=macd>0, comment = "buyLong-term")
buyclose=crossunder(f3,f5) 
strategy.close("buy", when = buyclose, comment = "CloseLong-term")
//Multiple strategies1
if (inDateRange and crossover(low , f3) and macd>0 and f3>f6)
    strategy.entry("buy1", strategy.long,100, comment = "buyMid-term")
buyclose1=crossunder(close,upper*0.999) 
if (macd<0 or f3<f6)
    strategy.close("buy1", comment = "CloseMid-term")
//strategy.close("buy1",when=cross(basis,close), comment = "CloseM",qty_percent=50)
strategy.close("buy1", when = buyclose1, comment = "CloseMid-term",qty_percent=100)
//Multiple strategies3
if (inDateRange and  (macd>0) and crossunder(low,f1) and f1>f4) // 
    strategy.entry("buy3", strategy.long,1, comment = "buyShort-term")
buyclose3=crossunder(close,upper*0.999)
if (macd<0 or f1<f4)
    strategy.close("buy3", comment = "CloseShort-term")
strategy.close("buy3", when = buyclose3, comment = "CloseShort-term")
//Multiple strategies4
if (inDateRange and  (macd>0) and crossunder(low,f5) and f4>f5) // 
    strategy.entry("buy4", strategy.long,1, comment = "buyLong-term")
buyclose4=crossunder(close,upper*0.999)
if (macd<0 or f4<f6)
    strategy.close("buy4", comment = "CloseLong-term")
strategy.close("buy4", when = buyclose4, comment = "CloseLong-term")
    
//Short strategy1
if (inDateRange and  (macd<0) and crossunder(high,f1) and f1<f3 and f3<f6) // 
    strategy.entry("sell1", strategy.short,1, comment = "EmptyShort-term")
sellclose1=crossunder(lower*0.999,close)
if (macd>0 or f1>f4)
    strategy.close("sell1", comment = "Guan KongShort-term")
strategy.close("sell1", when = sellclose1, comment = "Guan KongShort-term")
//Short strategy2
if (inDateRange and  (macd<0) and crossunder(high,f4) and f4<f6) // 
    strategy.entry("sell2", strategy.short,1, comment = "EmptyMid-term")
sellclose2=crossunder(lower,close)
if (macd>0 or f4>f6)
    strategy.close("sell2", comment = "Guan KongMid-term")
strategy.close("sell2", when = sellclose2, comment = "CloseMid-term")
//Short strategy3
if (inDateRange and (macd<0) and crossunder(high,f6)) // 
    strategy.entry("sell3", strategy.short,1, comment = "EmptyLong-term")
sellclose3=crossunder(lower,close)
if (macd>0 or f6>f7)
    strategy.close("sell3", comment = "Guan KongLong-term")
strategy.close("sell3", when = sellclose3, comment = "Guan KongLong-term")

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

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